sftr reporting guide - london stock exchange group · emir reporting guide v1.01 – 10/04/2019 1.0...

SFTR reporting guide

Covering the revised RTS and ITS (applicable from 6 Nov 2019)

Version 1.0 – 06/11/2019

Emir reporting guide v1.01 – 10/04/2019

1.0 Version control

Version Description

Version 1.0 – 6/11/2019

The following changes have been done to latest version covering the RTS 1.0:

- Changed “Introduction” paragraph. - Added a “Common data” paragraph containing the new reporting rules for

the RTS 2.0 standard. - Cosmetic changes to the entire document. - Added common data table - Added common data table - Added Allocation – Collateral Update - Post Trade LifeCycle

S F T R r e p o r t i n g g u i d e P a g e | 4

SFTR reporting guide v4.0 – 16/11/2019

2.0 Table of contents

1.0 VERSION CONTROL 3

2.0 TABLE OF CONTENTS 4

3.0 INTRODUCTION 5

4.0 IDENTIFICATION OF TRADES, POSITIONS AND COUNTERPARTIES 7

4.1 Trade ID for trades 7

4.2 UTI Example 7

4.3 Identification of counterparties 8

5.0 COMMON DATA 8

6.0 MARGIN DATA 11

7.0 ALLOCATIONS – COLLATERAL UPDATE 15

8.0 POST TRADE – LIFE CYCLE 18

9.0 SELF REPORTING 19

10.0 ASSISTED REPORTING 19



3.0 Introduction

The Securities Financing Transactions Regulation (SFTR), which came into force in January

2016, intends to increase transparency in securities financing markets by introducing reporting

requirements for securities financing transactions (SFTs) - similar to those already applicable to

derivatives transactions under the European Market Infrastructure Regulation (EMIR).

According to the Regulation, CC&G and clearing members should report their SFTs to an

approved Trade Repository. SFTs cleared by CC&G are repos traded in MTS and Brokertec.

The technical standards on reporting entered into force in April 2019 and the reporting for credit

institutions and investment firms will start one year later with a phased-in application for the rest

of entities until January 2021.

The European Securities and Markets Authority (ESMA) has opened a public consultation on

draft guidelines on how to report securities financing transactions (SFTs). ESMA expects to

publish a final report on the Guidelines on Reporting under SFTR in Q4 2019.

The proposed reporting requirements will pose differing challenges to all market participants.

We’ve summarised some of the key issues below so that participants can begin to assess the

potential impact to their firm:

Details of SFTs to be reported on T+1, related collateral to be reported between T+1

and S+1

Matching UTIs need to be included on all SFTs by both counterparts

Counterparts need to be identified by LEI

Reporting of collateral related to SFTs

Reporting templates require comprehensive transaction details

Significant number of matching fields with strict tolerances

In order to facilitate a smooth transition to the implementation of the new technical standard,

and to promote a standardization in the reported fields, CC&G has published its documentation

supporting this topic.



The chapters 5, 6 and 7 describe CC&G reports and datafile that can be used by clearing

member in order to collect the data needed for their reporting to the trade repository.

CC&G will also offer two solutions for helping clearing members to manage their SFTR

reporting:

- The self reporting solution, illustrated in chapter 9, will provide data collection,

validation, enrichment, sending to the Clearing member of the report ready to be

submitted to the trade repository.

- The assisted reporting solution, illustrated in chapter 10, will provide data collection,

validation, enrichment, sending to the trade repository UnaVista which offers an easy

friendly GUI for submission or management exception.

These solutions reduces SFTR implementation costs for clearing members and increases

reporting efficiency by using consistent data.

The document content must be considered subject to modifications connected for example to

the publication of a final report on the Guidelines on Reporting under SFTR expected for Q4

2019. Each change will be highlighted in the version control section.



4.0 Identification of trades, positions and counterparties

4.1 Trade ID for trades

An Unique Trade Identifier (UTI), defined by CC&G and disseminated to its participants, shall

be used to report records at trade level (Field 2.1 “Trade ID” of the ESMA documentation).

