ESMA releases SFTR data reporting Q&A

ESMA published the first Questions and Answers on SFTR data reporting document on 5 November 2020. For those of you that have been paying attention, there is remarkably little news or need to make any further changes – everything here has been flagged to the trade associations well in advance

The optimists among us will be disappointed that no concessions have been made to the challenging and cumbersome need to keep rolling the maturity date/end date on failing repo transactions.

The key questions addressed in this Q&A include:

1. Treatment of working days from a reporting perspective and differing calendars/ time zones between counterparties. The message is clear, use local times and calendars, with branches expected to report within the working day of the member state from which they operate.
2. No change on treatment of fails. Temporary fails on the value date (start date) that do not result in modification or termination are not reportable. Transactions failing over their maturity date (end date) continue to need to be modified on contractual maturity date +1 – to roll the date forward one business day until they settle, regardless of SFT type. Failing closing legs of CCP cleared SFTs should only be reported (with modification) if the fail can be attributed to individual SFTs.
3. Repo transactions subject to bilateral margining post trade should be reported as Collateralisation of net exposure TRUE throughout their life. These transactions should then be subject to both trade level collateral updates (with UTIs) and net exposure bilateral margin collateral updates without UTIs throughout their lives.
4. Use of trading venue: When executed on a trading venue, the segment MIC code of the venue should be reported. If the particular SFT is admitted to trading on a venue but executed off venue then XOFF should be used. In all other cases, including executing through a Systematic Internaliser (SI), then XXXX should be used.
5. In order to report zero collateral for margin lending, counterparties should use the European Financial Stability Facility ISIN code EU000A1G0EB6 to report zero collateral for margin loans.    

• For help to ensure that your firm is compliant with SFTR data reporting or to talk to one of our regulatory experts, please contact us.