Calculation of exposure values of trade exposures with QCCP in accordance with Article 306(1)(a) of the CRR.

Which transactions should be included in calculation of exposure value of trade exposures with QCCP for purposes of Article 306(1)(a)?

Article 301(2) of the CRR provides that institutions may choose whether to apply one of the two treatments to the contracts and transactions outstanding with a QCCP: (a) the treatment for trade exposures and exposures from default fund contributions set out in Article 306, except for the treatment set out in paragraph 1(b) of that Article, and in Article 307, respectively, (b) the treatment set out in Article 310. Article 310 provides that institution shall apply its provisions to calculate the own funds requirement i.a. for exposures arising both from its trade exposures and trade exposures of its clients. At the same time, Article 306(1)(a) provides that an institution shall apply a risk weight of 2% to the exposure values of all its trade exposures with QCCPs. It is unclear if exposure value for purpose of Article 306(1)(a) shall be calculated for exposures arising from its own trade exposures only or it shall be calculated also for exposures arising from its clients transactions, where an institution acts as a clearing member. Including exposures arising from clients transactions seems to be consistent with provisions of Article 310, although it is not literally mentioned in Article 306(1). According to paragraph 206 of 1cCapital requirements for bank exposures to central counterparties 1d (Basel Committee on Banking Supervision, April 2014): 1cWhere a bank acts as a clearing member of a CCP for its own purposes, a risk weight of 2% must be applied to the bank 19s trade exposure to the CCP in respect of OTC derivatives, exchange-traded derivative transactions, SFTs and long-settlement transactions. Where the clearing member offers clearing services to clients, the 2% risk weight also applies to the clearing member 19s trade exposure to the CCP that arises when the clearing member is obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that the CCP defaults. The risk weight applied to collateral posted to the CCP by the bank must be determined in accordance with paragraphs 200-202. 1d, which may indicate that exposure value shall be calculated for exposures arising from its own exposures and its clients transactions, where an institution acts as a clearing member.