COREP: With regards to MKR SA TDI: All Positions, the instructions state that columns c010 [Long] and c020 [Short] should exclude underwritten positions subscribed or sub-underwritten by third parties. Can the EBA confirm whether this exclusion applies across the whole template?
For example, we would like to clarify if the Net Positions columns (i.e. c030 [Long] and c040 [Short]) should include or exclude underwritten positions.
According to the instructions for columns 010 and 020 of C 18.00 (MKR SA TDI), the amounts to be reported are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties. Indeed, Article 345 of Regulation (EU) No 575/2013 (CRR) sets that in the case of the underwriting of debt and equity instruments, an institution may use the following procedure to calculate its own funds requirements:
The institution shall then calculate its own funds requirements using the reduced underwriting positions reported in columns 030 and 040.