- Question ID
-
2013_398
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - Leverage ratio
- Article
-
430 (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- Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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 XI 5 C40.00 (r50;cXX)
- Type of submitter
-
Credit institution
- Subject matter
-
Alternative treatment of the exposure measure: Credit derivatives (protection bought)
- Question
-
How do we have to report the CDS of the banking book?
- Background on the question
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As they are booked as a received guarantee on the off-balance sheet, they do not constitute an asset on the balance sheet, they should not be reported in the column 10- accounting value. Do we have then to report them in column 70- Nominal amount or is it required to maintain a coherence versus column 10- accounting value and we should not report them? Do we have then to report them in column 50 - Add'on or is it required to maintain a coherence versus column 1- accounting value and we should not report them?
- Submission date
- Final publishing date
-
- Final answer
-
The instructions are explicit in requiring an inclusion of both banking book and trading book positions in row 050 of the table C 40.00. For positions that are not recognized on the balance sheet, the accounting values (columns 010 and 020) can be considered to be zero. However, the add-on amounts (column 050) and notional amounts (columns 070 to 110) for these positions need to be reported.
- Status
-
Final Q&A
- Answer prepared by
-
Answer prepared by the EBA.