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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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
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.

Submission date
Final publishing date
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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