EBA · 2023_6929 Rejected question

Exposures for trades at QCCPs (excluding initial margin and default fund contributions)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Investment firm
Submitted
2023-11-04
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Question

Under CRR Article 306/307 only default fund contributions are seperately calculated as an exposure to a CCP. Initial margin would be recognised within the standard exposure calculation per Article 306(3) as such it is unclear how to populate rows 0020 and 0080 seperately particularly as c0010/r0010 is greyed out and therefore no overall accurate exposure value is populatable. The format of the template seems more aligned to the calculation of EAD by the CCP itself for the purposes of calculating KCCP under Article 50b of Regulation 648/2012. This is particularly the case given the expectations set by validation rule v09847_m. Could you please clarify the correct reporting of these rows? Is it correct for example to report the value of initial margin (post any volatility adjustment and alpha) in row 0080/column 0010 and then just subtract the equivalent amount from the overall exposure to the CCP to report the remaining value in row 0020 such that the sum of the two will equal the total EAD to the CCP and maintain consistency with RWA for c0020? Alternatively should the template be resturctured to show only EAD and DFC rows and populate the full EAD as calculated under the CRR including initial margin in row 0020?

Background

If the net CMV of the exposure to the CCP is negative but the firm has posted initial margin to the CCP this would change the multiplier applied to the PFE and hence it is not straightfward to break the EAD to the CCP into exposure without IM and IM seperately.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6929

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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