You can use the Create Investment Disclosures panel to pledge a security as derivatives collateral on Schedule DB Section D Part 1 and/or the Schedule DB Section D Part 2.
To assign a lot for the security to the DB-D schedules:
- In Accounting Center, in the left navigation pane, click Setup > Insurance > Investment Disclosures > Create Investment Disclosures.
You see the Create Investment Disclosures panel. - In the Open Event ID box, select the Open Event ID of the lot to be designated.
- In the Investment Disclosure Type list, select Collateral.
You see the Collateral Designation Info section. - In the Schedule Type list, select Schedule DB.
You see the DB Collateral Info section. - In the Type of Asset list, select the asset type.
Options include:
- Cash. If Cash, no additional asset information is required and the panel hides the issue fields in the Asset Info section from data entry.
- Treasury.
- Corporate.
- Municipal.
- Loan-Backed and Structured.
- Mortgage.
- Other. - Under DB Collateral Info, you can complete the options, as follows:
- In the Pledged To/From box, select whether the asset is pledged by or pledged to the reporting entity.
- Select whether the collateral relates to an exchange, central clearinghouse, or a counterparty.
- Enter the LEI. Use the 20-character legal entity identifier for the exchange, central clearinghouse, or counterparty.
- Set Type of Margin. Options include: Initial Margin, Variation Margin, and Both.
- Enter the Collateral Share Quantity, if applicable. - Complete the remaining options on the panel.
- Click Submit.
For Derivatives Collateral Pledged from a counterparty, exchange or central clearinghouse to the entity, the entire lot is designated as collateral and cannot be partially pledged. To enforce this behavior, on the Create Investment Disclosures panel:
- You cannot modify the Units field value if you set the Investment Disclosure Type field to Collateral, set the Schedule Type field to Schedule DB, and set the Pledge To/From field to Pledged to the Entity.
- You can partially allocate lots to a counterparty, exchange, or central clearinghouse when you set the Pledge To/From field to Pledged by the Entity. The lots display on Schedule DB-D-2.
A collateral pledge related to a counterparty, exchange, or central clearinghouse displays on both Schedule DB-D-1 and Schedule DB-D-2 for lots assigned as collateral pledged with Pledge To/From set to Pledged by the Entity.
Derivatives Collateral Pledged from a counterparty, exchange, or central clearinghouse to the entity will not be included on any other NAIC schedules except for the Schedule DB –Part D Section 2 report.
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