EBA · 2013_396 Final Q&A

Alternative treatment of the exposure measure: Notional amount

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - Leverage ratio
Submitted by
Credit institution
Submitted
2013-10-16
Answered
2014-08-22
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

How do we have to report the notional of derivatives, do we have to sum up all derivatives in absolute value?

Background

For example for IRS, do we have to report both legs or only one? For example for FX forward, do we have to report contract to be received and contract to be delivered?

Answer

The notional amount should be the same notional amount that is used in order to determine the potential future credit exposure according to the Mark-to-Market Method (Article 274 Regulation (EU) No. 575/2013 (CRR), see also Q&A 2013_641) or, if a bank applies the alternative Original Exposure Method (Article 275 CRR), the notional amount that is used in order to determine the exposure value.Provisions in Article 273(8) of the CRR shall also be taken into account when determining the notional amount of derivatives in {C 40.00, *, c070}.

Original source: European Banking Authority, Q&A ID 2013_396

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.

Similar Q&As

Alternative treatment of the exposure measure: Notional amount

Answered 2014-03-28

Derivative adjustment of the basic annual contribution through mark-to-market method

Answered 2017-07-14

Leverage ratio: Exposure value of derivatives

Answered 2014-02-14

Alternative treatment of the exposure measure: Credit derivatives (protection bought)

Answered 2014-03-21

1102

Answered 2019-10-16

More Q&As on this topic

Reporting additional leverage ratio exposure amount in accordance with Article 3 CRR in C43.00

Answered 2026-07-03

Annex XI, INSTRUCTIONS FOR REPORTING ON LEVERAGE, Derivative cash collateral exposure reporting in C43 template

Answered 2025-08-29

Annex XI, INSTRUCTIONS FOR REPORTING ON LEVERAGE, C43 template {0040;0020} & {0050;0020}

Answered 2024-08-30

Calculation of “Total exposure” and other concepts in G 01.00 (G-SII indicators and EBU items)

Answered 2023-12-15

C43.00 (LR4) – Reporting of RWA for positions in CIUs

Answered 2023-09-22

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.