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Document 32019R0356

Commission Delegated Regulation (EU) 2019/356 of 13 December 2018 supplementing Regulation (EU) 2015/2365 of the European Parliament and of the Council with regard to regulatory technical standards specifying the details of securities financing transactions (SFTs) to be reported to trade repositories (Text with EEA relevance.)

C/2018/8334

OJ L 81, 22.3.2019, p. 1–21 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_del/2019/356/oj

22.3.2019   

EN

Official Journal of the European Union

L 81/1


COMMISSION DELEGATED REGULATION (EU) 2019/356

of 13 December 2018

supplementing Regulation (EU) 2015/2365 of the European Parliament and of the Council with regard to regulatory technical standards specifying the details of securities financing transactions (SFTs) to be reported to trade repositories

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (1), and in particular Article 4(9) thereof,

Whereas:

(1)

To increase efficiency and leverage similarities between the reporting of derivatives and the reporting of securities financing transactions (‘SFTs’), the obligation to report the details of SFTs to trade repositories pursuant to Article 4 of Regulation (EU) 2015/2365 should be aligned with the obligation to report derivative transactions to trade repositories pursuant to Article 9 of Regulation (EU) No 648/2012 of the European Parliament and of the Council (2). The reporting requirements that specify the details of SFTs should therefore be similar to the reporting requirements that specify the details of derivative contracts.

(2)

To ensure the efficiency and usefulness of reported information on SFTs, the specific details of the SFTs to be reported should be adapted to the different types of SFTs identified in Regulation (EU) 2015/2365. With regards to reporting margin lending transactions, the purpose of Regulation (EU) 2015/2365 is to capture transactions that serve the same purpose as repurchase transactions, buy-sell back transactions or securities lending transactions and therefore pose similar risks to financial stability by allowing the build-up of leverage, pro-cyclicality and interconnectedness in financial markets or by contributing to liquidity and maturity transformation. While margin lending therefore includes transactions subject to margin agreements between financial institutions and their clients where financial institutions provide prime brokerage services to their clients, it does not include other loans such as loans for corporate restructuring purposes which, despite the possibility of involving securities, do not contribute to the systemic risks addressed by Regulation (EU) 2015/2365.

(3)

It is important that the details of any SFT cleared by a central counterparty are correctly reported and can be easily identified, irrespective of whether that SFT was cleared on the same date or on a later date than the date on which that SFT was concluded.

(4)

To ensure comprehensive reporting where specific details of the collateral are not known on the day of the trade, counterparties should update information on the collateral as soon as that information becomes available to the counterparties, and no later than the working day following the value date of that SFT.

(5)

To provide more useful information to the authorities that access the details of SFTs in trade repositories, counterparties should report to the trade repositories the International Securities Identification Number (‘ISIN’) of any collateral basket they use to provide collateral to an SFT, if that basket has an ISIN.

(6)

Where counterparties provide collateral on a net exposure basis, resulting from the offsetting of a number of SFTs between two counterparties, a specific allocation of collateral to an individual SFT is often not possible, and hence the collateral allocation may not be known. In those situations, counterparties should be able to report collateral independently of the underlying loan.

(7)

This Regulation is based on the draft regulatory technical standards submitted by the European Securities and Markets Authority (‘ESMA’) to the Commission pursuant to the procedure in Article 10 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (3).

(8)

ESMA has conducted open public consultations on these draft regulatory technical standards, analysed the potential related costs and benefits and requested the opinion of the ESMA Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010,

HAS ADOPTED THIS REGULATION:

Article 1

Details of SFTs to be reported

1.   A report made pursuant to Article 4(1) of Regulation (EU) 2015/2365 shall include the complete and accurate details set out in Tables 1, 2, 3 and 4 of the Annex that pertain to the SFT concerned.

2.   When reporting the conclusion of an SFT, a counterparty shall specify in its report the action type ‘New’ in Field 98 in Table 2 of the Annex to this Regulation. Any subsequent reports of the details of that SFT shall specify in Field 98 in Table 2 of the Annex to this Regulation the relevant action type that relates to that SFT.

Article 2

SFTs cleared by central counterparties

1.   An SFT whose details have already been reported pursuant to Article 4(1) of Regulation (EU) 2015/2365 and which is subsequently cleared by a central counterparty, shall be reported, once cleared, as terminated by specifying in Field 98 of Table 2 of the Annex the action type ‘Termination/Early Termination’, and the new SFTs resulting from the clearing shall be reported.

2.   An SFT that is concluded on a trading venue and that is cleared by a central counterparty on the same day shall only be reported after that SFT has been cleared.

