QA2023-48 - T01 - Data quality check "SRBDQ_0346"

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Feb 01, 2024
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QA2023-48

Question


The quality check « SRBDQ_0346 » mentions that {T 01.00.b;r0330;c0121} = {F 01.02;r0020;c0010} + {F 01.02;r0150;c0010} + {F 01.02;r0062;c0010}. It means that the total accounting amount of the derivatives on row 300 of the T01.00 of the LDT must be equal to the derivatives reported in FINREP. We are wondering if this control is still relevant since the introduction of row 210 in the template T01. Indeed, the derivatives amounts reported in row 210 are deducted from their original rows (including r0330). Derivatives are therefore no longer only on row 330, but now also on row 210 of the T01. Do you agree with our analysis on the fact that control SRBDQ_0346 is no longer relevant? or need to be updated?


Response


Indeed we agree that following the introduction of the reporting of intra-resolution group derivatives excluded from bail in in T01.0-r0210, and to the extent that the reporting entity has derivative liabilities that correspond to the definition of "Liabilities towards other entities of the resolution group" as per Article 44(2), point (h), of Directive 2014/59/EU, the total liabilities in T01.00-r0330 alone does not necessarily correspond to the total Finrep amount referred to in the level 3 check SRBDQ_0346. To the extent that SRB Level 3 checks have a "warning" severity, and that this rule still holds where the bank has no derivative liabilities eligible for reporting in T01.00-r0210, the rule will be maintained for the 2023 reporting cycle, and may be reviewed for the 2024 reporting cycle.