Collateral Re-use Table

Reporting Timestamp

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.01 | Matching Date: n/a | Tolerance: n/a

Description:
Date and time of submission of the report to the trade repository.

Best Practice:
Report in the format and Coordinated Universal
Time (UTC) time format YYYY-MM-DDThh:mm:ssZ

(SFTR-120)

Event Date

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.02 | Matching Date: n/a | Tolerance: n/a

Description:
Date on which the reportable event pertaining to the SFT and captured by the report took place. In the case of Action Types VALU, COLU, REUU, and MARU, the date for which the information contained in the report is provided.

Best Practice:
This field shall be populated in a common input format: YYYY-MM-DD and should be prior or equal to the date part of the reporting timestamp.

When instructing REUU template reports, the Event Date should be the date as of which the reuse is calculated (i.e. brought into effect, the actual action / settlement date of the reuse) and reported on an S+1 basis. (SFTR-121)

Report Submitting Entity

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.03 | Matching Date: n/a | Tolerance: n/a

Description:
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.

Best Practice:
For action types "NEWT", "CORR" and "REUU": This field shall contain a valid LEI recognised by GLEIF. The LEI shall pertain to a legal entity and not a branch. The status of the LEI for message template "EROR" is irrespective, but for all other message templates it can be either:

• Issued

• Pending Transfer

• Pending Archival

This field represents the entity who submitted the report and does not necessarily pertain to any counterparty to the transaction, although it can be equal to Field 4.04 (Reporting Counterparty) if reporting is not delegated.

This entity could therefore be:

• a third-party service-provider to whom the Reporting Counterparty or Entity Responsible for the Report has outsourced the operation of reporting (Agent Lender or other), else;

• equal to Field 4.04 (Reporting Counterparty) where there is no delegation and is not a UCITS management company or AIFM reporting on behalf of a UCITS or AIF. (SFTR-122)

Reporting Counterparty

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.04 | Matching Date: n/a | Tolerance: n/a

Description:
Unique code identifying the reporting counterparty.

Best Practice:
For action types "NEWT", "CORR" and "REUU": This field shall contain a valid LEI recognised by GLEIF. The LEI shall pertain to a legal entity and not a branch. The status of the LEI for message template "EROR" is irrespective, but for all other message templates it can be either:

• Issued

• Pending Transfer

• Pending Archival

There are three models that determine the population logic of this field, as follows:

• Agency facing the Beneficial Owner.

• Agency facing a Trust Bank facing the Beneficial Owner

• Principal

Reporting cash reinvestment is now in scope for all member firms, whether broker, agent lender or other, therefore; when reinvesting on behalf of a client, this is the beneficial owner or trust bank of the trade, except where a lender or borrower takes on a principle position. Essentially the beneficiary. (SFTR-123)

Entity Responsible for the Report

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.05 | Matching Date: n/a | Tolerance: n/a

Description:
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.

Best Practice:
This field shall contain a valid LEI recognised by GLEIF. The LEI shall pertain to a legal entity and not a branch. The status of the LEI for all message templates can be either:

• Issued

• Pending Transfer

• Pending Archival

In all scenarios except two, including delegated reporting and agency or principal business models, the Entity Responsible for the Report (4.05) will always be equal to the Reporting Counterparty (4.04).

The two exceptions to this statement are under an Agency model where:
i. A management company is responsible for reporting on behalf of an UCITS fund in accordance with Article 4(3) of Regulation (EU) No 2365/2015 (Level I Text), the unique code identifying that management company, and:

ii. An AIFM is responsible for reporting on behalf of AIF in accordance with Article 4(3) of Regulation (EU) No 2365/2015 (Level I Text), the unique code identifying that AIFM.

For guidance on Entity Responsible for the Report please see the following guidelines paragraphs.

Guidelines Reporting under Articles 4 and 12 SFTR 06 January 2020 - ESMA70-151-2838
:
400: When no actual reuse has taken place, the reporting field should be left blank. When collateral is no longer reused, it shall be reported as “reuse Update” (REUU) with “0”.

