EBA · 2023_6928 Final Q&A

Disclosure of transactions with zero exposure value

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Investment firm
Submitted
2023-11-03
Answered
2024-03-22
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Under Article 274(5) and 273 there are circumstances where transactions may have a zero exposure value e.g. netting sets made up entirely of written options or certain CDS transactions. Should these be reported in the C34.02 with values in columns 0020-0140 and then have c0150 onwards set to 0 (or c0170 onwards?) or should they be disregarded from population of values in any columns as there is no requirement to calculate exposure for these transactions. Similarly should they be included in the same C34.03 columns?

Background

It is unclear whether it is just the final calculated exposure value which may be set to zero in these circumstances or if there is no requirement to calculate an exposure value and hence the components such as PFE/RC etc.

Answer

Under Article 274(5) and Article 273 of Regulation (EU) 575/2013, where transactions have a zero exposure value, the transactions shall be reported in the C34.02 and C 34.03 of Annex I to Regulation (EU) 2021/451.

Original source: European Banking Authority, Q&A ID 2023_6928

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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