We are issuing these frequently asked questions (FAQs) to assist financial companies in understanding the scope of the “Ongoing Data Collection of Non-Centrally Cleared Bilateral Transactions in the U.S. Repurchase Agreement (repo) Market” (NCCBR Rule) published on May 6, 2024.
These FAQs provide interpretive guidance with respect to the NCCBR Rule and do not alter or amend applicable law or create any new or additional obligations for any financial company. We intend to issue additional FAQs or guidance as appropriate. As the following positions may not necessarily discuss all material information necessary to reach the conclusions stated, the FAQs are intended as general guidance only and should not be relied on as definitive in any particular case.
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Questions about who reports and the repos in scope for reporting
Common operational questions
Data fields questions
Questions about how to handle guarantees
Questions about bunched repo
Other Questions
Questions about who reports and the repos in scope for reporting
Which financial companies are potential covered reporters?
All entities that meet the definition of a financial company under the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) are potential covered reporters. However, an entity that does not meet the definition of financial company under the Dodd-Frank Act would not be a potential covered reporter, regardless of whether it files a form G-FIN.
How should a financial company value the size of a repo commitment when it computes its outstanding commitments to borrow cash for repos?
It is sufficient for the financial company to use the principal amount of cash borrowed (the start leg amount field) to value outstanding commitments for repos. This applies equally to floating-rate repos and open repos.
How should a financial company convert non-USD denominated repos to USD for the purposes of the computation of a financial company’s outstanding commitments?
Financial companies should use a spot exchange rate on the day of the commitment calculation. The covered reporter may choose the time of day the exchange rate is observed so long as the same time is used for all computations of daily outstanding commitments for a given quarter.
For the computation of a financial company’s outstanding commitments, is a forward-start repo considered outstanding on the trade date or on the settlement date?
A repo is considered an outstanding commitment when it becomes a financial obligation of the party. This obligation begins on the trade date, which includes the forward-starting obligation to sell the security on the settlement date and then to buy it back on the close date. A position ceases to be a financial obligation of the party when the position is closed.
For purposes of calculating reporting thresholds and reporting data, are transactions cleared at Central Counterparties other than the Fixed Income Clearing Corporation considered to be centrally cleared?
Transactions that are cleared through any central clearing facility are centrally cleared and, thus, should not be counted towards the threshold calculation of a potential covered reporter or included in the data reported pursuant to the NCCBR Rule. This would include any repos centrally cleared by, for example, a European central counterparty (CCP) or any U.S. CCP.
Which repos by a covered reporter are in scope to be reported?
As stated in the NCCBR Rule: “Pursuant to § 1610.11(c) of the Final Rule, covered reporters must submit information on all NCCBR transactions in which the covered reporter participates. The word ‘all’ should be interpreted broadly; the set of transactions to be included in a covered reporter’s disclosures is wider than that used to determine whether a financial company is a covered reporter.”
The NCCBR transactions that are in scope to be reported include:
- Outstanding repos (not just new repo transactions)
- Intraday repos
- Guarantees (whether of the cash lender or cash borrower)
- Inter-affiliate repos (repos between the covered reporter and an affiliate of the covered reporter)
- Repos by subsidiaries
- Repos conducted with non-financial companies
- Repos conducted with non-U.S. counterparties
Does a covered reporter report the repos of its affiliates?
Not necessarily. A covered reporter reports its own trades, including trades with its affiliates (which are called inter-affiliate trades). Inter-affiliate repos are repos in which a covered reporter participates with an affiliate as the counterparty. In contrast, the repos of affiliates are not necessarily trades in which a covered reporter participates. A covered reporter does not report the repos that its non-subsidiary affiliates transact with other entities.
For example, a broker-dealer that is a covered reporter does not report the repos of its affiliated bank unless they are inter-affiliate repos that the covered reporter enters with its affiliated bank as a counterparty. As another example, a registered investment adviser that is a covered reporter does not report the repos of an affiliated investment adviser unless the repos are inter-affiliate repos the covered reporter entered with that investment adviser as a counterparty.
If a U.S. bank is a covered reporter, does it report repos by its foreign branches?
