Eurex Clearing Readiness Newsflash | CCP: Reporting of cleared Securities Financing Transactions (SFTs) by Eurex Clearing according to the Securities Financing Transactions Regulation (SFTR) Article 4: Updated Member Information 1.2 available

Dear Clearing Member,

On 13 July 2020, the obligation to report securities financing transactions according to Article 4 of the Securities Financing Transactions Regulation (SFTR) will come into effect.

Both counterparties of a cleared SFT, the CCP and the Clearing Member, must report the following data fields identically: Unique Transaction Identifier, Counterparty data, Loan and Collateral data, Margin and re-use data. Hence it is important that the CCP and its Clearing Members use the same methods to create the data fields.

The document “Reporting of cleared Securities Financing Transactions (SFTs) by Eurex Clearing according to SFTR Article 4” provides an overview of how the CCP will populate its data fields to enable the Clearing Members to match the data with their reporting. 

The document is attached to this newsflash and is also available in the Member Section on the Eurex Clearing website www.eurexclearing.com under the following path:

Clearing Resources > SFTR Reporting

Please note: Reporting is still subject to further guidance by ESMA or industry alignment. Any further changes will be communicated by Eurex Clearing circulars or newsflashes.

We are providing this document for the preparation of regulatory reporting according to SFTR, considering the SFTR Guidelines published by ESMA on 6 January 2020.

Besides a few editorial changes, the following information and SFTR data fields have been amended in our reporting logic:

• Eurex Clearing will start reporting under SFTR as of 13 July 2020
• Reporting of floating rate related fields with examples
• No reporting of variation margin has been confirmed by ESMA

Loan and Collateral data

• Field 10: Other master agreement type – will be delivered without any spaces, i.e. EurexClearingConditions
• Field 26: Floating rate reference period – Time Period
• Field 28: Floating rate payment frequency – Time Period
• Field 30: Floating rate reset frequency – Time Period
• Field 50: Price currency
• Field 60: Floating rebate rate reference period – Time Period
• Field 62: Floating rebate rate payment frequency – Time Period
• Field 64: Floating rebate rate reset frequency – Time Period

Margin reporting

• Field 10: Variation margin posted
• Field 11: Currency of the variation margin posted
• Field 12: Initial margin received
• Field 13: Currency of the initial margin received
• Field 14: Variation margin received
• Field 15: Currency of the variation margin received

Lifecyle events for repos

• Bilateral change in repo rate
• Collateral update
• Full closing of an open term repo and early full closing of fixed term repos

Lifecyle events for securities lending transactions

• Partial return
• Full closing of an open term loan and early full closing of fixed term loans
• New loans due to Corporate Actions
• Reorganisations

Backloading

• On 26 March 2020, ESMA announced the effective permanent abolition of the backloading requirement (it remains a requirement of SFTR but will not be enforced). Eurex Clearing will not report any backloading.

If you have any questions or require further information, please contact the Eurex Clearing CCP Helpdesk under: sftr@eurexclearing.com. 

Attachment:

• Member Information, version 1.2: Reporting of cleared SFTs by Eurex Clearing according to SFTR Article 4

Kind regards,
Your Client Services Team

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