QA2018-108 - Counterparty breakdown T01.00

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Feb 01, 2024
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QA2018-108

Question


The SRB Guidance states that for template T01.00 columns breakdown, the category “c11x - Issuances under non-EU MS jurisdiction/law” should be used in priority over the other counterparty breakdowns. It is not clear how such instructions shall be applied in case of intercompany liabilities. For sake of clarity, please consider the following examples for the reporting of T01 at individual level: • EXAMPLE 1: the reporting entity A has an intercompany liability for 100€ governed by non-EU law towards the entity B which is fully consolidated in the Group; which of the following representation is correct? o Option A: 100€ is reported under column c11x considering as leading principle the non-EU governing law; o Option B: 100€ is reported under column c07x considering that the liability is intercompany. • EXAMPLE 2: the reporting entity A has an intercompany liability for 100€ governed by non-EU law towards the entity B which is proportionally consolidated for 40% in the Group; which of the following representation is correct? o Option A: 100€ is reported under column c11x considering as leading principle the non-EU governing law; o Option B: 40€ is reported under column c07x considering that the liability is intercompany for 40% and 60€ is reported under column c11x considering as leading principle the non-EU governing law. Given that template T03.01 requires the breakdown of the intragroup liabilities in order to give an overview of the interconnections among the Group, it is interpreted to apply the options B above. Hence, the general principle of the Guidance requesting that “column c11x should be used in priority over the other counterparty breakdowns” would be applied to all liabilities excluding those intercompany towards Group legal entities that would be firstly allocated in column c07x. Please confirm if the same approach shall also be applied for the reporting of T01 at consolidated level.


Response


In case of conflict between categories c07X and c11X of tab T01.00, c07X should be used in priority in order to reflect the exclusion of intragroup liabilities from MREL eligible instruments. The reporting entity is required to report the respective instruments in T03.01 where the governing law (c060) and possible contractual recognition (c070) must be duly filled in. In the specific case of intragroup liabilities that are proportionally consolidated, the amounts reported in T01.00 should be aligned with the prudential perimeter. Only the part of the amount that is partially consolidated should be reported in tab T01.00, as well as in tab T03.01.