Question
How do we have to report the notional of derivatives, do we have to sum up all derivatives in absolute value?
Background on the question
For example for IRS, do we have to report both legs or only one? For example for FX forward, do we have to report contract to be received and contract to be delivered?
Answer
The notional amount should be the same notional amount that is used in order to determine the potential future credit exposure according to the Mark-to-Market Method (Article 274 Regulation (EU) No. 575/2013 (CRR), see also Q&A 2013_641) or, if a bank applies the alternative Original Exposure Method (Article 275 CRR), the notional amount that is used in order to determine the exposure value.Provisions in Article 273(8) of the CRR shall also be taken into account when determining the notional amount of derivatives in {C 40.00, *, c070}.