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

TRAction Social Media Images

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.

Article Author:


Stay in the Know

Recent Articles:


What is an NFC-?

Entering into derivative transactions, you become a ‘counterparty’.
EMIR introduces two types of counterparties: Financial Counterparties (FC) or Non-Financial Counterparties (NFC).

Repo Agreements
About TRAction

How Are Repurchase Agreements Reported for SFTR?

A repurchase agreement (repo) is a form of short-term secured loan where one party sells securities to another and agrees to repurchase those securities later at a higher price with the securities serving as collateral for the borrower.


Refit, Rewrite, RTS, EMIR II; Navigating the Maze of EMIR Version Names

Regulatory reporting is hard enough without the confusion over which version of each regime is the latest. EMIR has gone through a number of variations since it was first implemented in 2012. We thought it would be a great time to outline what the EMIR version names relate to and where we are currently at as we anticipate further changes to the regime.


Reminder: Daylight Saving Time Ends this Weekend for New York

Are you reporting trades by New York (NY) time or following NY close of business? If so, it is important to check your trades/transactions are still reported at the correct time now that daylight saving time (DST) has started in the US (13 March 2022).