Description of Reconciliation of Details Reported to KDPW_TR

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2 Table of Contents I. Introduction... 3 II. Pairing reports... 4 III. Comparing trade details in paired reports... 5 IV. Communicating process outcome to reporting participants

3 I. Introduction Counterparties to derivatives contracts concluded in different classes of derivatives subject to the reporting obligation under EMIR are required to reconcile the trade details according to the published technical standards. The KDPW_TR Trade Repository and the other authorised repositories support the process by pairing and comparing the details of trades reported separately by the counterparties. The data reconciliation process has been agreed by the trade repositories and approved by ESMA. According to EMIR, the counterparties to a trade report a trade by T + 1 (business days) after the contract or modification date (T). Consequently, data pairing and comparing take place on T + 2 every day from Monday to Friday including bank holidays. Position reports do not participate in reconciliation. The process produces a trade pairing and comparing status. Such information is communicated to the reporting participants in an XML message every day after the close of the process. Trade details are verified in two steps. In the first step, reports are paired by searching for the report provided by the other counterparty. Next, the fields of the paired reports are under the tolerance rules. The section below presents the details of both these steps as well as the details of communicating the reconciliation outcome to the participants. 3

4 II. Pairing reports Pairing involves the linking of two trade reports according to the UTI and the counterparties LEI codes (UTI, LEI1, LEI2). Reports are paired in two steps. In the first step, reports provided by both counterparties to KDPW_TR are paired (internal pairing). Next, after information is received from other TRs concerning the reports they are searching for, external pairing is carried out for all those reports which have not been paired within KDPW_TR. Information on the trade repository which maintains the paired trade is recorded in the KDPW_TR database. Reports which have been paired (internally or externally) have the pairing status YPAR and the pairing date is recorded in the KDPW_TR database. Reports which have not been paired have the status NPAR and are included in pairing on the next business day until they are paired. After 7 business days, non-active NPAR reports are excluded from daily reconciliation but they continue to be maintained in the database. On the day when the other counterparty to the trade sends its report to KDPW_TR or another trade repository, the excluded report is retrieved from the TR database and once again included in reconciliation. Both reports are given the status YPAR and are included in comparing. Reconciliation includes only those reports which have the correct LEIs of the counterparties and the correct UTI. The trade identifiers are validated as follows: LEIs are validated against the LEI database. The database is updated on every TR business day using data downloaded from the GLEIF and it is processed at the end of business in TR. An LEI is valid if its status is ISSUED, TRANSFERRED, PENDING TRANSFER, PENDING ARCHIVAL, or LAPSED. UTI validation: only those UTIs which contain letters and digits as well as the 4 special characters: -, _,., : participate in reconciliation. LEIs are validated when TR receives a report; they are validated once again every day when the reconciliation log is generated; as a result, all reports whose LEI status has changed may participate in reconciliation. RCN messages provide an additional status which states that the trade is not included in reconciliation due to an incorrect UTI or LEI of a counterparty: Incorrect LEI 1 status ERL1; Incorrect LEI 2 status ERL2. Incorrect UTI status ERUT; 4

5 III. Comparing trade details in paired reports All reports which have been paired internally or externally are included in comparing. The process compares the details of trades in the fields shown in the table below (Table 1). Column 3 presents the tolerance rules used in comparing: i. Tolerance 1: Trade values in the fields must differ by no more than 1%; ii. Tolerance 2: Trade values in the fields must match to the left of the decimal point; iii. Tolerance 3: The date in the date and time fields must match for OTC trades; the date in the date and time fields must match and the time must differ by no more than 1 hour for ETD trades. iv. Tolerance 4: The date in the date and time fields must match. Trade details comparing rules The fields in the table below are assigned to the following categories: 1 The field is ; if all category 1 fields match, the reports are considered matched. 2 The field is ; if all category 1 and 2 fields match, the reports are considered reconciled. 0 The field is not. Table 1. Fields are according to the table below. Field Format Is the field Counterparty side B = Buyer S = Seller Populated in accordance with Article 3a Y 1 If one side is S then the other side must be B and vice versa. Contract type CD = Financial contracts for difference FR = Forward rate agreements FU = Futures FW = Forwards OP = Option SB = Spreadbet SW = Swap ST = Swaption OT = Other Asset class CO = Commodity and emission allowances CR = Credit CU = Currency EQ = Equity IR = Interest Rate Product classification type C = CFI U = UPI Product classification ISO CFI, 6 characters alphabetical code Endorsed UPI Product identification type Specify the applicable identification: I = ISIN A = AII 5

