Commission Delegated Regulation (EU) 2022/1858 on trade repository data reconciliation and verification standards

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Document 32022R1858

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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)

C/2022/3581

OJ L 262, 7.10.2022, pp. 46–64 (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_del/2022/1858/oj

Official Journal

Language 1

Language 2

Language 3

7.10.2022

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

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.

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.
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

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.
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.
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.

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

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’.

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.
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.

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.
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

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.

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

Parties to the derivative

Reporting timestamp

Parties to the derivative

Report submitting entity ID

Parties to the derivative

Entity responsible for reporting

Parties to the derivative

Counterparty 1 (Reporting counterparty)

Same as field 9 in this table

Start date of the reporting obligation

Parties to the derivative

Nature of counterparty 1

Parties to the derivative

Corporate sector of counterparty 1

Parties to the derivative

Clearing threshold of counterparty 1

Parties to the derivative

Counterparty 2 identifier type

Parties to the derivative

Counterparty 2

Same as field 4 in this table

Start date of the reporting obligation

Parties to the derivative

Country of counterparty 2

Parties to the derivative

Nature of counterparty 2

Parties to the derivative

Corporate sector of counterparty 2

Parties to the derivative

Clearing threshold of counterparty 2

Parties to the derivative

Reporting obligation of counterparty 2

Parties to the derivative

Broker ID

Parties to the derivative

Clearing member

Parties to the derivative

Direction

Opposite

Start date of the reporting obligation

Parties to the derivative

Direction of leg 1

Opposite

Start date of the reporting obligation

Parties to the derivative

Direction of leg 2

Opposite

Start date of the reporting obligation

Parties to the derivative

Directly linked to commercial activity or treasury financing

Section 2a - Identifiers and links

UTI

Start date of the reporting obligation

Section 2a - Identifiers and links

Report tracking number

Start date of the reporting obligation

Section 2a - Identifiers and links

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

Two years after the start date of the reporting obligation

Section 2a - Identifiers and links

Subsequent position UTI

Two years after the start date of the reporting obligation

Section 2a - Identifiers and links

Post Trade Risk Reduction (PTRR) ID

Section 2a - Identifiers and links

Package identifier

Section 2b – Contract information

International Securities Identification Number (ISIN)

Start date of the reporting obligation

Section 2b – Contract information

Unique product identifier (UPI)

