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Document 02012R1247-20170210

Consolidated text: Commission Implementing Regulation (EU) No 1247/2012 of 19 December 2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories (Text with EEA relevance)

ELI: http://data.europa.eu/eli/reg_impl/2012/1247/2017-02-10

02012R1247 — EN — 10.02.2017 — 001.001


This text is meant purely as a documentation tool and has no legal effect. The Union's institutions do not assume any liability for its contents. The authentic versions of the relevant acts, including their preambles, are those published in the Official Journal of the European Union and available in EUR-Lex. Those official texts are directly accessible through the links embedded in this document

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COMMISSION IMPLEMENTING REGULATION (EU) No 1247/2012

of 19 December 2012

laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories

(Text with EEA relevance)

(OJ L 352 21.12.2012, p. 20)

Amended by:

 

 

Official Journal

  No

page

date

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COMMISSION IMPLEMENTING REGULATION (EU) 2017/105 of 19 October 2016

  L 17

17

21.1.2017




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COMMISSION IMPLEMENTING REGULATION (EU) No 1247/2012

of 19 December 2012

laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories

(Text with EEA relevance)



Article 1

Format of derivative contract reports

The information contained in a report under Article 9 of Regulation (EU) No 648/2012 shall be provided in the format specified in the Annex to this Regulation.

Article 2

Frequency of derivative contract reports

Where provided for in Article 11(2) of Regulation (EU) No 648/2012, mark to market or mark to model valuations of contracts reported to a trade repository shall be done on a daily basis. Any other reporting elements as provided for in the Annex to this Regulation and the Annex to the delegated act with regard to regulatory technical standards specifying the minimum details of the data to be reported to trade repositories pursuant to Article 9(5) of Regulation (EU) No 648/2012 shall be reported as they occur and taking into account the time limit foreseen under Article 9 of Regulation (EU) No 648/2012, notably as regards the conclusion, modification or termination of a contract.

Article 3

Identification of counterparties and other entities

1.  A report shall use a legal entity identifier to identify:

(a) a beneficiary which is a legal person;

(b) a broking entity;

(c) a CCP;

(d) a clearing member which is a legal person;

(e) a counterparty which is a legal entity;

(f) a submitting entity.

2.  Where a legal entity identifier is not available, the report shall include an interim entity identifier as defined at the Union level which is:

(a) unique;

(b) neutral;

(c) reliable;

(d) open source;

(e) scalable;

(f) accessible;

(g) available at a reasonable cost basis;

(h) subject to an appropriate governance framework.

3.  Where neither a legal entity identifier nor an interim entity identifier is available, a report shall use a Business Identifier Code in accordance with ISO 9362 where available.

Article 4

Identification of Derivatives

1.  A report shall identify a derivative contract using a unique product identifier which is:

(a) unique;

(b) neutral;

(c) reliable

(d) open source;

(e) scalable;

(f) accessible;

(g) available at a reasonable cost basis;

(h) subject to an appropriate governance framework.

2.  Where a unique product identifier does not exist, a report shall identify a derivative contract by using the combination of the assigned ISO 6166 ISIN code or Alternative Instrument Identifier code with the corresponding ISO 10962 CFI code.

3.  Where the combination referred to in paragraph 2 is not available, the type of derivative shall be identified on the following basis:

(a) the derivative class shall be identified as one of the following:

(i) commodities;

(ii) credit;

(iii) foreign exchange;

(iv) equity;

(v) interest rate;

(vi) other.

(b) the derivative type shall be identified as one of the following:

(i) contracts for difference;

(ii) forward rate agreements

(iii) forwards;

(iv) futures;

(v) options;

(vi) swaps;

(vii) other.

(c) in the case of derivatives not falling into a specific derivative class or derivative type, the report shall be made on the basis of the derivative class or derivative type that the counterparties agree the derivative contract most closely resembles.

