ANNEX I
Table 1
Reconciliation fields, tolerance levels and start date of the reconciliation phase
|
Table |
Section |
Field |
Tolerance |
Start date mentioned in: |
|
Counterparty data |
NA |
Reporting counterparty |
No |
|
|
Counterparty data |
NA |
Counterparty side |
No |
|
|
Counterparty data |
NA |
Other counterparty |
No |
|
|
Transaction data |
Loan |
Unique Transaction Identifier (‘UTI’) |
No |
|
|
Transaction data |
Loan |
Type of SFT |
No |
|
|
Transaction data |
Loan |
Cleared |
No |
|
|
Transaction data |
Loan |
Clearing timestamp |
one hour |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
CCP |
No |
|
|
Transaction data |
Loan |
Trading venue |
No |
|
|
Transaction data |
Loan |
Master agreement type |
No |
|
|
Transaction data |
Loan |
Execution timestamp |
one hour |
|
|
Transaction data |
Loan |
Value date (Start date) |
No |
|
|
Transaction data |
Loan |
Maturity date (End date) |
No |
|
|
Transaction data |
Loan |
Termination date |
No |
|
|
Transaction data |
Loan |
Minimum notice period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Earliest call-back date |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
General collateral Indicator |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Delivery By Value (‘DBV’) indicator |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Method used to provide collateral |
No |
|
|
Transaction data |
Loan |
Open term |
No |
|
|
Transaction data |
Loan |
Termination optionality |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Fixed rate |
Up to third digit after decimal |
|
|
Transaction data |
Loan |
Day count convention |
No |
|
|
Transaction data |
Loan |
Floating rate |
No |
|
|
Transaction data |
Loan |
Floating rate reference period — time period |
No |
|
|
Transaction data |
Loan |
Floating rate reference period – multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Floating rate payment frequency — time period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Floating rate payment frequency – multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Floating rate reset frequency — time period |
No |
|
|
Transaction data |
Loan |
Floating rate reset frequency – multiplier |
No |
|
|
Transaction data |
Loan |
Spread |
Up to third digit after decimal |
|
|
Transaction data |
Loan |
Margin lending currency amount |
No |
|
|
Transaction data |
Loan |
Margin lending currency |
No |
|
|
Transaction data |
Loan |
Adjusted rate |
Up to third digit after decimal |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Rate date |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Principal amount on the value date |
No |
|
|
Transaction data |
Loan |
Principal amount on the maturity date |
0,0005 % |
|
|
Transaction data |
Loan |
Principal amount currency |
No |
|
|
Transaction data |
Loan |
Type of asset |
No |
|
|
Transaction data |
Loan |
Security identifier |
No |
|
|
Transaction data |
Loan |
Classification of a security |
No |
|
|
Transaction data |
Loan |
Base product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Sub — product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Further sub — product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Quantity or nominal amount |
No |
|
|
Transaction data |
Loan |
Unit of measure |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Currency of nominal amount |
No |
|
|
Transaction data |
Loan |
Security or commodity price |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Price currency |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Security quality |
No |
|
|
Transaction data |
Loan |
Maturity of the security |
No |
|
|
Transaction data |
Loan |
Jurisdiction of the issuer |
No |
|
|
Transaction data |
Loan |
LEI of the issuer |
No |
|
|
Transaction data |
Loan |
Security type |
No |
|
|
Transaction data |
Loan |
Loan value |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Market value |
0,0005 % |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Fixed rebate rate |
Up to third digit after decimal |
|
|
Transaction data |
Loan |
Floating rebate rate |
Up to third digit after decimal |
|
|
Transaction data |
Loan |
Floating rebate rate reference period — time period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Floating rebate rate reference period — multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Floating rebate rate payment frequency — time period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Floating rebate rate payment frequency — multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Floating rebate rate reset frequency — time period |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Floating rebate rate reset frequency — multiplier |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Spread of the rebate rate |
Up to third digit after decimal |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Lending fee |
No |
|
|
Transaction data |
Loan |
Exclusive arrangements |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Loan |
Outstanding margin loan |
No |
|
|
Transaction data |
Loan |
Base currency of outstanding margin loan |
No |
|
|
Transaction data |
Loan |
Short market value |
0,0005 % |
|
|
Transaction data |
Collateral |
Uncollateralised Securities Lending (‘SL’) flag |
No |
|
|
Transaction data |
Collateral |
Collateralisation of net exposure |
No |
|
|
Transaction data |
Collateral |
Value date of the collateral |
No |
|
|
Transaction data |
Collateral |
Type of collateral component |
No |
|
|
Transaction data |
Collateral |
Cash collateral amount |
No |
|
|
Transaction data |
Collateral |
Cash collateral currency |
No |
|
|
Transaction data |
Collateral |
Identification of a security used as collateral |
No |
|
|
Transaction data |
Collateral |
Classification of a security used as collateral |
No |
|
|
Transaction data |
Collateral |
Base product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Collateral |
Sub – product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Collateral |
Further sub – product |
No |
Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Collateral |
Collateral quantity or nominal amount |
No |
|
|
Transaction data |
Collateral |
Collateral unit of measure |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Collateral |
Currency of collateral nominal amount |
No |
|
|
Transaction data |
Collateral |
Price currency |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Collateral |
Price per unit |
No |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Collateral |
Collateral market value |
0,0005 % |
Article 33(2)(a)(i) of Regulation (EU) 2015/2365 + 24 months |
|
Transaction data |
Collateral |
Haircut or margin |
Up to third digit after decimal |
|
|
Transaction data |
Collateral |
Collateral quality |
No |
|
|
Transaction data |
Collateral |
Maturity date of the security |
No |
|
|
Transaction data |
Collateral |
Jurisdiction of the issuer |
No |
|
|
Transaction data |
Collateral |
LEI of the issuer |
No |
|
|
Transaction data |
Collateral |
Collateral type |
No |
|
|
Transaction data |
Collateral |
Availability for collateral reuse |
No |
|
|
Transaction data |
Collateral |
Collateral basket identifier |
No |
|
|
Transaction data |
Loan |
Level |
No |
Table 2
Reasons for rejection of an SFT report
|
Rejection categories |
Reason |
||
|
Schema |
|
||
|
Permission |
|
||
|
Logical |
|
||
|
Business |
|
Table 3
Results of the reconciliation process
|
Reconciliation categories |
Reconciliation values |
|
Reporting type |
Single-sided/Dual-sided |
|
Reporting requirement for both counterparties |
Yes/No |
|
Pairing Status |
Paired/Unpaired |
|
Loan reconciliation status |
Reconciled/Not reconciled |
|
Collateral reconciliation status |
Reconciled/Not reconciled |
|
Further modifications |
Yes/No |