Question ID
2022_6433
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Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annexes I and II, C 07.00 and C 08.01
Type of submitter
Consultancy firm
Subject matter
Reporting of guarantees/non-financial collaterals in providing further credit risk mitigation for derivatives and SFTs in the credit risk templates C 07.00 / C 08.01
Question

Following the logic of the C07.00/C08.01-templates (with DPM 3.0), probable guarantees/non-financial collaterals of derivatives and securities financing transactions (SFTs) won't be captured in the first part of the form (C07.00: columns 0010-0200/ C08.01: columns 0020-0110) even if available. However, starting with the reporting of the exposure value of the derivatives and SFTs (C07.00: column 0200/ C08.01: column 0110) the guarantees/non-financial collaterals will be considered in the second part of the template (starting with the exposure value-column) as its risk-mitigating effects should flow into the RWA calculation. Does the above-mentioned logic follow the reporting requirements of the C07.00/C08.01 templates under DPM 3.0?

Background on the question

Guarantees/Non-financial collaterals are not taken into consideration in the calculation of the exposure value according to the SA-CCR methods (Article 274). However, according to the credit risk mitigation techniques, guarantees/non-financial collaterals are allowed to be considered in the RWA calculation.

With DPM 3.0, the columns associated with CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE (C07.00: columns 0050-0100/ C08.01: columns 0040-0080) have been greyed out for derivatives and securities financing transactions (C07.00: rows 0090-0130/ C08.01: columns 0040-0060), so that the calculated exposure value is shown directly in the exposure value column after considering all SA-CCR relevant margins (C07.00: column 0200/ C08.01: column 0110).

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in sections 3.2.5 and 3.3.3 of Annex 1 of Regulation (EU) 2021/451. For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Status
Rejected question