Pledged Collateral Within Triparty

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Status: Best Practice Finalised, Last Updated: 10/08/2021

Question:
Where securities are borrowed bilaterally under a GMSLA (i.e. borrow HQLA and pledge lower quality collateral) and further collateral in pledged via a triparty agreement as part of the same arrangement, how should this be reported?

Best Practice:
The collateral transfer method is captured in reporting by Field 2.20 (Method Used to Provide Collateral), in which the following options are available:

• TTCA - title transfer collateral arrangement

• SICA - securities financial collateral arrangement

• SIUR - securities financial collateral arrangement with the right of use

However, the validation logic for this field is as follows:

• Field 2.72 (Uncollateralised [SL] Flag) is "FALSE", and

• Field 2.73 (Collateralisation of Net Exposure) is "FALSE", and

• Field 2.75 (Type of Collateral Component) is "SECU"

Best practice for non-cash collateral recommends that all collateral is reported on a net-exposure basis, therefore Field 2.73 will always be set to "TRUE" for SLEB transactions.

Consequently, Field 2.20 (Method Used to Provide Collateral) will not be reported in the NEWT template message. Therefore, participants will list all of their pledged collateral in a COLU message template, which does not include Field 2.20. (SFTR-283)