Start date of the reporting obligation

Section 2b – Contract information

Product classification

Start date of the reporting obligation

Section 2b – Contract information

Contract type

Start date of the reporting obligation

Section 2b – Contract information

Asset class

Start date of the reporting obligation

Section 2b – Contract information

Derivative based on crypto-assets

Two years from the start date of the reporting obligation

Section 2b – Contract information

Underlying identification type

Start date of the reporting obligation

Section 2b – Contract information

Underlying identification

Start date of the reporting obligation

Section 2b – Contract information

Indicator of the underlying index

Yes

Two years from the start date of the reporting obligation

Section 2b – Contract information

Name of the underlying index

Yes

Two years from the start date of the reporting obligation

Section 2b – Contract information

Custom basket code

Two years from the start date of the reporting obligation

Section 2b – Contract information

Identifier of the basket’s constituents

Yes

Two years from the start date of the reporting obligation

Section 2b – Contract information

Settlement currency 1

Two years from the start date of the reporting obligation

Section 2b – Contract information

Settlement currency 2

Two years from the start date of the reporting obligation

Section 2c – Valuation

Valuation amount

Yes

Two years from the start date of the reporting obligation

Section 2c – Valuation

Valuation currency

Two years from the start date of the reporting obligation

Section 2c – Valuation

Valuation timestamp

Section 2c – Valuation

Valuation method

Two years from the start date of the reporting obligation

Section 2c – Valuation

Delta

Yes

Two years from the start date of the reporting obligation

Section 2d - Collateral

Collateral portfolio indicator

Section 2d - Collateral

Collateral portfolio code

Section 2e - Risk mitigation / Reporting

Confirmation timestamp

Yes

Start date of the reporting obligation

Section 2e - Risk mitigation / Reporting

Confirmed

Start date of the reporting obligation

Section 2f - Clearing

Clearing obligation

Yes

Start date of the reporting obligation

Section 2f - Clearing

Cleared

Start date of the reporting obligation

Section 2f - Clearing

Clearing timestamp

Yes

Start date of the reporting obligation

Section 2f - Clearing

Central counterparty

Start date of the reporting obligation

Section 2g - Details on the transaction

Master Agreement type

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Other master agreement type

Section 2g - Details on the transaction

Master Agreement version

Start date of the reporting obligation

Section 2g - Details on the transaction

Intragroup

Start date of the reporting obligation

Section 2g - Details on the transaction

PTRR

Start date of the reporting obligation

Section 2g - Details on the transaction

Type of PTRR technique

Start date of the reporting obligation

Section 2g - Details on the transaction

PTRR service provider

Start date of the reporting obligation

Section 2g - Details on the transaction

Venue of execution

Start date of the reporting obligation

Section 2c - Details on the transaction

Execution timestamp

Yes

Start date of the reporting obligation

Section 2c - Details on the transaction

Effective date

Start date of the reporting obligation

Section 2c - Details on the transaction

Expiration date

Start date of the reporting obligation

Section 2c - Details on the transaction

Early termination date

Start date of the reporting obligation

Section 2c - Details on the transaction

Final contractual settlement date

Start date of the reporting obligation

Section 2c - Details on the transaction

Delivery type

Start date of the reporting obligation

Section 2g - Details on the transaction

Price

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Price currency

Start date of the reporting obligation

Section 2g - Details on the transaction

Unadjusted effective date of the price

Two years from the start date of the reporting obligation

Section 2g - Details on the transaction

Unadjusted end date of the price

Two years from the start date of the reporting obligation

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

Section 2g - Details on the transaction

Package transaction price

Yes

Two years from the start date of the reporting obligation

Section 2g - Details on the transaction

Package transaction price currency

Two years from the start date of the reporting obligation

Section 2g - Details on the transaction

Notional amount of leg 1

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Notional currency 1

Start date of the reporting obligation

Section 2g - Details on the transaction

Effective date of the notional amount of leg 1

Start date of the reporting obligation

Section 2g - Details on the transaction

End date of the notional amount of leg 1

Start date of the reporting obligation

Section 2g - Details on the transaction

Notional amount in effect on associated effective date of leg 1

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Total notional quantity of leg 1

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Effective date of the notional quantity of leg 1

Start date of the reporting obligation

Section 2g - Details on the transaction

End date of the notional quantity of leg 1

Start date of the reporting obligation

Section 2g - Details on the transaction

Notional quantity in effect on associated effective date of leg 1

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Notional amount of leg 2

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Notional currency 2

Start date of the reporting obligation

Section 2g - Details on the transaction

Effective date of the notional amount of leg 2

Start date of the reporting obligation

Section 2g - Details on the transaction

End date of the notional amount of leg 2

Start date of the reporting obligation

Section 2g - Details on the transaction

Notional amount in effect on associated effective date of leg 2

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Total notional quantity of leg 2

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Effective date of the notional quantity of leg 2

Start date of the reporting obligation

Section 2g - Details on the transaction

End date of the notional quantity of leg 2

Start date of the reporting obligation

Section 2g - Details on the transaction

Notional quantity in effect on associated effective date of leg 2

Yes

Start date of the reporting obligation

Section 2g - Details on the transaction

Other payment type

Two years from the start date of the reporting obligation

Section 2g - Details on the transaction

Other payment amount

Yes

Two years from the start date of the reporting obligation

Section 2g - Details on the transaction

Other payment currency

Two years from the start date of the reporting obligation

Section 2g - Details on the transaction

Other payment date

Two years from the start date of the reporting obligation

Section 2g - Details on the transaction

Other payment payer

Yes

Two years from the start date of the reporting obligation

Section 2g - Details on the transaction

Other payment receiver

Yes

Two years from the start date of the reporting obligation

Section 2h - Interest Rates

Fixed rate of leg 1 or coupon

Yes

Start date of the reporting obligation

Section 2h - Interest Rates

Fixed rate or coupon day count convention leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Fixed rate or coupon payment frequency period leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Fixed rate or coupon payment frequency period multiplier leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Identifier of the floating rate of leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Indicator of the floating rate of leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Name of the floating rate of leg 1

Section 2h - Interest Rates

Floating rate day count convention of leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate payment frequency period of leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate payment frequency period multiplier of leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate reference period of leg 1 – time period

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate reference period of leg 1 – multiplier

