ANNEX II - Counterparty information
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Article I – Subcategories for EUR Fixed-to-float ⬅️ | ➡️ Article III – Subcategories for EUR Fixed-to-float
Table 1
Counterparty information
Field
Details to reported
1
Reporting date
Date of the submission of the report to the competent authority
2
Counterparty subject to the AAR
The Legal Entity Identifier (LEI) of the counterparty to a derivative transaction who is fulfilling its reporting obligation via the report concerned.
In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager shall be reported as the counterparty.
3
Nature of the counterparty
Indicate whether the counterparty is a CCP, a financial counterparty, or a non-financial counterparty, as defined in Article 2, points (1), (8) and (9), respectively, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point (5), of that Regulation.
4
Entities within the group
A list of the Legal Entity Identifiers (LEIs) of the entities within the group.
5
Ultimate parent entity
The Legal Entity Identifier (LEI) of the Ultimate Parent Entity of the group.
6
Clearing member
The Legal Entity Identifier (LEI) of the clearing member.
Table 2
Activities and risk exposures
Field
Details to be reported
Total
1
Gross Notional Amount outstanding of the aggregate month-end average position for the previous 12 months in the categories of derivatives contracts cleared under 2012
The aggregate sum of the notional amount of leg 1 and, where applicable, the notional amount of leg 2, for the derivatives in scope of this reporting, as referred to in Article 5 of Commission Delegated Regulation (EU) 2022/1855
2
Dimension 1 – Breakdown total by category of derivative
EUR OTC IRD
PLN OTC IRD
EUR STIR
3
Dimension 2 – Breakdown by CCP (EU/Tier 2/Tier 1) (reporting at CCP LEI level)
CCP1
CCP2
…
CCP1
CCP2
…
CCP1
CCP2
…
Commission Delegated Regulation (EU) 2022/1855 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 minimum details of the data to be reported to trade repositories and the type of reports to be used (OJ L 262, 7.10.2022, p. 1, ELI: http://data.europa.eu/eli/reg_del/2022/1855/oj).### Table 1 in anx_I
| Trade size (in EUR million) | |
|---|---|
| Maturity | [0-25M] |
| [0-5Y] | |
| (5Y-10Y] | |
| (10Y-15Y] | |
| (15Y+] |
Table 2 in anx_I
| Trade size (in EUR million) | |
|---|---|
| Maturity | [0-25M] |
| [0-1Y] | |
| (1Y-2Y] | |
| (2Y-5Y] | |
| (5Y+] |
Table 3 in anx_I
| Trade size (in EUR million) | |
|---|---|
| Maturity | [0-75M] |
| [0-6M] | |
| (6M-12M] | |
| (12M-18M] | |
| (18M+] |
Table 4 in anx_I
| Trade size (in PLN million) | |
|---|---|
| Maturity | Any trade size |
| Any maturity |
Table 5 in anx_I
| Trade size (in PLN million) | |
|---|---|
| Maturity | Any trade size |
| Any maturity |
Table 6 in anx_I
| Execution | Underlying | Reference index | Settlement currency | Settlement currency type | Optionality |
|---|---|---|---|---|---|
| EU or third-country exchange | 3-month interest rate | Euribor | EUR | Single currency | Excluded |
| EU or third-country exchange | 3-month interest rate | €STR | EUR | Single currency | Excluded |
Table 7 in anx_I
| Trade size (in EUR million) | |
|---|---|
| Maturity | Any trade size |
| [0-6M] | |
| (6M-12M] | |
| (12M-24M] | |
| (24M+] |
Table 8 in anx_I
| Trade size (in EUR million) | |
|---|---|
| Maturity | Any trade size |
| [0-6M] | |
| (6M-12M] | |
| (12M-24M] | |
| (24M+] |
Table 1 in anx_II
| Field | Details to reported | |
|---|---|---|
| 1 | Reporting date | Date of the submission of the report to the competent authority |
