DBV Collateral Management

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Status: Best Practice Finalised, Last Updated: 26/04/2021

Question:
How do we report stock loan DBVs (Delivery by Value) where cash collateral is exchanged for non-cash collateral?

Best Practice:
Intra-day cash movements are not reportable, only the component DBV allocation of securities themselves. However, when a counterparty is short of DBV collateral and uses cash to top-up the difference, this cash balance (normally held in a cash-pool) should also be reported in the end-of-day COLU message.

For financing DBV trades where cash is traded against non-cash collateral, this should be reported as a NEWT on the REPO template, and the non-cash allocation reported in the end-of-day COLU message. (SFTR-158)