EBA · 2024_7208 Rejected question

C34.10, reporting of rows related to margin information

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
300
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Consultancy firm
Submitted
2024-10-04
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Question

What is meant to be reported on rows 0070, 0080, 0170 & 0180 of C 34.10: the exposure values of derivatives or the margin information of derivatives?

Background

The metrics in use for C 34.10 seem rather contradictory in relation to the rows of the reporting form and the contents of the ITS. Because the DPM model and the ITS appear somewhat contradictory, we see that there are two possibilities: The DPM model is correct: the intention is to report the exposure values (mi119) of CCP derivatives, categorized based on whether the IM is segregated or not. Also based on the structure of the template, it seems that rows 0120-0200 are meant to be a breakdown of the sum reported in row 0110 by different criteria. The DPM model is wrong: by reading the ITS, the intention is to report the margin information of CCP derivatives in the same way as, for example, in C 34.08, based on the fair value metric (mi812). An example:  Let’s take as an example a CCP derivative with an exposure value of 100 000 and a segregated initial margin of 500 000. Thus, the derivative in question should be reported on row 0070, since the initial margin is segregated. However, the question is whether the exposure value of the derivative (100 000) or the amount of the initial margin itself (500 000) should be reported on row 0070?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7208

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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