QA2017-57 - Guidance T01.00

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Feb 01, 2024
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QA2017-57

Question


It’s a little bit unclear in which cells on T01.00 and which detailed sheets the intragroup derivatives should be reported. The instruction says “c07x – Intragroup. Liabilities from entities within the accounting scope of consolidation of the ultimate parent entity. As opposed to the reporting scope, this includes all entities that are not covered by prudential consolidation, but are however covered by the accounting scope of consolidation.” This seems to suggest that intragroup derivative positions are to be reported in columns c071 and c072 on T01.00. Is this interpretation correct? The instruction also says that “T03.01 - Intragroup Liabilities. This table covers all liabilities, whether these are securities, deposits or other (secured) liabilities, including those recognized as own funds.” This also would seem to suggest that detailed information on intragroup derivatives should be reported on sheet T03.01. However, the webinar says that intragroup derivatives (like all other derivatives should be reported on sheet T07.00: Is the last interpretation (one that intragroup derivatives shall be reported on T07.00) correct?


Response


Indeed, intragroup derivatives need to be included in c07x columns of T01.00. Taking into account that the details of derivative transactions do not fit well into the table, this type of liabilities needs to be recorded in T07.00 and not T03.01.