QA2017-86 - Guidance T08.00

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Feb 01, 2024
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QA2017-86

Question


There is needed clear guidance what kind of instruments shall be included for reporting in this field. One could understood that this is referred to repurchase agreements, but page T06 contain fields that could lead to reporting of repurchase agreements in this page as well. And same question regarding covered bonds, as there is some covered bond pool used for the all covered bonds, but not for particular issued security?


Response


The previous answer clarifies the distinction between T06.00 and T08.00. W.r.t. the pooled collateral for multiple lines to be reported, the reporting entities should in such case calculate the overall coverage ratio of the securities and apply this ratio to all individual lines.