RESOL1 - how balance of cash collateral received as variation margin for intra group Repurchase Agreements should be reported in Z11.00 and Z02.00

Once the underlying intra-group repurchase agreement has matured, the secured transaction and the related collateralised leg have ceased to exist. Any cash variation margin that remains outstanding must therefore be reported according to the legal and economic nature of the resulting balance. Where the reporting entity is obliged to return the cash, the balance should be reclassified and reported as an unsecured liability, with the actual outstanding principal amount reported in the relevant granular template and the balance included in the appropriate unsecured-liability category in Z 02.00. It should not be reported as the collateralised part of a secured liability or as collateral relating to the extinguished repo. The residual maturity of the outstanding cash balance should be reported. Where the balance is a receivable of the reporting entity, it is not a liability for the purposes of Z 02.00. The applicable insolvency ranking depends on the relevant national insolvency framework and cannot be determined solely from the former repo classification.