Question
Is it possible to report negative amounts in some maturity buckets of the exposure in LE4 and LE5 templates? According to the validation rules, every column in template LE4 and LE5 should be larger than or equal to zero.
Background on the question
Some banks report negative amounts as a result of derivative positions in some maturity buckets of the exposure in LE4 and LE5 templates. Since there are validation rules for every column in the templates, each column with an amount smaller than zero gives an error message.
Answer
According to Regulation (EU) No 680/2014 13 ITS on Supervisory Reporting of institutions (ITS) Annex IX, point 17, for the purposes of LE reporting "the exposure value of a derivative instrument listed in Annex II of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 (counterparty credit risk) with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6". It entails that the exposure value can never be negative. The related validation rules are correct.