QA2025-4- Secured Finance Transactions (collateralized part)

Question

Regarding Securities Financing Transactions (SFT), one one hand there’s only expected to be reported the uncollateralized part in B04.00 (B04.00 guidance). On the other hand, the collateralized part is excluded from B04.00 and is excluded from B02.00 as the specific nature of this transactions (B02.00 guidance). Therefore, can we assume that SFT collateralized part and SFT fully collateralized should be excluded from B02.00, B03.00 and B04.00? In that case no reconciliation for this type of liabilities could be done between B01.00 (including it) and B02.00.

Response

The interpretation is correct: no reconciliation is expected between the information reported in B01.00 and the one reported in B04.00, as this would not be possible. As stated by the SRB Guidance (section 2.5), for Securities Financing Transactions (SFTs) the uncollateralized part of the secured liability must be reported in B04.00, and only if the value in field c0060 of B04.00 (Net mark-to-market value) is positive (i.e. only net liabilities must be entered).

Related articles