QA2017-47 - Guidance T01.00

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Feb 01, 2024
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QA2017-47

Question


With reference to the information to be reported in line 334 of the T01.00 template, as the instructions refer generally to Article 429 CRR related to the Leverage Ratio, we would like to know if the negative value of the netting sets is to be considered before or after the application of adjustments related to collateral components and the exempted component of trading exposures towards CCPs when compensated on behalf of the customer. In addition, if the answer is yes, we ask whether both the components are to be calculated according to the conditions laid down in the relevant paragraphs referred in Article 429 as per Delegate Act.


Response


The value that needs to be reported shall be in line with the principles for prudential netting, as such, all components shall be calculated in line with the CRR and taken into account.