EBA · 2022_6433 Rejected question

Reporting of guarantees/non-financial collaterals in providing further credit risk mitigation for derivatives and SFTs in the credit risk templates C 07.00 / C 08.01

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Consultancy firm
Submitted
2022-04-27
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Question

Following the logic of the C07.00/C08.01-templates (with DPM 3.0), probable guarantees/non-financial collaterals of derivatives and securities financing transactions (SFTs) won't be captured in the first part of the form (C07.00: columns 0010-0200/ C08.01: columns 0020-0110) even if available. However, starting with the reporting of the exposure value of the derivatives and SFTs (C07.00: column 0200/ C08.01: column 0110) the guarantees/non-financial collaterals will be considered in the second part of the template (starting with the exposure value-column) as its risk-mitigating effects should flow into the RWA calculation. Does the above-mentioned logic follow the reporting requirements of the C07.00/C08.01 templates under DPM 3.0?

Background

Guarantees/Non-financial collaterals are not taken into consideration in the calculation of the exposure value according to the SA-CCR methods (Article 274). However, according to the credit risk mitigation techniques, guarantees/non-financial collaterals are allowed to be considered in the RWA calculation. With DPM 3.0, the columns associated with CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE (C07.00: columns 0050-0100/ C08.01: columns 0040-0080) have been greyed out for derivatives and securities financing transactions (C07.00: rows 0090-0130/ C08.01: columns 0040-0060), so that the calculated exposure value is shown directly in the exposure value column after considering all SA-CCR relevant margins (C07.00: column 0200/ C08.01: column 0110).
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6433

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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