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Document 32022R1860
Commission Implementing Regulation (EU) 2022/1860 of 10 June 2022 laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting (Text with EEA relevance)
Commission Implementing Regulation (EU) 2022/1860 of 10 June 2022 laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting (Text with EEA relevance)
Commission Implementing Regulation (EU) 2022/1860 of 10 June 2022 laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting (Text with EEA relevance)
C/2022/3588
OJ L 262, 7.10.2022, p. 68–114
(BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)
In force: This act has been changed. Current consolidated version: 07/10/2022
|
7.10.2022 |
EN |
Official Journal of the European Union |
L 262/68 |
COMMISSION IMPLEMENTING REGULATION (EU) 2022/1860
of 10 June 2022
laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (1), and in particular Article 9(6), fourth subparagraph, thereof,
Whereas:
|
(1) |
Commission Implementing Regulation (EU) No 1247/2012 (2) has been substantially amended. Since further amendments would be needed in order to improve the clarity and coherence of the legal framework, including reporting requirements in other jurisdictions, Implementing Regulation (EU) No 1247/2012 should be repealed and replaced by this Regulation. |
|
(2) |
The details reported to trade repositories by the counterparties to derivatives should be submitted in a harmonised format in order to facilitate data collection, aggregation and comparison across trade repositories. Therefore, the format for each of the fields to be reported should be prescribed and reports should be standardised by reference to an ISO standard that is widely used in the financial industry. |
|
(3) |
A number of reports may be submitted for a single derivative, for example if successive modifications are made to that derivative. In order to ensure that each report relating to a derivative, and each derivative as a whole, is properly understood, reports should be submitted in the chronological sequence in which the reported events occurred. |
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(4) |
To lessen the burden of reporting the modification of certain values, and in particular the details relating to the valuation of the contract and the margin posted or received, those details should be reported as they stand at the end of each day. |
|
(5) |
The global legal entity identifier (‘LEI’) system has now been fully implemented and each counterparty to a derivative or entity responsible for reporting should therefore only use that system to identify a legal entity in a report. For the use of the LEI system to be effective, that counterparty or that entity responsible for reporting should ensure that the reference data related to its LEI are renewed in accordance with the terms of an accredited LEI issuer, referred to as a Local Operating Unit. |
|
(6) |
Determining the counterparty side in a derivative is complex for certain products. Therefore, in order to ensure that this information is reported consistently and accurately, specific rules for the determination of the direction of the derivative should be established. |
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(7) |
In order to determine the real exposures of counterparties, competent authorities require complete and accurate information on the collateral exchanged between those counterparties. Accordingly, specific rules ensuring a consistent approach with regard to the reporting of collateralisation for a given derivative or portfolio should be determined. |
|
(8) |
The accurate specification and classification as well as precise identification of derivatives is essential for the efficient use of data and for the meaningful aggregation of data across trade repositories, and therefore contributes to the objectives of the Financial Stability Board set out in the Feasibility Study on Aggregation of OTC Derivatives Trade Repository Data published on 19 September 2014. Furthermore, the implementation of the globally agreed Unique Product Identifier (UPI) is essential for enabling the aggregation of derivative data at global level. Reporting requirements relating to the classification and identification of derivatives should therefore be set out so that this information is available in its entirety to competent authorities. |
|
(9) |
Timely generation and provision of the Unique Trade Identifier (UTI) (3) is indispensable to enable both counterparties to use the same UTI, thus ensuring the correct identification and association of the two reports pertaining to the same derivative. It is therefore necessary to establish criteria to determine the entity responsible for the generation of the UTI so as to avoid counting the same derivative twice. Furthermore, in order to secure this objective for the derivatives concluded with counterparties outside of the Union, it is important to align these rules with the globally agreed guidance on the UTI. |
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(10) |
Change of the LEI of a given entity due to a corporate event or obtaining of a LEI by a legal entity may result in a need of updating a substantial number of reports, notably all reports where such entity is identified as party involved in a derivative. For that reason, a procedure should be established to ensure that trade repositories can update the identifier of the entity in a centralised manner, thus ensuring an efficient, robust and timely process. |
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(11) |
Authorities may not be aware of certain significant reporting problems of the supervised reporting entities, for example when such problems do not result in rejections of reports or reconciliation failures. To ensure that authorities have visibility of significant reporting problems, entities responsible for reporting should notify the competent authorities of relevant errors and omission in reporting. |
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(12) |
Where a financial counterparty is solely responsible and legally liable for reporting of the details of OTC derivative contracts on behalf of a non-financial counterparty pursuant to Article 9(1a) of Regulation (EU) No 648/2012, the financial counterparty should put in place necessary arrangements to ensure that it can duly comply with this obligation without duplication of the reporting of details of derivatives. |
