QA2017-128 - Guidance T01.00

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Feb 01, 2024
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QA2017-128

Question


This (r300 - Liabilities not excluded from bail-in) is the sum of rows in the columns with Outstanding amount In the columns with Carrying amount: the sum of lines r310, r320, r330, r340, r350, r360, r370, r380, r390 and r400 ?


Response


Yes, the difference between the two formulas is related to derivatives, where prudential netting (r334) is taken into account for the outstanding amount, whereas the carrying amount shall take into consideration the balance sheet liabilities (r330).