EBA · 2014_1455 Final Q&A

Large Exposures - maturity buckets

Name: Large Exposures - maturity buckets: EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 394, para. 2
Topic: Supervisory reporting - Large Exposures
Submitted by: Competent authority
Submitted: 2014-09-02
Answered: 2015-03-13
Answer provided by: ESAs (EBA, ESMA, EIOPA)

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Question

Is it possible to report negative amounts in some maturity buckets of the exposure in LE4 and LE5 templates? According to the validation rules, every column in template LE4 and LE5 should be larger than or equal to zero.

Background

Some banks report negative amounts as a result of derivative positions in some maturity buckets of the exposure in LE4 and LE5 templates. Since there are validation rules for every column in the templates, each column with an amount smaller than zero gives an error message.

Answer

According to Regulation (EU) No 680/2014 13 ITS on Supervisory Reporting of institutions (ITS) Annex IX, point 17, for the purposes of LE reporting "the exposure value of a derivative instrument listed in Annex II of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 (counterparty credit risk) with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6". It entails that the exposure value can never be negative. The related validation rules are correct.

Original source: European Banking Authority, Q&A ID 2014_1455

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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