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(13) |
Reconciliation breaks are a clear indication of potential problems with the quality of the reported data. Therefore, the counterparties, the entities responsible for reporting and the report submitting entities, as applicable, should have in place arrangements to ensure that the reconciliation failures are resolved. |
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(14) |
In order to ensure that authorities can effectively fulfil their mandates, in particular related to financial stability, it is necessary that they have a clear and complete picture of all derivatives with outstanding risk. Only a harmonised requirement to duly update all outstanding derivatives can prevent divergences in the implementation of reporting requirements applying to outstanding derivatives and hence mitigate the risk of undermining supervisory convergence. Furthermore, ensuring that reports pertaining to outstanding derivatives are aligned in terms of data content and data quality, allows for simplification of the reporting flows thus resulting in the long term in reduction of costs for all relevant stakeholders, including trade repositories, reporting entities and authorities. Thus, to secure improvement of the functioning and reduction of the burden of reporting, in line with the objectives of the amendments of Regulation (EU) No 648/2012 introduced by Regulation (EU) 2019/834 of the European Parliament and of the Council (4), it is essential that counterparties report complete and accurate details of all outstanding derivatives in accordance with the currently applicable requirements. To mitigate the initial burden related to the update of outstanding derivatives, additional time should be granted for the counterparties to update the data pertaining to the outstanding derivatives. Furthermore, counterparties should be required to submit such update only if no modification occurs within that time that would require the counterparty to report complete and accurate details of the derivative in a report pertaining to that modification. |
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(15) |
This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Securities and Markets Authority (ESMA). |
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(16) |
ESMA has consulted the members of the European System of Central Banks before submitting the draft implementing technical standards on which this Regulation is based. ESMA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (5). |
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(17) |
To enable counterparties and trade repositories to take all necessary actions to adapt to the new requirements, the date of application of this Regulation should be deferred by eighteen months, |
HAS ADOPTED THIS REGULATION:
Article 1
Data standards and formats of derivative reports
The details of a derivative contract to be reported pursuant to Article 9 of Regulation (EU) No 648/2012 shall be provided in accordance with the standards and formats laid down in Tables 1, 2 and 3 of the Annex to this Regulation and in a common electronic and machine-readable form and in a common XML template in accordance with the ISO 20022 methodology.
Article 2
Frequency of reports
1. All reports of the details of a derivative specified in Article 1 of Commission Delegated Regulation (EU) 2022/1855 (6) shall be provided in the chronological order in which the events pertaining to the information to be reported have occurred.
2. A CCP, a financial counterparty or a non-financial counterparty as referred to in Article 10 of Regulation (EU) No 648/2012, which is a counterparty to a derivative, or the entity responsible for reporting, shall report any modification of the details relating to the collateral data in fields 1 to 29 in Table 3 of the Annex to Delegated Regulation (EU) 2022/1855 with action type ‘Margin update’, as those details stand at the end of each day, for that derivative when:
|
(a) |
the derivative has not matured and has not been the subject of a report with the action type ‘Terminate’, ‘Error’ or ‘Position component’ as referred to in field 151 in Table 2 of the Annex; or |
|
(b) |
the derivative was subject to a report with action type ‘Revive’ not followed by another report with the action type ‘Terminate’ or ‘Error’ as referred to in field 151 in Table 2 of the Annex. |
3. A counterparty to a derivative referred to in points (a) and (b) of paragraph 2 that is a CCP, a financial counterparty or a non-financial counterparty as referred to in Article 10 of Regulation (EU) No 648/2012 or the entity responsible for reporting shall report the end-of-day mark-to-market or mark-to-model valuation of the contract in fields 21 to 25 in Table 2 of the Annex to Delegated Regulation (EU) 2022/1855 with action type ‘Valuation update’, as it stands at the end of each day.
Article 3
Identification of counterparties and other entities
1. A report shall use an ISO 17442 Legal Entity Identifier (LEI) code to identify:
|
(a) |
a broking entity; |
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(b) |
a CCP; |
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(c) |
a clearing member; |
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(d) |
a counterparty which is a legal entity; |
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(e) |
a report submitting entity; |
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(f) |
an entity responsible for reporting; |
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(g) |
a post-trade risk reduction service provider. |
2. A counterparty 1 to a derivative as referred to in the field 4 in Table 1 of the Annex to Delegated Regulation (EU) 2022/1855 and the entity responsible for reporting shall ensure that the reference data related to its ISO 17442 LEI code is renewed in accordance with the terms of any of the accredited Local Operating Units of the Global LEI System when reporting the conclusion or modification of a derivative contract pursuant to the Article 9 of Regulation (EU) No 648/2012.
Article 4
Direction of the derivative
1. The counterparty side to the derivative contract referred to in fields 17 to 19 in Table 1 of the Annex shall be determined at the time of the conclusion of the derivative in accordance with paragraphs 2 to 14.
