Question ID
2022_6530
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Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)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
n.a.
Type of submitter
Consultancy firm
Subject matter
C 34.08 – Reporting of received collateral
Question

Regarding the columns pertaining to the ‘Fair value of collateral received’ of template C 34.08 of Annex 1 of Regulation (EU) 2021/451 (i.e. columns 0010 – 0040 and 0090 – 0130), both the general guidance for the template (paragraph 131) along with the specific guidance for these columns provided in Annex II state that the institution shall report the fair values of received collateral that is used in CCR exposures.

Is the correct interpretation of the term ‘used in CCR exposures’, that only the portion of received collateral that is actually used to offset CCR exposures should be reported in C 34.08, and not the full original fair value of collateral received relating to CCR exposures?

Background on the question

Take the following SFT scenarios:

Scenario 1:

  • exposure value before haircut of 80 which, including haircut, is an exposure value of 100, and
  • collateral received before haircut of 250 which, including haircut, is collateral received of 200

Therefore 100 of received collateral (including haircuts) is required to reduce the exposure to zero out of an available 200 of received collateral (including haircuts). Therefore 50% of the received collateral haircut value has been used in the CCR calculation and so the correct amount of the fair value of the collateral received to report would be 250 * 50% = 125.

Scenario 2:

  • exposure value before haircut of 120 which, including haircut, is an exposure value of 140, and
  • collateral received before haircut of 100 which, including haircut, is collateral received of 90

Therefore 90 of received collateral (including haircuts) is used to reduce the exposure out of an available 90 of received collateral (including haircuts). Therefore 100% of the received collateral haircut value has been used in the CCR calculation and so the correct amount of the fair value of the collateral received to report would be 100 * 100% = 100.

Submission date
Final publishing date
Final answer

According to Regulation (EU) 2021/451, Annex II, the template C34.08 shall be filled with fair values of collateral (posted or received) used in CCR exposures.

The fair values of collateral (posted or received) must be reported in full, after the application of haircuts. This implies also that received collateral must be reported independent of the portion that is actually used to offset a CCR exposure.

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

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