Yes, if a bank is a covered reporter, then it reports the repos of its foreign branches. As stated in the NCCBR Rule: “Some commenters sought clarification of how the rules would apply to…a foreign branch or affiliate of a U.S. financial company….The definition of ‘financial company’ includes only entities that are incorporated or organized under Federal or state law, including subsidiaries….Transactions conducted by financial companies (as defined in the NCCBR Rule) that are settled or otherwise take place outside of the U.S. as well as transactions settled in currencies other than the U.S. dollar are included both in the transactions reported to the OFR and in the volumes used to determine the Category 1 and Category 2 thresholds.”
Common operational questions
When are the first reports due?
Financial companies that are Category 1 covered reporters as of the effective date of the NCCBR Rule send the first report by 11 a.m. Tuesday, December 3, 2024. This report should cover all repos that were in scope to report on December 2, 2024. Financial companies that are Category 2 covered reporters as of the effective date of the NCCBR Rule send the first report by 11 a.m. Wednesday, April 2, 2025. This report should cover all repos that were in scope to report on April 1, 2025.
How can we get connectivity documentation and learn about the testing process?
Connectivity documentation is given as part of the onboarding process. Financial companies that meet reporting requirements of the NCCBR Rule are encouraged to begin the process by reaching out to DCU_Support@ofr.treasury.gov.
Details about testing are also available as part of the onboarding process. The OFR’s Data Collection Utility (DCU) has been available to accept test files as of the effective date of the NCCBR Rule (July 5, 2024) with both production and testing environments active. Financial companies that meet reporting requirements can begin the process by reaching out to DCU_Support@ofr.treasury.gov.
The NCCBR Rule does not obligate testing, but the DCU is open and covered reporters are encouraged to begin the onboarding process in order to establish a robust submission process during this period.
May a covered reporter delegate its reporting, for example, to a financial services company or to a trading platform?
Yes, reporting may be delegated. However, all of a covered reporter’s reporting must be delegated (no partial reports are accepted), and reports must be submitted by a single delegate. The NCCBR Rule discusses the risks associated with multiple files and multiple submitters and states that “delegation that might spread the daily data submission of a covered reporter across several filings or from day-to-day among various entities is unworkable from an operational perspective and could create risks of errors in reported data.” As such, a single file from a single submitter is required for each covered reporter and File Observation Date.
Please provide the OFR at least 90 days advance notice of any proposed change to the submitter of the daily file.
What happens when there are errors in the reports, and how do covered reporters submit corrections?
When corrections to previous reports are necessary, the filer should identify the prior file observation Date and contact the OFR to inform staff that a full amended report for that file observation will be submitted.
A single complete report is required from each covered reporter for each file observation date. Resubmissions follow the same requirement. The most recent report received will be understood by the OFR to be the covered reporter’s complete report for the specified file observation date. Covered reporters should not submit individual transactions or partial files.
Due to unforeseen events, we are unable to fulfill one or more of the submission criteria. What should we do?
In instances that will disrupt the established reporting process, the covered reporter should reach out to the OFR’s Data Operations staff at OFR_SFT_2_DataOps@ofr.treasury.gov as soon as possible to work out a solution. DCU connectivity and SFTP transmission issues should be directed to the OFR’s DCU Support staff at DCU_Support@ofr.treasury.gov.
If a covered reporter has an error in a daily submission, is the entire file resubmitted?
Yes, there are no partial resubmissions or trade-specific resubmissions.
Data fields questions
What should be reported in the time portion of the datetime formatted fields of start date and end date when the time of the open leg or the time of the closed leg is unspecified?
Covered reporters may report zeros for the time portion of the datetime formatted field when the transaction is not an intraday transaction or does not have a specified start/end time.
Should the covered reporter report its own name or a blank for the internal identifier?
This field should always be reported as a non-blank value, including when the covered reporter is the direct counterparty to the transaction. Covered reporters are free to develop their own internal identifiers for self-identification. When a covered reporter elects not to develop their own identifier for self-identification then it may report “covered reporter”.
Do the fields for haircut and securities value at inception remain the same throughout the life of a repo?
Yes, the haircut is measured at inception and takes the same value throughout a repo’s life including through collateral substitutions. The securities value at inception is measured at inception and similarly takes the same value throughout a repo’s life including through collateral substitutions.
Should the Legal Entity Identifier (LEI) of the principal obligor be reported in the fields for cash lender LEI or cash borrower LEI, even if this LEI is different from that of the covered reporter?
