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Breadcrumb

  1. Home
  2. Single Rulebook Q&A
  3. 2024_7208 C34.10, reporting of rows related to margin information
Question ID
2024_7208
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
300
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
C34.10
Type of submitter
Consultancy firm
Subject matter
C34.10, reporting of rows related to margin information
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 on the question

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:

  1. 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.
  2. 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?

Submission date
04/10/2024
Rejected publishing date
20/01/2025
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in the instructions for Annex I to Commission Implementing Regulation (EU) 2024/3117 (ITS on Reporting).

For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Status
Rejected question

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