2. In the case of options and swaptions, the counterparty that holds the right to exercise the option shall be identified as the buyer and the counterparty that sells the option and receives a premium shall be identified as the seller.
3. In the case of forwards related to currencies, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
4. In the case of swaps related to currencies where multiple exchanges of currencies take place, each counterparty for both legs of the trade shall be identified as either the payer or the receiver of the leg based on the exchange of currencies that takes place closest to the expiration date.
5. In the case of forwards other than forwards relating to currencies and in the case of futures, the counterparty buying the instrument shall be identified as the buyer and the counterparty selling the instrument shall be identified as the seller.
6. In the case of financial contracts for difference and spreadbets the counterparty which goes short on the contract shall be identified as the seller, and the counterparty going long on the contract shall be identified as the buyer.
7. In the case of swaps related to dividends, the counterparty receiving the equivalent dividend amount payments shall be identified as the buyer and the counterparty paying that equivalent dividend amount payments shall be identified as the seller.
8. In the case of swaps related to securities other than swaps related to dividends, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
9. In the case of swaps related to interest rates or inflation indices, including the cross-currency swaps, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
10. With the exception of options and swaptions, in the case of derivative instruments for the transfer of credit risk, the counterparty buying the protection shall be identified as the buyer and the counterparty selling the protection shall be identified as the seller.
11. In the case of swaps related to commodities, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
12. In the case of forward-rate agreements, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
13. In the case of derivatives related to variance, volatility and correlation, the counterparty profiting from an increase in the price of the underlying shall be identified as the buyer and the counterparty profiting from a decrease in the price of the underlying shall be identified as the seller.
Article 5
Collateralisation
Reporting counterparty shall identify the type of collateralisation of the derivative contract or a portfolio of derivatives referred to in field 11 in Table 3 of the Annex as follows:
|
(a) |
as ‘uncollateralised’ where no collateral agreement exists between the counterparties or where the collateral agreement between the counterparties stipulates that the counterparties post neither initial margin nor variation margin with respect to the derivative or a portfolio of derivatives; |
|
(b) |
as ‘partially collateralised: counterparty 1 only’ where the collateral agreement between the counterparties stipulates that the reporting counterparty only posts regularly variation margins and that the other counterparty does not post any margin with respect to the derivative or a portfolio of derivatives; |
|
(c) |
as ‘partially collateralised: counterparty 2 only’ where the collateral agreement between the counterparties stipulates that the other counterparty only posts regularly variation margin and that the reporting counterparty does not post any margin with respect to the derivative or a portfolio of derivatives; |
|
(d) |
as ‘partially collateralised’ where the collateral agreement between the counterparties stipulates that both counterparties only post regularly variation margin with respect to the derivative or a portfolio of derivatives; |
|
(e) |
as ‘one-way collateralised: counterparty 1 only’ where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margins and that the other counterparty does not post any margins with respect to the derivative or a portfolio of derivatives; |
|
(f) |
as ‘one-way collateralised: counterparty 2 only’ where the collateral agreement between the counterparties stipulates that the other counterparty posts the initial margin and regularly posts variation margins and that the reporting counterparty does not post any margins with respect to the derivative or a portfolio of derivatives; |
|
(g) |
as ‘one-way/partially collateralised: counterparty 1’ where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margin and that the other counterparty regularly posts only variation margin with respect to the derivative or a portfolio of derivatives; |
|
(h) |
as ‘one-way/partially collateralised: counterparty 2’ where the collateral agreement between the counterparties stipulates that the other counterparty posts the initial margin and regularly posts variation margin and that the reporting counterparty regularly posts only variation margin with respect to the derivative or a portfolio of derivatives |
|
(i) |
as ‘fully collateralised’ where the collateral agreement between the counterparties stipulates that both counterparties post initial margin and regularly post variation margins with respect to the derivative with respect to the derivative or a portfolio of derivatives. |
Article 6
Specification, identification, and classification of derivatives
1. A report shall specify a derivative on the basis of contract type and asset class in accordance with fields 10 and 11 in Table 2 of the Annex.
The report shall specify the asset class most closely resembling the derivative where derivatives do not belong to one of the classes of derivatives referred to in field 11 in Table 2 of the Annex. Both counterparties shall specify the same asset class.
2. A derivative shall be identified in field 7 in Table 2 of the Annex using an ISO 6166 International Securities Identification Number (ISIN) code in either of the following cases:
|
(a) |
it is admitted to trading or traded on a trading venue; |
|
(b) |
it is traded on a systematic internaliser and its underlying is admitted to trading or traded on a trading venue or is an index or basket composed of instruments traded on a trading venue. |
3. A derivative other than the derivative referred to in paragraph 2 shall be identified in field 8 of Table 2 of the Annex using an ISO 4914 Unique Product Identifier (UPI) code.
