Commission Delegated Regulation (EU) 2022/1858 of 10 June 2022 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards specifying the procedures for the reconciliation of data between trade repositories and the procedures to be applied by the trade repository to verify the compliance by the reporting counterparty or submitting entity with the reporting requirements and to verify the completeness and correctness of the data reported (Text with EEA relevance)
Date: 2022-06-10
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: administrative check, contract, exchange of information, financial derivative, financial legislation, financial transaction, information storage, technical standard, trade information




L_2022262EN.01004601.xml










7.10.2022   


EN


Official Journal of the European Union


L 262/46








            COMMISSION DELEGATED REGULATION (EU) 2022/1858
of 10 June 2022
         
supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards specifying the procedures for the reconciliation of data between trade repositories and the procedures to be applied by the trade repository to verify the compliance by the reporting counterparty or submitting entity with the reporting requirements and to verify the completeness and correctness of the data reported
(Text with EEA relevance)


THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,


Having regard to 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 (1), and in particular Article 78(10) thereof,

Whereas:







(1)


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












(2)


For the same reason, trade repositories should reconcile the details of each derivative report received where both counterparties have a reporting obligation. 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 derivatives not being reconciled. Certain details of derivatives, 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 derivatives do not prevent the authorities from analysing the data with an adequate level of confidence.












(3)


Furthermore and notwithstanding other obligations with regard to the details of derivatives collected and recorded when performing the reconciliation process, the trade repositories should ensure the confidentiality of the data exchanged between them and made available to the reporting counterparties, the entities responsible for reporting and the report submitting entities.












(4)


Where a corporate restructuring event resulting in the change of legal entity identifier (‘LEI’) of a counterparty takes place, the details of the entities identified in a derivative report need to be updated. To ensure the integrity of that information, which is essential for the monitoring of systemic risks to financial stability, it is necessary that the update is performed centrally by the trade repositories. For that reason, a procedure should be established to ensure that trade repositories can update the identifier of the entity in a centralised manner, thus ensuring an efficient, robust and timely process.












(5)


Report submitting entities should 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.












(6)


Report submitting entities and entities responsible for reporting, where applicable, should be able to monitor their compliance with their reporting obligations under Regulation (EU) 648/2012. 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, also where a warning has been generated, and 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.












(7)


This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Securities and Markets Authority.












(8)


The European Securities and Markets Authority has consulted the members of the European System of Central Banks and has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (2).












(9)


To enable counterparties and trade repositories to take all necessary actions to adapt to the new requirements, the date of application of this Regulation should be deferred by eighteen months,





HAS ADOPTED THIS REGULATION:



Article 1

Verification of derivatives by trade repositories


1.   A trade repository shall verify all of the following in a received derivative report:






(a)


the identity of the report submitting entity as referred to in field 2 of Table 1 and field 2 of Table 3 of the Annex to Commission Implementing Regulation (EU) 2022/1860 (3) ;










(b)


that the XML template used to report a derivative complies with the ISO 20022 methodology in accordance with Article 1 of Implementing Regulation (EU) 2022/1860;










(c)


that the report submitting entity, if different from the entity responsible for reporting as referred to in field 3 of Table 1 and field 3 in Table 3 of the Annex to Implementing Regulation (EU) 2022/1860, is duly authorised to report on behalf of counterparty 1 or the entity responsible for reporting, if different from counterparty 1, as referred to in field 4 of Table 1 and field 4 in Table 3 of the Annex to Implementing Regulation (EU) 2022/1860;










(d)


that the same derivative has not been submitted previously;










(e)


that a derivative report with action type ‘Modification’, ‘Margin Update’, ‘Valuation’, ‘Correction’, ‘Error‘ or ‘Terminate’ relates to a previously submitted derivative;










(f)


that a derivative report with action type ‘Modification’ does not relate to a derivative that has been reported as cancelled with action type ‘Error’ which has not been subsequently reported with action type ‘Revive’;