3.   A counterparty shall, for the margin posted or received for a cleared SFT, report the details set out in Table 3 of the Annex to this Regulation and specify the relevant action type laid down in Field 20 of that Table of the Annex.

Article 3

Collateral reporting

1.   Counterparties to a securities or commodities lending or a securities or commodities borrowing transaction that agree that no collateral shall be provided, shall specify this in Field 72 of Table 2 of the Annex.

2.   Where the collateral of an SFT is linked to an individual loan and the details of the collateral are known by the counterparty by the reporting deadline, the counterparty shall specify the complete and accurate details of all of the individual collateral components of that SFT in Fields 75 to 94 of Table 2 of the Annex when reporting this SFT for the first time with the action type ‘New’ in Field 98 of Table 2 of the Annex.

3.   Where the collateral of an SFT is linked to an individual loan, but the details of the collateral are not known by the counterparty by the reporting deadline, the counterparty shall specify, with the action type ‘Collateral update’ in Field 98 of Table 2 of the Annex, the complete and accurate details of all of the individual collateral components of that SFT in Fields 75 to 94 of Table 2 of the Annex as soon as they are known and no later than the working day following the value date specified in Field 13 of Table 2 of the Annex.

4.   A counterparty collateralising one or more SFTs with a collateral basket that is identified by an International Securities Identification Number (‘ISIN’), shall specify the ISIN in Field 96 of Table 2 of the Annex when reporting it with the action type ‘New’ in Field 98 of Table 2 of the Annex.

5.   A counterparty collateralising one or more SFTs with a collateral basket that is not identified by an ISIN, shall specify the code ‘NTAV’ in Field 96 of Table 2 of the Annex when reporting the SFT with the action type ‘New’ in Field 98 of Table 2 of the Annex.

6.   For the purpose of paragraphs 4 and 5, the counterparty shall also specify, with the action type ‘Collateral update’ in Field 98 of Table 2 of the Annex, the complete and accurate details of all the individual collateral components of that SFT in Fields 75 to 94 of Table 2 of the Annex as soon as those details are known and no later than the working day following the value date specified in Field 13 of Table 2 of the Annex.

7.   A counterparty collateralising several SFTs on a net exposure basis shall specify the value ‘true’ in Field 73 of Table 2 of the Annex. That counterparty shall specify, with the action type ‘Collateral update’ in Field 98 of Table 2 of the Annex, the complete and accurate details of all of the individual collateral components of these SFTs in Fields 75 to 94 of Table 2 of the Annex as soon as those details are known and no later than the working day following the value date specified in Field 13 of Table 2 of the Annex.

Article 4

Reporting of reuse of collateral

1.   A counterparty receiving one or several financial instruments as collateral in a SFT shall specify the complete and accurate details of any reuse of each of those financial instruments in Fields 7, 8 and 9 of Table 4 of the Annex.

2.   A counterparty receiving cash as collateral in a SFT shall specify the complete and accurate details of all cash collateral reinvestment for each currency in Fields 11, 12 and 13 of Table 4 of the Annex.

Article 5

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 13 December 2018.

For the Commission

The President

Jean-Claude JUNCKER


(1)  OJ L 337, 23.12.2015, p. 1.

(2)  Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).

(3)  Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).


ANNEX

Table 1

Counterparty data

No

Field

Details to be reported

Repo

BSB

SL

ML

1

Reporting timestamp

Date and time of submission of the report to the trade repository.

Y

Y

Y

Y

2

Report submitting entity

Unique code identifying the entity which submits the report. Where the submission of the report has been delegated to a third party or to the other counterparty, a unique code identifying that entity.

Y

Y

Y

Y

3

Reporting counterparty

Unique code identifying the reporting counterparty.

Y

Y

Y

Y

4

Nature of the reporting counterparty

Indication of whether the reporting counterparty is a financial or non-financial counterparty.

Y

Y

Y

Y

5

Sector of the reporting counterparty

One or more codes that classify the nature of the reporting counterparty's business activities.

Where the reporting counterparty is a financial counterparty, all relevant codes included in the taxonomy for financial counterparties and applying to that counterparty.

Where the reporting counterparty is a non-financial counterparty, all relevant codes included in the taxonomy for non-financial counterparties and applying to that counterparty.

Where more than one activity is reported, the codes shall be specified in order of the relative importance of the corresponding activities.

Y

Y

Y

Y

6

Additional sector classification

Where the reporting counterparty is an Undertaking for Collective Investment in Transferable Securities (UCITS) or Alternative Investment Fund (AIF), a code that determines whether it is an Exchange-Traded Fund (ETF) or a Money Market Fund (MMF)

Where the reporting counterparty is an Alternative Investment Fund (AIF) or a non-financial counterparty undertaking financial and insurance activities or real estate activities, a code that determines whether it is a Real Estate Investment Trust (REIT)

Y

Y

Y

Y

7

Branch of the reporting counterparty

Where the reporting counterparty concludes an SFT through a branch office, the code identifying the branch.

