Cash Collateral Amount

Field 2.76 | Matching Date: 2020-04-01 | Tolerance: None | Agent Lender Data Provision: Yes>

Status: Best Practice Finalised, Last Updated: 16/01/2024

Field 2.76 | Matching Date: 2020-04-01 | Tolerance: None | Agent Lender Data Provision: Yes

Description:
Amount of funds provided as collateral for borrowing the securities or commodities.

Best Practice:
If Field 2.75 (Type of Collateral Component) is populated with "CASH", a value (x18 numerical characters including up to x5 decimals) shall be provided, else the field should be left blank.

For an example of how a cash collateral amount should be provided on a trade, see the following:

Cash Rebate
Field 2.76 = loan value

Cash Pool
Field 2.76 = loan value

Non-Cash
Field 2.76 = blank

Cash Pool
Field 2.76 = loan value (of the cash pool)

1. 1. 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):

Action Type	Field 1.9	Field 2.01	Field 2.76	Field 2.83	Field 2.88
NEWT/MODI/CORR	GIVE	12345	-100000	-123456	-123456
NEWT/MODI/CORR	TAKE	678910	150000	100000	999999

1. 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.

   For further information see here. (SFTR-96)