- Question ID
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2015_2060
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - Asset Encumbrance
- Article
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99
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
- Article/Paragraph
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Annex XVII
- Type of submitter
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Credit institution
- Subject matter
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F 33.00 - MATURITY DATA (AE-MAT) - Maturity of the encumbered asset
- Question
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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
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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.
- Submission date
- Final publishing date
-
- Final answer
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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
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Final Q&A
- Answer prepared by
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Answer prepared by the EBA.
Disclaimer
The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.