QA2021-69 - LDR

Owned by SRB Services
Feb 01, 2024
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QA2021-69

Question


According to the Guidance on the Liability Data Report, cash collateral should be reported as “secured liabilities”. Taking this into account, in T08.00, should the Bank report as “c0110 - Net Amount of Collateral Posted" the amount of the derivative?


Response


In line with QA2017-67, cash collateral received legally bound to a derivative position should be considered a secured liability and reported as such. Thus, the cash collateral position shall be included in T08.00, where its amount should be reported in c0100 (Net Amount of Funding Received) and the corresponding asset value, i.c. the derivative position, should indeed be reported in c0110 (Net Amount of Collateral Posted).