QA2020-122 - Clarification to QA2020-20

Question

QA2020-20 is unclear regarding the inclusion of derivatives to determine the 10 most important counterparties. Please clarify whether the total amount per counterparty should include derivatives or not (as defined for the purposes of FINREP, template F 09).

Response

The template is meant to capture also derivatives, therefore derivatives should be included in the total amount.

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