The following table provides the code definition

Field name Length Description BCS API Field CC&G Data Flow

Trading Venue 3

Trading Venue ID: PCT=MTS Repo BTM=ICAP Brokertec Repo

NotifyContracts/SeriesId D01I/Market Source

CCP Mic Code 10 CCG Mic Code Fixed Value '000CGIT000'

Trade Date 8 Trade date in the format ‘YYYYMMDD’ NotifyContracts/ContractDate D01I/Execution Time

Product Identification 12 ISO 6166 ISIN code of the traded product

NotifyContracts/ISINCode D01I/Isin Code

Trade Number 10 Contract number NotifyContracts/ContractNumber D01I/Contract Number

Counterparty side 1 B = Buyer S = Seller from participant perspective

NotifyContracts/Side

D01I/Trade Side

Free Space 8

UTI Codes can be retrieved from the report D01L –Contracts Bond/Repo of the CC&G Data

Service (field “UTI”). For additional information on other reports containing the UTI codes please

refer to the Data Service Manual on the CC&G site.

IMPORTANT NOTE

D01L –Contracts Bond/Repo will be release during Q1 2020 and replaces the report D01I –Contracts Bond/Repo and after 6 months of parallelism the D01I is no longer distributed

4.2 UTI Example

MTS000CGIT00020190424IT00003666550000501053SXXXXXXXX



NOTE: The last part of UTI is empty CC&G planned to use only 44 characters of 52 available.

4.3 Identification of counterparties

Each reporting counterparty shall be identified by the ISO 17442 Legal Entity Identifier (LEI)

registered and maintained in the GLEIF database. Participants shall promptly communicate to

CC&G any change in the code used for their reporting.

CC&G is registered in the GLEIF database with the following code:

8156006407E264D2C725

5.0 Common data

This section will be provided after ESMA consultation is closed.

ESMA reference number

ESMA field name

ESMA field description New/Existing

field CC&G Note Sample

1 UTI Unique reference assigned to the SFT in order to identify the trade.

New D01I / UTI See cap.4

6 Clearing timestamp

Time and date when clearing took place.

New D01I / Clearing timestamp

i.e. YYYY-MM-DDThh:mm:ssZ

8 Trading venue

Unique code identifying the venue of execution of the SFT. Where the SFT was concluded over the counter and it is admitted to trading, the MIC code ‘XOFF’. Where the SFT was concluded over the counter and it is not admitted to trading, the MIC code ‘XXXX’.

New D01I / Trading venue BTEE or MTSO




ESMA field name



9 Master agreement type

Always “OTHR” OTHR

10 Other master agreement type

Always “CCP Repo Clearing Conditions”

CCP Repo Clearing Conditions

37 Principal amount on value date

Cash value to be settled as of the value date of the transaction.

Existing field

D01I / Settlement Countervalue

38

Principal amount on maturity date

Cash value to be settled as of the maturity date of the transaction.

New field D01I / Mature Countervalue

83

Collateral quantity or nominal amount

In the case of a bond, the total nominal amount which means the number of bonds multiplied by the face value.

Existing field

D01I / Quantity

87 Price per unit

Price per unit in respect of the collateral component, including accrued interest for interest-bearing securities used to value the security or commodity.

To calculated

Settlement Countervalue * 100 / Quantity




ESMA field name



88 Collateral market value

Market value of the individual collateral component expressed in price currency.

Existing field

D01I / Settlement Countervalue

Must be that same of field 2.37(Principal amount on value date)

89 Haircut or margin

For repos and buy-sell backs, any collateral haircut shall be specified by reference to any risk control measure applied to the underlying collateral, at ISIN level, whereby the value of that underlying collateral is calculated as the market value of the assets reduced by a certain percentage. For securities lending, the percentage of any collateral haircut shall be specified by reference to any risk control measure applied to the underlying collateral, either at ISIN or portfolio-level, whereby the value of that underlying collateral is calculated as the market value of the assets reduced by a certain percentage. For margin lending, the percentage of the margin requirement applied to the entire collateral portfolio held in a client's prime brokerage account. Actual values, as opposed to estimated or default values shall be specified in this field

0

Always 0 because

CC&G not apply

Haircut at ISIN level




ESMA field name



97 Portfolio code

Where the portfolio of transactions also includes derivative contracts reportable under Regulation (EU) No 648/2012, the portfolio code shall be the same as that reported under Regulation (EU) No 648/2012.

New D01I / PortfolioCode

Must be the same of 3.7 see

table below

Those fields that belong to sections pertaining asset classes that are not cleared by CC&G shall

be left BLANK (e.g.).

6.0 Margin Data

This section will be provided after ESMA consultation is closed.