Article 5

Reporting start date

1.  Credit derivative and interest rate derivative contracts shall be reported:

(a) by 1 July 2013, where a trade repository for that particular derivative class has been registered under Article 55 of Regulation (EU) No 648/2012 before 1 April 2013;

(b) 90 days after the registration of a trade repository for a particular derivative class under Article 55 of Regulation (EU) No 648/2012, where there is no trade repository registered for that particular derivative class before or on 1 April 2013,;

(c) by 1 July 2015, where there is no trade repository registered for that particular derivative class under Article 55 of Regulation (EU) No 648/2012 by 1 July 2015. The reporting obligation shall commence on this date and contracts shall be reported to ESMA in accordance with Article 9(3) of that Regulation until a trade repository is registered for that particular derivative class.

2.  Derivative contracts not referred to in paragraph 1 shall be reported:

(a) by 1 January 2014, where a trade repository for that particular derivative class has been registered under Article 55 of Regulation (EU) No 648/2012 before 1 October 2013;

(b) 90 days after the registration of a trade repository for a particular derivative class under Article 55 of Regulation (EU) No 648/2012, where there is no trade repository registered for that particular derivative class before or on 1 October 2013;

(c) by 1 July 2015, where there is no trade repository registered for that particular derivative class under Article 55 of Regulation (EU) No 648/2012 by 1 July 2015. The reporting obligation shall commence on this date and contracts shall be reported to ESMA in accordance with Article 9(3) of that Regulation until a trade repository is registered for that particular derivative class.

3.  Those derivative contracts which were outstanding on 16 August 2012 and are still outstanding on the reporting start date shall be reported to a trade repository within 90 days of the reporting start date for a particular derivative class.

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4.  The following derivative contracts which are not outstanding on the commencement date for reporting for a particular derivative class shall be reported to a trade repository within five years of that date:

(a) derivative contracts that were entered into before 16 August 2012 and were still outstanding on 16 August 2012;

(b) derivative contracts that were entered into on or after 16 August 2012.

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5.  The reporting start date shall be extended by 180 days for the reporting of information referred to in Article 3 of the delegated act with regard to regulatory technical standards specifying the minimum details of the data to be reported to trade repositories pursuant to Article 9(5) of Regulation (EU) No 648/2012.

Article 6

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.




ANNEX



Table 1

Counterparty Data

 

Field

Format

 

Parties to the contract

 

1

Reporting timestamp

ISO 8601 date format / UTC time format.

2

Counterparty ID

Legal Entity Identifier (LEI) (20 alphanumerical digits), interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).

3

ID of the other Counterparty

Legal Entity Identifier (LEI) (20 alphanumerical digits),

interim entity identifier (20 alphanumerical digits),

BIC (11 alphanumerical digits) or a

client code (50 alphanumerical digits).

4

Name of the counterparty

100 alphanumerical digits or blank in case of coverage by Legal Entity Identifier (LEI).

5

Domicile of the counterparty

500 alphanumerical digits or blank in case of coverage by Legal Entity Identifier (LEI).

6

Corporate sector of the counterparty

Taxonomy:

A = Assurance undertaking authorised in accordance with Directive 2002/83/EC;

C = Credit institution authorised in accordance with Directive 2006/48/EC;

F = Investment firm in accordance with Directive 2004/39/EC;

I = Insurance undertaking authorised in accordance with Directive 73/239/EEC;

L = Alternative investment fund managed by AIFMs authorised or registered in accordance with Directive 2011/61/EU;

O = Institution for occupational retirement provision within the meaning of Article 6(a) of Directive 2003/41/EC;

R = Reinsurance undertaking authorised in accordance with Directive 2005/68/EC;

U = UCITS and its management company, authorised in accordance with Directive 2009/65/EC; or

blank in case of coverage by Legal Entity Identifier (LEI) or in case of non-financial counterparties.

7

Financial or non-financial nature of the counterparty

F=Financial Counterparty, N=Non-Financial Counterparty.

8

Broker ID

Legal Entity Identifier (LEI) (20 alphanumerical digits),

interim entity identifier (20 alphanumerical digits),

BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).

9

Reporting entity ID

Legal Entity Identifier (LEI) (20 alphanumerical digits),

interim entity identifier (20 alphanumerical digits),

BIC (11 alphanumerical digits) or a

client code (50 alphanumerical digits).

10

Clearing member ID

Legal Entity Identifier (LEI) (20 alphanumerical digits),

interim entity identifier (20 alphanumerical digits),

BIC (11 alphanumerical digits) or a

client code (50 alphanumerical digits).