(g)


that a derivative report does not include the action type ‘New’ in respect of a derivative that has previously been reported;










(h)


that a derivative report does not include the action type ‘Position component’ in respect of a derivative that has previously been reported;










(i)


that a derivative report does not purport to modify the details of fields ‘Counterparty 1’ or ‘Counterparty 2’ to a previously reported derivative;










(j)


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










(k)


that a derivative reported with action type ‘Revive’ relates to a previously submitted derivative report with action type ‘Error’ or ‘Terminate’ or to a derivative that has matured;










(l)


the correctness and completeness of the derivative report.






2.   A trade repository shall reject a derivative report that does not comply with one of the requirements set out in paragraph 1 and assign to it one of the rejection categories set out in Table 1 of the Annex.


3.   A trade repository shall provide the report submitting entities with detailed information on the results of the data verification referred to in paragraph 1 within sixty minutes after it has received a derivative report. A trade repository shall provide those results in an XML format and a template in accordance with the ISO 20022 methodology. The results shall specify reasons for the rejection of a derivative report in accordance with Table 1 of the Annex.



Article 2

Procedure for updates of Legal Entity Identifiers


1.   A trade repository to which a request under Article 8 of Implementing Regulation (EU) 2022/1860 is addressed shall identify the outstanding derivatives referred to in paragraph 2 of Article 2 of Implementing Regulation (EU) 2022/1860 at the time of the corporate restructuring event, where the entity is reported with the identifier used before the corporate restructuring event in the field ‘Counterparty 1’ or ‘Counterparty 2’, as informed in the relevant request. It shall replace the old identifier with the new Legal Entity Identifier (‘LEI’) in the reports relating to all those derivatives at the time of the event referred to in Article 8 of Implementing Regulation (EU) 2022/1860 pertaining to that counterparty. A trade repository shall perform the procedure on the update of the identifier at the latest on the day of restructuring or within 30 calendar days as of receipt of the request if reported less than 30 calendar days prior to the date of the corporate restructuring event.


2.   A trade repository shall identify the relevant derivatives referred to in paragraph 2 of Article 2 of Implementing Regulation (EU) 2022/1860 at the time of the corporate restructuring event, where the entity is identified with the old identifier in any of the fields, and replace that identifier with the new LEI. Where a corporate restructuring event relates to an update of the LEI for fields other than ‘Counterparty 1’ or ‘Counterparty 2’, the trade repository shall perform such an update of the relevant derivatives only following a timely confirmation by counterparty 1 or the entity responsible for reporting.


3.   A trade repository shall carry out the following actions:






(a)


following the receipt of the relevant confirmation under paragraph 2, implement the update of the LEI as of the date referred to in paragraph 1;










(b)


broadcast the following information at the earliest possibility, and no later than 5 working days after the complete notification is received, to all the other trade repositories and to the reporting counterparties, report submitting entities, entities responsible for reporting involved in the derivatives contracts concerned by the LEI update, and to third parties which have been granted access to information under Article 78(7) of Regulation (EU) No 648/2012, as applicable:






(i)


the old identifier(s);










(ii)


the new identifier;










(iii)


the date as of which the update shall be done;










(iv)


in case of corporate events affecting a subset of the derivatives outstanding at the date of the event, the list of the unique trade identifiers (UTIs) of the derivatives concerned by the LEI update;














(c)


notify, at the latest the working day before the date on which the update is applied, the entities listed in Article 81(3) of Regulation (EU) No 648/2012 who have access to the data relating to the derivatives that have been updated, by way of a specific file in machine-readable format:






(i)


the old identifier(s);










(ii)


the new identifier;










(iii)


the date as of which the update shall be done;










(iv)


in case of corporate events affecting a subset of the derivatives outstanding at the date of the event, the list of the UTIs of the derivatives concerned by the LEI update;














(d)


record the LEI update in the reporting log.






