The European Commission have published an RTS on how Trade Repositories should reconcile data “to ensure the high quality of the details of derivatives reported to trade repositories” (RTS on InterTR Rec, 2).

Purpose

This is a new RTS, which addresses the acknowledged “lack of initial specification of the reconciliation process by ESMA” resulting in;

• “inconsistent reconciliation procedures,
• inconsistent reconciliation timings
• tolerances and categorization of fields decided by TRs
• lengthy change request implementation times.
• accumulation of a significant number of non-reconciled trades” (Final Report, 522)

Process

The new RTS sets out “a standardized process to enable trade repositories to conduct reconciliation in a consistent manner” (RTS on InterTR Rec, 2)

Reconciliation process  (RTS on InterTR Rec, Article 3)

Response Files

“Each working day a trade repository shall make available (d) the reconciliation status of all reported derivatives”, “in an XML format developed in accordance with the ISO 20022 methodology” (RTS on InterTR Rec, Article 4 (1)). The response files should be made available to all relevant entities “no later than 06:00 UTC on the working day following the day” (RTS on InterTR Rec, Article 4 (2))

Relevant entities include (RTS, Article 4(1));

• Reporting counterparties,
• Report submitting entities,
• Entities responsible for reporting
• Third parties (EMIR Article 78(7))

Implementation Dates

ESMA has proposed a 2 stage implementation.

“The first stage, which will comprise a reduced number of fields, will start together with the start of the reporting obligation under Article 9 EMIR as amended by EMIR REFIT” (Final Report, 566)

“It is proposed that the start of the second stage of the reconciliation process, where the full set of fields will become subject to reconciliation, should be two years after the start of the reporting obligation referred to in Article 9 EMIR ” (Final Report, 567)

Reconciliation start date	Count Fields
Start date of the reporting obligation (2024-04-29)	87
Two years after the start date of the reporting obligation (2026-04-29)	61
NA	26

Please see Annex I, Table II (below) for a full list of fields which are in scope for phase 1 vs phase 2.

Exception Management

The final report and RTS doesn’t provide explicit instruction or guidance on the methods which should be put in place with counterparties, or the priorities for handling accuracy vs reconciliation breaks. ESMA do however state;

“It is to be expected that report submitting entities will over time improve their reporting, both in terms of a reduction of the number of rejected reports and in terms of reconciled reports.” (RTS on InterTR Rec, 5)

“A respondent suggested to include specific provisions in the RTS regarding the obligations of counterparties to engage with each other to resolve reconciliation breaks without undue delay. ESMA proposes to include consider such a reference under complete and correct reporting. “ (Final Report, 629)

Tolerance & Abnormal Values

“ESMA proposes in the draft technical standards that the TRs provide an “abnormal values” report for derivatives reported with action types ‘New’, ‘Position component’, ‘Modification’ and ‘Correction’.” (Final Report, 633). They state that  “Authorities are better placed to set the values for the abnormal/normal values report”. (Final Report, 634)

ESMA has provided a statement of which fields should be allowed a tolerance in Annex I, Table II (below), but we await feedback from individual NCA’s on the allowed tolerances.

