Delegated regulation 2019/358 - Supplement to Regulation 2015/2365 with regard to regulatory technical standards on the collection, verification, aggregation, comparison and publication of data on securities financing transactions (SFTs) by trade repositories - Main contents

EN

Official Journal of the European Union

L 81/30

To ensure the high quality of the SFT details reported to trade repositories, trade repositories should verify the identity of the report submitting entities, the logical integrity of the sequence in which SFT details are reported, and the completeness and correctness of those SFT details.

For the same reason, trade repositories should reconcile the details of each SFT report received. A standardised process should be specified to enable trade repositories to conduct reconciliation in a consistent manner and to reduce the risks of details of SFTs not being reconciled. Certain details of SFTs, however, might not be identical due to the specificities of the technology systems used by the entities submitting the report. Certain tolerances therefore need to be applied, so that minor differences in the reported details of SFTs do not prevent the authorities from analysing the data with an adequate level of confidence.

It is to be expected that report submitting entities will over time improve their reporting, both in terms of a reduction of the number of rejected reports and in terms of reconciled reports. They should however be given sufficient time to adapt to the reporting requirements, in particular to prevent the accumulation of non-reconciled trades immediately after the reporting obligation starts to apply. It is therefore appropriate that in a first phase only a reduced set of fields should be reconciled.

Report submitting entities and entities responsible for reporting, if applicable, should be able to monitor their compliance with their reporting obligations under Regulation (EU) 2015/2365. They should therefore be able to access certain information, on a daily basis, in respect of those reports, including the result of the verification of those reports, as well as the progress of the reconciliation of the reported data. It is therefore necessary to specify the information that a trade repository should make available to these entities at the end of each working day.

To facilitate the integrity of the details of SFTs, the direct and immediate access referred to in Article 12(2) of Regulation (EU) 2015/2365 should be provided in a harmonised and consistent manner. To standardise the reporting, minimise the costs for the industry and ensure the comparability and consistent aggregation of data across trade repositories, it is appropriate that all output reports and exchanges are delivered in XML format templates and follow a methodology that is widely used in the financial industry.

Access to position level data on the exposures between two given counterparties is essential to enable the entities referred to in Article 12(2) of Regulation (EU) 2015/2365 to determine potential sources of systemic or non-systemic risks to financial stability.

To provide an adequate level of transparency to the public with regard to SFTs, the criteria used for the aggregation of positions should enable the general public to understand the functioning of the SFT markets, without undermining the confidentiality of the data reported to trade repositories. The frequency and details of a trade repository's publication of aggregate positions pursuant to Article 12(1) of Regulation (EU) 2015/2365 should be specified in a manner that builds on the related framework provided for by Regulation (EU) No 648/2012 of the European Parliament and of the Council (2) for derivative contracts.

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).

The provisions in this Regulation deal with operational standards for the collection, aggregation and comparison of data by trade repositories, as well as procedures to be applied by trade repositories in order to verify the completeness and correctness of the SFT details reported to them. To ensure coherence between those provisions and to facilitate a comprehensive view for trade repositories, it is desirable to include the related regulatory technical standards in a single Regulation.

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,

the identity of the report submitting entity as referred to in Field 2 of Table 1 of Annex I to Commission Implementing Regulation (EU) 2019/363 (4)

that the XML template used to report an SFT complies with the ISO 20022 methodology in accordance with Implementing Regulation (EU) 2019/363;

that the report submitting entity, if different from the reporting counterparty as referred to in Field 3 of Table 1 of Annex I to Implementing Regulation (EU) 2019/363, is duly authorised to report on behalf of the reporting counterparty, except in the case provided for in Article 4(3) of Regulation (EU) 2015/2365;

that the same SFT report has not been submitted previously;

that an SFT report with action type ‘Modification’ relates to a previously submitted SFT report;

that an SFT report with action type ‘Modification’ does not relate to an SFT that has been reported as cancelled;

that the SFT report does not include the action type ‘New’ in respect of an SFT that has been reported already;

that the SFT report does not include the action type ‘Position component’ in respect of an SFT that has been reported already;

that the SFT report does not purport to modify the details of the report submitting entity, the reporting counterparty or the other counterparty to a previously reported SFT;

that the SFT report does not purport to modify an existing SFT report by specifying a value date later than the reported maturity date of the SFT;

the correctness and completeness of the SFT report.

