Shall the reporting amount in template C08.01 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting) in the cell r0010;c0310 include “hypothetical risk-weighted exposure amount pre-credit derivates” all exposure types or only contain the exposure types for “counterparty credit risk”-exposures as reported in rows 0040 – 0060 of the same template?
In reporting template C08.01 as included in Annex I of the latest version of Commission Implementing Regulation (EU) 2021/451 c0310, column 0310 is only to be filled for rows:
- r0010: TOTAL EXPOSURES
- r0040: Securities Financing Transactions netting sets
- r0050: Derivatives & Long Settlement Transactions netting sets
- r0060: From Contractual Cross Product netting sets
All other rows are greyed out in the reporting template, indicating that they are not to be reported.
However the instructions in Annex II of Commission Implementing Regulation (EU) 2021/451 for template C08.01 / column c0310 does not limit the scope of reporting to CCR related exposure types.
It is therefore unclear, if the value to be reported in position r0010;c0310 shall be considered as the total of the non-grey cells in rows 0040 – 0060 or if it shall include all exposure types, including on-balance sheet exposures (as reported in r0020) and off-balance sheet exposures (as reported in r0030), which are greyed-out cells in the reporting template as included in Annex I of Commission Implementing Regulation (EU) 2021/451.
This question has been rejected because the issue it deals with is already explained or addressed in Annex II of Regulation (EU) 2021/451 (ITS on Reporting). For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.