ESMA_QA_923

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/923

---

Regulatory Context

Regulation : SFTR

Level 1 Regulation: Securities Financing Transactions Regulation (SFTR) Regulation (EU) 2015/2365- MDP

Level 2 Regulation: No information available

Level 3 Regulation: No information available

Topic: Repo

Subject Matter: Reporting of repos initially collateralised on a transaction basis and subsequently on a net exposure basis

---

Question

Submission Date: 05 November 2020

a) How should field 2.73 (Collateralisation of net exposure) be reported for repos initially collateralised on a transaction basis whose variation margin is handled by VM collateral pools? b) How should the collateral and the VM on a net exposure basis be reported, since the latter cannot be allocated to the transaction?

---

ESMA Answer

Answer Date: 05-11-2020

[ESMA 74-362-893 SFTR Q&A 3.] a) If a repo transaction initially collateralised on a transaction basis is also part of VM collateral pools on a net exposure basis, field 2.73 (Collateralisation of net exposure) should be reported as “TRUE” from the onset. Since netting takes place at the level of the master agreement, the transaction is logically part of the netting set. “FALSE” is reserved for repo transactions exclusively collateralised on a transaction basis. b) The counterparty should report with action type “COLU” (i) the transaction-based collateral for each UTI and in addition (ii) the net exposure collateral applicable to all the SFTs in the netting set without the UTI.

---

This document was automatically extracted from the ESMA EMIR Q&A database.