EBA · 2013_649 Final Q&A

Defintion of "all positions" in the templates C 18.00 - C 23.00, Market risks

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99, para. 1
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Industry association
Submitted
2013-12-13
Answered
2014-04-30
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

What is the definition of "all postions" in the columns in the market risk templates C 18.00 -C 23.00? "All positions" are not descibed or defined neither in CRR nor in the instructions.

Background

It is not clear to us how to define "all positions" in the market risk templates C 18.00 -C 23.00. We have however not found any defintion or description of "all positions" in CRR or in the instructions.

Answer

The columns for gross positions in the market risk templates in general shall report positions prior to any kind of offsetting. The instructions refer to the relevant articles in the Regulation (EU) No. 575/2013 (CRR) concerning (gross) positions which have to be considered when calculating the own funds requirements for the respective market risk and how those positions are valued. Combined products have to be split up into their underlying components following the respective Articles in the CRR (e.g. the section on interest rate risk describes the breakdown of derivative contracts into the underlying positions in Articles 328 to 332 of CRR in detail).

Original source: European Banking Authority, Q&A ID 2013_649

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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