Collateral Swaps

Refers to transactions where non-cash assets are exchanged (e.g., collateral upgrade/downgrade trades) at the inception14 of the transaction, or a non-cash asset is lent and no collateral is received (i.e., an unsecured loan of collateral), and the assets will be returned at a future date. For collateral swaps where non-cash assets are exchanged, split the collateral swap into two separate lending and borrowing transactions and report in both the Outflows-Secured and 14 Collateral swap transactions that are remargined with cash payments should continue to be reported under this product. Inflows-Secured tables. O.S.4 should be reported based on the collateral pledged. Report the [Collateral Class] according to the assets pledged. Report the fair value of these assets pledged in the [Collateral Value] field. Report the fair value of assets received in the [Maturity Amount] field. Use the [Sub-Product] field to identify the type of collateral received based on the asset categories defined in the LRM Standards: • Level 1 Received • Level 2a Received • Level 2b Received • Non-HQLA Received • No Collateral Received For collateral swaps where a non-cash asset is lent, report the [Collateral Class] according to the assets pledged and report the fair value of these assets pledged in the [Collateral Value] field.