Annex I, Table II

Ref	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	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 after 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 after the start date of the reporting obligation
16	Section 2b – Contract information	Name of the underlying index	Yes	Two years after the start date of the reporting obligation
17	Section 2b – Contract information	Custom basket code	No	Two years after the start date of the reporting obligation
18	Section 2b – Contract information	Identifier of the basket’s constituents	Yes	Two years after the start date of the reporting obligation
19	Section 2b – Contract information	Settlement currency 1	No	Two years after the start date of the reporting obligation
20	Section 2b – Contract information	Settlement currency 2	No	Two years after the start date of the reporting obligation
21	Section 2c – Valuation	Valuation amount	Yes	Two years after the start date of the reporting obligation
22	Section 2c – Valuation	Valuation currency	No	Two years after the start date of the reporting obligation
23	Section 2c – Valuation	Valuation timestamp	NA	NA
24	Section 2c – Valuation	Valuation method	No	Two years after the start date of the reporting obligation
25	Section 2c – Valuation	Delta	Yes	Two years after 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 after the start date of the reporting obligation
51	Section 2g – Details on the transaction	Unadjusted end date of the price	No	Two years after 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 after the start date of the reporting obligation
53	Section 2g – Details on the transaction	Package transaction price	Yes	Two years after the start date of the reporting obligation
54	Section 2g – Details on the transaction	Package transaction price currency	No	Two years after 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 after the start date of the reporting obligation
74	Section 2g – Details on the transaction	Other payment amount	Yes	Two years after the start date of the reporting obligation
75	Section 2g – Details on the transaction	Other payment currency	No	Two years after the start date of the reporting obligation
76	Section 2g – Details on the transaction	Other payment date	No	Two years after the start date of the reporting obligation
77	Section 2g – Details on the transaction	Other payment payer	Yes	Two years after the start date of the reporting obligation
78	Section 2g – Details on the transaction	Other payment receiver	Yes	Two years after 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 f loating rate of leg 1	No	Start date of the reporting obligation
84	Section 2h – Interest Rates	Indicator of the f loating rate of leg 1	No	Start date of the reporting obligation
85	Section 2h – Interest Rates	Name of the f loating 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 after the start date of the reporting obligation
94	Section 2h – Interest Rates	Spread currency of leg 1	No	Two years after 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 f loating rate of leg 2	No	Start date of the reporting obligation
100	Section 2h – Interest Rates	Indicator of the f loating rate of leg 2	No	Start date of the reporting obligation
101	Section 2h – Interest Rates	Name of the f loating 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 after the start date of the reporting obligation
110	Section 2h – Interest Rates	Spread currency of leg 2	No	Two years after the start date of the reporting obligation
111	Section 2h – Interest Rates	Package transaction spread	Yes	Two years after the start date of the reporting obligation
112	Section 2h – Interest Rates	Package transaction spread currency	No	Two years after the start date of the reporting obligation
113	Section 2i – Foreign Exchange	Exchange rate 1	Yes	Two years after the start date of the reporting obligation
114	Section 2i – Foreign Exchange	Forward exchange rate	Yes	Two years after the start date of the reporting obligation
115	Section 2i – Foreign Exchange	Exchange rate basis	No	Two years after the start date of the reporting obligation
116	Section 2j – Commodities and emission allowances (General)	Base product	No	Two years after the start date of the reporting obligation
117	Section 2j – Commodities and emission allowances (General)	Sub-product	No	Two years after the start date of the reporting obligation
118	Section 2j – Commodities and emission allowances (General)	Further sub-product	No	Two years after the start date of the reporting obligation
119	Section 2k – Commodities and emission allowances (Energy)	Delivery point or zone	No	Two years after the start date of the reporting obligation
120	Section 2k – Commodities and emission allowances (Energy)	Interconnection Point	No	Two years after the start date of the reporting obligation
121	Section 2k – Commodities and emission allowances (Energy)	Load type	No	Two years after the start date of the reporting obligation
122	Section 2k – Commodities and emission allowances (Energy)	Delivery interval start time	Yes	Two years after the start date of the reporting obligation
123	Section 2k – Commodities and emission allowances (Energy)	Delivery interval end time	Yes	Two years after the start date of the reporting obligation
124	Section 2k – Commodities and emission allowances (Energy)	Delivery start date	No	Two years after the start date of the reporting obligation
125	Section 2k – Commodities and emission allowances (Energy)	Delivery end date	No	Two years after the start date of the reporting obligation
126	Section 2k – Commodities and emission allowances (Energy)	Duration	No	Two years after the start date of the reporting obligation
127	Section 2k – Commodities and emission allowances (Energy)	Days of the week	No	Two years after the start date of the reporting obligation
128	Section 2k – Commodities and emission allowances (Energy)	Delivery capacity	Yes	Two years after the start date of the reporting obligation
129	Section 2k – Commodities and emission allowances (Energy)	Quantity Unit	No	Two years after the start date of the reporting obligation
130	Section 2k – Commodities and emission allowances (Energy)	Price/time interval quantity	Yes	Two years after 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 after 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 after the start date of the reporting obligation
135	Section 2l – Options	Effective date of the strike price	No	Two years after the start date of the reporting obligation
136	Section 2l – Options	End date of the strike price	No	Two years after the start date of the reporting obligation
137	Section 2l – Options	Strike price in effect on associated effective date	Yes	Two years after the start date of the reporting obligation
138	Section 2l – Options	Strike price currency/currency pair	No	Two years after the start date of the reporting obligation
139	Section 2l – Options	Option premium amount	Yes	Two years after the start date of the reporting obligation
140	Section 2l – Options	Option premium currency	No	Two years after the start date of the reporting obligation
141	Section 2l – Options	Option premium payment date	No	Two years after the start date of the reporting obligation
142	Section 2l – 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 after the start date of the reporting obligation
146	Section 2m – Credit derivatives	Version	No	Two years after 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 after the start date of the reporting obligation
150	Section 2m – Credit derivatives	CDS index detachment point	Yes	Two years after 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

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