Question
How should derivative positions be reported in the breakdown by residual maturity in columns 0070 - 0100 of MREL template M 06.00, if the derivates in a specific maturity bucket do not carry a negative book value, but a positive book value (i.e. a negative liability amount), considering that EBA validation rule v10844_s states the amounts reported in these columns should be greater than or equal to zero?
Background on the question
A breakdown by residual maturity is requested in MREL template M 06.00. In case of derivatives, this may include a derivative position that, on a net basis, carries a negative book value (i.e. a liability). If this net liability position consists of various derivatives with a gross positive book value and derivatives with a gross negative book value with varying maturities, a breakdown by residual maturity may result in a positive book value (i.e. an asset position) to be included in one or more of the residual maturity buckets. The positive book value for a maturity bucket should be included as a negative number in the appropriate column of template M 06.00 (columns 0070 to 0100). However, the amounts reported in these columns should be greater than or equal to zero according to validation rule v10844_s.
Answer
This question has been rejected because the issue it deals with is already explained or addressed in the instructions on columns 0070 to 0100 of template M 06.00 of Annex I to Regulation (EU) 2021/763, as provided in Annex II thereto, in conjunction with Articles 2(1), point (71a) and 45b(2) of Directive 2014/59/EU.For further information on the purpose of this tool and on how to submit questions, please see'Additional background and guidance for asking questions'.