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.)

22.3.2019 EN Official Journal of the European Union L 81/1 II (Non-legislative acts) REGULATIONS 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 transforma­ tion. 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. (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).L 81/2 EN Official Journal of the European Union 22.3.2019 (5) To provide more useful information to the authorities that access the details of SFTs in trade repositories, counter­ parties 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) 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).22.3.2019 EN Official Journal of the European Union L 81/3 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 JUNCKERL 81/4 EN Official Journal of the European Union 22.3.2019 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 Y Y Y Y trade repository. 2 Report submitting Unique code identifying the entity which submits the Y Y Y Y entity report. Where the submission of the report has been delegated to a third party or to the other counter­ party, a unique code identifying that entity. 3 Reporting Unique code identifying the reporting counterparty. Y Y Y Y counterparty 4 Nature of the Indication of whether the reporting counterparty is Y Y Y Y reporting a financial or non-financial counterparty. counterparty 5 Sector of the One or more codes that classify the nature of the re­ Y Y Y Y reporting porting counterparty's business activities. counterparty Where the reporting counterparty is a financial coun­ terparty, 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 taxon­ omy 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. 6 Additional sector Where the reporting counterparty is an Undertaking Y Y Y Y classification 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 counter­ party undertaking financial and insurance activities or real estate activities, a code that determines whether it is a Real Estate Investment Trust (REIT) 7 Branch of the Where the reporting counterparty concludes an SFT Y Y Y Y reporting through a branch office, the code identifying the counterparty branch. 8 Branch of the other Where the other counterparty concludes an SFT Y Y Y Y counterparty through a branch office, the code identifying the branch.22.3.2019 EN Official Journal of the European Union L 81/5 No Field Details to be reported Repo BSB SL ML 9 Counterparty side Indication of whether the reporting counterparty is Y Y Y Y a collateral provider or a collateral taker in accord­ ance with Article 4 of the Commission Implementing Regulation (EU) 2019/363 (1) 10 Entity responsible Where a financial counterparty is responsible for Y Y Y Y for the report 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 ac­ cordance with Article 4(3) of that Regulation the un­ ique 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. 11 Other counterparty Unique code identifying the entity with which the re­ Y Y Y Y porting counterparty concluded the SFT. In case of a private individual, a client code shall be specified in a consistent manner. 12 Country of the other Code of the country where the registered office of the Y Y Y Y Counterparty other counterparty is located or code of the country of residence in case that the other counterparty is a natural person. 13 Beneficiary Where the beneficiary of the contract is not a counter­ Y Y Y N party 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. 14 Tri-party agent Unique code identifying the third party to which the Y Y Y N reporting counterparty has outsourced the post-trade processing of an SFT (if applicable). 15 Broker Unique code of the entity that acts as intermediary Y Y Y N for the reporting counterparty without becoming a counterparty to the SFT itself. For securities lending transactions, a broker does not include the agent lender. (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).L 81/6 EN Official Journal of the European Union 22.3.2019 No Field Details to be reported Repo BSB SL ML 16 Clearing member Where the trade is cleared, unique code identifying Y Y Y N the responsible clearing member of the reporting counterparty. 17 Central Securities Unique code of the CSD participant or indirect parti­ Y Y Y N Depository (‘CSD’) cipant of the reporting counterparty. participant or Where both the CSD participant and indirect partici­ indirect participant pant are involved in the transaction, the code of the indirect participant. This field is not applicable to commodities. 18 Agent lender Unique code of the agent lender involved in the secu­ Y N Y N rities lending transaction. Table 2 Loan and collateral data No Field Details to be reported Repo BSB SL ML 1 Unique Transaction Unique reference assigned to the SFT in order to iden­ Y Y Y Y Identifier (‘UTI’) tify the trade. 2 Report tracking In the case of transactions resulting from clearing, the Y Y Y N number 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. 3 Event date Date on which the reportable event relating to the Y Y Y Y SFT and captured by the report took place. In the case of action types ‘Valuation update’, ‘Collateral up­ date’, ‘Reuse update’, ‘Margin update’, the date for which the information contained in the report is provided. 4 Type of SFT Type of SFT transaction as defined in paragraphs (7) Y Y Y Y to (10) of Article 3 of Regulation (EU) No 2365/2015. 