2013_396 Alternative treatment of the exposure measure: Notional amount

Question ID:: 2013_396
Legal Act:: Regulation (EU) No 575/2013 (CRR)
Topic:: Supervisory reporting - Leverage ratio
Article:: 430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph:: Annex XI 5 C 40.00 (r60;c70)
Disclose name of institution / entity:: No
Type of submitter:: Credit institution
Subject Matter:: Alternative treatment of the exposure measure: Notional amount
Question:: How do we have to report the notional of derivatives, do we have to sum up all derivatives in absolute value?
Background on the question:: For example for IRS, do we have to report both legs or only one? For example for FX forward, do we have to report contract to be received and contract to be delivered?
Date of submission:: 16/10/2013
Published as Final Q&A:: 22/08/2014
Final Answer:: The notional amount should be the same notional amount that is used in order to determine the potential future credit exposure according to the Mark-to-Market Method (Article 274 Regulation (EU) No. 575/2013 (CRR), see also Q&A 2013_641) or, if a bank applies the alternative Original Exposure Method (Article 275 CRR), the notional amount that is used in order to determine the exposure value.
Provisions in Article 273(8) of the CRR shall also be taken into account when determining the notional amount of derivatives in {C 40.00, *, c070}.
Status:: Final Q&A
Answer prepared by:: Answer prepared by the EBA.