Agency Lending Example

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Agency Lending Example

Status: Finalised Last Updated: 15/02/2024

Question:
Agency Lending Example:

This is an example where back reporting is lost in translation:

1. AL sends borrower allocation A for a new trade on the last day pre-outage (Day 1).

• Trade remains open through outage and borrowers sends daily VALU, COLU or MODI reports to that trade using allocation A’s LEI and UTI throughout the outage (let’s say that’s Day 2through Day 20).

• On resumption of service it turns out Allocation A was reallocated out of the trade early in the outage and replaced with Allocation B with a new UTI and LEI (Day 3 let’s say).

• Even if back reporting is correctly done it means the borrower will be sending a ETRM for Allocation A back dated to Day 3 but they will already have sent/reported previously VALU, COLU and MODI messages on the trade for days 4, 5,6 etc. all the way through, to Day 20.

  • There does not seem any obvious validation rules that would stop the ETRM for allocation A being submitted with event date of Day 3.

  • It is not obvious to suggest the previous data will be automatically cleared up so effectively would have a trade in the TR with a ETRM of Day 3 but lifecycle events all the way through to Day 20.

  • From a regulator’s perspective if they were to go back through the data using this example, they would see a trade opened, a few lifecycle events, a termination then many more days of lifecycle events dated after the trade closed. It could be asked what value this is.

2. In this example it is suggested that it should be a case of the member highlighting how their reporting model worked during the outage. Even if the trade is not terminated regulators may highlight how MODI/VALU/COLU values were reported without the infrastructure in place for data transfer.

Best Practice:

(SFTR-837)