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 Y Y Y N for the CCP that has cleared the contract.22.3.2019 EN Official Journal of the European Union L 81/7 No Field Details to be reported Repo BSB SL ML 8 Trading venue Unique code identifying the venue of execution of the Y Y Y N 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’. 9 Master agreement Reference to the master agreement type under which Y Y Y N type the counterparties concluded a SFT. 10 Other master Name of the master agreement. This field shall only Y Y Y N agreement type be completed where ‘OTHR’ is reported in field 9. 11 Master agreement Reference to the year of the master agreement rel­ Y Y Y N version evant to the reported trade, if applicable. 12 Execution timestamp Date and time when the SFT was executed. Y Y Y Y 13 Value date (Start Date contractually agreed between the counterparties Y Y Y N date) for the exchange of cash, securities, or commodities versus collateral for the opening leg (spot leg) of the SFT. 14 Maturity date (End Date contractually agreed between the counterparties Y Y Y N date) 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. 15 Termination date Termination date in the case of a full early termina­ Y Y Y Y tion of the SFT. 16 Minimum notice Minimum number of business days that one of the Y N N N period counterparties has to inform the other counterparty of the termination of the transaction. 17 Earliest call-back Earliest date that the cash lender has the right to call Y N N N date back a portion of the funds or to terminate the trans­ action. 18 General collateral Indication of whether the SFT is subject to a general Y Y Y N Indicator collateral arrangement. In the case of a securities lending transaction, the field refers to securities pro­ vided as collateral, and not to the security provided on loan.L 81/8 EN Official Journal of the European Union 22.3.2019 No Field Details to be reported Repo BSB SL ML The code ‘GENE’ shall be specified for an SFT which is subject to a general collateral arrangement. A gen­ eral collateral arrangement specifies a collateral ar­ rangement for a transaction in which the collateral giver may choose the security to be provided as col­ lateral 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 arrange­ ment for a transaction in which the collateral taker requests a specific International Securities Identifica­ tion Number (‘ISIN’) to be provided by the collateral provider. 19 Delivery By Value Indication of whether the transaction was settled Y N Y N (‘DBV’) indicator using the DBV mechanism. 20 Method used to Indication of whether the collateral in the SFT is sub­ Y N Y Y provide collateral ject to a title transfer collateral arrangement, a security financial collateral arrangement, or a security finan­ cial 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. 21 Open term Indication of whether the SFT is open term (which Y N Y N has no fixed maturity date) or fixed term with a con­ tractually agreed maturity date. The code ‘True’ shall be specified for open term SFTs, and the code ‘False’ for fixed term SFTs. 22 Termination Indication of whether the SFT is an evergreen or an Y N Y N optionality extendable SFT. 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 Y N N Y 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.22.3.2019 EN Official Journal of the European Union L 81/9 No Field Details to be reported Repo BSB SL ML 24 Day count Method of calculating the accrued interest on the Y N N Y convention principal amount for a rate. 25 Floating rate Indication of the reference interest rate used which is Y N N Y reset at predetermined intervals by reference to a mar­ ket reference rate, if applicable. 26 Floating rate Time period describing the reference period of the Y N N Y reference period — floating rate. time period 27 Floating rate Multiplier for the time period describing the reference Y N N Y reference period — period of the floating rate specified in field 26. multiplier 28 Floating rate Time period describing the frequency of payments Y N N Y payment frequency subject to the floating rate. — time period 29 Floating rate Multiplier for the time period describing the payment Y N N Y payment frequency frequency for the floating rate specified in field 28. — multiplier 30 Floating rate reset Time period describing the frequency of the floating Y N N Y frequency — time rate resets. period 31 Floating rate reset Multiplier for the time period describing the fre­ Y N N Y frequency — quency for the floating rate resets specified in field 30. multiplier 32 Spread Number of basis points to be added to or subtracted Y N N Y from the floating interest rate in order to determine the interest rate of the loan. 33 Margin lending Amount of a margin loan in a given currency. N N N Y currency amount 34 Margin lending Currency of the margin loan. N N N Y currency 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 NL 81/10 EN Official Journal of the European Union 22.3.2019 No Field Details to be reported Repo BSB SL ML 36 Rate date Date from which the rate is effective. Y N N N 37 Principal amount on Cash value to be settled as of the value date of the Y Y N N the value date transaction. 38 Principal amount on Cash value to be settled as of the maturity date of the Y Y N N the maturity date transaction. 