SFTR workshop - repo reporting in practice

Date and Venue

Date: 13 September 2019
Time: 09:00-17:00

International Capital Market Association (ICMA) Limited


Ahead of the 2020 implementation ICMA offered a one day workshop on the practical aspects of reporting of repo transactions which will be required under the EU Securities Financing Transactions Regulation (SFTR). The workshop described how and when repos (repurchase transactions and buy/sell-backs) should be reported to SFT trade repositories (subject to further clarification of some elements by ESMA), and highlighted the challenges and, where possible, suggested solutions developed by the ICMA SFTR Task Force. A themed review of reporting fields (ie grouped into loan data, collateral data, etc), set against a repo life-cycle template, was brought together into a series of sample reports simulating different transaction configurations. Delegates were provided with copies of the ICMA's draft SFTR Annex to its Guide to Best Practice, a file of sample reports and various reference tables.

There are no qualifications or other prerequisites for attending.

Who should attend?
  • Staff who will be managing SFTR reporting when it goes live
  • Those managing the systems development required to support this reporting
  • Compliance staff
  • Anyone who wants a detailed and structured understanding of what has to be reported by whom and by when
  • Staff from banks, investment firms, buyside and infrastructure-providers such as trading platforms, tri-party agents and reporting solutions providers

08.45 Registration, Tea & Coffee
09.00 Course commences
  Background to the SFTR: origins in the FSB & evolution of EU proposals
  SFTR legal structure (at Levels 1, 2 and 3); and implementation timetable
  Scope: SFT definitions; structure of data sets; the meaning of optional fields; who has to report transactions, who has to report re-use of collateral & who is exempt; backloading of transaction data
11.00 Coffee break
11.15 Course continues
  Counterparty data: who are the entities (including beneficiaries) & which of them reports; how to report intermediaries (brokers & agent lenders) & infrastructures (trading venues, tri-party agents, custodians & (I)CSD, CCPs); mandatory & voluntary delegation of reporting
  Loan data: types of report & which Action Types; who generates the UTI; determining availability for collateral re-use; the problem of position-level reporting; reporting life-cycle events; reporting dates; repo rates; the problem of buy/sell-backs; structured repos such as open repo, floating-rate repos; evergreen repos and extendible repos
  Collateral data: how do collateral update reports work; identifying GC; when to report at trade level & when to report at next exposure level; how to report collateral baskets including allocations after T; reporting collateral including classification, quality, price, market value & haircuts; cash collateral; reporting variation margins
13.00 Lunch
Course continues
  Special cases: intra-day repos; auto collateralized intra-day borrowing; repos documented under ISDA; cash rebate securities loans; undocumented repos
  CCP-cleared repos: concept of prior repos & RTNs; portfolio codes & cross-product netting
  CCP margin reporting
15.15 Coffee break
15.30 Course continues
  Reporting the re-use of collateral: accurate reporting; approximate reporting using the FSB formula; definitions of own assets, received collateral, re-usable collateral & posted collateral
  MiFIR reporting of central bank repos
17.00 End of course