EBA · 2015_2060 Final Q&A

F 33.00 - MATURITY DATA (AE-MAT) - Maturity of the encumbered asset

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - Asset Encumbrance
Submitted by
Credit institution
Submitted
2015-06-23
Answered
2021-06-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

How to report initial margin (IM) and variable margin (VM) under F33 Maturity data report - 010-encumbered assets? Given there is no clear guidance on this particular maturity reporting therefore it is grateful if EBA could provide a clearer guidance or best practice on this issue.

Background

Subsequent to the trade date, variation margin is exchanged in either direction based upon price movements of the contracts that are currently open. The clearing member then pays initial margin and, if negative, variation margin to the clearing house. If the variation margin is positive, the clearing member receives the amount from the clearing house. While for IM, it is posted to open a position it should be theoretically more stable yet the maturity could still be open if the position is unwind.

Answer

Initial margin (IM) and variable margin (VM) are distributed among the set of residual maturity buckets specified in the columns of template F 33.00 of Annex XVII to Regulation (EU) No 680/2014 - ITS on Supervisory Reporting according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction). Where the residual maturity is not specified or on demand, the reporting institutions shall provide the information the column 010 (Open maturity).

Original source: European Banking Authority, Q&A ID 2015_2060

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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