Question ID:
2015_2060
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Asset Encumbrance
Article:
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annex XVII
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
F 33.00 - MATURITY DATA (AE-MAT) - Maturity of the encumbered asset
Question:

How to report initial margin (IM) and variable margin (VM) under F33 Maturity data report - 010-encumbered assets? Given there is no clear guidance on this particular maturity reporting therefore it is grateful if EBA could provide a clearer guidance or best practice on this issue.

Background on the question:

Subsequent to the trade date, variation margin is exchanged in either direction based upon price movements of the contracts that are currently open. The clearing member then pays initial margin and, if negative, variation margin to the clearing house. If the variation margin is positive, the clearing member receives the amount from the clearing house. While for IM, it is posted to open a position it should be theoretically more stable yet the maturity could still be open if the position is unwind.

Date of submission:
23/06/2015
Published as Final Q&A:
04/06/2021
EBA Answer:

Initial margin (IM) and variable margin (VM) are distributed among the set of residual maturity buckets specified in the columns of template F 33.00 of Annex XVII to Regulation (EU) No 680/2014 - ITS on Supervisory Reporting according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction).
Where the residual maturity is not specified or on demand, the reporting institutions shall provide the information the column 010 (Open maturity).

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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