Question
Is the scope of products limited to the scope for calculation of credit equivalent (without FX contracts < 14 days, without future, written options,… ) or not?
Background on the question
How can we maintain coherence of the line as there are values sourcing from Credit Risk and Finance with different scopes?
Answer
According to the description in Section 5 of Annex XI of the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutionsDraft ITS on Supervisory reporting, the cell {C40.00, r060, c070} provides the notional amount of the contracts listed in Annex II of the Regulation (EU) No. 575/2013 (CRR) i.e. without any exception related to maturity or other circumstances. *As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.