ICMA publishes SFTR repo reporting guide and sample reports
25 February 2020 London
Image: Shutterstock
The International Capital Market Association (ICMA) is seeking to decrypt lingering ambiguity around reporting requirements for various types of repos under the Securities Financing Transactions Regulation (SFTR).
As of 13 April, the first phase of SFTR will require EU-incorporated or located entities to submit detailed reports of all securities financing transactions (including repo and reverse repo) to authorised trade repositories.
In total, SFTR sets out 155 reporting fields for transactions, of which 118 are applicable to repo.
The association notes that most of these fields require data from both sides of the trade to match with no or very limited tolerance for inconsistencies.
In addition, ICMA says, firms will have to report any modifications, terminations and corrections throughout the life cycle of a trade and report on a daily basis collateral market values, collateral reuse and margins.
In response to the formidable challenge posed by such a comprehensive regulatory framework, ICMA’s European Repo and Collateral Council has this week published a guide specifically for repos to help interpret the regulatory rules and set out best practice recommendations to provide additional clarity.
The 202-page guide applies to both repurchase transactions and buy/sell-backs and covers everything from mandatory collateral and collateral re-use data fields to reporting centrally cleared repos and life-cycle events.
“It is the product of the blood, sweat and tears of the ICMA's unsung SFTR task force, who have forged working interpretations of SFTR, the level two and three regulations and other guidance,” says the guide’s author Richard Comotto.
“Given the nature of the official documents that are the source material, it's not been easy.
“Some of the recommendations will change as more is (hopefully) learned about the reporting regime and new recommendations will almost certainly have to be added as new questions arise.”
The guide was released alongside 36 sample SFTR reports and an overview of repo life-cycle event reporting which are available to ICMA members.
The full guide can be downloaded here.
As of 13 April, the first phase of SFTR will require EU-incorporated or located entities to submit detailed reports of all securities financing transactions (including repo and reverse repo) to authorised trade repositories.
In total, SFTR sets out 155 reporting fields for transactions, of which 118 are applicable to repo.
The association notes that most of these fields require data from both sides of the trade to match with no or very limited tolerance for inconsistencies.
In addition, ICMA says, firms will have to report any modifications, terminations and corrections throughout the life cycle of a trade and report on a daily basis collateral market values, collateral reuse and margins.
In response to the formidable challenge posed by such a comprehensive regulatory framework, ICMA’s European Repo and Collateral Council has this week published a guide specifically for repos to help interpret the regulatory rules and set out best practice recommendations to provide additional clarity.
The 202-page guide applies to both repurchase transactions and buy/sell-backs and covers everything from mandatory collateral and collateral re-use data fields to reporting centrally cleared repos and life-cycle events.
“It is the product of the blood, sweat and tears of the ICMA's unsung SFTR task force, who have forged working interpretations of SFTR, the level two and three regulations and other guidance,” says the guide’s author Richard Comotto.
“Given the nature of the official documents that are the source material, it's not been easy.
“Some of the recommendations will change as more is (hopefully) learned about the reporting regime and new recommendations will almost certainly have to be added as new questions arise.”
The guide was released alongside 36 sample SFTR reports and an overview of repo life-cycle event reporting which are available to ICMA members.
The full guide can be downloaded here.
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