Cash Collateral Amount

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Cash Collateral Amount

Field 2.76 | Matching Date: 2020-04-01 | Tolerance: None | Agent Lender Data Provision: Yes

Status: Finalised Last Updated: 16/01/2024

Field 2.76 | Matching Date: 2020-04-01 | Tolerance: None | Agent Lender Data Provision: Yes

Description:
Amount of funds provided as collateral for borrowing the securities or commodities.

Best Practice:
If Field 2.75 (Type of Collateral Component) is populated with "CASH", a value (x18 numerical characters including up to x5 decimals) shall be provided, else the field should be left blank.

For an example of how a cash collateral amount should be provided on a trade, see the following:

• Cash Rebate
  Field 2.76 = loan value

• Cash Pool
  Field 2.76 = loan value

• Non-Cash
  Field 2.76 = blank

• Cash Pool
  Field 2.76 = loan value (of the cash pool)

When reporting fields 2.76 (Cash collateral amount), 2.83 (Collateral quantity or nominal amount) and 2.88 (Collateral market value) across NEWT/MODI/CORR follow the below population logic:

a. When populating field 1.9 (Counterparty Side) as GIVE populate 2.76, 2.83 and 2.88 with a (negative) -/ve signage

b. When populating field 1.9 (Counterparty Side) as TAKE DO NOT populate 2.76, 2.83 and 2.88 with a (positive) +/ve signage – by not pre-fixing a positive signage on a TAKE flow this assumes a positive signage

i. By following a and b above this should not just aid passing the trade validation rules and avoiding a NACK, this will also make the reconciliation more efficient by always ensuring a GIVE as a negative and TAKE as a positive are reported.

ii. This best practice should cover SBL, Repo and BSB products.

SLEB Example (all figures are purely examples, the purpose of the table is to denote the signages):

The aim of this Best Practice:

• To create a best practice for fields 2.76 (Cash collateral amount), 2.83 (Collateral quantity or nominal amount) and 2.88 (Collateral market value) covering NEWT/MODI/CORR.

• To ensure that the suggested best practice covers both the FCA and the ESMA TVR’s – trade validation rules –taking into consideration default language, example from the FCA TVR such as the absence of a sign will be interpreted as positive.

• It is understood that field 1.9 (Counterparty Side) is not applicable on a COLU message, therefore this best practice is also to address this observation too.

• To be aware how today the -/ve and +/ve signage across these fields are used and how this works alongside the schema and also thinking about the reconciliation process by the Trade Repository.

For further information see here. (SFTR-96)