Draft RTS and ITS under SFTR and Amendments

315 Pages·2016·5.63 MB·English

Consultation Paper
Draft RTS and ITS under SFTR and amendments to related EMIR RTS
30 September 2016 | ESMA/2016/1409
Date: 30 September 2016
ESMA/2016/1409

Responding to this paper
ESMA invites comments on all matters in this paper and in particular on the specific questions
summarised in Annex 1. Comments are most helpful if they
respond to the question stated;
indicate the specific question to which the comment relates;
contain a clear rationale; and
describe any alternatives ESMA should consider.
ESMA will consider all comments received by 30 November 2016.
All contributions should be submitted online at www.esma.europa.eu under the heading ‘Your
input - Consultations’.
Publication of responses
All contributions received will be published following the close of the consultation, unless you
request otherwise. Please clearly and prominently indicate in your submission any part you
do not wish to be publically disclosed. A standard confidentiality statement in an email
message will not be treated as a request for non-disclosure. A confidential response may be
requested from us in accordance with ESMA’s rules on access to documents. We may consult
you if we receive such a request. Any decision we make not to disclose the response is
reviewable by ESMA’s Board of Appeal and the European Ombudsman.
Data protection
Information on data protection can be found at www.esma.europa.eu under the heading Legal
Notice.
Who should read this paper
All interested stakeholders are invited to respond to this consultation. In particular, responses
are sought from financial and non-financial counterparties to securities financing transactions,
tri-party agents, agent lenders, central counterparties (CCPs) and trade repositories (TRs), as
well as from all the authorities having access to the TR data.
ESMA • CS 60747 – 103 rue de Grenelle • 75345 Paris Cedex 07 • France • Tel. [phone] • www.esma.europa.eu
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Table of Contents
1 Executive Summary ......................................................................................................10
2 Background ...................................................................................................................11
2.1 SFT Regulation ......................................................................................................11
2.2 FSB work ...............................................................................................................12
2.3 EMIR and SFTR .....................................................................................................14
2.4 Statement about ESMA’s empowerments under Art. 13, 14 and 25 of SFTR .........15
3 Registration requirements under SFTR and under EMIR ...............................................17
3.1 Registration process under SFTR ..........................................................................17
3.2 Technical Standards on registration .......................................................................17
3.2.1 Registration framework ...................................................................................17
3.2.2 ESMA’s mandates on technical standards on registration ...............................19
3.2.3 Interaction between RTS 150/2013 and the draft RTS on registration and
extension of registration under SFTR ............................................................................19
3.3 Updates to some already existing provisions in RTS 150/2013 ..............................21
3.4 New provisions included in RTS on registration and extension of registration under
SFTR 25
3.4.1 Proposals and summary of feedback with respect to the procedures to verify the
completeness and correctness of the data ....................................................................25
3.4.2 Proposals and summary of feedback with respect to the rest of proposals ......26
3.5 Requirements for new applicants under SFTR .......................................................29
3.6 Requirements for extension of registration under SFTR .........................................29
3.7 Format of the application under SFTR ....................................................................29
3.8 Amendments to RTS 150/2013 ..............................................................................30
3.9 Format of the application under EMIR ....................................................................31
4 Reporting.......................................................................................................................32
4.1 ISO 20022 ..............................................................................................................32
4.2 Reporting logic .......................................................................................................33
4.2.1 Proposed approach .........................................................................................33
4.2.2 SFT reporting logic ..........................................................................................40
4.2.3 Direction of the trade .......................................................................................44
4.2.4 Trade scenarios ..............................................................................................45
4.3 Content and structure of the SFT report .................................................................64
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4.3.1 Structure of the report .....................................................................................64
4.3.2 Branches .........................................................................................................66
4.3.3 Beneficiary ......................................................................................................69
4.3.4 Linking of SFTs ...............................................................................................70
4.3.5 UTI generation ................................................................................................78
4.3.6 Collateral reporting and reporting of collateral re-use ......................................80
4.3.7 Clearing information ...................................................................................... 108
4.3.8 Settlement data ............................................................................................. 110
4.3.9 Master agreements ....................................................................................... 113