401: If reporting has been delegated, the counterparty to which reporting has been delegated is not responsible for the reporting of the estimated reuse of the collateral. NFCs are responsible for calculating the estimated reuse themselves and provide the estimate to the counterparty in charge of reporting in a timely manner.

402: If counterparties prefer to report the actual reuse instead of the estimated reuse, they can do so.

414: In this case, counterparty C is SME-NFC, and it has concluded SFTs with two entities - counterparty B and counterparty D. Counterparty B reports the value of reused securities with ISIN IT00BH4HKS39 of the amount of 10,000,000 EUR in Table 104. Counterparty D reports the value of reused securities with ISIN FR00BH4HKS3 of the amount of 2,000,000 EUR in Table 105.

407: Any security received or posted as part of transactions that are outside of the SFTR scope, including SFTs that are executed with ESCB counterparties, should be excluded from the reuse formula. (SFTR-124)

Type of Collateral Component

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.06 | Matching Date: n/a | Tolerance: n/a

Description:
Indication of the type of collateral component. "SECU" - Securities
"CASH" - Cash. At least one of the Fields 4.6 or 4.15 shall be populated.
If populated, this field shall contain one of the following values: "SECU", or "CASH". 4 alphabetic characters.

Best Practice:
At least one of the Fields 4.6 (Type of Collateral Component) or Field 4.15 (Funding Sources) shall be populated.

When populated, at least one code pertaining to the type of collateral component shall be provided, of which there are two options (x4 alphabetic characters):

• "SECU"

• "CASH" (SFTR-125)

Collateral Component

Status: Best Practice Finalised, Last Updated: 18/08/2021

Field 4.07 | Matching Date: n/a | Tolerance: n/a

Description:
Identification of the security used as collateral.

Best Practice:
If Field 4.6 (Type of Collateral Component) is populated with "SECU" this field shall be populated and shall contain an ISIN (x12 alphanumerical characters and a check digit), else leave blank.

If the collateral has no ISIN due to a corporate event, or for any other reason such as private placement, participants should send what they have (whether a temporary ISIN or leave the field blank) until the ISIN is established.

With regards to missing ISINs; see Guidelines on reporting under Articles 4 and 12 SFTR 06 January 2020 - ESMA70-151-2703 :

332. While ESMA acknowledges that there may be cases where securities used as collateral might be issued by issuers that are not subject to the EU rules obliging them to obtain LEIs, and that similarly there may be instances in which a security cannot be identified with an ISIN, ESMA reiterates the importance of a correct identification of the issuer and issuance through the LEI and the ISIN in the context of SFTR reporting.

There is nothing in these statements that makes this optional.

No change to original guidance for current April 2020 go-live, either supply blank or dummy, each individual member firm to decide. Issue of reporting dual ISINs also being considered. (SFTR-126)

Value of Reused Collateral

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.08 | Matching Date: n/a | Tolerance: n/a

Description:
Total value of the collateral reused when it can be defined at SFT transaction level.

Best Practice:
If field 4.6 (Type of Collateral Component) is populated with "SECU", one of the fields 4.8 (Value of Reused Collateral) or 4.9 (Estimated Reuse of Collateral) should be populated.

When populated, a value (x18 numerical characters including up to x5 decimals) shall be provided, else the field should be left blank.

For the re-use calculation formula refer to page 4 of the FSB's report on Transforming Shadow Banking into Resilient Market-based Finance of 23 February 2016

For ESCB Collateral Re-Use: According to the regulation, SFTs that you execute with ESCB counterparties are non-reportable for SFTR. However, if you remove SFTs executed with ESCB counterparties from the collateral reuse calculation, the calculation can produce an error.

