- Question ID
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2017_3391
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Supervisory reporting - COREP (incl. IP Losses)
- Article
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Article 140
- Paragraph
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4
- Subparagraph
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(b)
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
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Not applicable
- Type of submitter
-
Competent authority
- Subject matter
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C 09.04, row 40, column 010 - Value of trading book exposures for internal model
- Question
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Regulation 2016/1702 requires that row 40 only be populated with the exposures value for relevant credit defined in Article 140(4)(b) of Directive 2013/36/EU (CRD), in accordance with Article 104 CRR, namely the sum of the following items: -Fair value of non-derivative positions; -Notional value of derivatives. We remain unsure how the bank should include short positions in the reported exposures. Question: Could you indicate how the bank should include short positions in the reported exposures?
- Background on the question
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Example: Exposure number_ Country _________Security type _______ Risk way*______Exposure 1 ________ Germany ________ Dérivatives ________ Long _________ A 2 ________ Germany ________ Dérivatives ________ Short _________ (B) 3 ________ Germany ________ Securities ________ Long _________ C 4 ________ Germany ________ Securities ________ Short _________ (D) Additional explanations: *Long positions: the bank is risk taker, short positions: the bank has bought protection. Figures in bracket are then negative by construction. Additionnal question: Which total exposures have to be reported in C 09.04 in R40/C010? Could you please answer us using this example, and indicate us which method should be used to fill the Template?
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
Please note that as part of adjustments to the Single Rulebook Q&A process, agreed by the EBA and the European Commission, it has been decided to reject outstanding questions submitted before 1 January 2020, when the Q&A process was updated as part of the last ESAs Review. In particular, the question that you have submitted has now regrettably been rejected and will not be addressed.
If you believe your question would still benefit from clarification, you are invited to resubmit your question, adapting it to reflect any legislative, regulatory or other relevant developments that may have occurred since the initial date of submission. The EBA will aim to address resubmitted questions as a matter of priority. When considering to resubmit, you are kindly requested to observe the updated admissibility criteria agreed in the context of the adjustment of the Q&A process, available in the Additional background and guidance for asking questions. We hope for your understanding.
For further information please refer to the press release and the updated Q&A page.
- Status
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Rejected question
- Attachments
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1905993_20170713_Example-in-Word-format.docx (14.38 KB)