Annex I
United Kingdom
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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Counterparty data | NA | Counterparty side | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Counterparty data | NA | Other counterparty | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Unique Transaction Identifier (‘UTI’) | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Type of SFT | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Cleared | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Clearing timestamp | one hour | Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 + 24 months |
| Transaction data | Loan | CCP | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Trading venue | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Master agreement type | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Execution timestamp | one hour | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Value date (Start date) | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Maturity date (End date) | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Termination date | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Open term | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Day count convention | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Floating rate | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Floating rate reference period — time period | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Floating rate reset frequency – multiplier | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Spread | Up to third digit after decimal | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Margin lending currency amount | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Margin lending currency | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Principal amount on the maturity date | 0,0005 % | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Principal amount currency | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Type of asset | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Security identifier | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Classification of a security | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Maturity of the security | No | Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Jurisdiction of the issuer | No | Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | LEI of the issuer | No | Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Security type | No | Article 33(2)(a)(iv) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Floating rebate rate | Up to third digit after decimal | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Base currency of outstanding margin loan | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Short market value | 0,0005 % | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Uncollateralised Securities Lending (‘SL’) flag | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Collateralisation of net exposure | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Value date of the collateral | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Type of collateral component | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Cash collateral amount | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Cash collateral currency | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Identification of a security used as collateral | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Classification of a security used as collateral | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| 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 | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Collateral quality | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Maturity date of the security | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Jurisdiction of the issuer | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | LEI of the issuer | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Collateral type | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Availability for collateral reuse | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Collateral | Collateral basket identifier | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
| Transaction data | Loan | Level | No | Article 33(2)(a)(i) of Regulation (EU) 2015/2365 |
Table 2
Reasons for rejection of an SFT report
| Rejection categories | Reason |
|---|---|
| Schema | — the SFT has been rejected because of non-compliant schema |
| Permission | — the SFT has been rejected because the report submitting entity is not permissioned to report on behalf of the reporting counterparty |
| Logical | — the SFT has been rejected because the action type for the SFT is not logically correct |
| Business | — the SFT has been rejected because the SFT is not complying with one or more content validations. |
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 |