39 Principal amount Currency of the principal amount. Y Y N N currency 40 Type of asset Indication of the type of asset that is the subject of N N Y N the SFT. 41 Security identifier Identification of the security that is the subject of the N N Y N SFT. This field is not applicable to commodities. 42 Classification of Classification of Financial Instruments (‘CFI’) code of N N Y N a security the security that is the subject of the SFT. This field is not applicable to commodities 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 com­ N N Y N modities in Table 5 of Annex I of the Implementing Regulation (EU) 2019/363. 44 Sub — product Sub — product as specified in the classification of N N Y N commodities in Table 5 of Annex I of the Implement­ ing Regulation (EU) 2019/363. This field requires a specific base product in field 43. 45 Further sub — Further sub product as specified in the classification N N Y N product of commodities table. This field requires a specific sub product in field 44. 46 Quantity or nominal Quantity or nominal amount of the security or com­ N N Y N amount modity 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. 47 Unit of measure Unit of measure in which the quantity is expressed. N N Y N This field is applicable to commodities. 48 Currency of nominal In the case where the nominal amount is reported, N N Y N amount the currency of the nominal amount.22.3.2019 EN Official Journal of the European Union L 81/11 No Field Details to be reported Repo BSB SL ML 49 Security or In the case of securities and commodities lending and N Y Y N commodity price 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. 50 Price currency Currency in which the security or commodity price is N N Y N denominated. 51 Security quality Code that classifies the credit risk of the security. N N Y N 52 Maturity of the Maturity of the security. N N Y N security This field is not applicable to commodities. 53 Jurisdiction of the Jurisdiction of the issuer of the security. In case of se­ N N Y N issuer curities 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. 54 LEI of the issuer LEI of the issuer of the security. N N Y N This field is not applicable to commodities. 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 N N Y N of the loan multiplied by the price contained in field 49. 57 Market value Market value of the securities or commodities on N N Y N loan or borrowed. 58 Fixed rebate rate Fixed interest rate (rate agreed to be paid by the lend­ N N Y N er 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. 59 Floating rebate rate Indication of the reference interest rate used to calcu­ N N Y N late the rebate rate (rate agreed to be paid by the lend­ er 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. 60 Floating rebate rate Time period describing the reference period of the N N Y N reference period — floating rebate rate. time periodL 81/12 EN Official Journal of the European Union 22.3.2019 No Field Details to be reported Repo BSB SL ML 61 Floating rebate rate Multiplier for the time period describing the reference N N Y N reference period — period for the floating rebate rate specified in field 60. multiplier 62 Floating rebate rate Time period describing the frequency of the payments N N Y N payment frequency for the floating rebate rate. — time period 63 Floating rebate rate Multiplier for the time period describing the payment N N Y N payment frequency frequency for the floating rebate rate specified in — multiplier field 62. 64 Floating rebate rate Time period describing the frequency of the floating N N Y N reset frequency — rebate rate resets. time period 65 Floating rebate rate Multiplier for the time period describing the fre­ N N Y N reset frequency — quency of the floating rebate rate reset specified in multiplier field 64. 66 Spread of the rebate Spread for the floating rebate rate expressed in basis N N Y N rate points. 67 Lending fee Fee that the borrower of the security or commodity N N Y N pays to the lender. 68 Exclusive In the case of securities borrowing and lending, an in­ N N Y N arrangements dication of whether the borrower has exclusive access to borrow from the lender's securities portfolio. This field is not applicable to commodities. 69 Outstanding margin Total amount of margin loans, in the base currency. N N N Y loan 70 Base currency of Base currency of outstanding margin loans. N N N Y outstanding margin loan 71 Short market value Market value of the short position, in the base cur­ N N N Y rency.22.3.2019 EN Official Journal of the European Union L 81/13 No Field Details to be reported Repo BSB SL ML Collateral data 72 Uncollateralised Indication of whether the SL transaction is uncollater­ N N Y N Securities Lending alised. (‘SL’) flag This field shall not be used when the counterparties agree to collateralise the trade but the specific alloca­ tion of collateral is not yet known. 73 Collateralisation of Indication of whether the collateral has been provided Y Y Y N net exposure for a net exposure, rather than for a single trans­ action. 74 Value date of the Where trades have been collateralised on a net expo­ Y Y Y N collateral sure basis, the latest value date contained in the net­ ting set of SFTs, taking into consideration all of the transactions for which the collateral was provided. Where specific collateral was used, fields 75 to 94 shall be repeated and completed for each component of the collateral, where ap­ plicable. 75 Type of collateral Indication of the type of collateral component. Y Y Y Y component Where cash was used as collateral, this shall be specified in fields 76 and 77. 