- Question ID
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2014_1455
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - Large Exposures
- Article
-
394
- Paragraph
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2
- Subparagraph
-
e
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
- Article/Paragraph
-
-
- Type of submitter
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Competent authority
- Subject matter
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Large Exposures - maturity buckets
- Question
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Is it possible to report negative amounts in some maturity buckets of the exposure in LE4 and LE5 templates? According to the validation rules, every column in template LE4 and LE5 should be larger than or equal to zero.
- Background on the question
-
Some banks report negative amounts as a result of derivative positions in some maturity buckets of the exposure in LE4 and LE5 templates. Since there are validation rules for every column in the templates, each column with an amount smaller than zero gives an error message.
- Submission date
- Final publishing date
-
- Final answer
-
According to Regulation (EU) No 680/2014 13 ITS on Supervisory Reporting of institutions (ITS) Annex IX, point 17, for the purposes of LE reporting "the exposure value of a derivative instrument listed in Annex II of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 (counterparty credit risk) with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6". It entails that the exposure value can never be negative. The related validation rules are correct.
- Status
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Final Q&A
- Answer prepared by
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Answer prepared by the EBA.