ESMA Updates SFTR Guidelines

December 26, 2020

ESMA have today updated the SFTR reporting guidelines.

The changes are as follows;

Ref Section Value before Value After
1 4.2 Determining the number of reportable SFTs
4.2.7 Aspects related to margin lending
If at any point time both the margin loan and the short market value fall to zero, i.e. no credit in cash or securities is being extended, the client collateral held by the prime broker is no longer collateralising SFT exposure. It is being held for other non-SFT liabilities. The prime broker and the client shoul;d
(i) cease to report collateral until such time as a margin loan or SMV exposure again exists
or
(ii) report the cash collateral at zero to denote that there is no collateral.
If at any point time both the margin loan and the short market value fall to zero, i.e. no credit in cash or securities is being extended, the client collateral held by the prime broker is no longer collateralising SFT exposure. It is being held for other non-SFT liabilities. The prime broker and the client should
(i) report the cash collateral at zero to denote that there is no collateral
and
(ii) cease to report collateral until such time as a margin loan or SMV exposure again exists
2 4.8 Action Type
4.8.2 Full snapshot versus partial reporting of amendments to SFTs
Given that some past events may be reported for the trades that matured or have been terminated, it is allowed to send “Modification”, “Valuation update” or “Collateral update” after the “Termination / early termination” (as long as the event date is prior to the maturity/termination date) which is reflected in the Table 2 Given that some past events may be reported for the trades that matured or have been terminated, it is allowed to send “Modification”, “Valuation update” or “Collateral update” after the “Termination / early termination” (as long as the event date is prior or equal to the maturity/termination date) which is reflected in the Table 2
3 5.1 Counterparty Data
5.1.12  Non-cleared SFTs where fund portfolio management is outsourced
Broker = {LEI} of AIF management company N Broker = (blank)
4 5.3 Loan Data
5.3.2 Reporting of cleared / non-cleared SFT
Report tracking number = (blank) Report tracking number = RTN1
5 5.3 Loan Data
5.3.10 Repo and BSB/SBB principal amounts
269. Table 73 illustrates the population of fields in case the principal amount on the value date is 10,162,756.90 EUR, and the principal amount on the maturity date is 10,161,551.48 EUR. 269. Table 66 illustrates the population of fields in case the principal amount on the value date is 10,162,756.90 EUR, and the principal amount on the maturity date is 10,161,551.48 EUR.
6 5.3 Loan Data
5.3.12.3 Main index equities
290. The securities, in this example, were issued by a German issuer (Field 2.53) identified by its LEI (Field 2.54). 290. The securities, in this example, were issued by a French issuer (Field 2.53) identified by its LEI (Field 2.54).
7 5.3 Loan Data
Table 68
Jurisdiction of the issuer = DE
<Id>DE0010877643</Id>
<LEI>NNNNNNNNNNNNNNNNNNNN</LEI>
<JursdctnCtry>DE</JursdctnCtry>
Jurisdiction of the issuer = FR
<Id>FR0000120271</Id>
<LEI>529900S21EQ1BO4ESM68</LEI>
<JursdctnCtry>FR</JursdctnCtry>
8 5.3 Loan Data
5.3.16 Margin loan amount and short market value
When the margin loan amount is 0, i.e. when the client has a net cash credit in base currency, and the short market value is also 0, Fields 2.33, 2.69 and 2.71 should all be populated with 0. A “zero” collateral update should also be reported., as explained in Section 5.4.4. When the margin loan amount is 0, i.e. when the client has a net cash credit in base currency, and the short market value is also 0, Fields 2.33, 2.69 and 2.71 should all be populated with 0. A “zero” collateral update should also be reported.
9 5.4 Collateral data
5.4.2.4 Collateralisation on a net exposure basis with basket identification not known at the time of reporting
326.Table 79 illustrates the population of fields when a transaction is not collateralised on a net exposure basis (Field 2.73 populated with “TRUE”) by a collateral basket (Field 2.96 populated with “NTAV”) by a collateral basket whose identifier is either not an ISIN or the ISIN is not known yet (Field 2.96 populated with “NTAV”). on a net exposure basis (Field
2.73 populated with “TRUE”).
326.Table 79 illustrates the population of fields when a transaction is  collateralised on a net exposure basis (Field 2.73 populated with “TRUE”)  by a collateral basket whose identifier is either not an ISIN or the
