QA2019-66 - Value of positions

Owned by SRB Services
Feb 01, 2024
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QA2019-66

Question


CCPs sometimes report different information for OTC vs. listed derivatives. For OTC the value sometimes refers to “Notional Outstanding value” while for Listed it is the “Net market value”. In this case it is difficult to report just one line per CCP.


Response


We are only interested in the market value, not the notional amount. The purpose is to gain an understanding of the potential exposure of the CCP on the bank. Please report one line per segment/product, specifying in “Service description” which segment this concerns. We expect the bank to have the information on market values for its risk management purposes.