Y

Y

Y

Y

8

Branch of the other counterparty

Where the other counterparty concludes an SFT through a branch office, the code identifying the branch.

Y

Y

Y

Y

9

Counterparty side

Indication of whether the reporting counterparty is a collateral provider or a collateral taker in accordance with Article 4 of the Commission Implementing Regulation (EU) 2019/363 (1)

Y

Y

Y

Y

10

Entity responsible for the report

Where a financial counterparty is responsible for reporting on behalf of the other counterparty in accordance with Article 4(3) of Regulation (EU) No 2365/2015 of the Parliament and of the Council (2), the unique code identifying that financial counterparty.

Where a management company is responsible for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 4(3) of that Regulation the unique code identifying that management company.

Where an Alternative Investment Fund Manager (AIFM) is responsible for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that AIFM.

Y

Y

Y

Y

11

Other counterparty

Unique code identifying the entity with which the reporting counterparty concluded the SFT. In case of a private individual, a client code shall be specified in a consistent manner.

Y

Y

Y

Y

12

Country of the other Counterparty

Code of the country where the registered office of the other counterparty is located or code of the country of residence in case that the other counterparty is a natural person.

Y

Y

Y

Y

13

Beneficiary

Where the beneficiary of the contract is not a counterparty to this contract, the reporting counterparty has to identify this beneficiary by specifying a unique code or, in case of a private individual, by specifying a client code used in a consistent manner as assigned by the legal entity used by that private individual.

Y

Y

Y

N

14

Tri-party agent

Unique code identifying the third party to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).

Y

Y

Y

N

15

Broker

Unique code of the entity that acts as intermediary for the reporting counterparty without becoming a counterparty to the SFT itself. For securities lending transactions, a broker does not include the agent lender.

Y

Y

Y

N

16

Clearing member

Where the trade is cleared, unique code identifying the responsible clearing member of the reporting counterparty.

Y

Y

Y

N

17

Central Securities Depository (‘CSD’) participant or indirect participant

Unique code of the CSD participant or indirect participant of the reporting counterparty.

Where both the CSD participant and indirect participant are involved in the transaction, the code of the indirect participant.

This field is not applicable to commodities.

Y

Y

Y

N

18

Agent lender

Unique code of the agent lender involved in the securities lending transaction.

Y

N

Y

N


Table 2

Loan and collateral data

No

Field

Details to be reported

Repo

BSB

SL

ML

1

Unique Transaction Identifier (‘UTI’)

Unique reference assigned to the SFT in order to identify the trade.

Y

Y

Y

Y

2

Report tracking number

In the case of transactions resulting from clearing, the prior UTI, namely the UTI of the original bilateral transaction shall be reported. However, the prior UTI is not required to be reported by counterparties that are central counterparties (‘CCP's’) which have cleared the SFT.

Where an SFT was executed on a trading venue and cleared on the same day, a number generated by the trading venue and unique to that execution.

Y

Y

Y

N

3

Event date

Date on which the reportable event relating to the SFT and captured by the report took place. In the case of action types ‘Valuation update’, ‘Collateral update’, ‘Reuse update’, ‘Margin update’, the date for which the information contained in the report is provided.

Y

Y

Y

Y

4

Type of SFT

Type of SFT transaction as defined in paragraphs (7) to (10) of Article 3 of Regulation (EU) No 2365/2015.

Y

Y

Y

Y

5

Cleared

Indication of whether central clearing has taken place.

Y

Y

Y

N

6

Clearing timestamp

Time and date when clearing took place.

Y

Y

Y

N

7

CCP

Where a contract has been cleared, the unique code for the CCP that has cleared the contract.

Y

Y

Y

N

8

Trading venue

Unique code identifying the venue of execution of the SFT.

Where the SFT was concluded over the counter and it is admitted to trading, the MIC code ‘XOFF’.

Where the SFT was concluded over the counter and it is not admitted to trading, the MIC code ‘XXXX’.

Y

Y

Y

N

9

Master agreement type

Reference to the master agreement type under which the counterparties concluded a SFT.

Y

Y

Y

N

10

Other master agreement type

Name of the master agreement. This field shall only be completed where ‘OTHR’ is reported in field 9.

Y

Y

Y

N

11

Master agreement version

Reference to the year of the master agreement relevant to the reported trade, if applicable.

Y

Y

Y

N

12

Execution timestamp

Date and time when the SFT was executed.

