ESMA's Q&A document updated
Start Date
- The reporting start date for valuation and collateral information is August 11, 2014 with the first reports being due no later than August 12, 2014 - “T+1” (TR Q3a/b).
General Issues
- Changes of the notional amount over time (e.g. amortizing interest rate swaps) have to be reported as a trade modification by both parties (TR Q35).
- Switch of the trade counterparty due to novation: the initial trade has to be terminated (due to cancellation) and a new trade to be reported with the new counterparty (TR Q36).
Collateral Reporting
- Multiple collaterals provided in different currencies should be reported in one single currency value, which represents the greatest weight in the pool (TR Q3a/a2).
- Non-cash collateral should be reported as its current cash equivalent as evaluated at the moment of posting the collateral (TR Q3a/a3).
- The collateral should be the sum of any initial margin (or similar) posted by the reporting counterparty and any variation margin (or similar) also posted by the reporting counterparty. There is no obligation to report collateral received (to avoid double-counting) and therefore if the variation margin is flowing in the opposite direction to the initial margin, it would be the other counterparty that would have to report the variation margin on their report (TR Q3a/a4).
- The collateral should be reported as the total market value that has been posted by the counterparty (TR Q3a/a6).
Valuation Reporting
- The mark to market value should be based on the end of day settlement price of the market (or CCP) from which the prices are taken as reference. If an end of day settlement price is not available, then the mark to market value should be based on the closing mid-price of the market concerned (TR Q3b/a2).
- Valuation type: whenever a price is available for the valuation, such valuation should be considered as ‘mark to market’ (TR Q3b/c).
- Valuation reconciliation: counterparties do not need to agree on the valuation reported (TR Q3b/e).