QA2023-26 - Prudential netting rules applicable to derivatives

Owned by SRB Services
Feb 01, 2024
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”.