4.3.10 Method of trading .......................................................................................... 114
4.3.11 Indemnification in the context of securities lending ........................................ 115
5 Transparency and availability of data .......................................................................... 116
5.1 Operational standards for data collection ............................................................. 116
5.1.1 Validation of SFTs ......................................................................................... 116
5.1.2 Reconciliation of data .................................................................................... 119
5.1.3 Common response on reporting .................................................................... 127
5.2 Public data ........................................................................................................... 130
5.3 Data made available to authorities ....................................................................... 132
5.3.1 Details of the SFTs to be provided to the authorities ..................................... 132
5.3.2 Additional information on the SFTs to be generated by TRs .......................... 133
5.3.3 Types of transaction-level reports to be provided to authorities ..................... 135
5.3.4 Types of position-level reports to be provided to authorities .......................... 136
5.3.5 Types of standardised aggregated SFT reports for authorities ...................... 138
5.4 Operational standards to aggregate and compare data across repositories ......... 138
5.4.1 Avoidance of double counting ....................................................................... 139
6 Data access levels ...................................................................................................... 141
6.1 Background and general aspects ......................................................................... 141
6.1.1 General aspects of data access under EMIR and SFTR ............................... 143
6.1.2 Clarifications and amendments to existing provisions under EMIR RTS on
access levels and their application for the purposes of SFTR RTS on access levels. .. 145
6.1.3 Home and host authority ............................................................................... 150
6.1.4 Definition of data access in the case of branches under SFTR ...................... 150
6.1.5 Definition of data access in the case of subsidiaries and groups (EMIR and
SFTR) 151
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6.1.6 Definition of data access with regards to commodities .................................. 153
6.2 Definition of access levels under SFTR for authorities which have had access to data
under EMIR .................................................................................................................... 153
6.2.1 NCAs for securities and markets (defined in points f), j) and o) of Article 81(3)
EMIR and points e), i) and m) of Article 12(2) SFTR) .................................................. 154
6.2.2 Authorities competent for CCPs .................................................................... 155
6.2.3 ESCB issuer of currency ............................................................................... 155
6.2.4 Authorities competent for takeover bids......................................................... 158
6.2.5 ESMA and ESRB .......................................................................................... 158
6.2.6 ACER ............................................................................................................ 160
6.2.7 Third country authorities ................................................................................ 160
6.3 Definition of access levels under SFTR and EMIR for authorities not included
originally in EMIR ............................................................................................................ 161
6.3.1 EBA and EIOPA ............................................................................................ 161
6.3.2 Prudential authorities and sectorial authorities .............................................. 162
6.3.3 National Resolution Authorities and Single Resolution Board ........................ 168
6.4 Terms and conditions for data access under SFTR .............................................. 170
6.4.1 Terms of access under SFTR ........................................................................ 171
6.4.2 Technical arrangements for data access ....................................................... 173
6.5 Tables with access levels ..................................................................................... 179
6.5.1 Access to data by securities and markets authorities (defined in points f), j) and
o) of Article 81(3) EMIR and points e), i) and m) of Article 12(2) SFTR) ...................... 179
6.5.2 Access to data by ESCB and members of SSM ............................................ 180
6.5.3 Access to data by SRB and NRAs ................................................................. 184
6.5.4 Access to data by Insurance and pensions supervisors ................................ 186
6.5.5 ccess to data by authorities competent for supervision under UCITS and AIFMD
187
7 Annex I – Summary of questions ................................................................................. 189
8 Annex II – Legislative mandate .................................................................................... 198
9 Annex III – Cost benefit analysis ................................................................................. 202
10 Annex IV - RTS on registration and extension of registration of TRs under SFTR ....... 204
11 Annex V - ITS on registration and extension of registration under SFTR ..................... 227
12 Annex VI – Consolidated amended text of RTS on registration of TRs under EMIR .... 230
13 Annex VII - ITS on format and frequency of the reports to TRs under SFTR ............... 251
14 Annex VIII - RTS on the details of reports to be reported to TRs under SFTR ............. 272
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15 Annex IX - RTS on public data, details of SFTs, operational standards for data collection,
data aggregation and comparison ...................................................................................... 286
16 Annex X - RTS on access levels under SFTR ............................................................. 299
17 Annex XI - Amendments to RTS on access levels under EMIR ................................... 310

