Atribute	Detail
Resolution Reporting Subject Matter	Guidance
Guidance Documents	Secured-/-Collateralised-Liabilities
Taxonomy	-
Unique Identifier	QA2019-92

Question

Column c0150 of T07 is calculated automatically by the result of c0120 - c0130 + c0140, in accordance with the taxonomic control Idt_v0071. In the case of over-collateralisation, this results in a negative value in column c0150. In T01, however, in the presence of over-collateralisation, we took into account an amount of 0 and not the negative amount in column c0150 of T07. Indeed, it seems to us illogical and far from the economic reality that an overcollateralisation of a derivative comes to cover another derivative while they are not included in the same netting contract. Should the value of the collateral indicated in column c0130 be capped at the amount of the hedged derivative?

Response

The values should be capped at zero.

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