Commission Delegated Regulation (EU) 2022/1858 of 10 June 2022 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards specifying the procedures for the reconciliation of data between trade repositories and the procedures to be applied by the trade repository to verify the compliance by the reporting counterparty or submitting entity with the reporting requirements and to verify the completeness and correctness of the data reportedText with EEA relevance.

Commission Delegated Regulation (EU) 2022/1858 of 10 June 2022 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards specifying the procedures for the reconciliation of data between trade repositories and the procedures to be applied by the trade repository to verify the compliance by the reporting counterparty or submitting entity with the reporting requirements and to verify the completeness and correctness of the data reported (Text with EEA relevance) THE EUROPEAN COMMISSION, Having regard to the Treaty on the Functioning of the European Union, Having regard to Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories OJ L 201, 27.7.2012, p. 1. , and in particular Article 78(10) thereof, Whereas: (1) To ensure the high quality of the details of derivatives reported to trade repositories, trade repositories should verify the identity of the report submitting entities, the logical integrity of the sequence in which the details of the derivative are reported, and the completeness and correctness of those details. (2) For the same reason, trade repositories should reconcile the details of each derivative report received where both counterparties have a reporting obligation. A standardised process should be specified to enable trade repositories to conduct reconciliation in a consistent manner and to reduce the risks of details of derivatives not being reconciled. Certain details of derivatives, however, might not be identical due to the specificities of the technology systems used by the entities submitting the report. Certain tolerances therefore need to be applied, so that minor differences in the reported details of derivatives do not prevent the authorities from analysing the data with an adequate level of confidence. (3) Furthermore and notwithstanding other obligations with regard to the details of derivatives collected and recorded when performing the reconciliation process, the trade repositories should ensure the confidentiality of the data exchanged between them and made available to the reporting counterparties, the entities responsible for reporting and the report submitting entities. (4) Where a corporate restructuring event resulting in the change of legal entity identifier (LEI) of a counterparty takes place, the details of the entities identified in a derivative report need to be updated. To ensure the integrity of that information, which is essential for the monitoring of systemic risks to financial stability, it is necessary that the update is performed centrally by the trade repositories. For that reason, a procedure should be established to ensure that trade repositories can update the identifier of the entity in a centralised manner, thus ensuring an efficient, robust and timely process. (5) Report submitting entities should be given sufficient time to adapt to the reporting requirements, in particular to prevent the accumulation of non-reconciled trades immediately after the reporting obligation starts to apply. It is therefore appropriate that in a first phase only a reduced set of fields should be reconciled.

(6) Report submitting entities and entities responsible for reporting, where applicable, should be able to monitor their compliance with their reporting obligations under Regulation (EU) 648/2012. They should therefore be able to access certain information, on a daily basis, in respect of those reports, including the result of the verification of those reports, also where a warning has been generated, and the progress of the reconciliation of the reported data. It is therefore necessary to specify the information that a trade repository should make available to these entities at the end of each working day. (7) This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Securities and Markets Authority. (8) The European Securities and Markets Authority has consulted the members of the European System of Central Banks and has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84). . (9) To enable counterparties and trade repositories to take all necessary actions to adapt to the new requirements, the date of application of this Regulation should be deferred by eighteen months, HAS ADOPTED THIS REGULATION:

Article 1

Verification of derivatives by trade repositories

1. A trade repository shall verify all of the following in a received derivative report: (a) the identity of the report submitting entity as referred to in field 2 of Table 1 and field 2 of Table 3 of the Annex to Commission Implementing Regulation (EU) 2022/1860 Commission Implementing Regulation (EU) 2022/1860 of 10 June 2022 laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting (See page 68 of this Official Journal). ; (b) that the XML template used to report a derivative complies with the ISO 20022 methodology in accordance with Article 1 of Implementing Regulation (EU) 2022/1860; (c) that the report submitting entity, if different from the entity responsible for reporting as referred to in field 3 of Table 1 and field 3 in Table 3 of the Annex to Implementing Regulation (EU) 2022/1860, is duly authorised to report on behalf of counterparty 1 or the entity responsible for reporting, if different from counterparty 1, as referred to in field 4 of Table 1 and field 4 in Table 3 of the Annex to Implementing Regulation (EU) 2022/1860;