4. The reporting counterparty shall classify the derivative in field 9 in Table 2 of the Annex using an ISO 10962 Classification of Financial Instrument (CFI) code.
Article 7
Unique Trade Identifier
1. The counterparties shall report derivatives using the UTI generated in accordance with paragraphs 2, 3 and 5.
2. A derivative, reported either at transaction or position level, shall be identified using a ISO 23897 Unique Transaction Identifier (UTI) in field 1 in Table 2 of the Annex. The UTI shall be composed by the LEI of the entity which generated that UTI followed by a code containing up to 32 characters which is unique at the level of the generating entity.
3. The counterparties shall determine the entity responsible for generating the UTI in accordance with the following:
|
(a) |
for cleared derivatives other than derivatives between two CCPs, the UTI shall be generated at the point of clearing by the CCP for the clearing member. A different UTI shall be generated by the clearing member for its counterparty for a trade in which the CCP is not a counterparty; |
|
(b) |
for centrally-executed but not centrally-cleared derivatives, the UTI shall be generated by the venue of execution for its member; |
|
(c) |
for derivatives other than those referred to in points (a) and (b), where either counterparty is subject to the reporting requirements in a third country, the UTI shall be generated pursuant to the rules of the jurisdiction of the counterparty that must comply first with those reporting requirements. Where the counterparty subject to reporting under Article 9 of Regulation (EU) No 648/2012 must comply first with the reporting requirements, the entity responsible for generating the UTI shall be as follows:
Where the applicable laws of the relevant third country provide for the same reporting deadline as the one applicable to the counterparty subject to reporting under Article 9 of Regulation (EU) No 648/2012 pursuant to first subparagraph of Article 9(1) of Regulation (EU) No 648/2012, the counterparties shall agree on the entity responsible for generating the UTI. Where the counterparties fail to agree, and the derivative was centrally-confirmed by electronic means, the UTI shall be generated by the trade confirmation platform at the point of confirmation. If the UTI cannot be generated by the trade confirmation platform at the point of confirmation, and the details of the derivative have to be reported to a single trade repository, that trade repository shall be responsible for generating the UTI. If the UTI cannot be generated by the trade repository to which the details of the derivative have been reported, the counterparty whose LEI is first when sorting the identifiers of the counterparties with the characters reversed shall be responsible for the generation; |
|
(d) |
for derivatives other than those referred to in points (a), (b) and (c), that were centrally-confirmed by electronic means, the UTI shall be generated by the trade confirmation platform at the point of confirmation; |
|
(e) |
for all derivatives other than those referred to in points (a) to (d), the following shall apply:
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4. The counterparty generating the UTI shall communicate the UTI to the other counterparty in a timely manner and no later than 10:00 a.m. Coordinated Universal Time of the working day following the date of the conclusion of the derivative.
5. Notwithstanding paragraph 3, the generation of the UTI may be delegated to an entity different from that determined in accordance with paragraph 3. The entity generating the UTI shall comply with the requirements set out in paragraphs 2 and 4.
Article 8
Reporting LEI changes and update of identification code to LEI
1. Where the counterparty identified pursuant to Article 3 in a derivative report undergoes a corporate restructuring event resulting in a change of its LEI, that counterparty or the counterparty to which the new LEI pertains, or the entity responsible for reporting on behalf of either of those counterparties pursuant to Article 9(1a) to (1d) of Regulation (EU) No 648/2012, or the entity to which either of the counterparties delegated the reporting pursuant to Article 9(1f) of Regulation (EU) No 648/2012, shall notify the trade repository to which the counterparty that underwent a corporate restructuring event reported its derivatives about the change and request an update of the LEI in the derivatives concerned referred to in points (a) and (b) of Article 2(2) at the date of the corporate restructuring event resulting in a change of LEI or contracts reported after that date.
2. Where possible, the request to update of the identifier in the derivatives referred to in points (a) and (b) of Article 2(2) shall be made at least 30 calendar days prior to the corporate restructuring event resulting in a change of LEI. If the entity referred to in paragraph 1 cannot provide this information to the trade repository 30 calendar days prior to the corporate restructuring event resulting in a change of LEI, it shall notify the trade repository as soon as possible.
3. The request referred to in the paragraph 1 shall contain at least the following:
|
(a) |
the LEI of each of the counterparties participating in the corporate restructuring event; |
|
(b) |
the LEI of the new counterparty; |
|
(c) |
the date on which the change of LEI takes place or has taken place; |
|
(d) |
the UTIs of the derivatives concerned in the case where the corporate restructuring event affects only a subset of derivatives referred to in points (a) and (b) of Article 2(2); |
|
(e) |
evidence that the corporate restructuring event has taken or is to take place, subject to the provisions concerning the public disclosure of inside information in Article 17 of Regulation (EU) 596/2014. |
4. When a counterparty notifies by mistake a trade repository about a change in its LEI, it shall follow the procedure to request update of its LEI in accordance with paragraph 1, 2 and 3.
