Question ID
2022_6356
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph
Section 3.9.7 C 34.06
Type of submitter
Credit institution
Subject matter
C 34.06 - Counterparty with dual Counterparty Type
Question

In column c0050, a bank should report the type of the counterparty with the following options: QCCP, non-QCCP and No CCP.

Where a counterparty which acts as a QCCP for a number of netting agreements and transactions and at the same time acts as a No CCP as well for different netting agreements and transactions, should the counterparty be recorded (a) twice in C 34.06, its total values reported in columns 0070 to 0130 split between the two different types i.e. one line as a QCCP and another as a No CCP; or (b) once with its total exposures be populated in a single line and the counterparty type in c0050 to be populated with QCCP?

Background on the question

From business practices, the clearing through a QCCP is performed for derivatives that pass certain criteria. Hence, a number of transactions with the same counterparty who is also a QCCP do not fall under the QCCP clearing and have different netting and margin agreements as well.

Submission date
Final publishing date
Final answer

In accordance with the instructions of paragraph 126 of Annex II to Regulation (EU) 2021/451 (ITS on Supervisory Reporting, ITS), the Top 20 counterparties shall be identified on the basis of the overall exposure of the reporting entity to the counterparty, considering the CCR exposure values as reported in column 0120 of template C 34.06 of Annex I to the ITS.

Where a Top 20 counterparty identified this way acts as a QCCP for a number of netting agreements and transactions, and, at the same time acts as No CCP as well for different netting agreements and transactions, it should be reported twice in template C 34.06, by splitting the relevant amounts (notional market values, exposure etc.) and reporting two separate rows.

Until the data point model for template C 34.06 was modified to accommodate the reporting of two rows for the same counterparty, one row should be reported for this counterparty. That row should show the overall exposure to the counterparty (the aggregate amounts) and the counterparty type QCCP should be selected.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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