4.   A trade repository shall not update the LEIs reported for derivatives different from those referred to in paragraph 2 of Article 2 of Implementing Regulation (EU) 2022/1860 at the time of the corporate event.



Article 3

Reconciliation of data by trade repositories


1.   A trade repository shall seek to reconcile a reported derivative by undertaking the steps set out in paragraph 3, provided that all of the following conditions are met:






(a)


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










(b)


both counterparties to the reported derivative have a reporting obligation pursuant to Article 9 of Regulation (EU) No 648/2012;










(c)


the trade repository has not received a report with the action type ‘Error’ in respect of the reported derivative, unless such report has been followed by a report with action type ‘Revive’.






2.   A trade repository shall have arrangements in place to ensure the confidentiality of the data when exchanging information with other trade repositories and when providing information to reporting counterparties, report submitting entities, entities responsible for reporting as well as third parties which have been granted access to information under Article 78(7) of Regulation (EU) No 648/2012 about the values for all the fields that are subject to reconciliation.


3.   Where all the conditions of paragraph 1 are met, a trade repository shall undertake the following steps, using the latest reported value for each of the fields in Table 2 of the Annex as of the preceding working day:






(a)


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










(b)


a trade repository that has not received a corresponding derivative report as referred to in point (a) shall attempt to identify the trade repository that has received the corresponding derivative report by communicating to all registered trade repositories the values of the following fields of the reported derivative: ‘Unique Transaction Identifier’, ‘Counterparty 1’ and ‘Counterparty 2’;










(c)


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










(d)


a trade repository shall treat a reported derivative as reconciled where the details of that derivative subject to reconciliation match the details of the corresponding derivative as referred to in point (a) and in accordance with the applicable tolerance limits and relevant dates of application as laid down in Table 2 of the Annex;










(e)


a trade repository shall subsequently assign values for the reconciliation categories for each reported derivatives transaction, as set out in Table 3 of the Annex;










(f)


a trade repository shall conclude the steps in points (a) to (e) at the earliest opportunity and shall take no such steps after midnight Universal Coordinated Time on a given working day;










(g)


a trade repository that cannot reconcile a reported derivative shall seek to match the details of that reported derivative on the following working day. The trade repository shall no longer seek to reconcile the reported derivative thirty calendar days after the derivative is not outstanding.






4.   A trade repository shall confirm the total number of paired derivatives and the number of reconciled derivatives with each trade repository with which it has reconciled derivatives at the end of each working day. A trade repository shall have in place written procedures for ensuring the resolution of all discrepancies identified in this process.


5.   No later than sixty minutes after the conclusion of the reconciliation process as set out in point (f) of paragraph 3, a trade repository shall provide the report submitting entities with the results of the reconciliation process performed by it on the reported derivatives. A trade repository shall provide those results in an XML format and a template developed in accordance with the ISO 20022 methodology, including information on the fields that have not been reconciled.



Article 4

End-of-day response mechanisms


1.   With regard to each working day, a trade repository shall make available to the reporting counterparties, report submitting entities, entities responsible for reporting as well as third parties which have been granted access to information under Article 78(7) of Regulation (EU) No 648/2012, as applicable, the following information on the concerned derivatives, in an XML format and a template developed in accordance with the ISO 20022 methodology:






(a)


the derivatives reported during that day;










(b)


the latest trade states of the outstanding derivatives;










(c)


the derivative reports that have been rejected during that day;










(d)


the reconciliation status of all reported derivatives subject to reconciliation pursuant to Article 3(1);










(e)


the outstanding derivatives for which no valuation has been reported, or for which the valuation that was reported is dated more than fourteen calendar days earlier than the day for which the report is generated;










(f)


the outstanding derivatives for which no margin information has been reported, or for which the margin information that was reported is dated more than fourteen calendar days earlier than the day for which the report is generated;










(g)


the derivatives that were received on that day with action type ‘New’, ‘Position component’, ‘Modification’ or ‘Correction’ and whose notional amount is abnormal for that class of derivatives.






