EBA · 2014_851 Final Q&A

Inclusion of derivatives in the product list mentioned in Article 378

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
378
Topic
Market risk
Submitted by
Credit institution
Submitted
2014-02-14
Answered
2014-10-24
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Are derivatives also to be included in the product list mentioned in Article 378?

Background

Article 378 lists the following products for which an institution shall calculate the price difference to which it is exposed if they are unsettled after their due delivery date Debt Instruments Equities Foreign Currency Commodities However on ANNEX II 'Reporting of Own Funds and own Funds Requirements' the following comment in point 94 of section 3.6 under general remarks has been made." Note however that, derivatives and long settlement transactions unsettled after their due delivery are subject to own funds requirements...." Should we take the wording in Annex II as to be more complete than that in Article 378 and include derivatives in this calculation?

Answer

While derivatives' transactions are not mentioned in the types of transactions listed in Article 378 Regulation (EU) No 575/2013 (CRR), from a prudential point of view, these transactions may also carry a settlement risk. In such instances they should also be included in the calculation as set out in Article 378 of the CRR.

Original source: European Banking Authority, Q&A ID 2014_851

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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