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Acronyms and definitions used
AIFMD Directive 2011/61/EU of the European Parliament and of the
Council of 8 June 2011 on Alternative Investment Fund
Managers (AIFMs)
CM Clearing Member
CCP Central Counterparty
CSD Central Securities Depository
CPMI Committee on Payments and Market Infrastructures
ECB European Central Bank
EEA European Economic Area
EMIR European Market Infrastructures Regulation – Regulation (EU)
648/2012 of the European Parliament and Council on OTC
derivatives, central counterparties and trade repositories – also
referred to as “the Regulation”
ESCB European System of Central Banks
ESMA European Securities and Markets Authority
ETF Exchange-traded fund
EU European Union
FIX Financial Information Exchange
FpML Financial products Markup Language
FRA Forward Rate Agreement
FSB Financial Stability Board
GMRA Global Master Repurchase Agreement
GMSLA Global Master Securities Lending Agreement
ICMA International Capital Market Association
IFX Interactive Financial Exchange
IOSCO International Organisation of Securities Commissions
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ISIN International Securities Identification Number
ISLA International Securities Lending Association
ISO International Organization for Standardization
ITS Implementing Technical Standards
LEI Legal entity identifier
LTV Loan-to-Value ratio
MAR Regulation (EU) No 596/2014 of the European Parliament and of
the Council of 16 April 2014 on market abuse (market abuse
regulation).
MIC Market identifier code
MiFIR Regulation (EU) No 600/2014 of the European Parliament and of
the Council on markets in financial instruments and amending
Regulation (EU) No 648/2012
MMF Money-market fund
MMSR Regulation (EU) No 1333/2014 of the European Central Bank of
26 November 2014 concerning statistics on the money markets
NCA National Competent Authority
OJ The Official Journal of the European Union
OTC Over-the-counter
Q&A Questions and Answers
REIT Real Estate Investment Trust
RTS Regulatory Technical Standards
SFTR Regulation (EU) No 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
SMSG Securities and Markets Stakeholder Group
SWIFT Society for Worldwide Interbank Financial Telecommunication
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TR Trade repository
TREM Transaction Reporting Exchange Mechanism
UCITS Directive 2009/65/EC of the European Parliament and of the
Council of 13 July 2009, on the coordination of laws, regulations
and administrative provisions relating to undertakings for
collective investment in transferable securities (UCITS)
UTI Unique Transaction Identifier
XBRL Extensible Business Reporting Language
XML Extensible Mark-up Language
XSD XML Schema Definition

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1 Executive Summary
Reasons for publication
This Consultation Paper is published as part of ESMA’s consultations on Level 2 measures
under the Securities Financing Transactions Regulation (SFTR) as well as certain
amendments to the Level 2 measures under EMIR in order to take into account legal
developments as well as to ensure consistency, where relevant, between the frameworks of
both regulations
Contents
Section 1 is the executive summary of the document. Section 2 explains the background to
our proposals. Section 3 includes detailed information on the procedure and criteria for
registration as TR under SFTR. Section 4 details the use of internationally agreed reporting
standards, the reporting logic under SFTR and the main aspects of the structure of an SFT
report. Section 5 covers the requirements regarding transparency of data and aggregation
and comparison of data. Section 6 details the access levels of authorities. Section 7 contains
the tables of fields, for the relevant types of SFTs, as well as a summary of all the questions.
Next Steps
ESMA will consider the feedback it received to this document in the fourth quarter of 2016.
The final report and the draft technical standards will be submitted to the European
Commission for endorsement by the end of Q1/beginning Q2 2017.

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