Reporting of Liabilities against the initial margin and default fund

Point 11 of paragraph 1.7 of Annex XVII of Regulation (EU) No 680/2014 (and point d) paragraph 5 in Title I of the Guidelines) provide that 'collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service', including default funds and initial margins, are well covered by the definition of encumbrance. According to point 19 of paragraph 2.4.1 of Annex XVII of Regulation (EU) No 680/2014  template F 32.04 on the sources of encumbrance (AE-SOU), the different sources of encumbrance include those 'sources with no associated funding as loans commitments or financial guarantees received and securities lending with non-cash collateral'. It follows that certain assets may be encumbered with no associated liability. The reporting of initial margins required to open the position and any collateral placed for the market value of derivatives transactions is specified in (v) of point 14 of paragraph 2.1 of Annex XVII of Regulation (EU) No 680/2014. Default funds in central clearing counterparties or exchange should be applied the same treatment as initial margins required to open the position and any collateral used in derivative transactions. This question refers to the EBA/GL/2014/03 (the Guidelines) regarding disclosures on encumbered and unencumbered assets, but relates to the filling of a supervisory reporting template. Unless specified otherwise in the Guidelines, the instructions in Annex XVII of Regulation (EU) No 680/2014 apply to the templates in the Guidelines (cf. Title II, paragraph 1).