11

Beneficiary ID

Legal Entity Identifier (LEI) (20 alphanumerical digits),

interim entity identifier (20 alphanumerical digits),

BIC (11 alphanumerical digits) or a

client code (50 alphanumerical digits).

12

Trading capacity

P=Principal, A=Agent.

13

Counterparty side

B=Buyer, S=Seller.

14

Trade with non-EEA counterparty

Y=Yes, N=No.

15

Directly linked to commercial activity or treasury financing

Y=Yes, N=No.

16

Clearing threshold

Y=Above, N=Below.

17

Mark to market value of contract

Up to 20 numerical digits in the format xxxx,yyyyy.

18

Currency of mark to market value of the contract

ISO 4217 Currency Code, 3 alphabetical digits.

19

Valuation date

ISO 8601 date format.

20

Valuation time

UTC time format.

21

Valuation type

M=mark to market / O=mark to model.

22

Collateralisation

U=uncollateralised, PC= partially collateralised, OC=one way collateralised or FC=fully collateralised.

23

Collateral portfolio

Y=Yes, N=No.

24

Collateral portfolio code

Up to 10 numerical digits.

25

Value of the collateral

Specify the value the total amount of collateral posted; up to 20 numerical digits in the format xxxx,yyyyy.

26

Currency of the collateral value

Specify the currency of field 25; ISO 4217 Currency Code, 3 alphabetical digits.



Table 2

Common Data

 

Field

Format

Applicable types of derivative contract

 

Section 2a - Contract type

 

All contracts

1

Taxonomy used

Identify the taxonomy used:

U = Product Identifier [endorsed in Europe]

image

E = Interim taxonomy

 

2

Product ID 1

For taxonomy = U:

Product Identifier (UPI), to be defined

For taxonomy = I:

ISIN or AII,

12 digits alphanumerical code

For taxonomy = E:

Derivative class:

CO = Commodity

CR = Credit

CU = Currency

EQ = Equity

IR = Interest Rate

OT = Other

 

3

Product ID 2

For taxonomy = U

Blank

For taxonomy = I

CFI, 6 characters alphabetical code

For taxonomy = E:

Derivative type:

CD = Contracts for difference

FR = Forward rate agreements

FU = Futures

FW = Forwards

OP = Option

SW = Swap

OT = Other

 

4

Underlying

ISIN (12 alphanumerical digits);

LEI (20 alphanumerical digits);

Interim entity identifier (20 alphanumerical digits);

UPI (to be defined);

B = Basket;

I = Index.

 

5

Notional currency 1

ISO 4217 Currency Code, 3 alphabetical digits.

 

6

Notional currency 2

ISO 4217 Currency Code, 3 alphabetical digits.

 

7

Deliverable currency

ISO 4217 Currency Code, 3 alphabetical digits.

 

 

Section 2b - Details on the transaction

 

All contracts

8

Trade ID

Up to 52 alphanumerical digits.

 

9

Transaction reference number

An alphanumeric field up to 40 characters

 

10

Venue of execution

ISO 10383 Market Identifier Code (MIC), 4 digits alphabetical.

Where relevant, XOFF for listed derivatives that are traded off-exchange or XXXX for OTC derivatives.

 

11

Compression

Y = if the contract results from compression; N= if the contract does not result from compression.

 

12

Price / rate

Up to 20 numerical digits in the format xxxx,yyyyy.

 

13

Price notation

E.g. ISO 4217 Currency Code, 3 alphabetical digits, percentage.

 

14

Notional amount

Up to 20 numerical digits in the format xxxx,yyyyy.

 

15

Price multiplier

Up to 10 numerical digits.

 

16

Quantity

Up to 10 numerical digits.

 

17

Up-front payment

Up to 10 numerical digits in the format xxxx,yyyyy for payments made by the reporting counterparty and in the format xxxx,yyyyy for payments received by the reporting counterparty.

 

18

Delivery type

C=Cash, P=Physical, O=Optional for counterparty.

 

19

Execution timestamp

ISO 8601 date format / UTC time format.

 

20

Effective date

ISO 8601 date format.