(d) that the same derivative has not been submitted previously; (e) that a derivative report with action type Modification, Margin Update, Valuation, Correction, Error or Terminate relates to a previously submitted derivative; (f) that a derivative report with action type Modification does not relate to a derivative that has been reported as cancelled with action type Error which has not been subsequently reported with action type Revive; (g) that a derivative report does not include the action type New in respect of a derivative that has previously been reported; (h) that a derivative report does not include the action type Position component in respect of a derivative that has previously been reported; (i) that a derivative report does not purport to modify the details of fields Counterparty 1 or Counterparty 2 to a previously reported derivative; (j) that a derivative report does not purport to modify an existing derivative by specifying an effective date later than the reported maturity date of the derivative; (k) that a derivative reported with action type Revive relates to a previously submitted derivative report with action type Error or Terminate or to a derivative that has matured; (l) the correctness and completeness of the derivative report. 2. A trade repository shall reject a derivative report that does not comply with one of the requirements set out in paragraph 1 and assign to it one of the rejection categories set out in Table 1 of the Annex. 3. A trade repository shall provide the report submitting entities with detailed information on the results of the data verification referred to in paragraph 1 within sixty minutes after it has received a derivative report. A trade repository shall provide those results in an XML format and a template in accordance with the ISO 20022 methodology. The results shall specify reasons for the rejection of a derivative report in accordance with Table 1 of the Annex.

Article 2

Procedure for updates of Legal Entity Identifiers

1. A trade repository to which a request under Article 8 of Implementing Regulation (EU) 2022/1860 is addressed shall identify the outstanding derivatives referred to in paragraph 2 of Article 2 of Implementing Regulation (EU) 2022/1860 at the time of the corporate restructuring event, where the entity is reported with the identifier used before the corporate restructuring event in the field Counterparty 1 or Counterparty 2, as informed in the relevant request. It shall replace the old identifier with the new Legal Entity Identifier (LEI) in the reports relating to all those derivatives at the time of the event referred to in Article 8 of Implementing Regulation (EU) 2022/1860 pertaining to that counterparty. A trade repository shall perform the procedure on the update of the identifier at the latest on the day of restructuring or within 30 calendar days as of receipt of the request if reported less than 30 calendar days prior to the date of the corporate restructuring event.

1. A trade repository shall identify the relevant derivatives referred to in paragraph 2 of Article 2 of Implementing Regulation (EU) 2022/1860 at the time of the corporate restructuring event, where the entity is identified with the old identifier in any of the fields, and replace that identifier with the new LEI. Where a corporate restructuring event relates to an update of the LEI for fields other than Counterparty 1 or Counterparty 2, the trade repository shall perform such an update of the relevant derivatives only following a timely confirmation by counterparty 1 or the entity responsible for reporting.
2. A trade repository shall carry out the following actions: (a) following the receipt of the relevant confirmation under paragraph 2, implement the update of the LEI as of the date referred to in paragraph 1; (b) broadcast the following information at the earliest possibility, and no later than 5 working days after the complete notification is received, to all the other trade repositories and to the reporting counterparties, report submitting entities, entities responsible for reporting involved in the derivatives contracts concerned by the LEI update, and to third parties which have been granted access to information under Article 78(7) of Regulation (EU) No 648/2012, as applicable: (i) the old identifier(s); (ii) the new identifier; (iii) the date as of which the update shall be done; (iv) in case of corporate events affecting a subset of the derivatives outstanding at the date of the event, the list of the unique trade identifiers (UTIs) of the derivatives concerned by the LEI update; (c) notify, at the latest the working day before the date on which the update is applied, the entities listed in Article 81(3) of Regulation (EU) No 648/2012 who have access to the data relating to the derivatives that have been updated, by way of a specific file in machine-readable format: (i) the old identifier(s); (ii) the new identifier; (iii) the date as of which the update shall be done; (iv) in case of corporate events affecting a subset of the derivatives outstanding at the date of the event, the list of the UTIs of the derivatives concerned by the LEI update; (d) record the LEI update in the reporting log.
3. A trade repository shall not update the LEIs reported for derivatives different from those referred to in paragraph 2 of Article 2 of Implementing Regulation (EU) 2022/1860 at the time of the corporate event.

