For the purposes of populating the C 34.08 of Annex 1 to the Regulation (EU) 2021/451 it asks for cash to be split by domestic currency and other currencies and sovereign debt to be split into domestic and other. In this context, how should domestic be interpreted? We can think of three possible options:

1) Domestic refers to the country of incorporation of the institution.

2) Domestic refers to the country of incorporation of the client against which the institution has the CCR exposures.

3) Domestic refers to the country of incorporation of the issuer of the debt with respect to the sovereign debt (although this would then seem to conflict with domestic for cash if it is a valid option).

No guidance is provided on the correct categorisation of types of collateral for the purposes of assigning collateral to the different rows of the C 34.08.

According to Article 5(5) of Regulation (EU) 2021/451: “Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is established.” 

Template C 34.08 of Annex 1 to the Regulation (EU) 2021/451 makes a distinction between cash in domestic currency and cash in other currencies. In this context, the same definition of ‘domestic’ can be applied when referring to the domestic currency as well as the domestic exposures. Therefore, the domestic currency refers to the currency of the country of incorporation of the institution.