Yes, the covered reporter should report LEIs corresponding with the legal counterparties of the repo in the fields that require an LEI.
For example, if the covered reporter is an investment adviser but is not a party to the repo, it should report the LEI of its fund that is party to the repo in the appropriate field (cash lender or cash borrower, depending on the side of the repo that the fund takes).
As another example, if the covered reporter is reporting the repo of its subsidiary, and the subsidiary has a separate LEI, it should report the LEI of the subsidiary in the appropriate field (cash lender or cash borrower, depending on the side of the repo that the subsidiary takes).
Are securities value and securities value at inception the same for an overnight repo?
Yes, and these values are also identical for any repo when the start date equals the date in the trade timestamp.
Are numerical values rounded or truncated?
They are rounded.
Questions about how to handle guarantees
Is it a third party that guarantees a repo transaction?
Yes. Guarantees of repo transactions involve a third party issuing a guarantee on behalf of one or both parties to a repo. As stated in the NCCBR Rule: “A guaranteed repo is a repo in which the performance of one or both counterparties are guaranteed by a third-party guarantor.”
When determining covered reporter status, should a financial company include in its calculation of its “daily outstanding commitments to borrow cash and extend guarantees” both the guarantees of the obligations of the cash borrower and also the guarantees of the obligations of the cash lender?
Yes, all guarantees of repo transactions, including guarantees of a cash borrower as well as guarantees of a cash lender, are included in this calculation.
How much does a guarantee count toward a financial company’s threshold calculation?
The entirety of the cash amount in the guaranteed repo counts toward the daily outstanding commitments—for example, not simply a shortfall that is guaranteed, and not the value of the collateral.
The NCCBR Rule considers an example: “Since the cash amount being guaranteed is the $95, rather than the shortfall value, this is considered the exposure for the purpose of the threshold calculation.”
Do covered reporters need to report all guarantees? Do they need to report whether the guarantee is of the cash lender or of the cash borrower?
Covered reporters are required to report all NCCBR transactions, including those in which the borrower or the lender is guaranteed by the covered reporter.
The current rule and data elements do not distinguish between guarantees for borrowers or lenders, nor do they require separate reporting for each. The guarantee field requires only a report of whether the repo is guaranteed repo, not an indicator of which party or exposure is guaranteed.
Questions about bunched repos
Many repos are bunched, meaning an investment adviser negotiates a repo and then allocates it to one or more fund accounts. How should a covered reporter handle this case in terms of the Legal Entity Identifiers and the number of reports?
It depends on which legal parties are agreeing to exchange cash and securities. The NCCBR Rule defines an NCCBR on page 37108, and essential to the definition are the two parties to the repo.
In a typical bunched repo, a dealer agrees to exchange cash and securities with one or more funds as counterparties. In this case, the dealer and the funds are parties to one or more NCCBR transactions. A covered reporter would then report the bunched repo as one or more repos individually and each with the LEI of the dealer on one side and the LEI of the appropriate fund account on the other side.
If the dealer should agree to exchange the cash and securities with an investment adviser as the counterparty, then the repo would have to be reported as such. The investment adviser’s other subsequent activities involving transferring the cash or securities delivered by the dealer would not be part of the transaction being considered. In such a case, a covered reporter would report just one repo and include the LEI of the dealer on one side and the LEI of the investment adviser on the other side.
What dates and times in the trade timestamp field should a covered reporter use for a bunched repo if the investment adviser allocates the trades after the transaction date?
In the NCCBR Rule, the trade timestamp of the repo is the “timestamp that the trade became an obligation of the covered reporter or the covered reporter’s affiliate or subsidiary.” This timestamp will depend, as above, on which legal entities are agreeing to exchange cash and securities.
If the legal counterparties of a repo are still not known (even if certain other terms of a repo have been negotiated), then there is still no repo agreement yet and thus no obligation to exchange securities between two parties. There is nothing to report until there is an obligation, for which the legal counterparties must be known.
As above, a counterparty could agree to exchange cash and securities with the investment adviser and not with the individual funds. In this case, the investment adviser’s other subsequent activities involving transferring the cash or securities delivered by the counterparty would not be part of the transaction being considered. In such a case, a covered reporter would report the date and time the repo was entered with the investment adviser.
Other questions
Are any payments due to the OFR by covered reporters?
No, and there is no need to enroll the OFR in an invoicing system.