Article 3

Reconciliation of data by trade repositories

1. A trade repository shall seek to reconcile a reported derivative by undertaking the steps set out in paragraph 3, provided that all of the following conditions are met: (a) the trade repository has completed the verifications set out in paragraphs 1 and 2 of Article 1; (b) both counterparties to the reported derivative have a reporting obligation pursuant to Article 9 of Regulation (EU) No 648/2012; (c) the trade repository has not received a report with the action type Error in respect of the reported derivative, unless such report has been followed by a report with action type Revive.

1. A trade repository shall have arrangements in place to ensure the confidentiality of the data when exchanging information with other trade repositories and when providing information to reporting counterparties, report submitting entities, entities responsible for reporting as well as third parties which have been granted access to information under Article 78(7) of Regulation (EU) No 648/2012 about the values for all the fields that are subject to reconciliation.
2. Where all the conditions of paragraph 1 are met, a trade repository shall undertake the following steps, using the latest reported value for each of the fields in Table 2 of the Annex as of the preceding working day: (a) a trade repository having received a derivative report shall verify whether it has received a corresponding report from or on behalf of the other counterparty; (b) a trade repository that has not received a corresponding derivative report as referred to in point (a) shall attempt to identify the trade repository that has received the corresponding derivative report by communicating to all registered trade repositories the values of the following fields of the reported derivative: Unique Transaction Identifier, Counterparty 1 and Counterparty 2; (c) a trade repository that determines that another trade repository has received a corresponding derivative report referred to in point (a) shall exchange with that trade repository the details of the reported derivative in an XML format and a template developed in accordance with the ISO 20022 methodology; (d) a trade repository shall treat a reported derivative as reconciled where the details of that derivative subject to reconciliation match the details of the corresponding derivative as referred to in point (a) and in accordance with the applicable tolerance limits and relevant dates of application as laid down in Table 2 of the Annex; (e) a trade repository shall subsequently assign values for the reconciliation categories for each reported derivatives transaction, as set out in Table 3 of the Annex; (f) a trade repository shall conclude the steps in points (a) to (e) at the earliest opportunity and shall take no such steps after midnight Universal Coordinated Time on a given working day; (g) a trade repository that cannot reconcile a reported derivative shall seek to match the details of that reported derivative on the following working day. The trade repository shall no longer seek to reconcile the reported derivative thirty calendar days after the derivative is not outstanding.
3. A trade repository shall confirm the total number of paired derivatives and the number of reconciled derivatives with each trade repository with which it has reconciled derivatives at the end of each working day. A trade repository shall have in place written procedures for ensuring the resolution of all discrepancies identified in this process.
4. No later than sixty minutes after the conclusion of the reconciliation process as set out in point (f) of paragraph 3, a trade repository shall provide the report submitting entities with the results of the reconciliation process performed by it on the reported derivatives. A trade repository shall provide those results in an XML format and a template developed in accordance with the ISO 20022 methodology, including information on the fields that have not been reconciled.

Article 4

End-of-day response mechanisms

1. With regard to each working day, a trade repository shall make available to the reporting counterparties, report submitting entities, entities responsible for reporting as well as third parties which have been granted access to information under Article 78(7) of Regulation (EU) No 648/2012, as applicable, the following information on the concerned derivatives, in an XML format and a template developed in accordance with the ISO 20022 methodology: (a) the derivatives reported during that day; (b) the latest trade states of the outstanding derivatives; (c) the derivative reports that have been rejected during that day; (d) the reconciliation status of all reported derivatives subject to reconciliation pursuant to Article 3(1); (e) the outstanding derivatives for which no valuation has been reported, or for which the valuation that was reported is dated more than fourteen calendar days earlier than the day for which the report is generated; (f) the outstanding derivatives for which no margin information has been reported, or for which the margin information that was reported is dated more than fourteen calendar days earlier than the day for which the report is generated; (g) the derivatives that were received on that day with action type New, Position component, Modification or Correction and whose notional amount is abnormal for that class of derivatives.
2. A trade repository shall provide such information no later than 06:00 Coordinated Universal time on the working day following the day to which the information provided in paragraph 1 refers.

