Reporting of Loan and Collateral Data in CORRs

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Status: For Review, Last Updated: 31/08/2023

Question:
Validation Field(s) in scope – 2.75

As per the Validation Rule, it was understood that the ESMA’s aim was to implement support for reporting CORR messages containing only loan data, collateral data, or both.

The industry supported the Regulator’s objective of reporting loans and collateral separately in CORR messages. However, the current validation rules (counterparty transaction) did not align with the ESMA’s objective.

It does align with the separate reporting of loan and collateral in NEWTs (when the collateral is not known until S+1) and separate COLUS.

However, to support the inclusion of collateral in CORRs, firms are required to store previously reported collateral and loan data and look this up to include in the CORR messages when a correction to loan or collateral data occurs. 

The above is a complicated logic to implement, and incurs a high cost from a data storage perspective. Therefore, market participants have adopted a mixture of approaches to overcome the issue however:

•Few member firms have managed to implement the logic.

•Other firms have opted to report MODIs and COLUs when corrections occur as an alternative (so loan and collateral data can be reported separately).

Best Practice:
ISLA members propose that:

The validation rules be revisited to facilitate separate loan and collateral data reporting in CORR messages.
(SFTR-438)