FAQ: How Should Bilateral Margining Cash Collateral be Reported for Repurchase (Repo) under SFTR?

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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 CollateralUTIValue Date of the collateralOther CounterpartyType of collateral componentCollateralisation of net exposureCash collateral amountCash collateral currencyIdentification of a security used as collateralClassification of a security used as collateralCollateral quantity or nominal amountCurrency of collateral nominal amount
Trade level collateralTEST123ABC00012022-03-02LEISECUTRUE  US912828J272DBFTFR1000000USD
Bilateral margin collateral 2022-03-15LEICASHTRUE1000GBP  1000GBP

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.

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