C 09.04, row 40, column 010 - Value of trading book exposures for internal model

Regulation 2016/1702 requires that row 40 only be populated with the exposures value for relevant credit defined in Article 140(4)(b) of Directive 2013/36/EU (CRD), in accordance with Article 104 CRR, namely the sum of the following items: -Fair value of non-derivative positions; -Notional value of derivatives. We remain unsure how the bank should include short positions in the reported exposures. Question: Could you indicate how the bank should include short positions in the reported exposures?

Example: Exposure number_ Country _________Security type _______ Risk way*______Exposure 1 ________ Germany ________ Dérivatives ________ Long _________ A 2 ________ Germany ________ Dérivatives ________ Short _________ (B) 3 ________ Germany ________ Securities ________ Long _________ C 4 ________ Germany ________ Securities ________ Short _________ (D) Additional explanations: *Long positions: the bank is risk taker, short positions: the bank has bought protection. Figures in bracket are then negative by construction. Additionnal question: Which total exposures have to be reported in C 09.04 in R40/C010? Could you please answer us using this example, and indicate us which method should be used to fill the Template?