sft_type


The sft_type is used when describing securities financing transactions using the security schema. Securities Financing Transactions (SFTs) allow market partcipants to access secured funding, through the temporary exchange of assets as a guarantee for a funding transaction.

SFT Regulation Article 3(11):

'securities financing transaction' or 'SFT' means: (a) a repurchase transaction; (b) securities or commodities lending and securities or commodities borrowing; (c) a buy-sell back transaction or sell-buy back transaction; (d) a margin lending transaction;

├── repo
├── rev_repo
├── lending
│   ├── bond_loan
│   ├── stock_loan
│   └── sell_buy_back
├── borrowing
│   ├── bond_borrow
│   ├── stock_borrow
│   └── buy_sell_back
└── margin_loan

sec_lending, sec_borrowing

SFT Regulation Article 3(7):

'securities or commodities lending' or 'securities or commodities borrowing' means a transaction by which a counterparty transfers securities or commodities subject to a commitment that the borrower will return equivalent securities or commodities on a future date or when requested to do so by the transferor, that transaction being considered as securities or commodities lending for the counterparty transferring the securities or commodities and being considered as securities or commodities borrowing for the counterparty to which they are transferred;

buy_sell_back, sell_buy_back

SFT Regulation Article 3(8):

'buy-sell back transaction' or 'sell-buy back transaction' means a transaction by which a counterparty buys or sells securities, commodities, or guaranteed rights relating to title to securities or commodities, agreeing, respectively, to sell or to buy back securities, commodities or such guaranteed rights of the same description at a specified price on a future date, that transaction being a buy-sell back transaction for the counterparty buying the securities, commodities or guaranteed rights, and a sell-buy back transaction for the counterparty selling them, such buy-sell back transaction or sell-buy back transaction not being governed by a repurchase agreement or by a reverse-repurchase agreement within the meaning of point (9);

repo, rev_repo

SFT Regulation Article 3(9):

'repurchase transaction' means a transaction governed by an agreement by which a counterparty transfers securities, commodities, or guaranteed rights relating to title to securities or commodities where that guarantee is issued by a recognised exchange which holds the rights to the securities or commodities and the agreement does not allow a counterparty to transfer or pledge a particular security or commodity to more than one counterparty at a time, subject to a commitment to repurchase them, or substituted securities or commodities of the same description at a specified price on a future date specified, or to be specified, by the transferor, being a repurchase agreement for the counterparty selling the securities or commodities and a reverse repurchase agreement for the counterparty buying them;

margin_loan

SFT Regulation Article 3(10):

'margin lending transaction' means a transaction in which a counterparty extends credit in connection with the purchase, sale, carrying or trading of securities, but not including other loans that are secured by collateral in the form of securities;

example

A bank does 6 security deals:

  • deal #1 - bank executes a repo transaction and lends a covered bond worth 100 in exchange for 90 in cash
  • deal #2 - bank executes a collateral swap transaction and lends a portfolio of shares worth 100 in exchange for 1 share worth 45 and one index linked gilt worth 50
  • deal #3 - bank executes a reverse repo transaction and borrows a bond worth 100 in exchange for 90 in cash
  • deal #4 - bank is holding 50 of cash
  • deal #5 - bank is holding 50 worth of auto ABS
id deal_id date start_date end_date value_date mtm_dirty sft_type type movement asset_liability
1 1 18/08/16 18/08/16 17/10/16 18/08/16 -100 repo covered_bond asset asset
2 1 18/08/16 18/08/16 17/10/16 18/08/16 90 repo covered_bond cash liability
3 2 18/08/16 13/08/16 12/09/16 18/08/16 -100 stock_loan share_agg asset asset
4 2 18/08/16 17/08/16 16/09/16 18/08/16 50 stock_borrow share asset liability
5 2 18/08/16 12/08/16 11/10/16 18/08/16 45 bond_borrow index_linked_gilt asset liability
5 3 18/08/16 21/08/16 20/09/16 18/08/16 100 rev_repo bond asset liability
7 3 18/08/16 21/08/16 20/09/16 18/08/16 -90 rev_repo bond cash asset
8 4 18/08/16 16/08/16 15/09/16 18/08/16 50 cash cash asset
9 5 18/08/16 16/08/16 15/09/16 18/08/16 50 abs_auto asset asset

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