ISIN is not known yet (Field 2.96 populated with “NTAV”).
10 5.4 Collateral data
5.4.4 Reporting of zero collateral
329. In order to simplify the reporting when the collateral is equal to 0, the collateral should always be reported as cash collateral, with the cash collateral amount being equal to 0 and the type of collateral component being “CASH” regardless on whether the type of collateral previously used for that SFT was securities, commodities or cash. 329. In order to simplify the reporting when the collateral is equal to 0, except for margin loans, the collateral should always be reported as cash collateral, with the cash collateral amount being equal to 0 and the type of collateral component being “CASH” regardless on whether the type of collateral previously used for that SFT was securities, commodities or cash.
11 5.4 Collateral data
5.4.7 Variation margining for non-centrally cleared SFTs in the case of collateralisation
on a net exposure basis
373 c. If the collateral taker is returning part of the same extra collateral that it already provided as variation margin, it should report the new net collateral market value on a net exposure basis with a positive sign, whereas the collateral provider should report the new net collateral market value with a negative sign. 373 c. If the collateral taker is returning part of the same extra collateral that it was already provided as variation margin, it should report the new net collateral market value on a net exposure basis with a positive sign, whereas the collateral provider should report the new net collateral market value with a negative sign.
12 5.4 Collateral data
5.4.8 Prepaid collateral for SLB
385. When reporting the explicit collateral allocation for a net exposure, the collateral update should specify the LEIs of the counterparties, the master agreement, the value date of the collateral and the specific collateral allocation, so that the collateral update can be linked to the existing SFTs. The field “Value date of the collateral” (Field 2.74) is only applicable in the context of SLB. 385. When reporting the explicit collateral allocation for a net exposure, the collateral update should specify the LEIs of the counterparties, the master agreement, the value date of the collateral and the specific collateral allocation, so that the collateral update can be linked to the existing SFTs. The field “Value date of the collateral” (Field 2.74) is applicable in the context of Repos, BSB/SBB and SLB.
13 5.4 Collateral data 5.4.8 Prepaid collateral for SLB Table 99 73 Collateralisation of net exposure – true 73 Collateralisation of net exposure – true
14 9 How to provide information to authorities
Table 120
6 Reporting timestamp = Information on the last reporting timestamp pertaining to the SFT that is reconciled
Table 1 Field 1
(blank)
15 9 How to provide information to authorities
Table 120
476. TRs should plan carefully the scheduled maintenance that impacts TR services related to authorities’ access to data so that it does not coincide with working days determined in accordance with a calendar consistently agreed in the Union such as the Target2 calendar. Where under exceptional circumstances it coincides with such a working day, the scheduled maintenance should be carried out outside normal working hours, i.e. very early in the morning or very late at night. The TRs should make sure that the aforementioned scheduled maintenance is not performed in a way that circumvents the timely availability of derivatives information to authorities. 476. TRs should plan carefully the scheduled maintenance that impacts TR services related to authorities’ access to data so that it does not coincide with working days determined in accordance with a calendar consistently agreed in the Union such as the Target2 calendar. Where under exceptional circumstances it coincides with such a working day, the scheduled maintenance should be carried out outside normal working hours, i.e. very early in the morning or very late at night. The TRs should make sure that the aforementioned scheduled maintenance is not performed in a way that circumvents the timely availability of SFTs information to authorities.

https://www.esma.europa.eu/sites/default/files/library/esma70-151-2838_guidelines_on_reporting_under_sftr.pdf

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