Almost 1.5 million trades reported under SFTR in week one


22 July 2020 In the first week of reporting under the Securities Financing Transactions Regulation (SFTR), firms reported 1,435,727 SFTs with a cash value of EUR 14.3 trillion and collateral value of EUR 17.8 trillion. Repo (both repurchase transactions and buy/sell-backs) accounted for 398,006 transactions (27.7% of the total), a total cash value of EUR 13.5 trillion (94.7%) and collateral value of EUR 17.5 trillion (98.4%). For a detailed statistical breakdown, please visit our webpage.

Since 13 July, EU-incorporated and located banks and investment firms, as well as CCPs and CSDs, have had an obligation to report all new SFTs and subsequent life-cycle events to authorised trade repositories (TRs), who are responsible for validating the reports, reconciling the data and making the results available to regulators. All TRs authorised under SFTR - currently these are DTCC, Regis-TR, UnaVista and KDPW - are required to publish, every Tuesday, a set of summary statistics for the previous week.

While exercising caution in interpreting the data at this early stage, the figures from the first week of operation, broadly confirm some of what is already known about the European SFT markets. The repo market is shown to be the largest by value, while securities lending is the largest by number of transactions, with 398,006 transactions in new repo but 1,031,434 in new securities lending and average deal size in repo of about EUR 34 million but only some EUR 666,000 in securities lending. It also indicates that a large percentage of repo business is CCP-cleared and that much of it is executed across trading venues, although not all of this is electronic and the OTC market remains significant. For repo market size the amount outstanding of EUR 7.4 trillion derived from the intial reported data substantiates the results of ICMA’s own long-standing European repo survey (although as reporting improves this market size figure should become larger than that in the survey since SFTR reporting is wider in scope).

ICMA will be collecting, aggregating and tabulating this data each week, and will provide regular detailed analysis in the form of charts and commentary, which will contribute to enhanced transparency of the repo market. The SFTR data will also be used to enrich other ICMA publications on repo, such as the twice yearly European repo survey, which will continue. However, it is important to note that, as not all aspects of SFTR have been finalised, the quality and consistency of the reported data is expected to gradually improve over time.

Based on extensive input from its SFTR Task Force, representing more than 150 firms across the repo market, ICMA has put together detailed best practice recommendations and sample repo reports which complement and supplement the regulatory framework and aim to ensure consistency in firms’ implementation efforts.
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