6 Field Format Is the field Product identification Underlying identification type For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code For product identifier type A: Complete AII code in accordance with Article 4(8) I = ISIN A = AII U = UPI B = Basket X = Index if field 2.5 contains ISIN. Underlying identification Notional currency 1 Notional currency 2 Deliverable currency For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code For underlying identification type A: complete AII code in accordance with Article 4(8) For underlying identification type U: UPI For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code in accordance with Article 4(8). Identifiers of individual components shall be separated with a dash -. For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider ISO 4217 Currency Code, 3 alphabetical characters ISO 4217 Currency Code, 3 alphabetical characters ISO 4217 Currency Code, 3 alphabetical characters if field Underlying identification type = I, U or NA. Never if field Underlying identification type = B, A or X. Report tracking number Complex trade component ID An alphanumeric field up to 52 characters An alphanumeric field up to 35 characters Venue of execution ISO Market Identifier Code (MIC), 4 alphanumerical characters in accordance with Article 4(b). Y 2 Must match Compression Price / rate Price notation Y = contract results from compression N = contract does not result from compression Up to 20 numerical characters including decimals. In case the price is reported in percent values, it should be expressed as percentage where 100% is represented as 100 U = Units P = Percentage Y = Yield Y 2 Apply tolerance check 1 6

7 Field Format Is the field Currency of price Notional Price multiplier Quantity Up-front payment Delivery type Execution timestamp ISO 4217 Currency Code, 3 alphabetic characters Up to 20 numerical characters including decimals. Up to 20 numerical characters including decimals. Up to 20 numerical characters including decimals. Up to 20 numerical characters including decimals. The negative symbol to be used to indicate that the payment was made, not received. C = Cash P = Physical O = Optional for counterparty or when determined by a third party ISO 8601 date in the UTC time format YYYY- MM- DDThh:mm:ssZ Y 1 Apply tolerance check 2. Y 1 Apply tolerance check 1. Y 2 Must match Y 2 Apply tolerance check 3. Effective date ISO 8601 date in the format YYYY-MM-DD Y 2 Must match Maturity date ISO 8601 date in the format YYYY-MM-DD Termination date ISO 8601 date in the format YYYY-MM-DD Y 2 Must match Settlement date ISO 8601 date in the format YYYY-MM-DD Master Agreement type Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any Master Agreement version ISO 8601 date in the format YYYY 7

8 Field Format Is the field Confirmation timestamp Confirmation means ISO 8601 date in the UTC time format YYYY- MM- DDThh:mm:ssZ Y = Non-electronically confirmed N = Nonconfirmed E = Electronically confirmed Y 2 Compared only if field Confirmation Means = E or N Apply tolerance check 4. Y 2 Must match Clearing obligation Y = Yes N = No N 0 Cleared Y = Yes N = No Clearing timestamp ISO 8601 date in the UTC time format YYYY- MM- DDThh:mm:ssZ Y 2 Apply tolerance check 4. CCP ISO Legal Entity Identifier (LEI) 20 alphanumerical character code. Y 2 Must match Intragroup Y = Yes N = No Fixed rate of leg 1 Fixed rate of leg 2 Fixed rate day count leg 1 Fixed rate day count leg 2 Up to 10 numerical characters including decimals expressed as percentage where 100% is represented as 100. Up to 10 numerical characters including decimals expressed as percentage where 100% is represented as 100. Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression Actual, e.g. 30/360 or Actual/365 Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression Actual, e.g. 30/360 or Actual/365 Fixed rate payment frequency leg 1 time period Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day 8

9 Field Format Is the field Fixed rate payment frequency leg 1 multiplier Fixed rate payment frequency leg 2 time period Fixed rate payment frequency leg 2 - multiplier Floating rate payment frequency leg 1 time period Floating rate payment frequency leg 1 multiplier Floating rate payment frequency leg 2 time period Floating rate payment frequency leg 2 multiplier Floating rate reset frequency leg 1 time period Floating rate reset frequency leg 1 - multiplier Floating rate reset frequency leg 2- time period Floating rate reset frequency leg 2 - multiplier Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. 9

