QA2018-58 - Structured Notes T01.00; T030.01; T04.00; T06.00

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Resolution Reporting Subject Matter null
Guidance Documents Structured-liabilities
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QA2018-58

Question


How should entities report structured notes with an embedded derivative component where the instrument holder can lose part of the nominal amount? Example: Structured note with 70% if its nominal amount assured and the remaining 30% subject to fluctuations.


Response


Partially principal protected notes, along with any other structured note, should be reported in tab T01.00 in the lines r350 to r354 of the LDT with their full components (i.e. they should include the protected principal, the principal affected by the derivative component and accrued interest, if any).