ESMA field name



2

Event date

Date on which the reportable event relating to the SFT and captured by the report took place. In the case of action types "Valuation update", "Collateral update", “Reuse update”, “Margin update”, the date for which the information contained in the report is provided.

MS70 Data in Header, this is settlement date for margin. The machine readable file is D16B

Reporting timestamp

-1

3

Report submitting entity

Unique code identifying the entity which submits the report. In the case where the submission of the report has been delegated to a third party or to the other counterparty, the unique code identifying that entity

Participant LEI* In Case of Assisted Report see Chapter 10 this lei will be refer to CCG




ESMA field name



4 Reporting Counterparty

Unique code identifying the reporting counterparty.

Participant LEI

5

Entity responsible for the report

Where a financial counterparty is responsible for reporting on behalf of the other counterparty in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that financial counterparty. Where a management company is responsible for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that management company. Where an Alternative Investment Fund Manager (AIFM) is responsible for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that AIFM.

Participant LEI

6 Other counterparty

Unique code identifying the entity with whom the reporting counterparty concluded the SFT.

CCG LEI See chapter 4.3 8156006407E264D2C725

7

Portfolio code

The portfolio of transactions for which margins are exchanged shall be identified by a unique code determined by the reporting counterparty. Where the portfolio of transactions also includes derivative contracts reportable under Regulation (EU) No 648/2012, the portfolio code shall be the same as that reported under Regulation (EU) No 648/2012.

MS70 Header GCM_Aderente-Conto.Valuta_ Paese.LEIControparte-MICCODECC&G Valuta=EUR Paese=IT Must be the same of 2.97 see table above

The machine readable file is D16B

01323_01323-

F.EUR_IT.8156006407E264

D2C725-000CGIT000




ESMA field name



8

Initial margin posted

Value of the initial margin posted by the reporting counterparty to the other counterparty. Where the initial margin is posted on a portfolio basis, this field shall specify the overall value of initial margin posted for the portfolio.

MS70 Footer EUR Margini Iniziali The machine readable file is D16B

9

Currency of the initial margin posted

Currency of the initial margin posted.

EUR EUR

10

Variation margin posted

Value of the variation margin posted, including the value of cash settled, by the reporting counterparty to the other counterparty. Where the variation margin is posted on a portfolio basis, this field shall specify the overall value of the variation margin posted for the portfolio.

Blank (Initial margin includes additional margins as variation and other specific risks, so only total initial margin will be report).

11

Currency of the variation margins posted

Currency of variation margin posted.

Blank See row above

12

Initial margin received

Value of the initial margin received by the reporting counterparty from the other counterparty. Where the initial margin is received on a portfolio basis, this field shall specify the overall value of the initial margin received for the portfolio.

Blank for clearing member Only amount received by the CCP from a Clearing Member or by the Clearing Member from a client

13

Currency of the initial margin received

Currency of the initial margin received.

Blank for clearing member See row above




ESMA field name



14

Variation margin received

Value of the variation margin received, including the value of cash settled, by the reporting counterparty from the other counterparty. Where the variation margin is received on a portfolio basis, this field shall specify the overall value of the variation margin received for the portfolio.

Blank see row 10

15

Currency of the variation margins received

Currency of the variation margin received.

See row above

16

Excess collateral posted

Value of collateral posted in excess of the required collateral.

Blank for clearing members with “auto-repay” facility. Otherwise refer to MS11 -> footer Excess collateral + footer excess cash. The Excess collateral in MS11 report is currently calculated an overall positions related to all the sections(Bond,Equity and commodities The machine readable file is DS07

)

17

Currency of the excess collateral posted

Currency of the excess collateral posted.

See row above

18

Excess collateral received

Value of collateral received in excess of the required collateral.

Where a party has signed up to an “auto-repay” facility at a CCP, there should never be any excess collateral to report. Otherwise refer to MS11 -> footer Excess cash held + footer excess cash. The Excess collateral in




ESMA field name



MS11 report is currently calculated an overall positions related to all the sections(Bond,Equity and commodities The machine readable file is DS07

19

Currency of the excess collateral received

Currency of the excess collateral received.

See row above

20

Action type

The report shall contain one of the following action types: (a) a new margin balance shall be identified as ‘New’; (b) a modification of the details of the margins shall be identified as ‘Margin update’; (c) a cancellation of a wrongly submitted entire report shall be identified as ‘Error’; (d) a correction of data fields that were submitted incorrectly in a previous report shall be identified as ‘Correction’;

Validation Rules say "The first report received for given reporting counterparty shall only contain value "NEWT" in this field. … Only one report with the action type "NEWT" for a given reporting counterparty shall be accepted." For most clearing members, this is likely to be their reporting start date. All margin reports after the first for the same Portfolio Code have Action Type = MARU.

