COMMISSION DELEGATED REGULATION (EU) 2019/358
of 13 December 2018
supplementing Regulation (EU) 2015/2365 of the European Parliament and of the Council with regard to regulatory technical standards on the collection, verification, aggregation, comparison and publication of data on securities financing transactions (SFTs) by trade repositories
(Text with EEA relevance)
Article 1
Verification of SFT reports by trade repositories
Article 2
Reconciliation of data by trade repositories
Article 3
End-of-day response mechanisms
Article 4
Access to details of SFTs
Article 5
Calculation of, and access to position level data
Article 6
Calculation of aggregate position data for publication
Article 7
Publication of aggregate position data
Article 8
Entry into force
ANNEX I
Table |
Section |
Field |
Tolerance |
Start date mentioned in: |
Counterparty data |
NA |
Reporting counterparty |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Counterparty data |
NA |
Counterparty side |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Counterparty data |
NA |
Other counterparty |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Unique Transaction Identifier (‘UTI’) |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Type of SFT |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Cleared |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Clearing timestamp |
one hour |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
CCP |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Trading venue |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Master agreement type |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Execution timestamp |
one hour |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Value date (Start date) |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Maturity date (End date) |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Termination date |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Minimum notice period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Earliest call-back date |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
General collateral Indicator |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Delivery By Value (‘DBV’) indicator |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Method used to provide collateral |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Open term |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Termination optionality |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Fixed rate |
Up to third digit after decimal |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Day count convention |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Floating rate |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Floating rate reference period — time period |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Floating rate reference period – multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Floating rate payment frequency — time period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Floating rate payment frequency – multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Floating rate reset frequency — time period |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Floating rate reset frequency – multiplier |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Spread |
Up to third digit after decimal |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Margin lending currency amount |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Margin lending currency |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Adjusted rate |
Up to third digit after decimal |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Rate date |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Principal amount on the value date |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Principal amount on the maturity date |
0,0005 % |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Principal amount currency |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Type of asset |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Security identifier |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Classification of a security |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Base product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Sub — product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Further sub — product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Quantity or nominal amount |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Unit of measure |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Currency of nominal amount |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Security or commodity price |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Price currency |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Security quality |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Maturity of the security |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Jurisdiction of the issuer |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
LEI of the issuer |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Security type |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Loan value |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Market value |
0,0005 % |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Fixed rebate rate |
Up to third digit after decimal |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Floating rebate rate |
Up to third digit after decimal |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Floating rebate rate reference period — time period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Floating rebate rate reference period — multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Floating rebate rate payment frequency — time period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Floating rebate rate payment frequency — multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Floating rebate rate reset frequency — time period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Floating rebate rate reset frequency — multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Spread of the rebate rate |
Up to third digit after decimal |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Lending fee |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Exclusive arrangements |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Loan |
Outstanding margin loan |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Base currency of outstanding margin loan |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Short market value |
0,0005 % |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Uncollateralised Securities Lending (‘SL’) flag |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Collateralisation of net exposure |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Value date of the collateral |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Type of collateral component |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Cash collateral amount |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Cash collateral currency |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Identification of a security used as collateral |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Classification of a security used as collateral |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Base product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Collateral |
Sub – product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Collateral |
Further sub – product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Collateral |
Collateral quantity or nominal amount |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Collateral unit of measure |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Collateral |
Currency of collateral nominal amount |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Price currency |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Collateral |
Price per unit |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Collateral |
Collateral market value |
0,0005 % |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 + 24 months |
Transaction data |
Collateral |
Haircut or margin |
Up to third digit after decimal |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Collateral quality |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Maturity date of the security |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Jurisdiction of the issuer |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
LEI of the issuer |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Collateral type |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Availability for collateral reuse |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Collateral |
Collateral basket identifier |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Transaction data |
Loan |
Level |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Rejection categories |
Reason |
||
Schema |
|
||
Permission |
|
||
Logical |
|
||
Business |
|
Reconciliation categories |
Reconciliation values |
Reporting type |
Single-sided/Dual-sided |
Reporting requirement for both counterparties |
Yes/No |
Pairing Status |
Paired/Unpaired |
Loan reconciliation status |
Reconciled/Not reconciled |
Collateral reconciliation status |
Reconciled/Not reconciled |
Further modifications |
Yes/No |
ANNEX II
Table A. Aggregation |
|||||||||||||
Date |
TR |
Aggregation Type |
Venue type |
Location of reporting counterparty |
Location of the other counterparty |
Reconciliation |
Type of SFT |
Cleared |
Collateral transfer method |
Index used as reference(1) |
Aggregate amount lent |
Aggregate Number of transactions |
Aggregate value of collateral |
20161007 |
EU TR |
Reported |
XXXX |
EEA |
EEA |
Dual-sided, loan reconciled, collateral not reconciled |
Repo |
Yes |
TTCA |
|
… |
|
… |
… |
… |
Outstanding |
XOFF |
Non-EEA |
Non-EEA |
Dual-sided, loan reconciled, collateral reconciled |
BSB/SBB |
No |
SICA |
|
… |
|
… |
… |
… |
… |
EEA MIC |
… |
… |
Single-sided EEA, loan reconciled, collateral reconciled |
Securities or commodities lending and borrowing |
… |
SIUR |
|
… |
|
… |
… |
… |
… |
Non-EEA MIC |
… |
… |
… |
Margin lending |
… |
|
|
… |
|
… |
… |
… |
… |
… |
… |
… |
… |
… |
… |
… |
… |
… |
… |
… |