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 |
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 |