2.   A trade repository shall provide such information no later than 06:00 Coordinated Universal time on the working day following the day to which the information provided in paragraph 1 refers.



Article 5

Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 29 April 2024.




This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 10 June 2022.


For the Commission


The President

Ursula VON DER LEYEN
            





(1)  
            OJ L 201, 27.7.2012, p. 1.

(2)  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).

(3)  Commission Implementing Regulation (EU) 2022/1860 of 10 June 2022 laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting (See page 68 of this Official Journal).




ANNEX

Table 1


Reasons for rejection of a derivative report







Rejection categories


Reason




Schema








—


the derivative has been rejected, because of non-compliant schema.








Permission








—


the derivative has been rejected, because the report submitting entity is not permissioned to report on behalf of the reporting counterparty or the entity responsible for reporting.








Logical








—


the derivative has been rejected, because the action type for the derivative is not logically correct.








Business








—


the derivative is rejected, because the derivative is not complying with one or more content validations.












Table 2










 


Section


Field


Reconciliation tolerance


Reconciliation start date




1


Parties to the derivative


Reporting timestamp


NA


NA




2


Parties to the derivative


Report submitting entity ID


NA


NA




3


Parties to the derivative


Entity responsible for reporting


NA


NA




4


Parties to the derivative


Counterparty 1 (Reporting counterparty)


Same as field 9 in this table


Start date of the reporting obligation




5


Parties to the derivative


Nature of counterparty 1


NA


NA




6


Parties to the derivative


Corporate sector of counterparty 1


NA


NA




7


Parties to the derivative


Clearing threshold of counterparty 1


NA


NA




8


Parties to the derivative


Counterparty 2 identifier type


NA


NA




9


Parties to the derivative


Counterparty 2


Same as field 4 in this table


Start date of the reporting obligation




10


Parties to the derivative


Country of counterparty 2


NA


NA




11


Parties to the derivative


Nature of counterparty 2


NA


NA




12


Parties to the derivative


Corporate sector of counterparty 2


NA


NA




13


Parties to the derivative


Clearing threshold of counterparty 2


NA


NA




14


Parties to the derivative


Reporting obligation of counterparty 2


NA


NA




15


Parties to the derivative


Broker ID


NA


NA




16


Parties to the derivative


Clearing member


NA


NA




17


Parties to the derivative


Direction


Opposite


Start date of the reporting obligation




18


Parties to the derivative


Direction of leg 1


Opposite


Start date of the reporting obligation




19


Parties to the derivative


Direction of leg 2


Opposite


Start date of the reporting obligation




20


Parties to the derivative


Directly linked to commercial activity or treasury financing


NA


NA




1


Section 2a - Identifiers and links


UTI


No


Start date of the reporting obligation




2


Section 2a - Identifiers and links


Report tracking number


No


Start date of the reporting obligation




3


Section 2a - Identifiers and links


Prior UTI (for one-to-one and one-to-many relations between transactions)


No


Two years after the start date of the reporting obligation




4


Section 2a - Identifiers and links


Subsequent position UTI


No


Two years after the start date of the reporting obligation




5


Section 2a - Identifiers and links


Post Trade Risk Reduction (PTRR) ID


NA


NA




6


Section 2a - Identifiers and links


Package identifier


NA


NA




7


Section 2b – Contract information


International Securities Identification Number (ISIN)


No


Start date of the reporting obligation




8


Section 2b – Contract information


Unique product identifier (UPI)


