QA2023-24 - Row 0780 'Derivatives'

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Feb 01, 2024
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QA2023-24

Question


Could you please clarify if the scope of the derivatives to be reported in r0780 – DERIVATIVES of T01.00 includes all derivatives reported in Finrep, F 10 and F 11 templates?


Response


Since most of the derivatives reported in Finrep F10 and F11 templates are booked as asset or liability in the balance sheet, the scope of derivatives to be reported in LDR T01.00 r0780 does not include all derivatives reported in Finrep F10 and F11 templates. As indicated by the LDR guidance, LDR T01.00r780 only reports the nominal value of off-balance sheet derivatives.