QA2020-68 - Scope of T12 template: does-it include derivatives ?

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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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QA2020-68

Question


The SRB guidelines are not clear as they refer to the CIR/2018/1624 template Z05.02 "major off  balance-sheet counterparties" when the latter only concern off-balance sheet and not derivatives as it is explained in the SRB guidance for C0060 and c0070. Do you confirm that unlike the requirement described in the CIR/2018/1624 regarding Z05.02, the scope include derivatives ?


Response


The scope of the SRB report T12.00 includes off balance sheet derivatives, as described in the Guidance document for the Liability Data Report, published on the SRB website. The amount to be reported here differs from the amount reported in the T07.00 report which covers on-balance sheet derivative liabilities. T12.00 covers the off balance sheet derivatives, for the nominal amount, and only for the top 10 counterparties as indicated in Commission Implementing Regulation 2018/1624, II.5.3.