SA_CCR model: How do we report notional amount in template C 34.02 {r0030, c0030} in Annex I to Regulation (EU) 2021/451 (ITS on supervisory reporting)?

In Q&A 396, it is said that the notional amount in case of an OEM model reported in template C 34.02 should be the one used to calculate the PFE.

Does the same logic apply to the SA_CCR model? Under SA_CCR, the adjusted notional is computed in accordance with Article 279b CRR. However, as regards {C 34.02, r0030, c0030}, the ITS state that “Sum of the notional amounts for derivatives and for SFTs before any netting and without any adjustments in accordance with Article 279b CRR“ should be reported. Hence, we understand that –

• The notional amount should be prior to any netting (netting not foreseen by Article 279b CRR)
• without any adjustments
• We understand that 'without any adjustments' does not refer to the adjustments foreseen in Article 279b CRR.

Could you confirm that the notional amounts reported should hence align with the computation principle in Article 279b CRR? Hence, prior to any netting.

Could you also confirm that 'without any adjustment' refers to the computation of the effective nominal as defined by Article 280 CRR?

Could you also clarify what the 'without any adjustments' in Article 279b CRR refers to?

Should we report notional amount defined by Article 279b CRR as well in {C 40.00, r0060, c0070}? 

According to article 279b of Regulation 575/2013 (CRR) Adjusted notional value, for the Standard Method: 

Paragraph (1) states the calculation of the adjusted notional value for: 

• Transactions mapped to the interest rate risk category or the credit risk category and for transactions mapped to the foreign exchange risk category. In these cases, the notional value is an input for the calculation. 
• Transactions mapped to the equity risk category or commodity risk category and for transactions mapped to the other risks category. In these cases, the notional value or the market price of the underlying instrument are the inputs for the calculation. 

Paragraph (2) determines the notional value or number of units of the underlying instrument for the purpose of calculating the adjusted notional amount of a transaction referred to in paragraph (1). 

Paragraph (3) states that institutions shall convert the adjusted notional amount of a transaction into their reporting currency where the adjusted notional amount is calculated under this Article from a contractual notional amount or a market price of the number of units of the underlying instrument denominated in another currency. 

On the other side, the calculation of the Potential future exposure (article 278 CRR), reported in column 110 in C.34.02, depends on: 

• The effective notional, which is an input for the calculations of the add-ons (articles 280 a to f CRR). The link between the effective notional value and article 279b CRR is for the purpose of the end date of each transition which is determined under point (a) of Article 279b(1) CRR. There is no specific column for this amount in C.34.02. 
• The adjusted notional amount (article 279b CRR) is an input for the calculation of the risk position (article 279 CRR) which is, in turn, an input for the purpose of calculating the risk category add-ons referred to in Articles 280a to 280f CRR. There is no specific column for this amount in C.34.02. 

The notional amount that is envisaged to be reported in C 34 .02 {r0030,c0030} as indicated in the Regulation (EU) 2021/451 (ITS on Supervisory Reporting, ITS), is the notional amount prior to any netting and without any adjustments in accordance with article 279b CRR, for the applicable provisions regarding notional value. Additionally, this conclusion is in line with the metric eba_mi170 Notional Amount for C 34 .02 {r0030,c0030} in the Data Model Dictionary. 

The same metric eba_mi170 Notional Amount and conclusions apply for column “Notional Amount” in templates C 34.03, C.34.04, C.34.06 and C.34.09 templates and for “Notional amount of derivatives” in {C 40.00, c070}.