EBA · 2021_6288 Rejected question

Inclusion of netted derivative positions in maturity profile in MREL template M 06.00

Regulation
Directive 2014/59/EU (BRRD)
Article
45i
Topic
BRRD Reporting
Submitted by
Credit institution
Submitted
2021-11-22
More Q&As on this regulation →

Question

How should derivative positions be reported in the breakdown by residual maturity in columns 0070 - 0100 of MREL template M 06.00, if the derivates in a specific maturity bucket do not carry a negative book value, but a positive book value (i.e. a negative liability amount), considering that EBA validation rule v10844_s states the amounts reported in these columns should be greater than or equal to zero?

Background

A breakdown by residual maturity is requested in MREL template M 06.00. In case of derivatives, this may include a derivative position that, on a net basis, carries a negative book value (i.e. a liability). If this net liability position consists of various derivatives with a gross positive book value and derivatives with a gross negative book value with varying maturities, a breakdown by residual maturity may result in a positive book value (i.e. an asset position) to be included in one or more of the residual maturity buckets. The positive book value for a maturity bucket should be included as a negative number in the appropriate column of template M 06.00 (columns 0070 to 0100). However, the amounts reported in these columns should be greater than or equal to zero according to validation rule v10844_s.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6288

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.

Similar Q&As

Large Exposures - maturity buckets

Answered 2015-03-13

Validation rule v0853_m - Framework release 2.8

Answered 2019-06-07

Reporting of derivatives

Answered 2014-03-21

C 33.00: Instructions concerning specific positions - c0020

Answered 2023-01-27

v09808_m - netting set with IMM and SA-CCR positions

Answered 2023-02-17

More Q&As on this topic

Clarification on the reporting of negative fair value changes of hedged items in the Annual Resolution reporting

Answered 2026-09-18

Completion of the Z08.02 Template

Answered 2026-09-18

Template Z08.02: Reporting of applications owned and operated by affiliated service providers

Answered 2026-09-18

RESOL1 - how balance of cash collateral received as variation margin for intra group Repurchase Agreements should be reported in Z11.00 and Z02.00

Answered 2026-09-18

Granular reporting of liability data: currency designation for XAF / XOF

Answered 2026-06-26

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.