QA2018-111 - Secured liabilities T01.00; T03.01

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Feb 01, 2024
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QA2018-111

Question


For sake of clarity, please consider the following example of netting arrangement having the following underlying repo transactions (assuming they do not have early reimbursement dates): Transaction ID: 1 Amount liabilities: 100 Collateral: 90 Issuance date: 15.10.2017 Legal maturity: 15.10.2019 Transaction ID: 2 Amount liabilities: 95 Collateral: 97 Issuance date: 30.06.2017 Legal maturity: 30.06.2018 Transaction ID: 3 Amount liabilities: 87 Collateral: 84 Issuance date: 25.09.2017 Legal maturity: 25.12.2020 Total netting set Amount Liabilities: 282 Collateral: 271


Response


In light Q&A n° 91, the guidance will be modified and institutions could report a netting set on 31/12/2017 as follows in T03.01: - c110 - Issuance date: 2017-12-31 - c120 - Earliest redemption date: 2018-01-01 - c130 - Legal maturity: 2018-01-01