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Negative market value as protection for cash collateral?

  • Question ID: 2018/0012
  • Date of publication: 24/01/2018
  • Subject matter: Protection items in AnaCredit, Current accounts - deposits and overdrafts, Instruments in the scope of AnaCredit
  • AnaCredit Manual: Part II
  • Data attribute: Type of protection


Cash collateral can be reported as an instrument (as deposits other than reverse repos or as other loans). However, if cash collateral is posted in a transaction in financial derivatives with negative market value, can the negative market value of the transaction be regarded as protecting the cash collateral?


Repayable margin payments deposited in cash in relation to financial derivatives do indeed qualify as an instrument in the context of AnaCredit.

However, it should be noted that, unlike the securities in reverse repurchase agreements, the financial derivative itself does not constitute any type of protection within the meaning of Article 1(24) of the AnaCredit Regulation, regardless of its fair value, and does not, therefore, serve as protection for the instrument in the context of AnaCredit.

In particular, it should be noted that a negative repurchase rate (or “repo rate”) itself does not constitute any type of protection within the meaning of Article 1(24). Consequently, it cannot be regarded as a protection item in AnaCredit.

Related questions

See also Cash posted as collateral being an instrument in AnaCredit, Cash collateral posted under two-way CSA agreements in relation to currency forward contracts


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