Y

Y

Y

Y

13

Value date (Start date)

Date contractually agreed between the counterparties for the exchange of cash, securities, or commodities versus collateral for the opening leg (spot leg) of the SFT.

Y

Y

Y

N

14

Maturity date (End date)

Date contractually agreed between the counterparties for the exchange of cash, securities, or commodities versus collateral for the closing leg (forward leg) of the SFT. This information shall not be reported for open term repos.

Y

Y

Y

N

15

Termination date

Termination date in the case of a full early termination of the SFT.

Y

Y

Y

Y

16

Minimum notice period

Minimum number of business days that one of the counterparties has to inform the other counterparty of the termination of the transaction.

Y

N

N

N

17

Earliest call-back date

Earliest date that the cash lender has the right to call back a portion of the funds or to terminate the transaction.

Y

N

N

N

18

General collateral Indicator

Indication of whether the SFT is subject to a general collateral arrangement. In the case of a securities lending transaction, the field refers to securities provided as collateral, and not to the security provided on loan.

The code ‘GENE’ shall be specified for an SFT which is subject to a general collateral arrangement. A general collateral arrangement specifies a collateral arrangement for a transaction in which the collateral giver may choose the security to be provided as collateral amongst a relatively wide range of securities satisfying predefined criteria.

The code ‘SPEC’ shall be specified for an SFT which is subject to a specific collateral arrangement. A specific collateral arrangement specifies a collateral arrangement for a transaction in which the collateral taker requests a specific International Securities Identification Number (‘ISIN’) to be provided by the collateral provider.

Y

Y

Y

N

19

Delivery By Value (‘DBV’) indicator

Indication of whether the transaction was settled using the DBV mechanism.

Y

N

Y

N

20

Method used to provide collateral

Indication of whether the collateral in the SFT is subject to a title transfer collateral arrangement, a security financial collateral arrangement, or a security financial collateral arrangement with a right of use.

Where more than one method was used to provide collateral, the primary collateral arrangement shall be specified in this field.

Y

N

Y

Y

21

Open term

Indication of whether the SFT is open term (which has no fixed maturity date) or fixed term with a contractually agreed maturity date.

The code ‘True’ shall be specified for open term SFTs, and the code ‘False’ for fixed term SFTs.

Y

N

Y

N

22

Termination optionality

Indication of whether the SFT is an evergreen or an extendable SFT.

Y

N

Y

N

In the case of margin lending, fields 23 to 34 shall be repeated and completed for each currency used in the margin loan.

23

Fixed rate

In the case of repos, the annualised interest rate on the principal amount of the repurchase transaction in accordance with the day count conventions.

In the case of margin lending, the annualised interest rate on the loan value that the borrower pays to the lender.

Y

N

N

Y

24

Day count convention

Method of calculating the accrued interest on the principal amount for a rate.

Y

N

N

Y

25

Floating rate

Indication of the reference interest rate used which is reset at predetermined intervals by reference to a market reference rate, if applicable.

Y

N

N

Y

26

Floating rate reference period — time period

Time period describing the reference period of the floating rate.

Y

N

N

Y

27

Floating rate reference period — multiplier

Multiplier for the time period describing the reference period of the floating rate specified in field 26.

Y

N

N

Y

28

Floating rate payment frequency — time period

Time period describing the frequency of payments subject to the floating rate.

Y

N

N

Y

29

Floating rate payment frequency — multiplier

Multiplier for the time period describing the payment frequency for the floating rate specified in field 28.

Y

N

N

Y

30

Floating rate reset frequency — time period

Time period describing the frequency of the floating rate resets.

Y

N

N

Y

31

Floating rate reset frequency — multiplier

Multiplier for the time period describing the frequency for the floating rate resets specified in field 30.

Y

N

N

Y

32

Spread

Number of basis points to be added to or subtracted from the floating interest rate in order to determine the interest rate of the loan.

Y

N

N

Y

33

Margin lending currency amount

Amount of a margin loan in a given currency.

N

N

N

Y

34

Margin lending currency

Currency of the margin loan.

N

N

N

Y

Fields 35 and 36 shall be repeated and completed for each floating rate adjustment.

35

Adjusted rate

Rate as determined by the rate schedule.

Y

N

N

N

36

Rate date

Date from which the rate is effective.

Y

N

N

N

37

Principal amount on the value date

Cash value to be settled as of the value date of the transaction.

Y

Y

N

N

38

Principal amount on the maturity date

Cash value to be settled as of the maturity date of the transaction.

Y

Y

N

N

39

Principal amount currency

Currency of the principal amount.

Y

Y

N

N

40

Type of asset

Indication of the type of asset that is the subject of the SFT.

N

N

Y

N

41

Security identifier

Identification of the security that is the subject of the SFT.

This field is not applicable to commodities.