Article 5

Entry into force and application This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from 29 April 2024. This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 10 June 2022. For the Commission The President Ursula von der Leyen

Annex

ANNEX Table 1 Reasons for rejection of a derivative report Rejection categoriesReasonSchema 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 SectionFieldReconciliation toleranceReconciliation start date1Parties to the derivativeReporting timestampNANA2Parties to the derivativeReport submitting entity IDNANA3Parties to the derivativeEntity responsible for reportingNANA4Parties to the derivativeCounterparty 1 (Reporting counterparty)Same as field 9 in this tableStart date of the reporting obligation5Parties to the derivativeNature of counterparty 1NANA6Parties to the derivativeCorporate sector of counterparty 1NANA7Parties to the derivativeClearing threshold of counterparty 1NANA8Parties to the derivativeCounterparty 2 identifier typeNANA9Parties to the derivativeCounterparty 2Same as field 4 in this tableStart date of the reporting obligation10Parties to the derivativeCountry of counterparty 2NANA11Parties to the derivativeNature of counterparty 2NANA

12Parties to the derivativeCorporate sector of counterparty 2NANA13Parties to the derivativeClearing threshold of counterparty 2NANA14Parties to the derivativeReporting obligation of counterparty 2NANA15Parties to the derivativeBroker IDNANA16Parties to the derivativeClearing memberNANA17Parties to the derivativeDirectionOppositeStart date of the reporting obligation18Parties to the derivativeDirection of leg 1OppositeStart date of the reporting obligation19Parties to the derivativeDirection of leg 2OppositeStart date of the reporting obligation20Parties to the derivativeDirectly linked to commercial activity or treasury financingNANA1Section 2a - Identifiers and linksUTINoStart date of the reporting obligation2Section 2a - Identifiers and linksReport tracking numberNoStart date of the reporting obligation3Section 2a - Identifiers and linksPrior UTI (for one-to-one and one-to-many relations between transactions)NoTwo years after the start date of the reporting obligation4Section 2a - Identifiers and linksSubsequent position UTINoTwo years after the start date of the reporting obligation5Section 2a - Identifiers and linksPost Trade Risk Reduction (PTRR) IDNANA6Section 2a - Identifiers and linksPackage identifierNANA7Section 2b – Contract informationInternational Securities Identification Number (ISIN)NoStart date of the reporting obligation8Section 2b – Contract informationUnique product identifier (UPI)NoStart date of the reporting obligation 9Section 2b – Contract informationProduct classificationNoStart date of the reporting obligation10Section 2b – Contract informationContract typeNoStart date of the reporting obligation11Section 2b – Contract informationAsset classNoStart date of the reporting obligation12Section 2b – Contract informationDerivative based on crypto-assetsNoTwo years from the start date of the reporting obligation13Section 2b – Contract informationUnderlying identification typeNoStart date of the reporting obligation14Section 2b – Contract informationUnderlying identificationNoStart date of the reporting obligation15Section 2b – Contract informationIndicator of the underlying indexYesTwo years from the start date of the reporting obligation16Section 2b – Contract informationName of the underlying indexYesTwo years from the start date of the reporting obligation17Section 2b – Contract informationCustom basket codeNoTwo years from the start date of the reporting obligation18Section 2b – Contract informationIdentifier of the basket’s constituentsYesTwo years from the start date of the reporting obligation19Section 2b – Contract informationSettlement currency 1NoTwo years from the start date of the reporting obligation20Section 2b – Contract informationSettlement currency 2NoTwo years from the start date of the reporting obligation21Section 2c – ValuationValuation amountYesTwo years from the start date of the reporting obligation22Section 2c – ValuationValuation currencyNoTwo years from the start date of the reporting obligation23Section 2c – ValuationValuation timestampNANA