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate reset frequency period of leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate reset frequency multiplier of leg 1

Start date of the reporting obligation

Section 2h - Interest Rates

Spread of leg 1

Yes

Two years from the start date of the reporting obligation

Section 2h - Interest Rates

Spread currency of leg 1

Two years from the start date of the reporting obligation

Section 2h - Interest Rates

Fixed rate of leg 2

Yes

Start date of the reporting obligation

Section 2h - Interest Rates

Fixed rate day count convention leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Fixed rate payment frequency period leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Fixed rate payment frequency period multiplier leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Identifier of the floating rate of leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Indicator of the floating rate of leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Name of the floating rate of leg 2

Section 2h - Interest Rates

Floating rate day count convention of leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate payment frequency period of leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate payment frequency period multiplier of leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate reference period of leg 2 – time period

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate reference period of leg 2 – multiplier

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate reset frequency period of leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Floating rate reset frequency multiplier of leg 2

Start date of the reporting obligation

Section 2h - Interest Rates

Spread of leg 2

Yes

Two years from the start date of the reporting obligation

Section 2h - Interest Rates

Spread currency of leg 2

Two years from the start date of the reporting obligation

Section 2h - Interest Rates

Package transaction spread

Yes

Two years from the start date of the reporting obligation

Section 2h - Interest Rates

Package transaction spread currency

Two years from the start date of the reporting obligation

Section 2i – Foreign Exchange

Exchange rate 1

Yes

Two years from the start date of the reporting obligation

Section 2i – Foreign Exchange

Forward exchange rate

Yes

Two years from the start date of the reporting obligation

Section 2i – Foreign Exchange

Exchange rate basis

Two years from the start date of the reporting obligation

Section 2j - Commodities and emission allowances (General)

Base product

Two years from the start date of the reporting obligation

Section 2j - Commodities and emission allowances (General)

Sub-product

Two years from the start date of the reporting obligation

Section 2j - Commodities and emission allowances (General)

Further sub-product

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Delivery point or zone

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Interconnection Point

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Load type

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Delivery interval start time

Yes

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Delivery interval end time

Yes

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Delivery start date

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Delivery end date

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Duration

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Days of the week

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Delivery capacity

Yes

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Quantity Unit

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Price/time interval quantity

Yes

Two years from the start date of the reporting obligation

Section 2k - Commodities and emission allowances (Energy)

Currency of the price/time interval quantity

Two years from the start date of the reporting obligation

Section 2l - Options

Option type

Start date of the reporting obligation

Section 2l - Options

Option style

Start date of the reporting obligation

Section 2l - Options

Strike price

Yes

Two years from the start date of the reporting obligation

Section 2l - Options

Effective date of the strike price

Two years from the start date of the reporting obligation

Section 2l - Options

End date of the strike price

Two years from the start date of the reporting obligation

Section 2l - Options

Strike price in effect on associated effective date

Yes

Two years from the start date of the reporting obligation

Section 2l - Options

Strike price currency/currency pair

Two years from the start date of the reporting obligation

Section 2l - Options

Option premium amount

Yes

Two years from the start date of the reporting obligation

Section 2l - Options

Option premium currency

Two years from the start date of the reporting obligation

Section 2l - Options

Option premium payment date

Two years from the start date of the reporting obligation

Section 2i - Options

Maturity date of the underlying

Start date of the reporting obligation

Section 2m – Credit derivatives

Seniority

Start date of the reporting obligation

Section 2m – Credit derivatives

Reference entity

Start date of the reporting obligation

Section 2m – Credit derivatives

Series

Two years from the start date of the reporting obligation

Section 2m – Credit derivatives

Version

Two years from the start date of the reporting obligation

Section 2m – Credit derivatives

Index factor

Yes

Start date of the reporting obligation

Section 2m – Credit derivatives

Tranche

Start date of the reporting obligation

Section 2m – Credit derivatives

Credit Default Swap (CDS) index attachment point

Yes

Two years from the start date of the reporting obligation

Section 2m – Credit derivatives

CDS index detachment point

Yes

Two years from the start date of the reporting obligation

Section 2n - Modifications to the derivative

Action type

Section 2n - Modifications to the derivative

Event type

Section 2n - Modifications to the derivative

Event date

Section 2n - Modifications to the derivative

Level

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

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