N

N

Y

N

42

Classification of a security

Classification of Financial Instruments (‘CFI’) code of the security that is the subject of the SFT.

This field is not applicable to commodities

N

N

Y

N

Where a commodity was lent or borrowed, the classification of that commodity shall be specified in fields 43, 44 and 45.

43

Base product

Base product as specified in the classification of commodities in Table 5 of Annex I of the Implementing Regulation (EU) 2019/363.

N

N

Y

N

44

Sub — product

Sub — product as specified in the classification of commodities in Table 5 of Annex I of the Implementing Regulation (EU) 2019/363.

This field requires a specific base product in field 43.

N

N

Y

N

45

Further sub — product

Further sub product as specified in the classification of commodities table.

This field requires a specific sub product in field 44.

N

N

Y

N

46

Quantity or nominal amount

Quantity or nominal amount of the security or commodity subject of the SFT.

In the case of a bond, the total nominal amount which means the number of bonds multiplied by their face value.

In the case of other securities or commodities, their quantity.

N

N

Y

N

47

Unit of measure

Unit of measure in which the quantity is expressed. This field is applicable to commodities.

N

N

Y

N

48

Currency of nominal amount

In the case where the nominal amount is reported, the currency of the nominal amount.

N

N

Y

N

49

Security or commodity price

In the case of securities and commodities lending and borrowing, the price of the security or commodity used to calculate the loan value.

In the case of a buy-sell back, the price of the security or commodity used to calculate the trade amount for the spot leg of the buy-sell back.

N

Y

Y

N

50

Price currency

Currency in which the security or commodity price is denominated.

N

N

Y

N

51

Security quality

Code that classifies the credit risk of the security.

N

N

Y

N

52

Maturity of the security

Maturity of the security.

This field is not applicable to commodities.

N

N

Y

N

53

Jurisdiction of the issuer

Jurisdiction of the issuer of the security. In case of securities issued by a foreign subsidiary, the jurisdiction of the ultimate parent company or, if not known, the jurisdiction of the subsidiary.

This field is not applicable to commodities.

N

N

Y

N

54

LEI of the issuer

LEI of the issuer of the security.

This field is not applicable to commodities.

N

N

Y

N

55

Security type

Code that classifies the type of the security.

N

N

Y

N

56

Loan value

Loan value, namely the quantity or nominal amount of the loan multiplied by the price contained in field 49.

N

N

Y

N

57

Market value

Market value of the securities or commodities on loan or borrowed.

N

N

Y

N

58

Fixed rebate rate

Fixed interest rate (rate agreed to be paid by the lender for the reinvestment of the cash collateral minus any lending fee) paid by the lender of the security or commodity to the borrower (positive rebate rate) or by the borrower to the lender (negative rebate rate) on the balance of the provided cash collateral.

N

N

Y

N

59

Floating rebate rate

Indication of the reference interest rate used to calculate the rebate rate (rate agreed to be paid by the lender for the reinvestment of the cash collateral minus any lending fee) paid by the lender of the security or commodity to the borrower (positive rebate rate) or by the borrower to the lender (negative rebate rate) on the balance of the provided cash collateral.

N

N

Y

N

60

Floating rebate rate reference period — time period

Time period describing the reference period of the floating rebate rate.

N

N

Y

N

61

Floating rebate rate reference period — multiplier

Multiplier for the time period describing the reference period for the floating rebate rate specified in field 60.

N

N

Y

N

62

Floating rebate rate payment frequency — time period

Time period describing the frequency of the payments for the floating rebate rate.

N

N

Y

N

63

Floating rebate rate payment frequency — multiplier

Multiplier for the time period describing the payment frequency for the floating rebate rate specified in field 62.

N

N

Y

N

64

Floating rebate rate reset frequency — time period

Time period describing the frequency of the floating rebate rate resets.

N

N

Y

N

65

Floating rebate rate reset frequency — multiplier

Multiplier for the time period describing the frequency of the floating rebate rate reset specified in field 64.

N

N

Y

N

66

Spread of the rebate rate

Spread for the floating rebate rate expressed in basis points.

N

N

Y

N

67

Lending fee

Fee that the borrower of the security or commodity pays to the lender.

N

N

Y

N

68

Exclusive arrangements

In the case of securities borrowing and lending, an indication of whether the borrower has exclusive access to borrow from the lender's securities portfolio.

This field is not applicable to commodities.

N

N

Y

N

69

Outstanding margin loan

Total amount of margin loans, in the base currency.

N

N

N

Y

70

Base currency of outstanding margin loan

Base currency of outstanding margin loans.

N

N

N

Y

71

Short market value

Market value of the short position, in the base currency.