24Section 2c – ValuationValuation methodNoTwo years from the start date of the reporting obligation25Section 2c – ValuationDeltaYesTwo years from the start date of the reporting obligation26Section 2d - CollateralCollateral portfolio indicatorNANA27Section 2d - CollateralCollateral portfolio codeNANA28Section 2e - Risk mitigation / ReportingConfirmation timestampYesStart date of the reporting obligation29Section 2e - Risk mitigation / ReportingConfirmedNoStart date of the reporting obligation30Section 2f - ClearingClearing obligationYesStart date of the reporting obligation31Section 2f - ClearingClearedNoStart date of the reporting obligation32Section 2f - ClearingClearing timestampYesStart date of the reporting obligation33Section 2f - ClearingCentral counterpartyNoStart date of the reporting obligation34Section 2g - Details on the transactionMaster Agreement typeYesStart date of the reporting obligation35Section 2g - Details on the transactionOther master agreement typeNANA36Section 2g - Details on the transactionMaster Agreement versionNoStart date of the reporting obligation37Section 2g - Details on the transactionIntragroupNoStart date of the reporting obligation38Section 2g - Details on the transactionPTRRNoStart date of the reporting obligation39Section 2g - Details on the transactionType of PTRR techniqueNoStart date of the reporting obligation 40Section 2g - Details on the transactionPTRR service providerNoStart date of the reporting obligation41Section 2g - Details on the transactionVenue of executionNoStart date of the reporting obligation42Section 2c - Details on the transactionExecution timestampYesStart date of the reporting obligation43Section 2c - Details on the transactionEffective dateNoStart date of the reporting obligation44Section 2c - Details on the transactionExpiration dateNoStart date of the reporting obligation45Section 2c - Details on the transactionEarly termination dateNoStart date of the reporting obligation46Section 2c - Details on the transactionFinal contractual settlement dateNoStart date of the reporting obligation47Section 2c - Details on the transactionDelivery typeNoStart date of the reporting obligation48Section 2g - Details on the transactionPriceYesStart date of the reporting obligation49Section 2g - Details on the transactionPrice currencyNoStart date of the reporting obligation50Section 2g - Details on the transactionUnadjusted effective date of the priceNoTwo years from the start date of the reporting obligation51Section 2g - Details on the transactionUnadjusted end date of the priceNoTwo years from the start date of the reporting obligation52Section 2g - Details on the transactionPrice in effect between the unadjusted effective date and the end dateYesTwo years from the start date of the reporting obligation53Section 2g - Details on the transactionPackage transaction priceYesTwo years from the start date of the reporting obligation54Section 2g - Details on the transactionPackage transaction price currencyNoTwo years from the start date of the reporting obligation

55Section 2g - Details on the transactionNotional amount of leg 1YesStart date of the reporting obligation56Section 2g - Details on the transactionNotional currency 1NoStart date of the reporting obligation57Section 2g - Details on the transactionEffective date of the notional amount of leg 1NoStart date of the reporting obligation58Section 2g - Details on the transactionEnd date of the notional amount of leg 1NoStart date of the reporting obligation59Section 2g - Details on the transactionNotional amount in effect on associated effective date of leg 1YesStart date of the reporting obligation60Section 2g - Details on the transactionTotal notional quantity of leg 1YesStart date of the reporting obligation61Section 2g - Details on the transactionEffective date of the notional quantity of leg 1NoStart date of the reporting obligation62Section 2g - Details on the transactionEnd date of the notional quantity of leg 1NoStart date of the reporting obligation63Section 2g - Details on the transactionNotional quantity in effect on associated effective date of leg 1YesStart date of the reporting obligation64Section 2g - Details on the transactionNotional amount of leg 2YesStart date of the reporting obligation65Section 2g - Details on the transactionNotional currency 2NoStart date of the reporting obligation66Section 2g - Details on the transactionEffective date of the notional amount of leg 2NoStart date of the reporting obligation67Section 2g - Details on the transactionEnd date of the notional amount of leg 2NoStart date of the reporting obligation68Section 2g - Details on the transactionNotional amount in effect on associated effective date of leg 2YesStart date of the reporting obligation69Section 2g - Details on the transactionTotal notional quantity of leg 2YesStart date of the reporting obligation70Section 2g - Details on the transactionEffective date of the notional quantity of leg 2NoStart date of the reporting obligation71Section 2g - Details on the transactionEnd date of the notional quantity of leg 2NoStart date of the reporting obligation 72Section 2g - Details on the transactionNotional quantity in effect on associated effective date of leg 2YesStart date of the reporting obligation73Section 2g - Details on the transactionOther payment typeNoTwo years from the start date of the reporting obligation74Section 2g - Details on the transactionOther payment amountYesTwo years from the start date of the reporting obligation75Section 2g - Details on the transactionOther payment currencyNoTwo years from the start date of the reporting obligation76Section 2g - Details on the transactionOther payment dateNoTwo years from the start date of the reporting obligation77Section 2g - Details on the transactionOther payment payerYesTwo years from the start date of the reporting obligation78Section 2g - Details on the transactionOther payment receiverYesTwo years from the start date of the reporting obligation79Section 2h - Interest RatesFixed rate of leg 1 or couponYesStart date of the reporting obligation80Section 2h - Interest RatesFixed rate or coupon day count convention leg 1NoStart date of the reporting obligation81Section 2h - Interest RatesFixed rate or coupon payment frequency period leg 1NoStart date of the reporting obligation82Section 2h - Interest RatesFixed rate or coupon payment frequency period multiplier leg 1NoStart date of the reporting obligation83Section 2h - Interest RatesIdentifier of the floating rate of leg 1NoStart date of the reporting obligation84Section 2h - Interest RatesIndicator of the floating rate of leg 1NoStart date of the reporting obligation85Section 2h - Interest RatesName of the floating rate of leg 1NANA86Section 2h - Interest RatesFloating rate day count convention of leg 1NoStart date of the reporting obligation

