When Institutions calculate the exposure value post-CRM in accordance with the Standardised approach for counterparty credit risk, should it consider Article 274(3) of CRR?
In other words: if the exposure value of a netting set that is subject to a contractual margin agreement is bigger than the exposure value of the same netting set not subject to any form of margin agreement, should institutions insert the first or the second value into the template?
Article 274(3) of CRR stipulates that the exposure value of a netting set that is subject to a contractual margin agreement shall be capped at the exposure value of the same netting set not subject to any form of margin agreement.
Annex II (Solvency) to the Regulation (EU) 2021/451 (ITS on Supervisory Reporting) clarifies for template 34.02:
In accordance with the instructions of Annex II to Regulation (EU) 2021/451 (ITS on Supervisory Reporting), column 0160 of template C 34.02 shall be filled with exposure values post-CRM for CCR netting sets calculated in accordance with the methods laid down in Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 (CRR), having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapters 4 and 6 of the CRR.
Article 274(3) CRR is seen as part of the methods laid down in Chapter 6 of Title II of Part Three CRR, so it should be considered when calculating the exposure value post-CRM according to the SA-CCR.