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QA2019-101 - Structured Notes

QA2019-101 - Structured Notes

Owned by SRB Services
Feb 01, 2024
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QA2019-101

Question


We have identified structured notes with two tranches: 1. One tranche with a maturity ‘XXXX-YY-ZZ’ and a fixed coupon. 2. A second tranche, with a different maturity ‘AAAA-BB-CC’ and a Zero Coupon, linked to an index or a basket of stocks. Our understanding is that we should report all the structure under row r350 (structure note) in template T01.00, separating amounts depending on the maturities and additionally, in template T04.00, we should report two rows, one for each tranche. Is our understanding correct? Is it accurate to classify the whole bond as a structure note and then, in template T04.00, choose the option of Fixed Coupon for one tranche?


Response


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