5. Where a counterparty previously identified with identifier other than LEI obtains a LEI, the procedures under paragraphs 1, 2 and 3 apply.
6. Where a change in LEI concerns a counterparty established in a third country, its reporting counterparty established in the Union or the entity responsible for reporting pursuant to Article 9(1a) to (1d) of Regulation (EU) No 648/2012 or the entity to which the reporting counterparty established in the Union delegated the reporting shall initiate the procedure under paragraphs 1, 2 and 3.
7. Where a counterparty established in a third country previously identified with identifier other than LEI obtains a LEI, each reporting counterparty established in the Union affected by this change or the entity responsible for reporting pursuant to Article 9(1a) to (1d) of Regulation (EU) No 648/2012 or the entity to which the reporting counterparty established in the Union delegated the reporting shall request the update of the identifier of the counterparty established in a third country to its respective trade repository.
8. Where the change in LEI concerns an entity referred to in points (a), (b), (c), (e) or (g) of Article 3(1), that is not a counterparty to the derivative, counterparty 1 or the entity responsible for reporting shall confirm to the trade repository the UTIs of the derivatives concerned referred to in points (a) and (b) of Article 2(2). Where counterparty 1 and the entity responsible for reporting do not confirm to the trade repository the UTIs of the derivatives referred to in the points (a) and (b) of Article 2(2) concerned by the change in LEI, counterparty 1 or the entity responsible for reporting shall update the LEI of the concerned entity in all reports pertaining to the derivatives concerned referred to in the points (a) and (b) of Article 2(2) by sending a report with action type ‘Modify’.
Article 9
Methods and arrangements for reporting
1. The entity responsible for reporting shall notify its competent authority and, if different, the competent authority of the reporting counterparty of any of the following instances:
|
(a) |
any misreporting caused by flaws in the reporting systems that would affect a significant number of reports; |
|
(b) |
any reporting obstacle preventing the report submitting entity from sending reports to a trade repository within the deadline referred to in Article 9(1) of Regulation (EU) No 648/2012; |
|
(c) |
any significant issue resulting in reporting errors that would not cause rejection by a trade repository in accordance with Commission Delegated Regulation (EU) 2022/1858 (7). |
The entity responsible for reporting shall promptly notify any of those instances, as soon as it becomes aware of them.
The notification shall indicate at least the type of the error or omission, the date of the occurrence, scope of the affected reports, reasons for the errors or omissions, steps taken to resolve the issue and the timeline for resolution of the issue and corrections.
2. Where a financial counterparty is solely responsible and legally liable for reporting of the details of OTC derivative contracts on behalf of a non-financial counterparty pursuant to Article 9(1a) of Regulation (EU) No 648/2012, it shall put in place the following arrangements:
|
(a) |
arrangements for the timely provision by the non-financial counterparty of the following details of the OTC derivative contracts that the financial counterparty cannot be reasonably expected to possess and where those are unknown by that financial counterparty:
|
|
(b) |
arrangements for timely information by the non-financial counterparty to the financial counterparty of any change in its legal obligations pursuant to Article 10(1) of Regulation (EU) No 648/2012; |
|
(c) |
arrangements for duly renewal by the non-financial counterparty of its LEI in accordance with the terms of any of the accredited Local Operating Units of the Global LEI System; |
|
(d) |
arrangements for timely notification by the non-financial counterparty to the financial counterparty of its decision to start or to cease reporting the details of OTC derivative contracts concluded with the financial counterparty. Such arrangements shall at least ensure that the notification is done in writing or by other equivalent electronic means at least 10 working days before the date on which the non-financial counterparty wants to start or to cease reporting. |
3. The counterparties, the entities responsible for reporting and the report submitting entities, as applicable, shall have in place arrangements which ensure that the feedback on the reconciliation failures provided pursuant to Article 3 of Delegated Regulation (EU) 2022/1858 is taken into account.
Article 10
The date by which derivative contracts are to be reported
A counterparty to a derivative that fulfils the conditions set out in point (a) or (b) of Article 2(2) on XX.XX.20XX or the entity responsible for reporting shall report all details of that derivative required in accordance with the Annex by submitting a report with event type ‘Update’ within 180 calendar days of the [PO please insert date of application of the ITS], unless they have submitted a report with the action type ‘Modify’ or ‘Correct’ for that derivative within this period.
Article 11
Repeal
Implementing Regulation (EU) No 1247/2012 is repealed.
References to the repealed Regulation shall be construed as references to this Regulation.
Article 12
Entry into force and application
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 29 April 2024.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 10 June 2022.
For the Commission
The President
Ursula VON DER LEYEN
(1) OJ L 201, 27.7.2012, p. 1.