No


Start date of the reporting obligation




9


Section 2b – Contract information


Product classification


No


Start date of the reporting obligation




10


Section 2b – Contract information


Contract type


No


Start date of the reporting obligation




11


Section 2b – Contract information


Asset class


No


Start date of the reporting obligation




12


Section 2b – Contract information


Derivative based on crypto-assets


No


Two years from the start date of the reporting obligation




13


Section 2b – Contract information


Underlying identification type


No


Start date of the reporting obligation




14


Section 2b – Contract information


Underlying identification


No


Start date of the reporting obligation




15


Section 2b – Contract information


Indicator of the underlying index


Yes


Two years from the start date of the reporting obligation




16


Section 2b – Contract information


Name of the underlying index


Yes


Two years from the start date of the reporting obligation




17


Section 2b – Contract information


Custom basket code


No


Two years from the start date of the reporting obligation




18


Section 2b – Contract information


Identifier of the basket’s constituents


Yes


Two years from the start date of the reporting obligation




19


Section 2b – Contract information


Settlement currency 1


No


Two years from the start date of the reporting obligation




20


Section 2b – Contract information


Settlement currency 2


No


Two years from the start date of the reporting obligation




21


Section 2c – Valuation


Valuation amount


Yes


Two years from the start date of the reporting obligation




22


Section 2c – Valuation


Valuation currency


No


Two years from the start date of the reporting obligation




23


Section 2c – Valuation


Valuation timestamp


NA


NA




24


Section 2c – Valuation


Valuation method


No


Two years from the start date of the reporting obligation




25


Section 2c – Valuation


Delta


Yes


Two years from the start date of the reporting obligation




26


Section 2d - Collateral


Collateral portfolio indicator


NA


NA




27


Section 2d - Collateral


Collateral portfolio code


NA


NA




28


Section 2e - Risk mitigation / Reporting


Confirmation timestamp


Yes


Start date of the reporting obligation




29


Section 2e - Risk mitigation / Reporting


Confirmed


No


Start date of the reporting obligation




30


Section 2f - Clearing


Clearing obligation


Yes


Start date of the reporting obligation




31


Section 2f - Clearing


Cleared


No


Start date of the reporting obligation




32


Section 2f - Clearing


Clearing timestamp


Yes


Start date of the reporting obligation




33


Section 2f - Clearing


Central counterparty


No


Start date of the reporting obligation




34


Section 2g - Details on the transaction


Master Agreement type


Yes


Start date of the reporting obligation




35


Section 2g - Details on the transaction


Other master agreement type


NA


NA




36


Section 2g - Details on the transaction


Master Agreement version


No


Start date of the reporting obligation




37


Section 2g - Details on the transaction


Intragroup


No


Start date of the reporting obligation




38


Section 2g - Details on the transaction


PTRR


No


Start date of the reporting obligation




39


Section 2g - Details on the transaction


Type of PTRR technique


No


Start date of the reporting obligation




40


Section 2g - Details on the transaction


PTRR service provider


No


Start date of the reporting obligation




41


Section 2g - Details on the transaction


Venue of execution


No


Start date of the reporting obligation




42


Section 2c - Details on the transaction


Execution timestamp


Yes


Start date of the reporting obligation




43


Section 2c - Details on the transaction


Effective date


No


Start date of the reporting obligation




44


Section 2c - Details on the transaction


Expiration date


No


Start date of the reporting obligation




45


Section 2c - Details on the transaction


Early termination date


No


Start date of the reporting obligation




46


Section 2c - Details on the transaction


Final contractual settlement date


No


Start date of the reporting obligation




47


Section 2c - Details on the transaction


Delivery type


No


Start date of the reporting obligation




48


Section 2g - Details on the transaction


Price


Yes


Start date of the reporting obligation




49


Section 2g - Details on the transaction


Price currency


No


Start date of the reporting obligation




50


Section 2g - Details on the transaction


Unadjusted effective date of the price


