ESMA · ESMA_QA_935 Answer Published
Reporting of valuation and collateral on the last day of an SFT
- Regulation
- Securities Financing Transactions Regulation (SFTR) Regulation (EU) 2015/2365- MDP
- Topic
- Reporting at position level
- Submitted
- 2022-03-07
- Answered
- 2022-03-07
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?
Answer
[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.
This Q&A is published by European Securities and Markets Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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