N

N

N

Y

Collateral data

72

Uncollateralised Securities Lending (‘SL’) flag

Indication of whether the SL transaction is uncollateralised.

This field shall not be used when the counterparties agree to collateralise the trade but the specific allocation of collateral is not yet known.

N

N

Y

N

73

Collateralisation of net exposure

Indication of whether the collateral has been provided for a net exposure, rather than for a single transaction.

Y

Y

Y

N

74

Value date of the collateral

Where trades have been collateralised on a net exposure basis, the latest value date contained in the netting set of SFTs, taking into consideration all of the transactions for which the collateral was provided.

Y

Y

Y

N

Where specific collateral was used, fields 75 to 94 shall be repeated and completed for each component of the collateral, where applicable.

75

Type of collateral component

Indication of the type of collateral component.

Y

Y

Y

Y

Where cash was used as collateral, this shall be specified in fields 76 and 77.

76

Cash collateral amount

Amount of funds provided as collateral for the borrowing of securities or commodities.

Y

Y

Y

N

77

Cash collateral currency

Currency of the cash collateral.

Y

Y

Y

N

78

Identification of a security used as collateral

Identification of the security used as collateral.

This field is not applicable to commodities.

Y

Y

Y

Y

79

Classification of a security used as collateral

CFI code of the security used as collateral.

This field is not applicable to commodities.

Y

Y

Y

Y

Where a commodity was used as collateral, the classification of that commodity shall be specified in fields 80, 81 and 82.

80

Base product

Base product as specified in the classification of commodities in Table 5 of Annex I of the Implementing Regulation (EU) 2019/363.

Y

Y

Y

N

81

Sub — product

Sub — product as specified in the classification of commodities in Table 5 of Annex I of the Implementing Regulation (EU) 2019/363. This field requires a specific base product in field 80.

Y

Y

Y

N

82

Further sub — product

Further sub — product as specified in the classification of commodities in Table 5 of Annex I of the Implementing Regulation (EU) 2019/363. This field requires a specific sub — product in field 81.

Y

Y

Y

N

83

Collateral quantity or nominal amount

Quantity or nominal amount of the security or commodity used as collateral.

In the case of a bond, the total nominal amount which means the number of bonds multiplied by the face value.

In the case of other securities or commodities, their quantity.

Y

Y

Y

Y

84

Collateral unit of measure

Unit of measure in which the collateral quantity is specified. This field is applicable to commodities.

Y

Y

Y

N

85

Currency of collateral nominal amount

In the case where the collateral nominal amount is reported, the currency of the nominal amount.

Y

Y

Y

Y

86

Price currency

Currency of the price of the collateral component.

Y

Y

Y

Y

87

Price per unit

Price per unit in respect of the collateral component, including accrued interest for interest-bearing securities used to value the security or commodity.

Y

Y

Y

Y

88

Collateral market value

Market value of the individual collateral component expressed in price currency.

Y

Y

Y

Y

89

Haircut or margin

For repos and buy-sell backs, any collateral haircut shall be specified by reference to any risk control measure applied to the underlying collateral, at ISIN level, whereby the value of that underlying collateral is calculated as the market value of the assets reduced by a certain percentage.

For securities lending, the percentage of any collateral haircut shall be specified by reference to any risk control measure applied to the underlying collateral, either at ISIN or portfolio-level, whereby the value of that underlying collateral is calculated as the market value of the assets reduced by a certain percentage.

For margin lending, the percentage of the margin requirement applied to the entire collateral portfolio held in a client's prime brokerage account.

Actual values, as opposed to estimated or default values shall be specified in this field.

Y

Y

Y

Y

90

Collateral quality

Code that classifies the risk of the security used as collateral.

Y

Y

Y

Y

91

Maturity date of the security

Maturity date of the security used as collateral.

This field is not applicable to commodities.

Y

Y

Y

Y

92

Jurisdiction of the issuer

Jurisdiction of the issuer of the security used as collateral. In case of securities issued by a foreign subsidiary, the jurisdiction of the ultimate parent company shall be reported or, if not known, the jurisdiction of the subsidiary.

This field is not applicable to commodities

Y

Y

Y

Y

93

LEI of the issuer

LEI of the issuer of the security used as collateral.

This field is not applicable to commodities.

Y

Y

Y

Y

94

Collateral type

Code that classifies the type of the security used as collateral.

 

 

 

 

95

Availability for collateral reuse

Indication of whether the collateral taker can reuse the securities provided as a collateral.

Y

Y

Y

Y

Field 96 shall be specified in the case where a collateral basket was used. The detailed allocation of collateral for SFTs transacted against a collateral pool shall be specified in fields 75 to 94 when available.

