Where should assets which a bank has posted on its own behalf as initial margin in the context of derivative transactions and contribution to default funds to CCPs be reported in the template C 60.00?

A clarification is requested on which rows of the template C 60.00 should capture the assets (securities and cash) posted by banks on its own behalf as initial margin in the context of derivatives transactions and contribution to default funds to CCPs.

On balance sheet securities which a bank has posted on its own behalf as initial margin in the context of derivatives transactions and of contribution to default funds to CCPs should be reported in the different rows envisaged in template C 60.00 of Annex XII of Regulation (EU) No 680/2014 - ITS on supervisory reporting of (ITS on reporting) for encumbered securities for a period greater than 12 months depending on the category of the security posted.

Cash which a bank has posted on its own behalf as initial margin in the context of derivatives transactions and of contribution to default funds to CCPs should be reported in the different rows (within section 1.9:  rows 900 - 1250) envisaged in template C 60.00 for encumbered loans for a period greater than 12 months depending on the category of the borrower.

This encumbrance period assumes that banks are expected to keep their initial margin in the long term.

Following Q&A 2014_718 reverse repos where the collateral received has been re-hypothecated as initial margin in the context of derivatives transactions and of contribution to default funds to CCPs should not be considered encumbered and the collateral received and reused should be considered as encumbered.