(2) 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 (OJ L 352, 21.12.2012, p. 20).
(3) The term ‘unique trade identifier (UTI)’ used in Article 9(6) of Regulation (EU) No 648/2012 corresponds to that of Unique Transaction Identifier (UTI) used in the standard ISO 23897.
(4) Regulation (EU) 2019/834 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 648/2012 as regards the clearing obligation, the suspension of the clearing obligation, the reporting requirements, the risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty, the registration and supervision of trade repositories and the requirements for trade repositories (OJ L 141, 28.5.2019, p. 42)
(5) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84)
(6) 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 (See page 1 of this Official Journal).
(7) Commission Delegated Regulation (EU) 2022/1858 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 procedures for the reconciliation of data between trade repositories and the procedures to be applied by the trade repository to verify the compliance by the reporting counterparty or submitting entity with the reporting requirements and to verify the completeness and correctness of the data reported (See page 46 of this Official Journal).
ANNEX
Table 1
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|
Section |
Field |
Format |
||||||||||||||||||||||||||||||||||||||||||
|
1 |
Parties to the derivative |
Reporting timestamp |
ISO 8601 date in the Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ |
||||||||||||||||||||||||||||||||||||||||||
|
2 |
Parties to the derivative |
Report submitting entity ID |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
||||||||||||||||||||||||||||||||||||||||||
|
3 |
Parties to the derivative |
Entity responsible for reporting |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System. |
||||||||||||||||||||||||||||||||||||||||||
|
4 |
Parties to the derivative |
Counterparty 1 (Reporting counterparty) |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation . The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System. |
||||||||||||||||||||||||||||||||||||||||||
|
5 |
Parties to the derivative |
Nature of counterparty 1 |
F = Financial Counterparty N = Non-Financial Counterparty C = Central Counterparty O = Other |
||||||||||||||||||||||||||||||||||||||||||
|
6 |
Parties to the derivative |
Corporate sector of counterparty 1 |
Taxonomy for Financial Counterparties: ‘INVF’ - Investment firm authorised in accordance with Directive 2014/65/EU of the European Parliament and of the Council (1); ‘CDTI’ - Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council (2); ‘INUN’ - an insurance undertaking or reinsurance undertaking authorised in accordance with Directive 2009/138/EC of the European Parliament and of the Council (3); ‘UCIT’ - a UCITS and, where relevant, its management company, authorised in accordance with Directive 2009/65/EC of the European Parliament and of the Council (4), unless that UCITS is set up exclusively for the purpose of serving one or more employee share purchase plans; ‘ORPI’ - an institution for occupational retirement provision (IORP), as defined in point (1) of Article 6 of Directive (EU) 2016/2341 of the European Parliament and of the Council (5); ‘AIFD’ - an alternative investment fund (AIF), as defined in point (a) of Article 4(1) of Directive 2011/61/EU of the European Parliament and of the Council (6), which is either established in the Union or managed by an alternative investment fund manager (AIFM) authorised or registered in accordance with that Directive, unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans, or unless that AIF is a securitisation special purpose entity as referred to in point (g) of Article 2(3) of Directive 2011/61/EU, and, where relevant, its AIFM established in the Union; ‘CSDS’ - a central securities depository authorised in accordance with Regulation (EU) No 909/2014 of the European Parliament and of the Council (7); Taxonomy for Non-Financial Counterparties. The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council (8):
Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities. Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012 (9). |
||||||||||||||||||||||||||||||||||||||||||
|
7 |
Parties to the derivative |
Clearing threshold of counterparty 1 |
Boolean value: TRUE = Above the threshold FALSE = Below the threshold |
||||||||||||||||||||||||||||||||||||||||||
|
8 |
Parties to the derivative |
Counterparty 2 identifier type |
Boolean value:
|
||||||||||||||||||||||||||||||||||||||||||
|
9 |
Parties to the derivative |
Counterparty 2 |
|
||||||||||||||||||||||||||||||||||||||||||
|
10 |
Parties to the derivative |
Country of counterparty 2 |
ISO 3166 Country Code - 2 character country code |
||||||||||||||||||||||||||||||||||||||||||
|
11 |
Parties to the derivative |
Nature of counterparty 2 |
F = Financial Counterparty N = Non-Financial Counterparty C = Central Counterparty O = Other |
||||||||||||||||||||||||||||||||||||||||||
|
12 |
Parties to the derivative |
Corporate sector of counterparty 2 |
