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SFTR regulatory reporting requirements at a glance

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> SFTR – requirements at a glance

The European Regulation No. 2015/2365 on transparency of securities financing transactions and of re-use (SFTR) intends to improve transparency on securities financing markets by introducing reporting requirements for counterparties to a securities financing transaction (SFT) into a Trade Repository (TR), similar to requirements implemented under EMIR for OTC derivatives (Art. 4 SFTR). 

Those reporting requirements will be phased in from 11th of April 2020 on as follows: 

  • 11 April 2020: Banks (credit institutions) and investment firms - 12 months after entry into force
  • 11 July 2020: CCPs & CSDs - 15 months after entry into force
  • 11 October 2020: Buy-side ((Re-)Insurance undertaking, UCITS & its mgmt. company, AIF managed by AIFMs, Institution for Occupational Retirement Provision) - 18 months after entry into force
  • 11 January 2021: Non-Financial Counterparties (NFCs) - 21 months after entry into force

Delegation is possible – also to Regulatory Reporting Hub

SFTR explicitly allows to delegate reporting to another entity acc. Art. 4 (2) SFTR – also to Deutsche Börse’s trusted Regulatory Reporting Hub. BaFin (German Federal Financial Supervisory Authority) determined that Deutsche Börse’s ARM (Approved Reporting Mechanism) and APA (Approved Publication Arrangement) services are compliant with all relevant MiFID II requirements.

Who needs to report?

SFTR affects all counterparties to an SFT that are 
 

  • Financial Counterparties: 
    • Banks and investment firms
    • CCPs & CSDs
    • Buy-side firms, i.e. (Re-)Insurance undertaking, UCITS & its mgmt. company, AIF managed by AIFMs, Institution for Occupational Retirement Provision

or
 

  • Non-Financial Counterparties: All other entities


and which are
 

  • either established within the EU (incl. EU and 3rd country branches) or 
  • EU-domiciled branches of 3rd country entities


Moreover, Management companies of UCITs and AIF need to report on-behalf of the funds. Also the financial counterparty is responsible to report both sides of the transaction, in case it was concluded with a small non-financial counterparty.

What instruments are affected and need to be reported?

SFTR requires affected counterparties to report counterparty, transaction, collateral composition, margin and re-use details of

  • Repurchase agreements (‘Repos’)
  • Sell-buy back or buy-sell back transactions
  • Securities or commodities borrowing/lending transactions
  • Margin lending agreements

What needs to be reported?

In total, SFTR requires to report up to 153 fields, which have been grouped into 3 files to TR

  • Counterparty data (18 fields) + Loan and collateral data (99 fields)
  • (CCP) Margin data (20 fields)
  • Reuse data (16 fields)

Most of the fields must match the counterparties’ value with low or no tolerance.

Moreover, SFTR calls not only for reporting of the conclusion of a SFT, but also for reporting of any change happening during the lifecycle of a SFT, e.g. change to its business terms, its valuation, collateral allocation and their valuation, and related margins and Re-Use information.   

To do so, the following action types have been defined which in part are specific to special reports or SFT types:

  • New
  • Modification
  • Error
  • Correction
  • Position component
  • Collateral update
  • (Early) Termination
  • Margin update
  • Collateral reuse update
  • Valuation update

Lastly, transactions against members of the ESCB do not need to be reported under SFTR, rather they fall under a reporting requirement acc. to Art. 26 MiFIR. 

Further information

SFTR Regulation: https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32015R2365 
RTS/ITS package: https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=OJ:L:2019:081:TOC

Deutsche Börse Regulatory Reporting Hub cannot provide legal or regulatory advice. Hence all information displayed here should be regarded for illustration purposes only and no guarantee for correctness can be given – Please consult your own legal department or lawyer to obtain legal advice. 

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