QA2019-91 - Structured Notes

Owned by SRB Services
Feb 01, 2024
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Resolution Reporting Subject Matter Guidance
Guidance Documents Structured-liabilities
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QA2019-91

Question


A previous QnA from 2017 indicated "The full value of structured notes shall be reported in line r350, not distinguishing between the guaranteed amounts and amounts affected by the derivative component." However, it is important to distinguish the fixed component of the instrument and the one that fluctuates in line with the underlying security. Therefore, would it be possible to break down the full amount of the instrument in different rows (both in T01.00 and T04.00) in order to reflect these differences? This aspect should be clarified in order to avoid potential misunderstandings.


Response


It is up to the bank to provide additional information to the IRTs on the eligibility of the instruments, outside of the LDR.