Atribute	Detail
Resolution Reporting Subject Matter	Guidance
Guidance Documents	Derivatives
Taxonomy	-
Unique Identifier	QA2023-26

Question

The LDR guidance states "The net liability positions for derivatives taking into account prudential netting rules shall be reported in line with the prudential netting rules as described in art. 429 of the CRR related to the calculation of the leverage exposure. The prudential netting required under T01.00-r334 should take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements." Does that mean the value must be equal to C 40.00 r010-c010? If so, can this be included in the list of validation rules?

Response

The value reported in T01.00- r0334 should be determined according to Articles 429c and 429d and would therefore not usually correspond to the value reported under C40.00, which is an alternative treatment of the exposure measures. In the instructions to this table, it is clarified that for r010-c010 the report shall include the “Accounting value assuming no netting or other CRM”.

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