EBA · 2013_398 Final Q&A

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

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430 (1)
Topic
Supervisory reporting - Leverage ratio
Submitted by
Credit institution
Submitted
2013-10-16
Answered
2014-03-21
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

How do we have to report the CDS of the banking book?

Background

As they are booked as a received guarantee on the off-balance sheet, they do not constitute an asset on the balance sheet, they should not be reported in the column 10- accounting value. Do we have then to report them in column 70- Nominal amount or is it required to maintain a coherence versus column 10- accounting value and we should not report them? Do we have then to report them in column 50 - Add'on or is it required to maintain a coherence versus column 1- accounting value and we should not report them?

Answer

The instructions are explicit in requiring an inclusion of both banking book and trading book positions in row 050 of the table C 40.00. For positions that are not recognized on the balance sheet, the accounting values (columns 010 and 020) can be considered to be zero. However, the add-on amounts (column 050) and notional amounts (columns 070 to 110) for these positions need to be reported.

Original source: European Banking Authority, Q&A ID 2013_398

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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