For example:

Borrow 100 from an ECB counterparty
Loan of 100 to non-ECB counterparty
No firm assets

Collateral reuse = (0 / 0) *100 = error

In this case where the calculation produces an error, '0' should be reported. (SFTR-127)

Estimated Reuse of Collateral

Status: Best Practice Finalised, Last Updated: 18/08/2021

Field 4.09 | Matching Date: n/a | Tolerance: n/a

Description:
In the case when the actual value of reused collateral is unknown or cannot be calculated, an estimate value of reuse at individual financial instrument level calculated in accordance with the reuse measure established by FSB.

Best Practice:
If Field 4.6 (Type of Collateral Component) is populated with "SECU", one of the Field 4.8 (Value of Reused Collateral) or Field 4.9 (Estimated Reuse of Collateral) should be populated.

When populated, a value (x18 numerical characters including up to x5 decimals) shall be provided, else the field should be left blank.

For the re-use calculation formula refer to page 4 of the FSB's report on Transforming Shadow Banking into Resilient Market-based Finance of 23 February 2016.

This formula is applied for each ISIN at the level of the reporting entity.

Transactions that are outside of the SFTR scope, such as SFTs executed with an ESCB member should be excluded from the re-use formula. Granted.

Guidelines on reporting under Articles 4 and 12 SFTR 06 January 2020 - ESMA70-151-2703 :

407: Any security received or posted as part of transactions that are outside of the SFTR scope, including SFTs that are executed with ESCB counterparties, should be excluded from the reuse formula. (SFTR-128)

Reused Collateral Currency

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.10 | Matching Date: n/a | Tolerance: n/a

Description:
Currency of the actual or estimated value of the collateral used.

Best Practice:
If field 4.6 (Type of Collateral Component) is populated with "SECU" this field shall be populated and shall contain ISO 4217 Currency Code (x3 alphabetical characters), else it should be left blank. (SFTR-129)

Reinvestment Rate

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.11 | Matching Date: n/a | Tolerance: n/a

Description:
The average interest rate received on cash collateral reinvestment by the lender.

Best Practice:
If Field 4.6 (Type of Collateral Component) is populated with "CASH" a value (x11 numerical characters including up to x10 decimals) shall be provided, else the field should be left blank.

See Guidelines on reporting under Articles 4 and 12 SFTR 06 January 2020 - ESMA70-151-2703 :

416. Field 4.12 (Type of Reinvested Cash Investment) and Field 4.13 (Reinvested Cash Amount) should be broken down by currency of the cash collateral reinvested (Field 4.14). Since counterparties are expected to report a single reinvestment rate without a breakdown by currency, Field 4.11 (Reinvestment Rate) should be calculated as the weighted-average rate based on the Field 4.13 (Reinvested Cash Amount) following conversion into the reinvested cash currency (Field 4.14).

This will produce a meaningless rate, members should look to make a calculation that gives a result on a best efforts basis, utilising firms internal overnight treasury rates may be a practical solution. Further advocacy work with ESMA to produce ensure the rate is repeatable at a currency level is required. (SFTR-130)

Type of Re-Invested Cash Investment

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.12 | Matching Date: n/a | Tolerance: n/a

Description:
Type of re-investment

Best Practice:
If Field 4.6 (Type of Collateral Component) is populated with "CASH", at least one code pertaining to the type of reinvested cash investment should be provided, of which there are five options (x4 alphabetical characters), else it should be left blank:

• MMFT

• OCMP

• REPM

• SDPU

• OTHR

Where cash has been reinvested on behalf of clients the type of reinvestment vehicle needs to be defined.

If cash collateral of the same currency for an individual client has been reinvested in multiple types (i.e. across Repo, MMFT etc on behalf of a client), then the cash values that are being reported will need to be split appropriately. This will create separate NEWT and REUU reports for each 'type' (see Field 4.18 Action Type). (SFTR-131)

Reinvested Cash Amount

Status: Best Practice Finalised, Last Updated: 18/08/2021

Field 4.13 | Matching Date: n/a | Tolerance: n/a

Description:
Amount of the reinvested cash in a given currency.