 

21

Maturity date

ISO 8601 date format.

 

22

Termination date

ISO 8601 date format.

 

23

Settlement date

ISO 8601 date format.

 

24

Master Agreement type

Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any.

 

25

Master Agreement version

Year, xxxx.

 

 

Section 2c - Risk mitigation / Reporting

 

All contracts

26

Confirmation timestamp

ISO 8601 date format, UTC time format.

 

27

Confirmation means

Y=Non-electronically confirmed, N=Non-confirmed, E=Electronically confirmed.

 

 

Section 2d - Clearing

 

All contracts

28

Clearing obligation

Y=Yes, N=No.

 

29

Cleared

Y=Yes, N=No.

 

30

Clearing timestamp

ISO 8601 date format / UTC time format.

 

31

CCP ID

Legal Entity Identifier (LEI) (20 alphanumerical digits) or, if not available, interim entity identifier (20 alphanumerical digits) or, if not available, BIC (11 alphanumerical digits).

 

32

Intragroup

Y=Yes, N=No.

 

 

Section 2e - Interest Rates

 

Interest rate derivatives

33

Fixed rate of leg 1

Numerical digits in the format xxxx,yyyyy.

 

34

Fixed rate of leg 2

Numerical digits in the format xxxx,yyyyy.

 

35

Fixed rate day count

Actual/365, 30B/360 or Other.

 

36

Fixed leg payment frequency

An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y.

 

37

Floating rate payment frequency

An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y.

 

38

Floating rate reset frequency

D = An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y.

 

39

Floating rate of leg 1

The name of the floating rate index, e.g. 3M Euribor.

 

40

Floating rate of leg 2

The name of the floating rate index, e.g. 3M Euribor.

 

 

Section 2f – Foreign Exchange

 

Currency derivatives

41

Currency 2

ISO 4217 Currency Code, 3 alphabetical digits.

 

42

Exchange rate 1

Up to 10 numerical digits in the format xxxx,yyyyy.

 

43

Forward exchange rate

Up to 10 numerical digits in the format xxxx,yyyyy.

 

44

Exchange rate basis

E.g. EUR/USD or USD/EUR.

 

 

Section 2g - Commodities

If a UPI is reported and contains all the information below, this is not required unless to be reported according to Regulation (EU) No 1227/2011.

Commodity derivatives

General

45

Commodity base

AG = Agricultural

EN = Energy

FR = Freights

ME = Metals

IN = Index

EV = Environmental

EX = Exotic

 

46

Commodity details

Agricultural

GO = Grains oilseeds

DA = Dairy

LI = Livestock

FO = Forestry

SO = Softs

Energy

OI = Oil

NG = Natural gas

CO = Coal

EL = Electricity

IE = Inter-energy

Metals

PR = Precious

NP = Non-precious

Environmental

WE = Weather

EM = Emissions

 

Energy

47

Delivery point or zone

EIC code, 16 character alphanumeric code.

 

48

Interconnection Point

Free text, field of up to 50 characters.

 

49

Load type

Repeatable section of fields 50-54 to identify the product delivery profile which correspond to the delivery periods of a day;

BL = Base Load

PL = Peak Load

OP = Off-Peak

BH = Block Hours

OT = Other

 

50

Delivery start date and time

ISO 8601 date format / UTC time format.

 

51

Delivery end date and time

ISO 8601 date format / UTC time format.

 

52

Contract capacity

Free text, field of up to 50 characters.

 

53

Quantity Unit

10 numerical digits in the format xxxx,yyyyy.

 

54

Price/time interval quantities

10 numerical digits in the format xxxx,yyyyy.

 

 

Section 2h - Options

 

Contracts that contain an option

55

Option type

P=Put, C=Call.

 

56

Option style (exercise)

A=American, B=Bermudan, E=European, S=Asian.

 

57

Strike price (cap/floor rate)

Up to 10 Numerical digits in the format xxxx,yyyyy.

 

 

Section 2i - Modifications to the contract

 

All contracts

58

Action type

N = New

M = Modify

E = Error,

C = Cancel,

Z = Compression,

V = Valuation update,

O = Other.

 

59

Details of action type

Free text, field of up to 50 characters.

 

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