EBA · 2013_397 Final Q&A

Alternative treatment of the exposure measure: Notional amount

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430 (1)
Topic
Supervisory reporting - Leverage ratio
Submitted by
Credit institution
Submitted
2013-10-16
Answered
2014-03-28
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Is the scope of products limited to the scope for calculation of credit equivalent (without FX contracts < 14 days, without future, written options,… ) or not?

Background

How can we maintain coherence of the line as there are values sourcing from Credit Risk and Finance with different scopes?

Answer

According to the description in Section 5 of Annex XI of the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutionsDraft ITS on Supervisory reporting, the cell {C40.00, r060, c070} provides the notional amount of the contracts listed in Annex II of the Regulation (EU) No. 575/2013 (CRR) i.e. without any exception related to maturity or other circumstances.   *As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.

Original source: European Banking Authority, Q&A ID 2013_397

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.

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