| 2 | Counterparty subject to the AAR | The Legal Entity Identifier (LEI) of the counterparty to a derivative transaction who is fulfilling its reporting obligation via the report concerned.In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager shall be reported as the counterparty. |
| 3 | Nature of the counterparty | Indicate whether the counterparty is a CCP, a financial counterparty, or a non-financial counterparty, as defined in Article 2, points (1), (8) and (9), respectively, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point (5), of that Regulation. |
| 4 | Entities within the group | A list of the Legal Entity Identifiers (LEIs) of the entities within the group. |
| 5 | Ultimate parent entity | The Legal Entity Identifier (LEI) of the Ultimate Parent Entity of the group. |
| 6 | Clearing member | The Legal Entity Identifier (LEI) of the clearing member. |
Table 2 in anx_II
| Field | Details to be reported | Total | |
|---|---|---|---|
| 1 | Gross Notional Amount outstanding of the aggregate month-end average position for the previous 12 months in the categories of derivatives contracts cleared under Article 7a(6) of Regulation (EU) No 648/2012 | The aggregate sum of the notional amount of leg 1 and, where applicable, the notional amount of leg 2, for the derivatives in scope of this reporting, as referred to in Article 5 of Commission Delegated Regulation (EU) 2022/1855(1) | |
| 2 | Dimension 1 – Breakdown total by category of derivative | EUR OTC IRD | PLN OTC IRD |
| 3 | Dimension 2 – Breakdown by CCP (EU/Tier 2/Tier 1) (reporting at CCP LEI level) | CCP1 | CCP2 |
| (1)Commission Delegated Regulation (EU) 2022/1855 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 minimum details of the data to be reported to trade repositories and the type of reports to be used (OJ L 262, 7.10.2022, p. 1, ELI: http://data.europa.eu/eli/reg_del/2022/1855/oj). |
Table 1 in anx_III
| Reference period | |
|---|---|
| Clearing service of substantial systemic importance under Article 25(2c) | Authorised CCP under Article 14 |
| Trade size (in EUR million) | |
| Maturity | [0-25M] |
| [0-5Y] | |
| (5Y-10Y] | |
| (10Y-15Y] | |
| (15Y+] |
Table 2 in anx_III
| Reference period | |
|---|---|
| Clearing service of substantial systemic importance under Article 25(2c) | Authorised CCP under Article 14 |
| Trade size (in EUR million) | |
| Maturity | [0-25M] |
| [0-1Y] | |
| (1Y-2Y] | |
| (2Y-5Y] | |
| (5Y+] |
Table 3 in anx_III
| Reference period | |
|---|---|
| Clearing service of substantial systemic importance under Article 25(2c) | Authorised CCP under Article 14 |
| Trade size (in EUR million) | |
| Maturity | [0-75M] |
| [0-6M] | |
| (6M-12M] | |
| (12M-18M] | |
| (18M+] |
Table 4 in anx_III
| Clearing service of substantial systemic importance under Article 25(2c) | Authorised CCP under Article 14 |
|---|---|
| Trade size (in PL million) | |
| Maturity | Any trade size |
| Any maturity |
Table 5 in anx_III
| Clearing service of substantial systemic importance under Article 25(2c) | Authorised CCP under Article 14 |
|---|---|
| Trade size (in PL million) | |
| Maturity | Any trade size |
| Any maturity |
Table 6 in anx_III
| Reference period | |
|---|---|
| Clearing service of substantial systemic importance under Article 25(2c) | Authorised CCP under Article 14 |
| Trade size (in EUR million) | |
| Maturity | Any trade size |
| [0-6M] | |
| (6M-12M] | |
| (12M-24M] | |
| (24M+] |
Table 7 in anx_III
| Reference period | |
|---|---|
| Clearing service of substantial systemic importance under Article 25(2c) | Authorised CCP under Article 14 |
| Trade size (in EUR million) | |
| Maturity | Any trade size |
| [0-6M] | |
| (6M-12M] | |
| (12M-24M] | |
| (24M+] |