the trade repository has completed the verifications set out in paragraphs 1 and 2 of Article 1;

both counterparties to the reported SFT have a reporting obligation;

the trade repository has not received a subsequent report with the action type ‘Error’ in respect of the reported SFT.

a trade repository having received an SFT report shall verify whether it has received a corresponding SFT report from or on behalf of the other counterparty;

a trade repository that has not received a corresponding SFT report as referred to in point (a) shall attempt to identify the trade repository that has received the corresponding SFT report by communicating to all registered trade repositories the values of the following fields of the reported SFT: ‘Unique Transaction Identifier’, ‘Reporting counterparty’, ‘Other counterparty’ and ‘Master agreement type’;

a trade repository that determines that another trade repository has received a corresponding SFT report as referred to in point (a) shall exchange with that trade repository the details of the reported SFT in an XML format and a template developed in accordance with the ISO 20022 methodology;

subject to point (e), a trade repository shall treat a reported SFT as reconciled where the details of that SFT match the details of the corresponding SFT report as referred to in point (a) of this paragraph;

a trade repository shall seek to match separately the fields pertaining to the loan data and the fields pertaining to the collateral data of a reported SFT in accordance with the tolerance limits and relevant dates of application laid down in Table 1 of Annex I to this Regulation;

a trade repository shall subsequently assign values for the reconciliation categories for each reported SFT, as set out in Table 3 of Annex I to this Regulation;

a trade repository shall conclude the steps in points (a) to (f) of this paragraph at the earliest opportunity and shall take no such steps after 18:00 Universal Coordinated Time on a given working day;

a trade repository that cannot reconcile a reported SFT shall seek to match the details of that reported SFT on the following working day. The trade repository shall no longer seek to reconcile the reported SFT thirty calendar days after the reported maturity of the SFT or after the trade repository has received a report relating to it with action type ‘Termination’ or ‘Position component’.

the SFTs reported during that day;

the latest trade states of the SFTs that have not matured or for which reports with action types ‘Error’, ‘Termination’ or ‘Position component’, have not been made;

the Unique Transaction Identifiers (UTIs) of the SFTs for which Field 72 of Table 2 of Annex I to Implementing Regulation (EU) 2019/363 is reported as ‘false’, and information about the collateral in Fields 73 to 96 of the same Table has not yet been reported;

the SFT reports that have been rejected during that day;

the reconciliation status of all reported SFTs, except those SFTs that have expired or for which SFT reports with action type ‘Termination’ or ‘Position component’ were received more than a month before that working day.

the values for reconciliation categories, as per Table 3 of Annex I to this Regulation;

the type of SFT;

the sector of the counterparties;

the status of clearing;

on or off trading venue;

the type of collateral;

the currency of the cash leg;

the maturity bucket;

the haircut bucket;

the trade repositories to which the other counterparty reported SFT details.

the principal amount of repurchase agreements, buy-sell back or sell-buy back transactions, aggregate quantity of securities or commodities lent or borrowed and amount of margin loans;

the number of UTIs pertaining to the relevant SFTs;

the market value of the collateral.

the location of the reporting counterparty or, where applicable, of the relevant branch;

the location of the other counterparty or, where applicable, of the relevant branch;

the type of SFT;

the SFT's reconciliation status, as laid down in Table 3 of Annex I to this Regulation;

the type of venue on which the SFT was concluded;

whether the SFT has been cleared or not;

the method by which the collateral has been transferred;

each index used as reference in an SFT, traded on a venue of execution different from ‘XXXX’, where the aggregate nominal amount reported to the trade repository in the index is greater than 5 billion EUR and where there are at least six different counterparties that have reported the relevant SFTs to the trade repository.

the location of the reporting counterparty or, where applicable, of the relevant branch;

the location of the other counterparty or, where applicable, of the relevant branch;

the type of SFT;

the SFT's reconciliation status, as laid down in Table 3 of Annex I to this Regulation;

the type of venue on which the SFT was concluded;

whether the SFT has been cleared or not;

the method by which the collateral has been transferred;

each index used as reference in an SFT, traded on a venue of execution different from ‘XXXX’, where the aggregate nominal amount reported to the trade repository in the index is greater than 5 billion EUR and there are at least six different counterparties that have reported the relevant SFTs to the trade repository.