365. Regarding margins the following additional fields were proposed to be included in line with the CDE guidance:

a. initial margin posted by the reporting counterparty (post-haircut) (CDE 2.32);

b. initial margin collected by the reporting counterparty (post-haircut) (CDE 2.35);

c. variation margin posted by the reporting counterparty (post-haircut) (CDE 2.37);

d. variation margin collected by the reporting counterparty (post-haircut) (CDE 2.41).

366. The current RTS and ITS on reporting only require the reporting of margins before haircuts have been applied. However, providing both preand post-haircut information would enable authorities to identify emerging risks on derivatives markets due to changes in the applied haircuts. On an aggregated basis, they could also be used to determine the weighted average level of haircuts applied per portfolio as well as its evolution over time. Such information would help authorities to measure the quality of the collateral, assess the evolution of leverage in the financial system and the potential build-up of stress and systemic risk, from a financial stability point of view. For these reasons, ESMA proposed to add in the new TS a field for the reporting of post haircut margins.

367. Five market participants have raised concerns regarding the proposal. Primarily the increasing reporting complexity and significant cost and effort required to implement have been mentioned.