No


Two years from the start date of the reporting obligation




51


Section 2g - Details on the transaction


Unadjusted end date of the price


No


Two years from the start date of the reporting obligation




52


Section 2g - Details on the transaction


Price in effect between the unadjusted effective date and the end date


Yes


Two years from the start date of the reporting obligation




53


Section 2g - Details on the transaction


Package transaction price


Yes


Two years from the start date of the reporting obligation




54


Section 2g - Details on the transaction


Package transaction price currency


No


Two years from the start date of the reporting obligation




55


Section 2g - Details on the transaction


Notional amount of leg 1


Yes


Start date of the reporting obligation




56


Section 2g - Details on the transaction


Notional currency 1


No


Start date of the reporting obligation




57


Section 2g - Details on the transaction


Effective date of the notional amount of leg 1


No


Start date of the reporting obligation




58


Section 2g - Details on the transaction


End date of the notional amount of leg 1


No


Start date of the reporting obligation




59


Section 2g - Details on the transaction


Notional amount in effect on associated effective date of leg 1


Yes


Start date of the reporting obligation




60


Section 2g - Details on the transaction


Total notional quantity of leg 1


Yes


Start date of the reporting obligation




61


Section 2g - Details on the transaction


Effective date of the notional quantity of leg 1


No


Start date of the reporting obligation




62


Section 2g - Details on the transaction


End date of the notional quantity of leg 1


No


Start date of the reporting obligation




63


Section 2g - Details on the transaction


Notional quantity in effect on associated effective date of leg 1


Yes


Start date of the reporting obligation




64


Section 2g - Details on the transaction


Notional amount of leg 2


Yes


Start date of the reporting obligation




65


Section 2g - Details on the transaction


Notional currency 2


No


Start date of the reporting obligation




66


Section 2g - Details on the transaction


Effective date of the notional amount of leg 2


No


Start date of the reporting obligation




67


Section 2g - Details on the transaction


End date of the notional amount of leg 2


No


Start date of the reporting obligation




68


Section 2g - Details on the transaction


Notional amount in effect on associated effective date of leg 2


Yes


Start date of the reporting obligation




69


Section 2g - Details on the transaction


Total notional quantity of leg 2


Yes


Start date of the reporting obligation




70


Section 2g - Details on the transaction


Effective date of the notional quantity of leg 2


No


Start date of the reporting obligation




71


Section 2g - Details on the transaction


End date of the notional quantity of leg 2


No


Start date of the reporting obligation




72


Section 2g - Details on the transaction


Notional quantity in effect on associated effective date of leg 2


Yes


Start date of the reporting obligation




73


Section 2g - Details on the transaction


Other payment type


No


Two years from the start date of the reporting obligation




74


Section 2g - Details on the transaction


Other payment amount


Yes


Two years from the start date of the reporting obligation




75


Section 2g - Details on the transaction


Other payment currency


No


Two years from the start date of the reporting obligation




76


Section 2g - Details on the transaction


Other payment date


No


Two years from the start date of the reporting obligation




77


Section 2g - Details on the transaction


Other payment payer


Yes


Two years from the start date of the reporting obligation




78


Section 2g - Details on the transaction


Other payment receiver


Yes


Two years from the start date of the reporting obligation




79


Section 2h - Interest Rates


Fixed rate of leg 1 or coupon


Yes


Start date of the reporting obligation




80


Section 2h - Interest Rates


Fixed rate or coupon day count convention leg 1


No


Start date of the reporting obligation




81


Section 2h - Interest Rates


Fixed rate or coupon payment frequency period leg 1


No


Start date of the reporting obligation




82


Section 2h - Interest Rates


Fixed rate or coupon payment frequency period multiplier leg 1


No


Start date of the reporting obligation




83


Section 2h - Interest Rates


Identifier of the floating rate of leg 1


No


Start date of the reporting obligation




84


Section 2h - Interest Rates


