2021_6117 C 34.08 - Collaterals with haircuts

Question ID:

2021_6117

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Supervisory reporting - COREP (incl. IP Losses)

Article:

430

Paragraph:

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions

Article/Paragraph:

Annex II

Disclose name of institution / entity:

Yes

Name of institution / submitter:

Wolters Kluwer

Country of incorporation / residence:

Romania

Type of submitter:

Consultancy firm

Subject Matter:

C 34.08 - Collaterals with haircuts

Question:

Should the fair value of collaterals (posted or received) used in CCR exposures related to derivative transactions, SFTs and long settlement transactions be reported in template C 34.08 after the haircut (volatility, FX) was applied or without considering the haircut?

Background on the question:

The template C 34.08 (Composition of collaterals for CCR exposures) provides evidence for the fair value of collateral (posted or received) used in CCR exposures related to derivative transactions, long settlement transactions or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.

In this template , the fair value of collateral received or posted might have to be reported after the haircut (volatility, FX) is applied. If the haircut shall be applied, should the value of collateral received be reduced by the haircut (i.e. in this scenario, in the report, the fair value of the collateral multiplied by (1 - haircut) should be considered) and the value of the collateral posted be increased after the haircut (i.e. in this scenario, in the report, the fair value of the exposure multiplied by (1 + haircut) should be considered)?

In the case of collaterals used in derivative transactions, the institutions shall report the collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II to the CRR or a long settlement transaction as per Article 271(2) of the same regulation not qualifying as an SFT.

Complementary, for the collateral used in SFTs, institutions shall report the collateral (including the initial margin and variation margin collateral as well as the collateral appearing as security in the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative.

Date of submission:

28/07/2021

Published as Final Q&A:

10/03/2023

Final Answer:

According to Regulation (EU) 2021/451, Annex II, the template C 34.08 shall be filled with fair values of collateral used in CCR exposures.

The fair values of collateral received or posted must be reported after the application of haircuts. The value of collateral received will be reduced by the haircut, and the value of collateral posted will be increased by the haircut.

Status:

Final Q&A

Answer prepared by:

Answer prepared by the EBA.