96

Collateral basket identifier

Where the collateral basket can be identified with an ISIN, the ISIN of the collateral basket.

Where the collateral basket cannot be identified with an ISIN, this field shall be completed with the code ‘NTAV’.

Y

Y

Y

N

97

Portfolio code

Where the transaction is cleared and is included in a portfolio of transactions for which margins are exchanged, the portfolio shall be identified by a unique code determined by the reporting counterparty.

Where the portfolio of transactions also includes derivative contracts reportable under Regulation (EU) No 648/2012, the portfolio code shall be the same as that reported under Regulation (EU) No 648/2012.

Y

Y

Y

N

98

Action type

The report shall contain one of the following action types:

(a)

a SFT reported for the first time shall be identified as ‘New’;

(b)

a modification of a previously reported SFT shall be identified as ‘Modification’. This includes an update to a previous report showing a position in order to reflect new trades included in that position;

(c)

a valuation of the security or commodity subject to a securities or commodities lending transaction shall be identified as ‘Valuation Update’;

(d)

a modification of the details of collateral data, including its valuation, shall be identified as ‘Collateral update’;

(e)

a cancellation of a wrongly submitted entire report where the SFT never came into existence or was not subject to SFT reporting requirements but which was reported to a trade repository by mistake shall be identified as ‘Error’;

(f)

a correction of data fields that were submitted wrongly in a previous report shall be identified as ‘Correction’;

(g)

a termination of an open term SFT or an early termination of a fixed term SFT shall be identified as ‘Termination/Early termination’;

(h)

a SFT that is to be reported as a new trade and also included in a separate position report on the same day shall be identified as a ‘Position component’.

Y

Y

Y

Y

99

Level

Indication of whether the report is done at trade or position level.

Position level reporting can be used only as a supplement to trade level reporting to report post-trade events and only if the individual trades in fungible products have been replaced by the position.

Y

Y

Y

N


Table 3

Margin data

No

Field

Details to be reported

Repo

BSB

SL

ML

1

Reporting timestamp

Date and time of submission of the report to the trade repository.

Y

Y

Y

N

2

Event date

Date on which the reportable event relating to the SFT and captured by the report took place. In the case of action types ‘Valuation update’, ‘Collateral update’, ‘Reuse update’, ‘Margin update’, the date for which the information contained in the report is provided.

Y

Y

Y

N

3

Report submitting entity

Unique code identifying the entity which submits the report. In the case where the submission of the report has been delegated to a third party or to the other counterparty, the unique code identifying that entity.

Y

Y

Y

N

4

Reporting Counterparty

Unique code identifying the reporting counterparty.

Y

Y

Y

N

5

Entity responsible for the report

Where a financial counterparty is responsible for reporting on behalf of the other counterparty in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that financial counterparty.

Where a management company is responsible for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that management company.

Where an Alternative Investment Fund Manager (AIFM) is responsible for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that AIFM.

Y

Y

Y

Y

6

Other counterparty

Unique code identifying the entity with whom the reporting counterparty concluded the SFT

Y

Y

Y

N

7

Portfolio code

The portfolio of transactions for which margins are exchanged shall be identified by a unique code determined by the reporting counterparty.

Where the portfolio of transactions also includes derivative contracts reportable under Regulation (EU) No 648/2012, the portfolio code shall be the same as that reported under Regulation (EU) No 648/2012.

Y

Y

Y

N

8

Initial margin posted

Value of the initial margin posted by the reporting counterparty to the other counterparty.

Where the initial margin is posted on a portfolio basis, this field shall specify the overall value of initial margin posted for the portfolio.

Y

Y

Y

N

9

Currency of the initial margin posted

Currency of the initial margin posted.

Y

Y

Y

N

10

Variation margin posted

Value of the variation margin posted, including the value of cash settled, by the reporting counterparty to the other counterparty.

Where the variation margin is posted on a portfolio basis, this field shall specify the overall value of the variation margin posted for the portfolio.

Y

Y

Y

N

11

Currency of the variation margin posted

Currency of the variation margin posted.

Y

Y

Y

N

12

Initial margin received

Value of the initial margin received by the reporting counterparty from the other counterparty.

Where the initial margin is received on a portfolio basis, this field shall specify the overall value of the initial margin received for the portfolio.

Y

Y

Y

N

13

Currency of the initial margin received

Currency of the initial margin received.

Y

Y

Y

N

14

Variation margin received

Value of the variation margin received, including the value of cash settled, by the reporting counterparty from the other counterparty.

Where the variation margin is received on a portfolio basis, this field shall specify the overall value of the variation margin received for the portfolio.

Y

Y

Y

N

15

Currency of the variation margin received

Currency of the variation margin received.