76 Cash collateral Amount of funds provided as collateral for the bor­ Y Y Y N amount rowing of securities or commodities. 77 Cash collateral Currency of the cash collateral. Y Y Y N currency 78 Identification of Identification of the security used as collateral. Y Y Y Y a security used as This field is not applicable to commodities. collateral 79 Classification of CFI code of the security used as collateral. Y Y Y Y a security used as This field is not applicable to commodities. collateral 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 com­ Y Y Y N modities in Table 5 of Annex I of the Implementing Regulation (EU) 2019/363. 81 Sub — product Sub — product as specified in the classification of Y Y Y N commodities in Table 5 of Annex I of the Implement­ ing Regulation (EU) 2019/363. This field requires a specific base product in field 80. 82 Further sub — Further sub — product as specified in the classifica­ Y Y Y N product tion 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.L 81/14 EN Official Journal of the European Union 22.3.2019 No Field Details to be reported Repo BSB SL ML 83 Collateral quantity or Quantity or nominal amount of the security or com­ Y Y Y Y nominal amount modity 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. 84 Collateral unit of Unit of measure in which the collateral quantity is Y Y Y N measure specified. This field is applicable to commodities. 85 Currency of In the case where the collateral nominal amount is Y Y Y Y collateral nominal reported, the currency of the nominal amount. amount 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, Y Y Y Y including accrued interest for interest-bearing securi­ ties used to value the security or commodity. 88 Collateral market Market value of the individual collateral component Y Y Y Y value expressed in price currency. 89 Haircut or margin For repos and buy-sell backs, any collateral haircut Y Y Y Y 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 con­ trol 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 re­ quirement applied to the entire collateral portfolio held in a client's prime brokerage account. Actual values, as opposed to estimated or default val­ ues shall be specified in this field. 90 Collateral quality Code that classifies the risk of the security used as Y Y Y Y collateral. 91 Maturity date of the Maturity date of the security used as collateral. Y Y Y Y security This field is not applicable to commodities.22.3.2019 EN Official Journal of the European Union L 81/15 No Field Details to be reported Repo BSB SL ML 92 Jurisdiction of the Jurisdiction of the issuer of the security used as collat­ Y Y Y Y issuer eral. In case of securities issued by a foreign subsidi­ ary, 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 93 LEI of the issuer LEI of the issuer of the security used as collateral. Y Y Y Y This field is not applicable to commodities. 94 Collateral type Code that classifies the type of the security used as collateral. 95 Availability for Indication of whether the collateral taker can reuse Y Y Y Y collateral reuse the securities provided as a collateral. 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 Where the collateral basket can be identified with an Y Y Y N identifier 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’. 97 Portfolio code Where the transaction is cleared and is included in Y Y Y N a portfolio of transactions for which margins are ex­ changed, the portfolio shall be identified by a unique code determined by the reporting counterparty. Where the portfolio of transactions also includes de­ rivative contracts reportable under Regulation (EU) No 648/2012, the portfolio code shall be the same as that reported under Regulation (EU) No 648/2012. 98 Action type The report shall contain one of the following action Y Y Y Y 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 pos­ ition; (c) a valuation of the security or commodity subject to a securities or commodities lending transaction shall be identified as ‘Valuation Update’;L 81/16 EN Official Journal of the European Union 22.3.2019 No Field Details to be reported Repo BSB SL ML (d) a modification of the details of collateral data, in­ cluding its valuation, shall be identified as ‘Collat­ eral update’; (e) a cancellation of a wrongly submitted entire re­ port 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 ter­ mination 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 com­ ponent’. 99 Level Indication of whether the report is done at trade or Y Y Y N position level. Position level reporting can be used only as a supple­ ment to trade level reporting to report post-trade events and only if the individual trades in fungible products have been replaced by the position. 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 Y Y Y N trade repository. 2 Event date Date on which the reportable event relating to the Y Y Y N SFT and captured by the report took place. In the case of action types ‘Valuation update’, ‘Collateral up­ date’, ‘Reuse update’, ‘Margin update’, the date for which the information contained in the report is pro­ vided. 3 Report submitting Unique code identifying the entity which submits the Y Y Y N entity 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.22.3.2019 EN Official Journal of the European Union L 81/17 No Field Details to be reported Repo BSB SL ML 4 Reporting Unique code identifying the reporting counterparty. Y Y Y N Counterparty 5 Entity responsible Where a financial counterparty is responsible for Y Y Y Y for the report 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. 