EBA · 2019_4563 Final Q&A

Reporting of contributions to the default fund of a CCP

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Competent authority
Submitted
2019-02-19
Answered
2020-05-08
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

There seems to be an incoherence between Q&A 2013_209 and the instructions contained in Annex 2 of EBA Implementing Regulation (EU) No 680/2014 regarding the Reporting of contributions to the default fund of a CCP.

Background

According to Q&A 2013_209 contributions to the default fund of a CCP should not be included in templates CR SA or CR IRB. However, Annex 2 of EBA Implementing Regulation (EU) No 680/2014 mentions these contributions as part of row 070 and/or 080 in C07. In particular, for row 070 of CR SA it is stated that “exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030”. As a side note, it should be remarked that the instruction is likely to be referring not to row 030 but to row 080 instead, “Off balance sheet exposures subject to credit risk”. In the same way, it is stated for row 080 that “exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if they are considered as off-balance sheet items”. We would like to request clarification as to in what specific case the contributions to the default funds can be/have to be included in CR SA or to propose to take out these references if they are not valid.

Answer

As stated in Annex II to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), the RWA stemming from default fund contributions posted to a CCP shall be reported in row 460 of template C 02.00 (CA 2). In order to avoid double-counting and also in line with QA 2013_209, these contributions shall not be reported in C 07.00 (CR SA) and C 08.01 (CR IRB). The instructions in C 07.00 and C 08.01 will be amended to drop the references to default fund contributions.

Original source: European Banking Authority, Q&A ID 2019_4563

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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