Y

Y

Y

N

16

Excess collateral posted

Value of collateral posted in excess of the required collateral.

Y

Y

Y

N

17

Currency of the excess collateral posted

Currency of the excess collateral posted.

Y

Y

Y

N

18

Excess collateral received

Value of collateral received in excess of the required collateral.

Y

Y

Y

N

19

Currency of the excess collateral received

Currency of the excess collateral received.

Y

Y

Y

N

20

Action type

The report shall contain one of the following action types:

(a)

a new margin balance shall be identified as ‘New’;

(b)

a modification of the details of the margins shall be identified as ‘Margin update’;

(c)

a cancellation of a wrongly submitted entire report shall be identified as ‘Error’;

(d)

a correction of data fields that were submitted incorrectly in a previous report shall be identified as ‘Correction’;

Y

Y

Y

N


Table 4

Re-use, cash reinvestment and funding sources data

No

Field

Details to be reported

Repo

BSB

SL

ML

1

Reporting timestamp

Date and time of submission of the report to the trade repository.

Y

Y

Y

Y

2

Event date

Date on which the reportable event relating to the SFT and captured by the report took place. In the case of action types ‘Valuation update’, ‘Collateral update’, ‘Reuse update’, ‘Margin update’, the date for which the information contained in the report is provided.

Y

Y

Y

Y

3

Report submitting entity

Unique code identifying the entity which submits the report. In the case where the submission of the report has been delegated to a third party or to the other counterparty, the unique code identifying that entity.

Y

Y

Y

Y

4

Reporting counterparty

Unique code identifying the reporting counterparty.

Y

Y

Y

Y

5

Entity responsible for the report

Where a financial counterparty is responsible for reporting on behalf of the other counterparty in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that financial counterparty.

Where a management company is responsible for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that management company.

Where an Alternative Investment Fund Manager (AIFM) is responsible for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 4(3) of Regulation (EU) No 2365/2015, the unique code identifying that AIFM.

Y

Y

Y

Y

Field 6 shall be repeated and completed for each collateral component.

6

Type of collateral component

Indication of the type of collateral component.

Y

Y

Y

Y

Fields 7, 8, 9 and 10 shall be repeated and completed for each security.

7

Collateral component

Identification of the security used as collateral.

Y

Y

Y

Y

8

Value of reused collateral

Total value of the collateral reused when it can be calculated at SFT transaction level.

Y

Y

Y

Y

9

Estimated reuse of collateral

When the actual value of reused collateral is unknown or cannot be calculated, an estimate of the value of reuse at individual financial instrument level shall be calculated as laid down in the FSB report ‘Transforming Shadow Banking into Resilient Market-based Finance, Non-Cash Collateral Re-Use: Measure and Metrics’ of 25 January 2017.

Y

Y

Y

Y

10

Reused collateral currency

Currency of the actual or estimated value of the collateral reused.

Y

Y

Y

Y

11

Reinvestment rate

Average interest rate received from a cash collateral reinvestment made by the lender.

N

N

Y

N

Fields 12, 13 and 14 shall be repeated and completed for each investment where cash collateral has been re-invested and in respect of each currency.

12

Type of re-invested cash investment

Type of re-investment.

N

N

Y

N

13

Re-invested cash amount

Amount of the re-invested cash in a given currency.

N

N

Y

N

14

Re-invested cash currency

Currency of the re-invested cash.

N

N

Y

N

In the case of margin lending transactions, the counterparty shall repeat and complete fields 15, 16 and 17 for each funding source and shall provide the information in these fields at entity level.

15

Funding sources

Funding sources used to finance margin loans.

N

N

N

Y

16

Market value of the funding sources

Market value of funding sources referred to in field 15.

N

N

N

Y

17

Funding sources currency

Currency of the market value of the funding sources.

N

N

N

Y

18

Action type

The report shall contain one of the following action types:

(a)

a new reuse balance shall be identified as ‘New’;

(b)

a modification of the details of the reuse shall be identified as ‘Reuse update’;

(c)

a cancellation of a wrongly submitted entire report shall be identified as ‘Error’;

(d)

a correction of data fields that were submitted incorrectly in a previous report shall be identified as ‘Correction’.

Y

Y

Y

Y


(1)  Commission Implementing Regulation (EU) 2019/363 of 13 December 2018 laying down implementing technical standards with regard to the format and frequency of reports on the details of securities financing transactions (SFTs) to trade repositories in accordance with Regulation (EU) 2015/2365 of the European Parliament and of the Council and amending Implementing Regulation (EU) No 1247/2012 with regard to the use of reporting codes in the reporting of derivative contracts (See page 85 of this Official Journal).

(2)  Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (OJ L 337, 23.12.2015, p. 1).


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