QA2017-97 - Guidance T08.00

Owned by SRB Services
Feb 01, 2024
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QA2017-97

Question


To inform the amounts of the columns "Net Amount of Funding Received" (c100) and "Net Amount of Collateral Posted" (c110) for repurchase transactions with a certain counterparty with which we have a master netting agreement (with daily re-margining and daily revaluation), should only be taken into account repurchase transactions (liabilities) or must also take into account reverse repurchase transactions(assets) and collateral posted/received as variation margin subject to the master netting agreement?


Response


If a netting agreement exists, the contractual right to netting needs to be taken into account when reporting the net amount of funding received. Thus, the net amount would be based on all transactions, repo and reverse repo and likewise, the collateral shall take into account the corresponding net amount.