6 Other counterparty Unique code identifying the entity with whom the re­ Y Y Y N porting counterparty concluded the SFT 7 Portfolio code The portfolio of transactions for which margins are Y Y Y N exchanged shall be identified by a unique code deter­ mined by the reporting counterparty. Where the portfolio of transactions also includes de­ rivative contracts reportable under Regulation (EU) No 648/2012, the portfolio code shall be the same as that reported under Regulation (EU) No 648/2012. 8 Initial margin posted Value of the initial margin posted by the reporting Y Y Y N counterparty to the other counterparty. Where the initial margin is posted on a portfolio ba­ sis, this field shall specify the overall value of initial margin posted for the portfolio. 9 Currency of the Currency of the initial margin posted. Y Y Y N initial margin posted 10 Variation margin Value of the variation margin posted, including the Y Y Y N posted 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.L 81/18 EN Official Journal of the European Union 22.3.2019 No Field Details to be reported Repo BSB SL ML 11 Currency of the Currency of the variation margin posted. Y Y Y N variation margin posted 12 Initial margin Value of the initial margin received by the reporting Y Y Y N received 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. 13 Currency of the Currency of the initial margin received. Y Y Y N initial margin received 14 Variation margin Value of the variation margin received, including the Y Y Y N received 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. 15 Currency of the Currency of the variation margin received. Y Y Y N variation margin received 16 Excess collateral Value of collateral posted in excess of the required Y Y Y N posted collateral. 17 Currency of the Currency of the excess collateral posted. Y Y Y N excess collateral posted 18 Excess collateral Value of collateral received in excess of the required Y Y Y N received collateral. 19 Currency of the Currency of the excess collateral received. Y Y Y N excess collateral received 20 Action type The report shall contain one of the following action Y Y Y N 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’;22.3.2019 EN Official Journal of the European Union L 81/19 No Field Details to be reported Repo BSB SL ML (c) a cancellation of a wrongly submitted entire re­ port shall be identified as ‘Error’; (d) a correction of data fields that were submitted in­ correctly in a previous report shall be identified as ‘Correction’; 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 Y Y Y Y trade repository. 2 Event date Date on which the reportable event relating to the Y Y Y Y SFT and captured by the report took place. In the case of action types ‘Valuation update’, ‘Collateral up­ date’, ‘Reuse update’, ‘Margin update’, the date for which the information contained in the report is pro­ vided. 3 Report submitting Unique code identifying the entity which submits the Y Y Y Y entity 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. 4 Reporting Unique code identifying the reporting counterparty. Y Y Y Y counterparty 5 Entity responsible Where a financial counterparty is responsible for Y Y Y Y for the report 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. Field 6 shall be repeated and completed for each collateral component. 6 Type of collateral Indication of the type of collateral component. Y Y Y Y componentL 81/20 EN Official Journal of the European Union 22.3.2019 No Field Details to be reported Repo BSB SL ML Fields 7, 8, 9 and 10 shall be repeated and completed for each security. 7 Collateral Identification of the security used as collateral. Y Y Y Y component 8 Value of reused Total value of the collateral reused when it can be cal­ Y Y Y Y collateral culated at SFT transaction level. 9 Estimated reuse of When the actual value of reused collateral is un­ Y Y Y Y collateral known 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. 10 Reused collateral Currency of the actual or estimated value of the col­ Y Y Y Y currency lateral reused. 11 Reinvestment rate Average interest rate received from a cash collateral N N Y N reinvestment made by the lender. 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 Type of re-investment. N N Y N cash investment 13 Re-invested cash Amount of the re-invested cash in a given currency. N N Y N amount 14 Re-invested cash Currency of the re-invested cash. N N Y N currency 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 Market value of funding sources referred to in field 15. N N N Y funding sources 17 Funding sources Currency of the market value of the funding sources. N N N Y currency 18 Action type The report shall contain one of the following action Y Y Y Y types: (a) a new reuse balance shall be identified as ‘New’;22.3.2019 EN Official Journal of the European Union L 81/21 No Field Details to be reported Repo BSB SL ML (b) a modification of the details of the reuse shall be identified as ‘Reuse update’; (c) a cancellation of a wrongly submitted entire re­ port shall be identified as ‘Error’; (d) a correction of data fields that were submitted in­ correctly in a previous report shall be identified as ‘Correction’.