Repo and Collateral Markets
Repo and Collateral Markets by Andy Hill, Alexander Westphal, Zhan Chen and Lisa Cleary
SFTR implementation and public data reports ESMA updates Level 3 guidance On 29 July 2021, ESMA published a set of important updates to the SFTR Level 3 guidance, including an updated version of the EU SFTR validation rules as well as updated XML reporting schemas. ICMA has reviewed the changes with members of the European Repo and Collateral Council (ERCC) SFTR Task Force and incorporated them in the various best practice documents, including the detailed ICMA Recommendations for Reporting under SFTR. The changes are due to apply on 31 January 2022, but this has raised some concerns among trade repositories (TRs) and reporting firms, who felt that this implementation timeline is too ambitious. Given the amount of IT build and testing required, the Task Force agreed that more time would be needed to ensure a smooth process and avoid undermining data quality, considering also additional challenges around UnaVista’s recent decision to withdraw their TR services by the end of January and the looming go-live of CSDR settlement discipline in February. On 30 September, ICMA and ISLA therefore sent a joint letter to ESMA to ask for an extension of the implementation timeline to mid-April.
HM Treasury Wholesale Markets Review On 24 September, ICMA submitted a detailed response to the HM Treasury Wholesale Markets Review. The ERCC contributed to ICMA’s wider response with specific comments on the reporting of SFTs concluded with EU central banks (question 94), which are currently reported under MiFIR. As part of the response, ICMA argues that MiFIR is not the appropriate framework for the reporting of SFTs and asks UK authorities to review the current approach to exclude all types of SFTs from MiFIR reporting. This would include SFTs concluded with EU central banks but also those transacted with the Bank of England.
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The first year of SFTR public data on repo On 28 September, ICMA published a report reflecting on the first full year of SFTR reporting since the The first year of SFTR public data on repo initial go-live in July 2020. The report analyses the key features and trends in the European repo market, relying on the summary statistics that authorised TRs are required to provide under SFTR on a weekly basis. Since the start of reporting, ICMA has been collecting this data from the TRs, consolidating it and publishing the information in an aggregated form on the ICMA website. The first part of the report looks at the initial six months of reporting for the whole EU28 repo market, while part two focuses on the time period between January and July 2021, distinguishing between the EU27 and the UK market segments. This reflects the split of SFTR reporting into separate EU and UK regimes following the end of the post-Brexit transition period. In addition, the report also reflects on some of the remaining issues with the quality of the SFTR public data, which are highlighted in the final chapter. September 2021
The first year of SFTR public data on repo
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Contact: Alexander Westphal and Zhan Chen alexander.westphal@icmagroup.org zhan.chen@icmagroup.org
ERCC initiative on settlement efficiency On 10 September, the ERCC hosted the third in a series of workshops intended to explore opportunities to support and improve settlement efficiency in Europe, in view of the upcoming go-live of CSDR settlement discipline. The objective of this latest workshop was to discuss the usage of autoborrowing programmes offered by CSDs in order to help avoid and resolve settlement fails. Previous workshops in May and July had focused on partial settlement and the shaping of