Taxonomy for Financial Counterparties: ‘INVF’ - Investment firm authorised in accordance with Directive 2014/65/EU; ‘CDTI’ - Credit institution authorised in accordance with Directive 2013/36/EU; ‘INUN’ - an insurance undertaking or reinsurance undertaking authorised in accordance with Directive 2009/138/EC; ‘UCIT’ - a UCITS and, where relevant, its management company, authorised in accordance with Directive 2009/65/EC, unless that UCITS is set up exclusively for the purpose of serving one or more employee share purchase plans; ‘ORPI’ - an institution for occupational retirement provision (IORP), as defined in point (1) of Article 6 of Directive (EU) 2016/2341; ‘AIFD’ - an alternative investment fund (AIF), as defined in point (a) of Article 4(1) of Directive 2011/61/EU, which is either established in the Union or managed by an alternative investment fund manager (AIFM) authorised or registered in accordance with that Directive, unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans, or unless that AIF is a securitisation special purpose entity as referred to in point (g) of Article 2(3) of Directive 2011/61/EU, and, where relevant, its AIFM established in the Union; ‘CSDS’ - a central securities depository authorised in accordance with Regulation (EU) No 909/2014; Taxonomy for Non-Financial Counterparties. The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006:
Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities. Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012. |
||||||||||||||||||||||||||||||||||||||||||
|
13 |
Parties to the derivative |
Clearing threshold of counterparty 2 |
Boolean value: TRUE = Above the threshold FALSE = Below the threshold |
||||||||||||||||||||||||||||||||||||||||||
|
14 |
Parties to the derivative |
Reporting obligation of counterparty 2 |
Boolean value:
|
||||||||||||||||||||||||||||||||||||||||||
|
15 |
Parties to the derivative |
Broker ID |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
||||||||||||||||||||||||||||||||||||||||||
|
16 |
Parties to the derivative |
Clearing member |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation . |
||||||||||||||||||||||||||||||||||||||||||
|
17 |
Parties to the derivative |
Direction |
4 alphabetic characters: BYER = buyer SLLR = seller Populated in accordance with Article 4 of this Regulation |
||||||||||||||||||||||||||||||||||||||||||
|
18 |
Parties to the derivative |
Direction of leg 1 |
4 alphabetic characters: MAKE = payer TAKE = receiver Populated in accordance with Article 4 of this Regulation |
||||||||||||||||||||||||||||||||||||||||||
|
19 |
Parties to the derivative |
Direction of leg 2 |
4 alphabetic characters: MAKE = payer TAKE = receiver Populated in accordance with Article 4 of this Regulation |
||||||||||||||||||||||||||||||||||||||||||
|
20 |
Parties to the derivative |
Directly linked to commercial activity or treasury financing |
Boolean value: TRUE = Yes FALSE= No |
Table 2
|
|
Section |
Field |
Format |
||||||
|
1 |
Section 2a - Identifiers and links |
UTI |
ISO 23897 UTI. Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed |
||||||
|
2 |
Section 2a - Identifiers and links |
Report tracking number |
An alphanumeric field up to 52 characters |
||||||
|
3 |
Section 2a - Identifiers and links |
Prior UTI (for one-to-one and one-to-many relations between transactions) |
Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed |
||||||
|
4 |
Section 2a - Identifiers and links |
Subsequent position UTI |
Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed |
||||||
|
5 |
Section 2a - Identifiers and links |
Post Trade Risk Reduction (PTRR) ID |
Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed. The first 20 characters represent the LEI of the compression provider |
||||||
|
6 |
Section 2a - Identifiers and links |
Package identifier |
Up to 35 alphanumeric characters. |
||||||
|
7 |
Section 2b – Contract information |
International Securities Identification Number (ISIN) |
ISO 6166 ISIN, 12 character alphanumeric code |
||||||
|
8 |
Section 2b – Contract information |
Unique product identifier (UPI) |
ISO 4914 UPI, 12 character alphanumeric code |
||||||
|
9 |
Section 2b – Contract information |
Product classification |
ISO 10962 CFI, 6 characters alphabetic code |
||||||
|
10 |
Section 2b – Contract information |
Contract type |
CFDS = Financial contracts for difference FRAS = Forward rate agreements FUTR = Futures FORW = Forwards OPTN = Option SPDB = Spreadbet SWAP = Swap SWPT = Swaption OTHR = Other |
||||||
|
11 |
Section 2b – Contract information |
Asset class |
COMM = Commodity and emission allowances CRDT = Credit CURR = Currency EQUI = Equity INTR = Interest Rate |
||||||
|
12 |
Section 2b – Contract information |
Derivative based on crypto-assets |
Boolean value:
|
||||||
|
13 |
Section 2b – Contract information |
Underlying identification type |
1 alphabetic character: I = ISIN B = Basket X = Index |
||||||
|
14 |
Section 2b – Contract information |
Underlying identification |
For underlying identification type I: ISO 6166 ISIN, 12 character alphanumeric code For underlying identification type X: ISO 6166 ISIN if available, 12 character alphanumeric code |