10 Field Format Is the field Floating rate of leg 1 Floating rate reference period leg 1 time period EONS - EONIA SWAP EURI - EURIBOR EUUS EURODOLLAR EUCH - EuroSwiss GCFR - GCF REPO ISDA - ISDAFIX LIBI - LIBID LIBO - LIBOR MAAA Muni AAA PFAN - Pfandbriefe TIBO - TIBOR STBO - STIBOR BBSW - BBSW JIBA - JIBAR BUBO - BUBOR CDOR - CDOR CIBO - CIBOR MOSP - MOSPRIM NIBO - NIBOR PRBO - PRIBOR TLBO - TELBOR WIBO WIBOR TREA Treasury SWAP SWAP FUSW Future SWAP Or up to 25 alphanumerical characters if the reference rate is not included in the above list Time period describing reference period, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day Floating rate reference period leg 1 multiplier Integer multiplier of the time period describing the reference period. Up to 3 numerical characters. Floating rate of leg 2 Floating rate reference period leg 2 time period EONS - EONIA SWAP EURI - EURIBOR EUUS EURODOLLAR EUCH - EuroSwiss GCFR - GCF REPO ISDA - ISDAFIX LIBI - LIBID LIBO - LIBOR MAAA Muni AAA PFAN - Pfandbriefe TIBO - TIBOR STBO - STIBOR BBSW - BBSW JIBA - JIBAR BUBO - BUBOR CDOR - CDOR CIBO - CIBOR MOSP - MOSPRIM NIBO - NIBOR PRBO - PRIBOR TLBO - TELBOR WIBO WIBOR TREA Treasury SWAP SWAP FUSW Future SWAP Or up to 25 alphanumerical characters if the reference rate is not included in the above list Time period describing reference period, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day Floating rate reference period leg 2 multiplier Integer multiplier of the time period describing the reference period. Up to 3 numerical characters. Delivery currency 2 Exchange rate 1 ISO 4217 Currency Code, 3 alphabetical character code Up to 10 numerical digits including decimals. 10

11 Field Format Is the field Forward exchange rate Up to 10 numerical digits including decimals. Exchange rate basis Two ISO 4217 currency codes separated by /. First currency code shall indicate the base currency, and the second currency code shall indicate the quote currency. Commodity base Commodity details Delivery point or zone AG = Agricultural EN = Energy FR = Freights ME = Metals IN = Index EV = Environmental EX = Exotic OT = Other Agricultural GO = Grains oilseeds DA = Dairy LI = Livestock FO = Forestry SO = Softs SF = Seafood OT = Other Energy OI = Oil NG = Natural gas CO = Coal EL = Electricity IE = Inter-energy OT = Other Freights DR = Dry WT = Wet OT = Other Metals PR = Precious NP = Non-precious Environmental WE = Weather EM = Emissions OT = Other EIC code, 16 character alphanumeric code Repeatable field. Y 2 Must match Interconnection Point EIC code, 16 character alphanumeric code Load type BL = Base Load PL = Peak Load OP = Off-Peak BH = Hour/Block Hours SH = Shaped GD = Gas Day OT = Other Load delivery intervals hh:mmz Delivery start date and time ISO 8601 date in the UTC time format YYYY- MM- DDThh:mm:ssZ Delivery end date and time ISO 8601 date in the UTS time format YYYY- MM- DDThh:mm:ssZ Duration N=Minutes H= Hour D= Day W=Week M=Month Q = Quarter S= Season Y= Annual O=Other 11

12 Field Format Is the field Days of the week WD = Weekdays WN = Weekend MO = Monday TU = Tuesday WE = Wednesday TH = Thursday FR = Friday SA = Saturday SU = Sunday Multiple values separated by "/ " are permitted Delivery capacity Quantity Unit Up to 20 numerical digits including decimals KW KWh/h KWh/d MW MWh/h MWh/d GW GWh/h GWh/d Therm/d KTherm/d MTherm/d cm/d mcm/d Price/time interval quantities Option type Option exercise style Strike price (cap/floor rate) Strike price notation Up to 20 numerical characters including decimals. P = Put C = Call O = where it cannot be determined whether it is a call or a put A = American B = Bermudan E = European S = Asian More than one value is allowed Up to 20 numerical characters including decimals. Where the strike price is reported in percent values, it should be expressed as percentage where 100% is represented as 100 U = Units P = Percentage Y = Yield Y 2 Must match Y 1 Apply tolerance check 1. Maturity date of the underlying ISO 8601 date in the format YYYY-MM-DD 12

