I.S.4: Collateral Swaps

Look At Demo Data

Refers to transactions where non-cash assets are exchanged (e.g., collateral upgrade/downgrade trades) at the inception12 of the transaction, or a non-cash asset is 12 Collateral swap transactions that are remargined with cash payments should continue to be reported under this product. borrowed and no collateral is posted (i.e., an unsecured borrowing of collateral), and the assets will be returned at a future date. For collateral swaps where there is an exchange of non-cash assets, split the collateral swap into two separate borrowing and lending transactions and report in both the Inflows-Secured and Outflows-Secured tables. I.S.4 should reflect the borrowing leg of the transaction. Report the [Collateral Class] according to the assets received. Report the fair value under GAAP of the assets received in the [Collateral Value] field. Report the fair value under GAAP of the assets pledged in the [Maturity Amount] field. Use the [Sub-Product] field to identify the type of collateral pledged based on the asset categories defined in the LRM Standards: • Level 1 Pledged • Level 2a Pledged • Level 2b Pledged • Non-HQLA Pledged • No Collateral Pledged For collateral swaps where a non-cash asset is borrowed, report the [Collateral Class] according to the assets received and report the fair value under GAAP of the assets received in the [Collateral Value] field.