In this act Annex of 1
ANNEX
Financial servicesLevel 2RTSEMIRIn forceOfficial source
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 |