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Version date: 8 July 2021 - onwards

5.19 Reporting of margins

Closed
30 September 2021

282. As specified in Article 4.2 of the draft RTS on reporting, collateral can be reported on a portfolio basis. This means the reporting of each single executed derivative should not include all the fields related to collateral, to the extent that each single derivative is assigned to a specific portfolio and the relevant information on the portfolio is reported on a daily basis (end of day).

283. Post-haircut values of margins depend on associated risk of changes in collateral value and therefore on the nature of the collateral posted (or collected). In addition, frequent cash settlement of margin may effectively mitigate this risk completely. Pre- and post-haircut values need to be reported both. If the risk is mitigated completely however, the same values are expected for pre- and post-haircut values.

284. There is only one collateral currency field associated with a collateral type on a report by a counterparty. Therefore all collateral for a single portfolio collateral type should be reported in one single currency value for the corresponding collateral type. The reporting counterparty is free to decide which currency should be used as base currency as long as the base currency chosen is one of the major currencies which represents the greatest weight in the pool and is used consistently for the purpose of collateral reporting for a given portfolio.

285. Non-cash collateral should be reported as its current cash equivalent as evaluated at the moment of posting/collecting the collateral.