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 –
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:
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 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}.