EBA · 2020_5674 Final Q&A

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.

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Other
Submitted
2020-12-29
Answered
2021-11-26
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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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

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.

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’.

Original source: European Banking Authority, Q&A ID 2020_5674

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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