We would like to ask for assistance to determine how to handle our so called „FI Margin” product from 30/09/2021 in the case of threshold calculation for Corep C 90.00 sheet – based on the trading book activity and market risk.
The main scope of this particular product is that the investors are allowed to make a bet based on their expectations on the Governement bond market by using only a small amount of margin. (So this product has a high-level leverage.) The risk of the client-based deals are hedged with prompt deals on Government bonds. The two deals (i.e. the client-based and the hedge one) belong to one product which one can rank as a derivative product.
As of our understanding, one can net the spot (hedge) and forward (client) leg of the „FI Margin” product, thus no bond interest rate risk position arise and we can report only the open derivative position, which arise from the market value of the two legs together.
According to Article 325a the positions' market value's absolute values have to be summed up. Some derivative products are back-to-back hedged to avoid risks. Although some instruments, e.g. bond forwards can not be hedged by derivatives in the market, so it is hedged by actually selling/buying bonds called spots.
Hence the forward deal and the spot position deal offsets each other, no more risks in reality occures.
In our view as the two deals eliminates the risk of changing bond prices, only the forward's MtM reported in C90.00
This question has been rejected because the question is not sufficiently clear, or has not sufficiently identified a provision of Regulation (EU) No 2021/451 (ITS on Supervisory Reporting) for which an explanation is merited regarding their practical implementation or application.