Central Securities Depository Regulation (CSDR)

EU Central Securities Depository Regulation (CSDR) is a European regulatory initiative spawned from the 2008 financial crisis to increase the safety and efficiency of securities settlement and securities settlement infrastructure in the EU. CSDR requires participants to use Legal Entity Identifiers (LEI’s), market/exchange identifiers (MICs) and MiFID definition transaction types when instructing CSDs. This initiative went live February 1, 2022.

Broadridge can help your firm better navigate through these choppy regulatory waters: contact your Broadridge Account Manager today to see how your firm can benefit from our existing product line-up.

Features

• Capture Late Matching Fail Penalty (LMFP) and Settlement Fail Penalty (SEFP) amounts from the custodians via daily and monthly MT537 messages
• Post daily accruals, debit trader GL accounts based on the custodians’ daily messages
• Credit/debit cash based on the monthly messages from the custodians
• Monitor breaks between daily and monthly amounts via GL Control Accounts
• Daily and monthly visibility to amounts on the Fail Penalty (FP) Screen
• Download Fail Penalty data
• New Fail Penalty Report
• Post BPS bookkeeping entries for GPS clients, from impact, for International Fixed Income and directly from GLOSS for International Equities

Benefits

• Accurate Books & Records
• Straight-Through Processing (STP)
• Online history/audit trail
• Data download & reporting

LIBOR to SOFR

The introduction of new indices to replace the LIBOR benchmark triggered a series of enhancements to support the use of an overnight Repo Rate as a more stable benchmark.  New processing was introduced in a series of six phases that supports various SOFR and SONIA indices.  This included the introduction of new formulas and new features such as Lookback, Lockout, Observation Shift, Negative Spread, and Compounded Interest.  New 30, 60, 90 and 180 Average Rate SOFR indices have also been introduced by the industry to cater to a smooth transition from LIBOR to SOFR.   All such Average Rate indices have been incorporated as well as a new link to the Fed to obtain rates for such indices. In order to provide a fully automated solution, security interfaces have been modified to consume all security information without manual intervention. This new upcoming phase VII of LIBOR/SOFR changes will include SOFR compounding and rates fields which will be added to the interface between FinPro and impact, additional SOFR fields in MSD, and improvements to the security creation process for mortgages in GUS and IMSD.

All six phases are available for testing. Phase VII is currently in progress. Reach out to your account manager for any additional questions or concerns.

Broadridge Consulting Services is assisting its clients by providing comprehensive support with their end-to-end LIBOR Replacement Programs. Please contact your Broadridge Account Manager today for more details.

FRB FR2004 Reports

The Federal Reserve Bank of New York (FRBNY), on behalf of the Federal Reserve System, collects data from primary dealers in the U.S. government securities market.

The FR2004 reports are required to maintain the benefit of primary dealer status. The Federal Reserve Bank of New York trades U.S. government and select other securities with designated primary dealers, which include banks and securities broker-dealers.

These instructions can generally be classified into two categories:

• General instructions that apply to each report in the FR 2004 Report Series; and
• Specific instructions applicable to each report in the series

Also outlined in the ‘Instructions’ are the requirements for comparison between various reports as listed below:

1.  FR 2004A vs. FR 2004B
2.  FR 2004A vs. FR 2004SI and FR 2004WI
3.  FR 2004B vs. FR 2004SI and FR 2004WI
4.  FR 2004C vs. FR 2004SI
5.  FR 2004SI (comparisons of column 4, columns 5 through 12, and columns 13 and 14)
6.  FR 2004WI (comparison of column 2 and columns 4 and 5)
7.  FR 2004SI vs. FR 2004WI

A series of enhancements are being made to impact to provide the comparison between the FR2004 reports as prescribed by the Board.

FRB TIC Form SLT Reports

The TIC S form is filed by all U.S. resident entities that purchase or sell long-term securities directly from, or to foreign residents. This form is designed to obtain data on foreigners’ purchases and sales of all long-term securities (including equities and shares of mutual funds). Data is collected in aggregate form to facilitate timely reporting.

The TIC Form SLT report collects monthly data on cross-border ownership, valuation changes in fair value due to price, and transactions (i.e., a firm’s own and their client’s purchases, sales, redemptions, repayments of ABS principal, and new issues of securities with foreign residents) by U.S. and foreign residents of long-term (original maturity of more than one year or no contractual maturity) securities for portfolio investment purposes. The go-live date for the new TIC SLT Report is November 2022. The new report will improve the accuracy of the TIC system and collect information on positions in securities and detailed security-by-security data.

Industry Initiative Updates

• SWIFT SR 2022:
• Implementation Date November 21, 2022 for MT messaging changes
• For MT to MX migration (ISO 20022), phased implementation begins at the end of FY’22. Full implementation is slated for November 2025.
• FICC Common Margin:
• FICC implementation Date TBD in 2023 (subject to regulatory approval)