Regulatory Alerts2022-06-10
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Commission Delegated Regulation (EU) 2022/1858 on trade repository data reconciliation and verification standards
The European Commission adopted Delegated Regulation (EU) 2022/1858 to establish regulatory technical standards for trade repositories regarding data verification, reconciliation, and Legal Entity Identifier (LEI) updates. Trade repositories are required to verify derivative reports for identity, logical integrity, and completeness, rejecting non-compliant submissions within sixty minutes. The regulation mandates specific reconciliation procedures for derivatives where both counterparties have reporting obligations, including tolerance limits for field matching and daily end-of-day reporting mechanisms. These requirements apply to trade repositories and become effective on 29 April 2024.
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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)
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)
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
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
- 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
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
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