Collateral Market Value

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Collateral Market Value

Field 2.88 | Matching Date: 2022-04-01 | Tolerance: 0.0005 | Agent Lender Data Provision: Yes

Status: Finalised Last Updated: 15/02/2023

Field 2.88 | Matching Date: 2022-04-01 | Tolerance: 0.0005 | Agent Lender Data Provision: Yes

Description:
Fair Market value of the individual collateral component expressed in price currency.

Best Practice:

Contrary to the Level III Guidelines of 6 Jan 2020 from ESMA where it is written that Field 2.88 (Collateral Market Value) must also be reported with a negative number whenever Field 2.76 (Cash Collateral Amount) or Field 2.83 (Collateral Quantity or Nominal Amount) is reported with a negative number.

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.

This field in a COLU message should include pending and settled collateral for non-cash collateral.

ESMA Guidelines Reporting under Articles 4 and 12 SFTR – 06 January 2020:
101. The collateral update should be reported as relating to the date when it becomes effective (i.e. on the expected settlement date). However, some updates might be agreed between the counterparties, but due to reasons attributable to the counterparties or to third parties, such as CCPs or CSDs, might not be finalised. This would mean that a given collateral update report should be resubmitted with the final correct data. The temporary settlement failures, not impacting the collateral agreed to be provided, should not be reported.

333. Field 2.88 (Collateral Market Value) should be reported at fair value, excluding haircut. In other words, the collateral market value should include all of the collateral posted by the collateral provider, including pending but not-yet-settled collateral, before any haircut deduction. (SFTR-108)