ANNEX
Table 1
Reasons for rejection of a derivative report
|
Rejection categories |
Reason |
||
|
Schema |
|
||
|
Permission |
|
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|
Logical |
|
||
|
Business |
|
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 |