ESMA_QA_935
07/03/2022
Subject Matter
Reporting of valuation and collateral on the last day of an SFT
Original question
Where a counterparty reports on T+1:
• a repo, buy/sell back (sell/buy back) or securities lending transaction concluded on date T with a maturity date of T+1 (namely “overnight transactions”); or
• a repo, buy/sell back (sell-buy back) or securities lending transaction concluded and terminated on the same day (namely “intraday transactions”),
should counterparties send valuation and collateral updates on the last day of overnight transactions and for intraday transactions?
More generally, should counterparties send valuation and collateral updates on the last day of an SFT?
• a repo, buy/sell back (sell/buy back) or securities lending transaction concluded on date T with a maturity date of T+1 (namely “overnight transactions”); or
• a repo, buy/sell back (sell-buy back) or securities lending transaction concluded and terminated on the same day (namely “intraday transactions”),
should counterparties send valuation and collateral updates on the last day of overnight transactions and for intraday transactions?
More generally, should counterparties send valuation and collateral updates on the last day of an SFT?
ESMA Answer
07-03-2022
Original language
[ESMA74-362-893 SFTR Q&A 14]
No, the counterparties should not send valuation and collateral updates for the last day of an SFT. In the case of intraday SFTs, the day of the conclusion is the last day of the SFT. Finally, it is worth recalling that for “overnight transactions” counterparties should send valuation and collateral updates referred to the day of their conclusion, i.e. referred to date T.
Status: Answer Published
Additional Information
Level 1 Regulation
Securities Financing Transactions Regulation (SFTR) Regulation (EU) 2015/2365- MDP
Topic
Reporting at position level