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QA2024-3 - margin call on derivatives

QA2024-3 - margin call on derivatives

Owned by SRB Services
Feb 01, 2024
Atribute Detail
Resolution Reporting Subject Matter Guidance
Guidance Documents Derivatives
Taxonomy -
Unique Identifier

QA2024-3

Question


Following the publication of your Q&A 2023-57 and 2023-52, we would like to have clarification on the reporting of cash collateral on derivatives in the T01 report. Our understanding is as follows : -these guarantees must not be declared on line r120 of T01 nor in template T08. -Margin calls received on derivatives must be declared on line 330 but not on lines 331/332 and 333 -margin calls paid on derivatives are to be declared on lines 332 and 333 -Margin calls received and paid on derivatives must be declared in template T07 Are you agree with our understanding of the instructions?


Response


We agree with the statements below : -these guarantees must not be declared on line r120 of T01 nor in template T08. -Margin calls received on derivatives must be declared on line 330 but not on lines 331/332 and 333 -margin calls paid on derivatives are to be declared on lines 332 and 333 -Margin calls received and paid on derivatives must be declared in template T07