Indicator of the floating rate of leg 1


No


Start date of the reporting obligation




85


Section 2h - Interest Rates


Name of the floating rate of leg 1


NA


NA




86


Section 2h - Interest Rates


Floating rate day count convention of leg 1


No


Start date of the reporting obligation




87


Section 2h - Interest Rates


Floating rate payment frequency period of leg 1


No


Start date of the reporting obligation




88


Section 2h - Interest Rates


Floating rate payment frequency period multiplier of leg 1


No


Start date of the reporting obligation




89


Section 2h - Interest Rates


Floating rate reference period of leg 1 – time period


No


Start date of the reporting obligation




90


Section 2h - Interest Rates


Floating rate reference period of leg 1 – multiplier


No


Start date of the reporting obligation




91


Section 2h - Interest Rates


Floating rate reset frequency period of leg 1


No


Start date of the reporting obligation




92


Section 2h - Interest Rates


Floating rate reset frequency multiplier of leg 1


No


Start date of the reporting obligation




93


Section 2h - Interest Rates


Spread of leg 1


Yes


Two years from the start date of the reporting obligation




94


Section 2h - Interest Rates


Spread currency of leg 1


No


Two years from the start date of the reporting obligation




95


Section 2h - Interest Rates


Fixed rate of leg 2


Yes


Start date of the reporting obligation




96


Section 2h - Interest Rates


Fixed rate day count convention leg 2


No


Start date of the reporting obligation




97


Section 2h - Interest Rates


Fixed rate payment frequency period leg 2


No


Start date of the reporting obligation




98


Section 2h - Interest Rates


Fixed rate payment frequency period multiplier leg 2


No


Start date of the reporting obligation




99


Section 2h - Interest Rates


Identifier of the floating rate of leg 2


No


Start date of the reporting obligation




100


Section 2h - Interest Rates


Indicator of the floating rate of leg 2


No


Start date of the reporting obligation




101


Section 2h - Interest Rates


Name of the floating rate of leg 2


NA


NA




102


Section 2h - Interest Rates


Floating rate day count convention of leg 2


No


Start date of the reporting obligation




103


Section 2h - Interest Rates


Floating rate payment frequency period of leg 2


No


Start date of the reporting obligation




104


Section 2h - Interest Rates


Floating rate payment frequency period multiplier of leg 2


No


Start date of the reporting obligation




105


Section 2h - Interest Rates


Floating rate reference period of leg 2 – time period


No


Start date of the reporting obligation




106


Section 2h - Interest Rates


Floating rate reference period of leg 2 – multiplier


No


Start date of the reporting obligation




107


Section 2h - Interest Rates


Floating rate reset frequency period of leg 2


No


Start date of the reporting obligation




108


Section 2h - Interest Rates


Floating rate reset frequency multiplier of leg 2


No


Start date of the reporting obligation




109


Section 2h - Interest Rates


Spread of leg 2


Yes


Two years from the start date of the reporting obligation




110


Section 2h - Interest Rates


Spread currency of leg 2


No


Two years from the start date of the reporting obligation




111


Section 2h - Interest Rates


Package transaction spread


Yes


Two years from the start date of the reporting obligation




112


Section 2h - Interest Rates


Package transaction spread currency


No


Two years from the start date of the reporting obligation




113


Section 2i – Foreign Exchange


Exchange rate 1


Yes


Two years from the start date of the reporting obligation




114


Section 2i – Foreign Exchange


Forward exchange rate


Yes


Two years from the start date of the reporting obligation




115


Section 2i – Foreign Exchange


Exchange rate basis


No


Two years from the start date of the reporting obligation




116


Section 2j - Commodities and emission allowances (General)


Base product


No


Two years from the start date of the reporting obligation




117


Section 2j - Commodities and emission allowances (General)


Sub-product


No


Two years from the start date of the reporting obligation




118


Section 2j - Commodities and emission allowances (General)


Further sub-product


No


Two years from the start date of the reporting obligation




119


Section 2k - Commodities and emission allowances (Energy)


Delivery point or zone


No


Two years from the start date of the reporting obligation




120


Section 2k - Commodities and emission allowances (Energy)


