- Question ID
-
2023_6928
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - COREP (incl. IP Losses)
- Article
-
430
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
- Article/Paragraph
-
C34.02 and C34.03
- Type of submitter
-
Investment firm
- Subject matter
-
Disclosure of transactions with zero exposure value
- 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 on the question
-
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.
- Submission date
- Final publishing date
-
- Final 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.
- Status
-
Final Q&A
- Answer prepared by
-
Answer prepared by the EBA.