Regarding the scope of exposures to be included in Template C34.10, there appears to be an inconsistency between the guidance in ‘General remarks’ in the reporting instructions and the format of the template as explained below:

Reporting instructions: General remarks

‘General remarks’ in the reporting instructions use the following wording to explain the scope of exposures: “Institutions shall report the information on exposures to CCPs, i.e. to contracts and transactions listed in Article 301(1) of Regulation (EU) No 575/2013 for as long as they are outstanding with a CCP and exposures from CCP-related transactions, in accordance with Article 300(2) of that Regulation, for which the own funds requirements are calculated in accordance with Part Three, Title II, Chapter 6, Section 9 of that Regulation.”.

Based on the above, ‘general remarks’ in the reporting instructions clearly require inclusion of both ‘exposures to CCPs’ and ‘exposures from CCP-related transactions’ (Option 1).

Format of Template C34.10, instructions concerning specific positions, own funds requirements calculation requirements and cross-linkage to Template C34.02

i) Rows R0010 to R0100 cover ‘exposures to QCCPs’ and Rows R0110 to R0200 cover ‘exposures to non-QCCPs’. This means that there are no separate rows for reporting ‘exposures from CCP-related transactions’.

ii) The reporting instructions for Rows R0010 to R0100 use the following wording: “Qualifying CCP (QCCP) A qualifying central counterparty or “QCCP” as defined in Article 4(1), point (88), of Regulation (EU) No 575/2013.” Since the wording in the reporting instructions does not define or refer to ‘exposures from CCP-related transactions’, this could be interpreted as the requirement is to report only ‘exposures to CCPs’ in these rows.

iii) EU CRR Article 300(2) defines a CCP-related transaction as “a contract or a transaction listed in Article 301(1) between a client and a clearing member that is directly related to a contract or a transaction listed in that paragraph between that clearing member and a CCP.” This means that CCP-related transactions are transactions with non-CCP counterparties rather than direct exposures to CCPs. Further, EU CRR Article 304(1) requires own funds requirements for CCP-related transactions to be calculated in accordance with Part Three Title II Chapter 6 Sections 1 to 8. This means that the own funds requirements calculation for CCP-related transactions is consistent with the own funds requirements calculation for any other contracts or transactions with non-CCP counterparties. Accordingly, it may not make sense to aggregate exposure values and risk weighted exposure amounts for exposures to CCPs (calculated under specific rules applicable to exposures to CCP as set out in Part Three Title II Chapter 6 Section 9) with exposures values and risk weighted exposure amounts from CCP-related transactions (which are calculated under generic rules applicable to all other non-CCPs counterparties as set out in Part Three Title II Chapter 6 Sections 1 to 8).

iv) The reporting instructions for Template C34.02 use the following wording to explain the scope of exposures covered in template C34.10: “Institutions shall report the template separately for all CCR exposures and for all CCR exposures excluding exposures to central counterparties (CCPs) as defined for the purpose of template C 34.10.”  Since the wording in reporting instructions for Template C34.02 defines the scope of Template C34.10 to only include ‘exposures to CCPs’ and makes no reference to ‘exposures from CCP-related transactions’, this could be interpreted as the requirement is to report only ‘exposures to CCPs’ in these rows.

Based on above, it appears that the requirement should be only include exposures to CCPs (Option 2).