Question ID
2023_6860
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Other
Article
274
Paragraph
3
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
3.9.3.2 (C34.02 reporting instructions for VM, RC, PFE)
Type of submitter
Other
Subject matter
C34.02 - reporting of VM, RC and PFE when EAD is capped for margined business under SA-CCR
Question

Under SA-CCR, when EAD for margined business is being capped at EAD value as if unmargined business (as per CRR Article 274 (3)), should all the atributes of the netting set change in reporting as if it were unmargined business? Namely:

- columns 0060 or 0070 should report no value as VM or report the VM posted/received in the margin agreement (in line with ITS)?

- column 0100 should report the RC calculated as if unmargined (as per CRR Article 275 (1) formulae) or report the RC calculated based on the status of margined business (as per CRR Article 275 (2)? ; same for column 0110 for PFE

- netting set should flow in row 0140, unmargined business, or in 0130, margined business (as it is contractually established)?

Background on the question

As per ITS for C34.02, several details on the netting sets are required to be reported. Under SA-CCR, for margined business, to sets of calculations of EAD are required to be done, one based on actual terms and one as if the business were unmargined, so that the EAD of the margined business to be capped to the minimum of the 2 results, as per CRR Article 274 (3).

The instructions for reporting VM are for ‘variation margin amounts (VM) of all the margin agreements (...)' for which the VM is posted/received, the instructions not excluding the margins when EAD is capped at its simulated unmargined value. 

The instructions for reporting RC when SA-CCR is used are to comply with 'Article 275 of Regulation (EU) No 575/2013 for the SA-CCR'; hence, considering that this is a margined business, RC should be derived as per CRR Article 275 (2), namely considering the existance of the VM.

 

As per answer to EBA QA 2020_5508 'Template C.34.02 gives information about all the variables needed in the calculation of RWA for Counterparty credit risk' is clear the scope of reporting, however, EAD (in this case capped) is the variable in RWA calculation, applicable risk weight percentage not being depended on if or how much VM is involved in the margin agreement, or if the RC is calculated normaly or simulated as if unmargined.

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question