There has been a lack of clarity in bilateral margin reporting for repo transactions from their trade level collateral in accordance with the Global Master Repurchase Agreement (GMRA). The European Repo and Collateral Council (ERCC) division of the International Capital Market Association (ICMA) has worked closely to release a guide to best practice in the European Repo Market.
The approach proposed is to maintain the trade level collateral report and a separate entry of the bilateral margin collateral. This would mean reporting of new bilateral repo transactions on trade date +1 with their trade level collateral details, unique transaction identifiers (UTIs) and the collateralisation of the net exposure field when it is marked true. Following that, on settlement date +1, the bilateral margins should be reported with a collateral update using the other counterparty LEI and GMRA details but without UTIs.
Here is an example of how the trade level collateral and bilateral margin collateral is reported.
| Type of Collateral | UTI | Value Date of the collateral | Other Counterparty | Type of collateral component | Collateralisation of net exposure | Cash collateral amount | Cash collateral currency | Identification of a security used as collateral | Classification of a security used as collateral | Collateral quantity or nominal amount | Currency of collateral nominal amount |
| Trade level collateral | TEST123ABC0001 | 2022-03-02 | LEI | SECU | TRUE | US912828J272 | DBFTFR | 1000000 | USD | ||
| Bilateral margin collateral | 2022-03-15 | LEI | CASH | TRUE | 1000 | GBP | 1000 | GBP |
An example of the XML version of how to report the cash collateral without UTIs can be found under Guidelines on Reporting under SFTR and Section 5.4.3.
