SFTR Public Data

 

Since 13 July 2020, 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.

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 Market 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.


Latest SFTR data published for week 14

This week’s public data includes for the first time reports from buy-side firms, following the successful phase 3 go-live last Monday. Compared to previous weeks, no major changes stand out from the consolidated data. Loan values and transaction volumes for both newly reported SFTs as well as outstanding SFTs broadly follow previous trends. Figures on market structure, such as execution venues or CCP-clearing, also seem to be in line with previous findings. This is of course not a surprise given the double-sided nature of SFTR reporting, which means that in theory the previous data already included at least one side of the vast majority of trades. However, it is good to see the theory confirmed in the actual data. Another issue that hasn’t changed compared to previous reports is the problem with collateral data. This continues to be distorted by some underlying problems with the aggregation logic and large outliers.

Loan Values for Total SFTs vs REPO since Go-Live (13 July 2020)






Week 14: 12 to 16 October 2020 (published 21 October 2020)

Week 13: 5 to 9 October 2020 (published 14 October 2020)

Week 12: 28 September to 2 October 2020 (published 7 October 2020)

Week 11: 21 to 25 September 2020 (published 30 September 2020)

Week 10: 14 to 18 September 2020 (published 23 September 2020)

Week 9: 7 to 11 September 2020 (published 16 September 2020)

Week 8: 31 August to 4 September 2020 (published 9 September 2020)

Week 7: 24 to 28 August 2020 (published 3 September 2020)

Week 6: 17 to 21 August 2020 (published 26 August 2020)

Week 5: 10 to 14 August 2020 (published 19 August 2020)

Week 4: 3 to 7 August 2020 (published 12 August 2020)

Week 3: 27 to 31 July 2020 (published 5 August 2020)

Week 2: 20 to 24 July 2020 (published 29 July 2020)

Week 1: 13 to 17 July 2020 (published 22 July 2020)


We include data from all four TRs in all weeks and do not adjust the data in any way.

Legal Disclaimer: This information is provided by ICMA for information purposes only and should not be relied upon as legal, financial or other professional advice. While the information contained herein is taken from sources believed to be reliable, ICMA does not represent or warrant that it is accurate or complete and neither ICMA nor its employees shall have any liability arising from or relating to the use of this publication or its contents.


Links to the original data published by the four TRs:

DTCC
KDPW
Regis-TR
UnaVista


For more information contact: ercc@icmagroup.org
ICMA Zurich

T: +41 44 363 4222
Dreikönigstrasse 8
8002 Zurich
ICMA London

T: +44 20 7213 0310
110 Cannon Street
London EC4N 6EU
ICMA Paris

T: +33 1 70 17 64 72
62 rue la Boétie
75008 Paris
ICMA Hong Kong

T: +852 2531 6592
Unit 3603, Tower 2
Lippo Centre
89 Queensway, Admiralty
Hong Kong
 
Copyright © 2020 International Capital Market Association.