Best Practice:
If Field 4.6 (Type of Collateral Component) is populated with "CASH" a value (x18 numerical characters including up to x5 decimals) shall be provided, else the field should be left blank.

ISLA SFTR Working Group has not given any direct best practice guidance on what constituent parts must be included as cash reinvestment as different firms have different opinions on how the text should be interpreted.

Examples of how to calculate cash reinvestment provided by other member firms can be seen below as well as on the ISLA website under the section RTS Best Practice 'SFTR Reinvested Cash Amount Example Field 4.13 v0.2'.PDF

Re-invested cash collateral amount = [A divided by (A+C)] x B

Where;

A. Cash Received, Eligible for Reuse. The sum of the cash received, if eligible for reinvestment, via:

• Loan Cash Rebates

• Loan Bulk Cash Pools

• Cash Collateral Received - Allocated by Tri-party Agent

B. Cash Posted. The sum of cash paid via:

• Borrow Cash Rebates

• Borrow Bulk Cash Pools

• Cash Collateral Paid - Allocated by Tri-party Agent

C. Cash Own. Sum of the market value of:

• Firm longs? or Proposal: set to zero? (note there is no agreement on how own cash should be treated by members).

• Intra-entity cash will be excluded from the calculation.

• Inter-entity cash will be included in the calculation.

• Cash received from to paid to counterparties which are members of the ESCB will be excluded from the calculation. (SFTR-132)

Reinvested Cash Currency

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.14 | Matching Date: n/a | Tolerance: n/a

Description:
Currency of the re-invested cash.

Best Practice:
If Field 4.6 (Type of Collateral Component) is populated with "CASH" this field shall be populated and shall contain ISO 4217 Currency Code (x3 alphabetical characters, else it should be left blank. (SFTR-133)

Funding Sources

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.15 | Matching Date: n/a | Tolerance: n/a

Description:
Funding sources used to finance margin loans.

Best Practice:
REPO/BSB/ML related only; therefore out-of-scope for securities lending. (SFTR-134)

Market Value of the Funding Sources

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.16 | Matching Date: n/a | Tolerance: n/a

Description:
Market value of funding sources referred to in Field 4.15 (Funding Sources).

Best Practice:
REPO/BSB/ML related only; therefore out-of-scope for securities lending. (SFTR-135)

Funding Sources Currency

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.17 | Matching Date: n/a | Tolerance: n/a

Description:
Currency of the market value of the funding sources.

Best Practice:
REPO/BSB/ML related only; therefore out-of-scope for securities lending. (SFTR-136)

Action Type

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.18 | Matching Date: n/a | Tolerance: n/a

Description:
The report shall contain one of the following action types:

(a) a new reuse balance shall be identified as 'New';
(b) a modification of the details of the reuse shall be identified as 'Reuse 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'.

Best Practice:
This field shall contain at least one code pertaining to the action type shall be provided, of which there are four options (x4 alphabetic characters):

• NEWT

• REUU

• EROR

• CORR

Note: With regards to the Agent Lender report overwriting issue which may arise in determining the data source, particularly where beneficiaries utilise more than one Agent Lender for the collection of collateral and its subsequent reuse, and where those Agent Lenders also use the same vendor as the report submitting entity, a suggestion has been made that the agent lenders populate this field with their own LEI (instead of the vendor submitting the report with their LEI).

Guidelines on reporting under Articles 4 and 12 SFTR 06 January 2020 - ESMA70-151-2703 :

463: When providing access to reuse data with regards to SME NFC, the TRs should provide the authorities with all the information reported with action types "NEWT" and "REUU" for the reporting counterparty for the given event date. TRs should use the fields 'Entity responsible for reporting' and 'Report submitting entity' to determine the applicable instances. When for a given reporting counterparty there are more than one entity responsible for reporting, and these use the same report submitting entity, the TRs should provide all the collateral reuse reports for that event date that were submitted for the reporting counterparty. (SFTR-137)