Interconnection Point


No


Two years from the start date of the reporting obligation




121


Section 2k - Commodities and emission allowances (Energy)


Load type


No


Two years from the start date of the reporting obligation




122


Section 2k - Commodities and emission allowances (Energy)


Delivery interval start time


Yes


Two years from the start date of the reporting obligation




123


Section 2k - Commodities and emission allowances (Energy)


Delivery interval end time


Yes


Two years from the start date of the reporting obligation




124


Section 2k - Commodities and emission allowances (Energy)


Delivery start date


No


Two years from the start date of the reporting obligation




125


Section 2k - Commodities and emission allowances (Energy)


Delivery end date


No


Two years from the start date of the reporting obligation




126


Section 2k - Commodities and emission allowances (Energy)


Duration


No


Two years from the start date of the reporting obligation




127


Section 2k - Commodities and emission allowances (Energy)


Days of the week


No


Two years from the start date of the reporting obligation




128


Section 2k - Commodities and emission allowances (Energy)


Delivery capacity


Yes


Two years from the start date of the reporting obligation




129


Section 2k - Commodities and emission allowances (Energy)


Quantity Unit


No


Two years from the start date of the reporting obligation




130


Section 2k - Commodities and emission allowances (Energy)


Price/time interval quantity


Yes


Two years from the start date of the reporting obligation




131


Section 2k - Commodities and emission allowances (Energy)


Currency of the price/time interval quantity


No


Two years from the start date of the reporting obligation




132


Section 2l - Options


Option type


No


Start date of the reporting obligation




133


Section 2l - Options


Option style


No


Start date of the reporting obligation




134


Section 2l - Options


Strike price


Yes


Two years from the start date of the reporting obligation




135


Section 2l - Options


Effective date of the strike price


No


Two years from the start date of the reporting obligation




136


Section 2l - Options


End date of the strike price


No


Two years from the start date of the reporting obligation




137


Section 2l - Options


Strike price in effect on associated effective date


Yes


Two years from the start date of the reporting obligation




138


Section 2l - Options


Strike price currency/currency pair


No


Two years from the start date of the reporting obligation




139


Section 2l - Options


Option premium amount


Yes


Two years from the start date of the reporting obligation




140


Section 2l - Options


Option premium currency


No


Two years from the start date of the reporting obligation




141


Section 2l - Options


Option premium payment date


No


Two years from the start date of the reporting obligation




142


Section 2i - Options


Maturity date of the underlying


No


Start date of the reporting obligation




143


Section 2m – Credit derivatives


Seniority


No


Start date of the reporting obligation




144


Section 2m – Credit derivatives


Reference entity


No


Start date of the reporting obligation




145


Section 2m – Credit derivatives


Series


No


Two years from the start date of the reporting obligation




146


Section 2m – Credit derivatives


Version


No


Two years from the start date of the reporting obligation




147


Section 2m – Credit derivatives


Index factor


Yes


Start date of the reporting obligation




148


Section 2m – Credit derivatives


Tranche


No


Start date of the reporting obligation




149


Section 2m – Credit derivatives


Credit Default Swap (CDS) index attachment point


Yes


Two years from the start date of the reporting obligation




150


Section 2m – Credit derivatives


CDS index detachment point


Yes


Two years from the start date of the reporting obligation




151


Section 2n - Modifications to the derivative


Action type


NA


NA




152


Section 2n - Modifications to the derivative


Event type


NA


NA




153


Section 2n - Modifications to the derivative


Event date


NA


NA




154


Section 2n - Modifications to the derivative


Level


No


Start date of the reporting obligation








Table 3







Reconciliation categories


Allowable values




Reporting requirement for both counterparties


Yes/No




Reporting type


Single-sided/dual-sided




Pairing


Paired/unpaired




Reconciliation


Reconciled/not reconciled




Valuation reconciliation


Reconciled/not reconciled




Revived


Yes/No




Further modifications


Yes/No