ANNEXES. to the COMMISSION DELEGATED REGULATION (EU)

Transcription

1 EUROPEAN COMMISSION Brussels, C(2018) 8332 final ANNEXES 1 to 2 ANNEXES to the COMMISSION DELEGATED REGULATION (EU) supplementing 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 EN EN

2 ANNEX I Table 1 Reconciliation fields, tolerance levels and start date of the reconciliation phase Counterparty data NA Reporting counterparty Counterparty data NA Counterparty side Counterparty data NA Other counterparty Article 33(2)(a)(i) of Unique Transaction Identifier ('UTI') Article 33(2)(a)(i) of Type of SFT Cleared Clearing timestamp one hour CCP Trading venue of Master type agreement EN 1 EN

3 Execution timestamp one hour Value date () Maturity date (End date) Termination date Minimum period notice of Earliest call-back date of General Indicator of Delivery By Value ('DBV') indicator of Method used to provide Open term EN 2 EN

4 Termination optionality of Fixed rate Day count convention Floating rate Floating rate reference period - time period Floating rate reference period multiplier of Floating rate payment frequency - time period of Floating rate payment frequency multiplier of Floating rate reset frequency - time period EN 3 EN

5 Floating rate reset frequency multiplier Spread Margin lending currency amount Margin currency lending Adjusted rate of Rate date of Principal amount on the value date Principal amount on the maturity date % Principal currency amount Type of asset Security identifier EN 4 EN

6 Classification of a security Base product Sub - product Further sub - product of of of Quantity or nominal amount Unit of measure of Currency of nominal amount Security commodity price or of Price currency of EN 5 EN

7 Security quality of Maturity of the security of Jurisdiction of the issuer of LEI of the issuer Security type value Market value % of of of of Fixed rebate rate Floating rebate rate Floating rebate rate reference period - time period of Floating rebate rate reference period - of EN 6 EN

8 multiplier Floating rebate rate payment frequency - time period of Floating rebate rate payment frequency - multiplier of Floating rebate rate reset frequency - time period of Floating rebate rate reset frequency - multiplier of Spread of the rebate rate of Lending fee Exclusive arrangements of Outstanding loan margin Base currency of outstanding margin loan EN 7 EN

9 Short market value % Unised Securities Lending ('SL') flag isation net exposure of Value date of the Type of component Cash amount Cash currency Identification of a security used as Classification of a security used as Base product Sub product of of EN 8 EN

10 Further sub product of quantity or nominal amount unit of measure Currency of nominal amount Price currency Price per unit value market % Haircut or margin quality Maturity date of the security EN 9 EN

11 Jurisdiction of the issuer LEI of the issuer type Availability reuse for identifier basket Level EN 10 EN

12 Table 2 Reasons for rejection of an SFT report Rejection categories Schema Permission Logical Business Reason the SFT has been rejected because of non-compliant schema the SFT has been rejected because the report submitting entity is not permissioned to report on behalf of the reporting counterparty the SFT has been rejected because the action type for the SFT is not logically correct the SFT has been rejected because the SFT is not complying with one or more content validations. Table 3 Results of the reconciliation process Reconciliation categories Reporting type Reporting requirement for both counterparties Pairing Status reconciliation status reconciliation status Further modifications Reconciliation values Single-sided/Dual-sided Yes/ Paired/Unpaired Reconciled/t reconciled Reconciled/t reconciled Yes/ EN 11 EN

13 ANNEX II Table 1 - Public data Table A. Aggregation Date TR Aggregation Type Venue type Location of reporting counterparty Location of the other counterparty Reconciliation Type SFT of Cleared transfer method Index used as reference 1 Aggregate amount lent Aggregate Number of transactions Aggregate value of EU TR Reported XXXX EEA EEA Dual-sided, loan reconciled, not reconciled Repo Yes TTCA Outstanding XOFF n-eea n-eea Dual-sided, loan reconciled, reconciled BSB/SBB SICA EEA MIC Single-sided EEA, loan reconciled, reconciled Securities or commodities lending and borrowing SIUR n- EEA MIC Margin lending 1 To be populated with the relevant indexes included in Field 25 of Table 2 and data of Annex I to [OP: insert reference for ITS on reporting under Art. 4(10) SFTR] EN 12 EN