- Question ID
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2021_6288
- Legal act
- Directive 2014/59/EU (BRRD)
- Topic
- BRRD Reporting
- Article
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45i
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) 2021/763 – ITS with regard to the supervisory reporting and public disclosure of MREL
- Article/Paragraph
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Article 13(2)
- Type of submitter
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Credit institution
- Subject matter
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Inclusion of netted derivative positions in maturity profile in MREL template M 06.00
- Question
-
How should derivative positions be reported in the breakdown by residual maturity in columns 0070 - 0100 of MREL template M 06.00, if the derivates in a specific maturity bucket do not carry a negative book value, but a positive book value (i.e. a negative liability amount), considering that EBA validation rule v10844_s states the amounts reported in these columns should be greater than or equal to zero?
- Background on the question
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A breakdown by residual maturity is requested in MREL template M 06.00. In case of derivatives, this may include a derivative position that, on a net basis, carries a negative book value (i.e. a liability). If this net liability position consists of various derivatives with a gross positive book value and derivatives with a gross negative book value with varying maturities, a breakdown by residual maturity may result in a positive book value (i.e. an asset position) to be included in one or more of the residual maturity buckets. The positive book value for a maturity bucket should be included as a negative number in the appropriate column of template M 06.00 (columns 0070 to 0100). However, the amounts reported in these columns should be greater than or equal to zero according to validation rule v10844_s.
- Submission date
- Rejected publishing date
-
- Rationale for rejection
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This question has been rejected because the issue it deals with is already explained or addressed in the instructions on columns 0070 to 0100 of template M 06.00 of Annex I to Regulation (EU) 2021/763, as provided in Annex II thereto, in conjunction with Articles 2(1), point (71a) and 45b(2) of Directive 2014/59/EU.
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- Status
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Rejected question