QA2018-4 - Derivatives T01.00

Owned by SRB Services
Feb 01, 2024
Atribute Detail
Resolution Reporting Subject Matter Guidance
Guidance Documents Derivatives
Taxonomy -
Unique Identifier

QA2018-4

Question


The guidance for “r334 – Sum of net liability positions taking into account prudential netting rules” is referring to art. 429 in CRR. Our interpretation of this is that it refers to following part of point 6 of art. 429: "In determining the exposure value of contracts listed in Annex II and of credit derivatives, institutions shall take into account the effects of contracts for novationand other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295." Is this interpretation correct? That in line r334 for prudential netting rules means that we will exclude cross-product netting?


Response


The reference made to Article 429 indeed includes the paragraph 6 of that article, which in turn refers to Article 295. The prudential netting required under T01.00-r334 should thus take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements. As such, we can confirm that cross-product netting is not allowed for the purpose of reporting this value.