Question ID
2020_5674
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
Article/Paragraph
Annex I, C 34.02, Exposures
Name of institution / submitter
Moody's Analytics / Serge Blumberger
Country of incorporation / residence
FRANCE
Type of submitter
Other
Subject matter
In template C 34.02, the field "Exposures" aims to report separately all CCR exposures and all CCR exposures excluding exposures to central counterparties (CCPs). In the DPM taxonomy 3.0 and the related annotated template, this exclusion seems to refer to QCCPs only.
Question
Shall we exclude all exposures to CCPs from Template C 34.02 or only exposures to QCCPs ? The annotated template C 34.02(0002) is currently referring to the "Counterparty" member value (CT:x81) Non-QCCPs, which makes no sense with the exclusion required in Annex II.
Background on the question
As stated in Annex II, paragraph 124, 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 C34.10. Template C 34.10 includes all exposures to CCPs with both Counterparty Sectors: QCCPs and Non-QCCPs.
Submission date
Final publishing date
Final answer

According to point 124 of Annex II of Regulation (EU) 2021/451, in template C.34.02 entities have to report separately all CCR exposures and all CCR exposures except for those exposures to CCPs (QCCPs and Non QCCPs) covered by template C.34.10.

Currently, the DPM taxonomy 3.0 is not in line with point 124 of Annex II of Regulation (EU) 2021/451 and, hence, should be amended such that both values (CT:x81) and (CT:x218) are excluded when reporting “all CCR exposures except for those exposures to CCPs”.

The DPM should be disregarded until the issue is fixed. This means that institutions should report in C 34.02 in sheet 0002 ‘CCR exposures except CCP exposures’, no matter what the label of the member says - do not report ‘CCR exposures just excluding exposures to QCCPs’.

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

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