Reporting Collateral Exposure Thresholds

>

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

Question:
Where it has been agreed with the counterparty that trades will be collateralised on a net-exposure basis, but subject to an exposure threshold that has not been met at the point of reporting, how should field 2.72 (Uncollateralised [SL] Flag) be populated?

Best Practice:
The guidance on Field 2.72 (Uncollateralised [SL] Flag) be populated is "Indication of whether the SL transaction is uncollateralised. This field shall not be used when the counterparties agree to collateralise the trade but the specific allocation of collateral is not yet known."

When an SFT is booked and the collateral threshold has not been met, then populate field Field 2.72 (Uncollateralised [SL] Flag) with "TRUE", to indicate the initial state when reporting the NEWT template message.

When the collateral threshold has been met or exceeded then populate Field 2.72 (Uncollateralised [SL] Flag) with "FALSE", to indicate the new state using the MODI template. (SFTR-260)