87Section 2h - Interest RatesFloating rate payment frequency period of leg 1NoStart date of the reporting obligation88Section 2h - Interest RatesFloating rate payment frequency period multiplier of leg 1NoStart date of the reporting obligation89Section 2h - Interest RatesFloating rate reference period of leg 1 – time periodNoStart date of the reporting obligation90Section 2h - Interest RatesFloating rate reference period of leg 1 – multiplierNoStart date of the reporting obligation91Section 2h - Interest RatesFloating rate reset frequency period of leg 1NoStart date of the reporting obligation92Section 2h - Interest RatesFloating rate reset frequency multiplier of leg 1NoStart date of the reporting obligation93Section 2h - Interest RatesSpread of leg 1YesTwo years from the start date of the reporting obligation94Section 2h - Interest RatesSpread currency of leg 1NoTwo years from the start date of the reporting obligation95Section 2h - Interest RatesFixed rate of leg 2YesStart date of the reporting obligation96Section 2h - Interest RatesFixed rate day count convention leg 2NoStart date of the reporting obligation97Section 2h - Interest RatesFixed rate payment frequency period leg 2NoStart date of the reporting obligation98Section 2h - Interest RatesFixed rate payment frequency period multiplier leg 2NoStart date of the reporting obligation99Section 2h - Interest RatesIdentifier of the floating rate of leg 2NoStart date of the reporting obligation100Section 2h - Interest RatesIndicator of the floating rate of leg 2NoStart date of the reporting obligation101Section 2h - Interest RatesName of the floating rate of leg 2NANA102Section 2h - Interest RatesFloating rate day count convention of leg 2NoStart date of the reporting obligation103Section 2h - Interest RatesFloating rate payment frequency period of leg 2NoStart date of the reporting obligation 104Section 2h - Interest RatesFloating rate payment frequency period multiplier of leg 2NoStart date of the reporting obligation105Section 2h - Interest RatesFloating rate reference period of leg 2 – time periodNoStart date of the reporting obligation106Section 2h - Interest RatesFloating rate reference period of leg 2 – multiplierNoStart date of the reporting obligation107Section 2h - Interest RatesFloating rate reset frequency period of leg 2NoStart date of the reporting obligation108Section 2h - Interest RatesFloating rate reset frequency multiplier of leg 2NoStart date of the reporting obligation109Section 2h - Interest RatesSpread of leg 2YesTwo years from the start date of the reporting obligation110Section 2h - Interest RatesSpread currency of leg 2NoTwo years from the start date of the reporting obligation111Section 2h - Interest RatesPackage transaction spreadYesTwo years from the start date of the reporting obligation112Section 2h - Interest RatesPackage transaction spread currencyNoTwo years from the start date of the reporting obligation113Section 2i – Foreign ExchangeExchange rate 1YesTwo years from the start date of the reporting obligation114Section 2i – Foreign ExchangeForward exchange rateYesTwo years from the start date of the reporting obligation115Section 2i – Foreign ExchangeExchange rate basisNoTwo years from the start date of the reporting obligation116Section 2j - Commodities and emission allowances (General)Base productNoTwo years from the start date of the reporting obligation117Section 2j - Commodities and emission allowances (General)Sub-productNoTwo years from the start date of the reporting obligation

