QA2024-21 - Statistical data availability

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Oct 30, 2024
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QA2024-21

Question


A. Derivatives held for trading - OTC and non-OTC – statistical values on the ECB DWH are: - available by EURO area only for OTC derivatives - not available for non-OTC derivatives Please refer to your proposed database : https://stats.bis.org/statx/srs/table/d9 Based on this, would it be acceptable to report Derivatives OTC and non-OTC at consolidated level? If not, please provide clear instructions on the reporting requirements for these 2 functions, including for market share calculation.


Response


The question is apparently refers to the CFR, T20.04 Capital markets. Reporting of derivatives at consolidated level could be acceptable if consolidated figures are a good proxy for the amounts to be reported (either at individual level or at country level). Otherwise, the banks should have to estimate the correct amount of derivatives HFT, OTC and non-OTC. If the available information is scarce, the estimation of market shares on a best effort basis is the way forward, as it is suggested in some other parts of the guidance (e.g. estimation of cross-border values).