The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator, has updated the following Questions and Answers for:
- Construction of Trade State Report; and
- Reporting of valuation and collateral on the last day of a securities finance transaction (SFT)
Question 13 [Updated on 7 July 2022] Construction of Trade State Report: How should trade repositories (TRs) take into consideration the maturity date of SFTs transactions for the construction of the Trade State Report?
Answer 13: For the construction of the Trade State Report, TRs should ensure that SFTs should be included in the Trade State report up until the date to which their maturity date refers to, unless the SFTs have been terminated/errored before their maturity date. For example, an SFT concluded at T with a maturity date of T+1 should be included up until the Trade State Report of T+1.
Question 14 [Updated on 7 July 2022] Reporting of valuation and collateral on the last day of an SFT: 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?
Answer 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.