118Section 2j - Commodities and emission allowances (General)Further sub-productNoTwo years from the start date of the reporting obligation119Section 2k - Commodities and emission allowances (Energy)Delivery point or zoneNoTwo years from the start date of the reporting obligation120Section 2k - Commodities and emission allowances (Energy)Interconnection PointNoTwo years from the start date of the reporting obligation121Section 2k - Commodities and emission allowances (Energy)Load typeNoTwo years from the start date of the reporting obligation122Section 2k - Commodities and emission allowances (Energy)Delivery interval start timeYesTwo years from the start date of the reporting obligation123Section 2k - Commodities and emission allowances (Energy)Delivery interval end timeYesTwo years from the start date of the reporting obligation124Section 2k - Commodities and emission allowances (Energy)Delivery start dateNoTwo years from the start date of the reporting obligation125Section 2k - Commodities and emission allowances (Energy)Delivery end dateNoTwo years from the start date of the reporting obligation126Section 2k - Commodities and emission allowances (Energy)DurationNoTwo years from the start date of the reporting obligation127Section 2k - Commodities and emission allowances (Energy)Days of the weekNoTwo years from the start date of the reporting obligation128Section 2k - Commodities and emission allowances (Energy)Delivery capacityYesTwo years from the start date of the reporting obligation 129Section 2k - Commodities and emission allowances (Energy)Quantity UnitNoTwo years from the start date of the reporting obligation130Section 2k - Commodities and emission allowances (Energy)Price/time interval quantityYesTwo years from the start date of the reporting obligation131Section 2k - Commodities and emission allowances (Energy)Currency of the price/time interval quantityNoTwo years from the start date of the reporting obligation132Section 2l - OptionsOption typeNoStart date of the reporting obligation133Section 2l - OptionsOption styleNoStart date of the reporting obligation134Section 2l - OptionsStrike priceYesTwo years from the start date of the reporting obligation135Section 2l - OptionsEffective date of the strike priceNoTwo years from the start date of the reporting obligation136Section 2l - OptionsEnd date of the strike priceNoTwo years from the start date of the reporting obligation137Section 2l - OptionsStrike price in effect on associated effective dateYesTwo years from the start date of the reporting obligation138Section 2l - OptionsStrike price currency/currency pairNoTwo years from the start date of the reporting obligation139Section 2l - OptionsOption premium amountYesTwo years from the start date of the reporting obligation140Section 2l - OptionsOption premium currencyNoTwo years from the start date of the reporting obligation141Section 2l - OptionsOption premium payment dateNoTwo years from the start date of the reporting obligation 142Section 2i - OptionsMaturity date of the underlyingNoStart date of the reporting obligation143Section 2m – Credit derivativesSeniorityNoStart date of the reporting obligation144Section 2m – Credit derivativesReference entityNoStart date of the reporting obligation145Section 2m – Credit derivativesSeriesNoTwo years from the start date of the reporting obligation146Section 2m – Credit derivativesVersionNoTwo years from the start date of the reporting obligation147Section 2m – Credit derivativesIndex factorYesStart date of the reporting obligation148Section 2m – Credit derivativesTrancheNoStart date of the reporting obligation149Section 2m – Credit derivativesCredit Default Swap (CDS) index attachment pointYesTwo years from the start date of the reporting obligation150Section 2m – Credit derivativesCDS index detachment pointYesTwo years from the start date of the reporting obligation151Section 2n - Modifications to the derivativeAction typeNANA152Section 2n - Modifications to the derivativeEvent typeNANA153Section 2n - Modifications to the derivativeEvent dateNANA154Section 2n - Modifications to the derivativeLevelNoStart date of the reporting obligation