- Question ID
-
2014_851
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
-
378
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
378
- Type of submitter
-
Credit institution
- Subject matter
-
Inclusion of derivatives in the product list mentioned in Article 378
- Question
-
Are derivatives also to be included in the product list mentioned in Article 378?
- Background on the question
-
Article 378 lists the following products for which an institution shall calculate the price difference to which it is exposed if they are unsettled after their due delivery date Debt Instruments Equities Foreign Currency Commodities However on ANNEX II 'Reporting of Own Funds and own Funds Requirements' the following comment in point 94 of section 3.6 under general remarks has been made." Note however that, derivatives and long settlement transactions unsettled after their due delivery are subject to own funds requirements...." Should we take the wording in Annex II as to be more complete than that in Article 378 and include derivatives in this calculation?
- Submission date
- Final publishing date
-
- Final answer
-
While derivatives' transactions are not mentioned in the types of transactions listed in Article 378 Regulation (EU) No 575/2013 (CRR), from a prudential point of view, these transactions may also carry a settlement risk. In such instances they should also be included in the calculation as set out in Article 378 of the CRR.
- Status
-
Final Q&A
- Answer prepared by
-
Answer prepared by the EBA.
- Note to Q&A
-
Update 26.03.2021: This Q&A has been reviewed in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR) and continues to be relevant.