NEWT or MARU

Those fields that belong to sections pertaining asset classes that are not cleared by CC&G shall

be left BLANK (e.g.).

7.0 Allocations – Collateral Update

Full ISIN-level allocations for all the products will be provided as a close of business snapshot with valuations in line with those provided by the respective triparty agents. Given the tight matching tolerances (0.0005% on collateral valuations, for example) Members may want to consider using the same valuations when reporting.




ESMA field name



73

Collateralisation of the exposure (net exposure)

Indication of whether the collateral has been provided for a net exposure, rather than for a single transaction.

Always FALSE FALSE

75 Type of collateral component

Indication of the type of collateral component.

SECU

SECU

78

Identification of a security used as collateral

Identification of the security used as collateral.

DS11 / ISIN Code ISIN (same of new trade)

79

Classification of a security used as collateral

CFI code of the security used as collateral.

CFI code (same of new trade) DB*TFB

83

Collateral quantity or nominal amount

Quantity or nominal amount of the security or commodity used as collateral.

D01I send by T-1 / Quantity***

85

Currency of collateral nominal amount

In the case where collateral nominal amount is reported, the currency of the nominal amount.

DS11 / Currency (always EUR)

EUR

86 Price currency

Currency of the price of the collateral component.

DS11 / Currency (always EUR)

EUR

87 Price per unit

Price per unit in respect of the collateral component, including accrued interest for interest-bearing securities used to value the security or commodity.

DS11 / (Accrued Coupon + Market Price)

88 Collateral market value

Market value of the individual collateral component expressed in price currency.

D01I send by T-1 / Settlement Countervalue ***




ESMA field name



89 Haircut or

margin

For repos and buy-sell backs, any collateral haircut shall be specified by reference to any risk control measure applied to the underlying collateral, at ISIN level, whereby the value of that underlying collateral is calculated as the market value of the assets reduced by a certain percentage.

0 0

90 Collateral quality

Code that classifies the risk of the security used as collateral.

Always INVG

91 Maturity date of the security

Maturity date of the security used as collateral.

DS11 / Bond Expiry Date

94 Collateral type

Code that classifies the type of the security used as collateral.

Always GOVS GOVS

95 Availability for collateral reuse

Indication of whether the collateral taker can reuse the securities provided as a collateral.

FALSE

98 Action type The report shall contain one of the following action types:

Always COLU COLU

IMPORTANT NOTE

*** D01I must be archived by clearing member until all trades are settled



8.0 Post Trade – Life Cycle

Every day CC&G send the transaction report to the at Trade Repository at end of business day,

each trades are linked to Margin Report via portfolio-code, that will be report at T+1 basis.

For each trade and until settlement date will be send Collateral Update report.



9.0 Self Reporting

Self reporting is an additional service offered by CC&G that provides a full ESMA-compliance daily reports at clearing members via BCS and via SFTP ready to be submitted to the trade repository:

1. TR01 Transaction Report

2. TR02 Margin Report

3. TR03 Collateral Report

For further information please refer to CCPSales <[email protected]>

10.0 Assisted reporting

Assisted reporting is an additional service offered by CC&G and UnaVista part of group LSEG.

A Submitting firm wishes to assist their clients (Reporting entity) with the reporting obligations

The Reporting Entity has a view where they see the data that has been sent and can export and enrich the missing fields and load directly into their own Rule engine environment.

Once the record is completed it is sent to the TR in ISO20022XML for validation

The Reporting Entity owns the data and exception management

For further information please refer to CCPSales <[email protected]>

Technical Account Management Italy

[email protected]

+39 02 72426348/606/647

Service Desk Italy

[email protected]

Toll Free: 0080026772000

From mobile: +39 02 45411399

mailto:[email protected]

mailto:[email protected]

© May 2014 - This document is adopted pursuant to relevant laws. Cassa di Compensazione e Garanzia

S.p.A. accepts no liability, arising, without limitation to the generality of the foregoing, from inaccuracies

and/or mistakes, for decisions and/or actions taken by any party based on this document. AGREX, BEST

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sftr reporting guide - london stock exchange group · emir reporting guide v1.01 – 10/04/2019 1.0...

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