QA2018-53 - Derivatives T07.00

Owned by SRB Services
Feb 01, 2024
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QA2018-53

Question


According to LDT Guidance, T07.00 c150 (estimated early termination amount) shall be the sum of components reported in columns c120, 130 and 140 of this table. We understand that Net Collateral Posted should reduce the estimated early termination amount so it should be reported with a negative sign.


Response


Net collateral indeed reduces the amount, but in line with the guidance, this amount shall be reported as a positive value, not a negative one. The system developed by SRB takes into account positive values to decrease the net market value.