Reporting templates on risk concentrations and intra-group transactions for conglomerates (FICOD)

Question

Derivatives (processing of stock and expired operations within an SEO) : Can banks apply the threshold to expired and in stock transactions on the closing date in order to ensure the completeness of intra group exposures to be declared within this scope? With the fair value on the closing date?

European Insurance and Occupational Pensions Authority · Accepted Answer

In accordance with 3rd paragraph under section 1.1, Part II of Annex II, value to be considered for reporting is the maximum exposure over the reporting period covered. For the purpose of reporting intra-group transactions under Commission Implementing Regulation (EU) 2022/2454,  derivative transactions shall, in accordance with [Q&A 3253 - FICOD020], be understood as all transactions under a given master netting arrangement. For derivatives, the maximum exposure over the reporting period covered is therefore the maximum absolute value of each netting set over the period.

Reporting templates on risk concentrations and intra-group transactions for conglomerates (FICOD)

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