QA2020-32 - T12 Derivatives Amount

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Feb 01, 2024
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Resolution Reporting Subject Matter Guidance
Guidance Documents Off-balance-sheet-commitments
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QA2020-32

Question


Derivatives Amount. Should we inform the off balance sheet amount as notional amount of derivative or the close-out amount as defined in r0333? The documentation looks like the EBA Z.05.01 template (liabilities) instead of Z.05.02 Template (off-balance). "In case of liabilities arising from derivatives (type L.3), the close-out amounts as defined for the purposes of row 0333 template T 01.00 shall be reported."


Response


Derivatives to be reported in T12 for the nominal amount.