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Version date: 17 December 2020 - onwards

4.4.12 Data elements related to custom baskets (paras. 451-461)

451. The CDE guidance introduces five fields related to custom baskets: custom basket code, identifier of the basket's constituents, basket constituent's unit of measure, basket constituents number of units and source of the identifier of the basket constituents.

452. In the Consultation Paper, ESMA proposed to add the five fields in relation to "custom baskets" as prescribed in the CDE guidance as it is understood that these fields would enhance ESMA authorities' capacities to perform economic analysis and to analyse the OTC derivative market structure.

453. Only one respondent disagreed with the addition of these five fields as in their view the current reporting requirements are sufficient. Given no substantial opposition and the fact that inclusion of these fields forms part of the adoption of CDE, ESMA has maintained its proposal.

454. Many respondents highlighted an issue that occurs with the reporting of underlying ID for derivatives on indices as some counterparties report the ISIN of the underlying and others report the ISIN of the derivative. ESMA has taken note of this inconsistent practice and clarifies that for these instruments counterparties should report ISIN of the underlying index (if available, otherwise the name of the index).