Loan Value

Field 2.56 | Matching Date: 2023-01-01 | Tolerance: None | Agent Lender Data Provision: No>

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

Field 2.56 | Matching Date: 2023-01-01 | Tolerance: None | Agent Lender Data Provision: No

Description:
This reporting attribute specifies loan value, i.e. the quantity or nominal amount multiplied by the price

Best Practice:
The loan value should be reported in the underlying currency of the security (this will also apply to loan market value).

ESMA Final Report Reporting under Articles 4 and 12 SFTR: 06 January 2020 :

260. Taking into consideration the feedback, ESMA understands that the information reported on the loan side of SLB should exclude any such margin requirement or add-on. Therefore Field 2.56 (Loan Value) is reported without margin whether cash, non-cash or pooled trade.

ESMA Guidelines Reporting under Articles 4 and 12 SFTR: 06 January 2020 :
274. "Loan value" is calculated in the currency in which the security is denominated as per the formula below, rather than the currency in which the two counterparties have concluded a transaction.

275. The loan value will be reported in the underlying currency of the security (note this will also apply to loan market value) as follows: Field 2.56 (Loan Value) = Field 2.46 (Qty or Nominal Amt) x Field 2.49 (Security Price).

276. There may be instances in which the valuation of the securities on loan (or the securities used as collateral) is not possible, reflecting the unavailability of price information. This is the case, for example, with suspended shares, or some fixed-income securities in illiquid market segments. Upon the conclusion of SFTs that involve the use of such securities, counterparties should report the valuation that has been contractually agreed. If new price information becomes available, valuation updates should be reported by both counterparties in Field 2.57 (Market Value).

Reported Loan Value should as it is applied to the trade to reflect lifecycle event(s) such as quantity or price change. The value & price will therefore align with billing calculations and be a true reflection of firm’s books and records. Please note, Loan Value should be aligned with 2.49 (SFTR-69) regarding quoted dirty price for Fixed Income assets. Where a firm’s procedure differs from the above, parties should seek agreement bilaterally to avoid reconciliation breaks. (SFTR-76)