Security or Commodity Price

Field 2.49 | Matching Date: 2023-01-01 | Tolerance: None | Agent Lender Data Provision: No>

Status: Under Review, Last Updated: 08/03/2023

Field 2.49 | Matching Date: 2023-01-01 | Tolerance: None | Agent Lender Data Provision: No

Description:
In the case of securities and commodities lending and borrowing, the price of the security or commodity used to calculate the loan value. In the case of buy-sell back, the price of the security or commodity used to calculate the trade amount for the spot leg of the buy-sell back.

Best Practice:
ESMA Guidelines Reporting under Articles 4 and 12 SFTR: 06 January 2020 states the following:

272. The Field 2.49 (Security or Commodity Price) should be reported in the currency in which the security or commodity price is denominated. This currency should be specified in Field 2.50 (Price Currency). Moreover, the security price should not include any margining requirement (discount, mark-up, add-on, etc.) which should instead be reported as part of Field 2.88 (Collateral Market Value), even if they are calculated from the loan side of the transaction.

The SFTR Working Group have agreed that the price should be expressed as the quoted dirty price for Fixed Income assets, including accrued interest and factor but excluding margin/haircut. Any change to price should be reported in alignment with the reporting of changes to Loan Value. The Frequency of reporting should mirror changes to Loan Value and practice should be aligned with ISLA Best Practice IBP127 (SFTR-69)