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Livestreamed
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OVERVIEW
COURSE CONTENT
COURSE DETAILS
This course focuses on the practical aspects of reporting of repo transactions which are required under the EU Securities Financing Transactions Regulation (SFTR). It describes 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 highlights the challenges and, where possible, suggests solutions that were 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, is brought together into a series of sample reports simulating different transaction configurations. Delegates will be provided with the latest version of ICMA's Recommendations for Reporting under SFTR.
The workshop will be delivered by Richard Comotto who is a lead member of the ICMA SFTR Task Force and author of the ICMA's Recommendations on Reporting Under SFTR.
Course Outcomes
By completing the course you will be able to:
- Staff who will be managing SFTR reporting
- 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
Describe the types of market participants and appreciate why these firms engage in SLB, and their impact on capital markets and retail investors
Understand the operational, legal and regulatory risks and issues involved
Comprehend the advantages/disadvantages of using different types of collateral
Appreciate the impact that corporate actions have on the lent security and on securities collateral
Discover some relevant anecdotes and SLB case studies
Who should attend?
Staff who will be managing SFTR reporting when it goes liveThose managing the systems development required to support this reportingCompliance staffAnyone who wants a detailed and structured understanding of what has to be reported by whom and by whenStaff from banks, investment firms, buyside and infrastructure-providers such as trading platforms, tri-party agents and reporting solutions providers. There are no qualifications or other prerequisites for attending.
The syllabus is divided into the following key topic areas:
- Background to the SFTR: origins in the FSB & evolution of EU proposals
- SFTR legal structure (at Levels 1, 2 and 3); and implementation timetable
- SFTR Scope
- SFT definitions
- Structure of data sets
- Meaning of optional fields
- Who has to report transactions
- Who has to report re-use of collateral & who is exempt
- Backloading of transaction data
- 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 &n 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
- 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
- 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
Livestreamed Workshop
ICMA courses and workshops are delivered via video conferencing accessed on our digital learning platform, using the most effective pedagogical approaches and incorporating interactive functions like virtual breakout rooms.
The "SFTR: Repo reporting in practice" live sessions are delivered in two 3.5 hour sessions over the course of two days. You will be given access to the course materials before the live sessions, and will have access to those for a total of six months. During these six months you will have the option to keep working through the course materials at your own pace.
Live sessions: March 25 and 26
10.00-13.30 CEST | Time Zone Converter
Livestreamed workshop fees
Members: EUR 690 + VAT (if applicable)
Non-members: EUR 900 + VAT (if applicable)
For security reasons, delegates who have not registered in advance will not be admitted to the live sessions.
Please note:
- All payments must be made in Euro.
- Invoices for single registrations are subject to an additional Euro 50 to cover administration costs*. No administration fee applies for invoices covering two or more registrations.
Contact
Should you have any queries, please contact education@icmagroup.org.
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