Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Annexes I and II, C 07.00 and C 08.01
Disclose name of institution / entity:
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

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).

Date of submission:
Published as Rejected Q&A
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'.

Rejected question