I.O.2: Collateral Called for Receipt
Refers to the fair value under GAAP of collateral due to the reporting entity as of date T (the collateral flow). This product does not represent the entire stock of collateral held. Collateral calls should be related to outstanding collateralized contracts which include but are not limited to derivative transactions with bilateral counterparties, central counterparties, or exchanges. Use the Maturity Bucket field to identify the expected settlement date. For collateral calls with same-day settlement (i.e., the collateral is both called and received on date T), report using the “Open” value in the Maturity Bucket field. If the settlement date or [Maturity Bucket] is unknown, then exclude the transaction from the data collection. If the [Currency] or [Collateral Class] is unknown then default to [Currency] =”USD” and [Collateral Class] = “Z-1” (i.e., the asset category for “all other assets”).