Template C34.01 and C90.00: Using absolute values of individual long (short) positions to calculate aggregated long (short) position

For reporting in templates C 34.01 and C90.00, which of the below approach is required to be used for the calculation of the absolute value of the aggregated long (short) position: Option 1: Use absolute values of individual long (short) positions as per the reporting instructions for C 34.01 Columns 0010, 0020, 0040, 0050, 0070 and 0080; or  Option 2: Absolute the netted values of individual long (short) positions given individual positions may have either positive or negative market values within long (short) allocation in accordance with EBA/RTS/2025/19 and as per the EU CRR 3 text which only specifies absoluting the overall aggregated long (short) position?

EU CRR 3 introduced below additional specifications for the calculation of size of the business to determine whether the institutions meet the conditions set out for the use of certain derogations, namely, small trading book business (Art. 94 of the EU CRR), the use of simplified methods for calculating the expected value of derivative transactions (Art. 273a of the EU CRR), and the use of the simplified standardized approach for market risk (Art. 325a of the EU CRR): 1. " The absolute value of the aggregated long position s shall be summed with the absolute value of the aggregated short position s . " 2. " For the purposes of the first subparagraph, a long position is one where the market value of the position increases when the value of its main risk driver increases, and a short position is one where the market value of the position decreases when the value of its main risk driver increases. " 3. " For the purposes of the first subparagraph, the value of the aggregated long (short) position shall be equal to the sum of the values of the individual long (short) positions included in the calculation in accordance with point (a). " The EBA published an RTS (EBA/RTS/2025/19) to provide further guidance on the method for identifying the main risk driver of a position and determination of whether a position represents a long or a short. However, based on the methodology prescribed in the EBA RTS, individual positions with both positive and negative values could be determined to be a long position or a short position (as explained in 'Example 1' and 'Example 2' below). Example 1: The institution may have below positions which will be classified as long positions, but may have offsetting values: • A bought position in stock forwards with a positive market value (This position is assessed as a long position based on EBA/RTS/2025/19 Article 6(2) which states that the main risk driver for stock forwards is the equity spot price and the position is long when forwards are bought. However, the position may have a positive or negative market value depending on the direction of movement in the underlying market risk factors); and • A forward rate agreement where the institution pays fixed-rate interest with a negative market value (This position assessed as a long position based on EBA/RTS/2025/19 Article 6(3) which states that the main risk driver for forward rate agreements is the risk-free rate and the position is long when institution pays fixed rate interest. However, the position may have a positive or negative market value depending on the direction of movement in the underlying market risk factors). Example 2: The institution may have below positions which will be classified as short positions, but may have offsetting values: • A sold position in stock with a negative market value (This position is assessed as a short position based on EBA/RTS/2025/19 Article 3(4) which states that the main risk driver for stock positions is the equity spot price and the position is short when stock is sold. The position is expected to always have a negative value as this represents a liability on the accounting balance sheet); and • A reverse repurchase position with a positive market value (This position is assessed as a short position based on EBA/RTS/2025/19 Article 3(8) which states that the main risk driver for repurchase transactions is the general interest rate and the position is short when it is governed by a reverse repurchase agreement. However, this position is expected to always have a positive value as this represents an asset on the accounting balance sheet). In above scenarios, if we absolute the aggregation of the individual positions categorised as long (short) positions which may be both negative and positive in value in accordance with the EBA RTS, this will result in a smaller netted result compared to aggregating the absolute value of individual long (short) positions. We are seeking this clarification since the reporting instructions for C 34.01 (provided below) which are consistent with the EU CRR 2 text and require the absolute values to be used for individual long (short) positions, but the EU CRR 3 text does not specifically set out the requirement to use absolute values of individual positions but only the absolute of the overall aggregated long (short) position. Reporting instructions Annex II - Part II Counterparty Credit Risk C 34.01: Columns 0010, 0040, 0070: " The sum of the absolute market values of long derivative positions on the last date of the month shall be reported. " Columns 0020, 0050, 0080: " The sum of the absolute market values of short derivative positions on the last date of the month shall be reported. " Columns 0030, 0060, 0090: " The sum of the absolute value of long derivative positions and the absolute value of short derivative positions. "