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Tokenised Baskets Reporting

Tokenised Baskets Reporting


Status: Best Practice Finalised, Last Updated: 26/04/2021

How should Securities Lending swaps be reported when using tokenised principal baskets and collateral baskets? Specifically, where the underlying assets of the principal basket are not known before T+1.

Best Practice:
In some cases, the underlying securities in the collateral baskets of the principal are not known until after T+1, usually on settlement of the swap. Therefore, these trades cannot be reported at an ISIN level until the reporting deadline.

This occurs in a minority of cases, and the majority of swaps will be reported on T+1, for example:

  • Trade date = 2020-06-08

  • Opening date swap = 2020-06-11

  • First allocations of underlying ISINs of the baskets (Principal & Collateral) will be done as per current TPA logic, i.e. on 2020-06-11.

  • Therefore, reporting only possible on 2020-06-11 at end-of-day.

Where the underlying assets are not known until the settlement date, these trades should be reported on the opening date of the swap. (SFTR-349)


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