13 Field Format Is the field Seniority SNDB = Senior, such as Senior Unsecured Debt (Corporate/Financial), Foreign Currency Sovereign Debt (Government), SBOD = Subordinated, such as Subordinated or Lower Tier 2 Debt (Banks), Junior Subordinated or Upper Tier 2 Debt (Banks), OTHR = Other, such as Preference Shares or Tier 1 Capital (Banks) or other credit derivatives Y 2 Must match Reference entity Frequency of payment ISO character country code or ISO character country code followed by dash - and up to 3 alphanumeric character country subdivision code or ISO Legal Entity Identifier (LEI) 20 alphanumerical character code MNTH = Monthly QURT = Quarterly MIAN = Semi-annually YEAR = Yearly Y 2 Must match The calculation basis Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression Actual, e.g. 30/360 or Actual/365 Series Integer field up to 5 characters Y 2 Must match Version Integer field up to 5 characters Y 2 Must match Index factor Up to 10 numerical characters including decimals. Y 2 Apply tolerance check 1. Tranche T= Tranched U=Untranched Y 2 Must match Attachment point Detachment point Action type Level Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1. Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1. N = New M = Modify E = Error C = Early Termination R = Correction Z = Compression V = Valuation update P = Position component T = Trade P = Position Y 2 Apply tolerance check 1. Y 2 Apply tolerance check 1. 13

14 IV. Communicating process outcome to reporting participants KDPW_TR communicates the outcome of data reconciliation to the reporting participant in the message trar.rcn which is sent on the close of the comparing process, typically in the afternoon on every day from Monday to Friday including bank holidays. The message trar.rcn is sent over the same channel (U2A/A2A) that was used to send the data for reconciliation to KDPW_TR. The message structure is published on the KDPW_TR website. The message as a rule includes details of the reports which have not been paired (pairing status NPAR) or which have category 1 or 2 errors (comparing status ERR1 and ERR2). The message includes the following information: pairing date for unpaired reports, the date of the last attempt to pair the report; for paired reports, the report pairing date; comparing date filled only for paired and reports, the date of the last report comparing process; report details eligibility date the date at which the report details used in the comparison are valid; trade key (UTI, LEI1, LEI2); pairing and comparing status; error number and description indicating the field with the error; values in reports of both counterparties (if there are errors). The table below presents the list of potential error reasons RsnCd for report comparing failure statuses StsCd = ERCD, ERR1 and ERR2. StsCd RsnCd Error code description ERCD CPCT ERL1 Value in field Subject to EMIR obligation inconsistent with other counterparty report Invalid LEI in field Reporting Counterparty ID ERR1/ERR2 ERL2 ERUT ECPS ECTP EASC Invalid LEI in field ID of the Other Counterparty Invalid UTI Inconsistency in field Counterparty side Inconsistency in field Contract type Inconsistency in field Asset class EPTP Inconsistency in field Product identification type 14

15 EPID EUTP Inconsistency in field Product identification Inconsistency in field Underlying identification type EUID Inconsistency in field Underlying identification ENC1 Inconsistency in field Notional currency 1 EVOE EPRT EPNT ECOP ENOT EPMT EQNT EDEL EEXC EEFF EMTR ETRM Inconsistency in field Venue of execution Inconsistency in field Price / rate Inconsistency in field Price notation Inconsistency in field Currency of price Inconsistency in field Notional Inconsistency in field Price multiplier Inconsistency in field Quantity Inconsistency in field Delivery type Inconsistency in field Execution timestamp Inconsistency in field Effective date Inconsistency in field Maturity date Inconsistency in field Termination date ECNF ECNM ECLO ECLR ECLT ECCP ECMB ECMD EOTP EOEX Inconsistency in field Confirmation timestamp Inconsistency in field Confirmation means Inconsistency in field Clearing obligation Inconsistency in field Cleared Inconsistency in field Clearing timestamp Inconsistency in field CCP Inconsistency in field Commodity base Inconsistency in field Commodity details Inconsistency in field Option type Inconsistency in field Option exercise style 15

16 ESTP ESPN EMTU ESNR EFOP ESER EVER EINF ETRN EATP EDTP Inconsistency in field Strike price (cap/floor rate) Inconsistency in field Strike price notation Inconsistency in field Maturity date of the underlying Inconsistency in field Seniority Inconsistency in field Frequency of payment Inconsistency in field Series Inconsistency in field Version Inconsistency in field Index factor Inconsistency in field Tranche Inconsistency in field Attachment point Inconsistency in field Detachment point 16