Question ID:
2013_649
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
99
Paragraph:
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph:
Annex I, template C 18.00 - C 23.00
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Swedish Bankers' Association
Country of incorporation / residence:
Sweden
Type of submitter:
Industry association
Subject Matter:
Defintion of "all positions" in the templates C 18.00 - C 23.00, Market risks
Question:

What is the definition of "all postions" in the columns in the market risk templates C 18.00 -C 23.00? "All positions" are not descibed or defined neither in CRR nor in the instructions.

Background on the question:

It is not clear to us how to define "all positions" in the market risk templates C 18.00 -C 23.00. We have however not found any defintion or description of "all positions" in CRR or in the instructions.

Date of submission:
13/12/2013
Published as Final Q&A:
30/04/2014
Final Answer:

The columns for gross positions in the market risk templates in general shall report positions prior to any kind of offsetting. The instructions refer to the relevant articles in the Regulation (EU) No. 575/2013 (CRR) concerning (gross) positions which have to be considered when calculating the own funds requirements for the respective market risk and how those positions are valued.

Combined products have to be split up into their underlying components following the respective Articles in the CRR (e.g. the section on interest rate risk describes the breakdown of derivative contracts into the underlying positions in Articles 328 to 332 of CRR in detail).

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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