ANNEX I Table 1 Reconciliation fields, tolerance levels and start date of the reconciliation phase Table 2 Reasons for rejection of an SFT report Table 3 Results of the reconciliation process

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