||||||
|
15 |
Section 2b – Contract information |
Indicator of the underlying index |
The indication of the floating rate index. 4 alphabetic characters: ESTR = €STR SONA = SONIA SOFR = SOFR EONA = EONIA 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 EFFR = Effective Federal Funds Rate OBFR = Overnight Bank Funding Rate CZNA = CZEONIA |
||||||
|
16 |
Section 2b – Contract information |
Name of the underlying index |
Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index. |
||||||
|
17 |
Section 2b – Contract information |
Custom basket code |
Up to 72 alphanumeric characters composed of LEI of the basket structurer followed by up to 52 alphanumeric characters. |
||||||
|
18 |
Section 2b – Contract information |
Identifier of the basket’s constituents |
For underlying identification type B: All individual components identified through ISO 6166 ISIN |
||||||
|
19 |
Section 2b – Contract information |
Settlement currency 1 |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
20 |
Section 2b – Contract information |
Settlement currency 2 |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
21 |
Section 2c – Valuation |
Valuation amount |
Positive and negative value, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
||||||
|
22 |
Section 2c – Valuation |
Valuation currency |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
23 |
Section 2c – Valuation |
Valuation timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
||||||
|
24 |
Section 2c – Valuation |
Valuation method |
4 alphabetic characters: MTMA = Mark-to-market MTMO = Mark-to-model CCPV = CCP’s valuation. |
||||||
|
25 |
Section 2c – Valuation |
Delta |
Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. Any value between -1 and 1 (including -1 and 1) is allowed. |
||||||
|
26 |
Section 2d - Collateral |
Collateral portfolio indicator |
Boolean value: TRUE = collateralised on a portfolio basis FALSE = not part of a portfolio |
||||||
|
27 |
Section 2d - Collateral |
Collateral portfolio code |
Up to 52 alphanumeric characters Special characters are not allowed |
||||||
|
28 |
Section 2e - Risk mitigation / Reporting |
Confirmation timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
||||||
|
29 |
Section 2e - Risk mitigation / Reporting |
Confirmed |
4 alphabetic characters:
|
||||||
|
30 |
Section 2f - Clearing |
Clearing obligation |
TRUE = the contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation and both counterparties to the contract are subject to the clearing obligation FLSE = the contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation but one or both counterparties to the contract are not subject to the clearing obligation or value ‘UKWN’- the contract does not belong to a class of OTC derivatives that has been declared subject to the clearing obligation |
||||||
|
31 |
Section 2f - Clearing |
Cleared |
1 alphabetic character: Y= yes, centrally cleared, for beta and gamma transactions. N= no, not centrally cleared. |
||||||
|
32 |
Section 2f - Clearing |
Clearing timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
||||||
|
33 |
Section 2f - Clearing |
Central counterparty |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
||||||
|
34 |
Section 2g - Details on the transaction |
Master Agreement type |
4 alphabetic characters: ‘ISDA’ - ISDA ‘CDEA’ - FIA-ISDA Cleared Derivatives Execution Agreement ‘EUMA’ - European Master Agreement ‘FPCA’ - FOA Professional Client Agreement ‘FMAT’ - FBF Master Agreement relating to transactions on forward financial instruments ‘DERV’ - Deutscher Rahmenvertrag für Finanztermingeschäfte (DRV) ‘CMOP’ - Contrato Marco de Operaciones Financieras ‘CHMA’ - Swiss Master Agreement ‘IDMA’ - Islamic Derivative Master Agreement ‘EFMA’ - EFET Master Agreement ‘GMRA’ - GMRA ‘GMSL’ - GMSLA ‘BIAG’ - bilateral agreement Or ‘OTHR’ if the master agreement type is not included in the above list |
||||||
|
35 |
Section 2g - Details on the transaction |
Other master agreement type |
Up to 50 alphanumeric characters. |
||||||
|
36 |
Section 2g - Details on the transaction |
Master Agreement version |
ISO 8601 date in the format YYYY |
||||||
|
37 |
Section 2g - Details on the transaction |
Intragroup |
Boolean value: TRUE = contract entered into as an intragroup transaction FALSE = contract not entered into as an intragroup transaction |
||||||
|
38 |
Section 2g - Details on the transaction |
PTRR |
Boolean value: TRUE = contract results from a PTRR event FALSE = contract does not result from a PTRR event |
||||||
|
39 |
Section 2g - Details on the transaction |
Type of PTRR technique |
4 alphabetic characters: ‘PWOS’- Portfolio Compression without a third-party service provider ‘PWAS’ - Portfolio Compression with a third-party service provider or CCP ‘PRBM’ - Portfolio Rebalancing/Margin management OTHR - other |
||||||
|
40 |
Section 2g - Details on the transaction |
PTRR service provider |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
||||||
|
41 |
Section 2g - Details on the transaction |
Venue of execution |
ISO 10383 Market Identifier Code (MIC), 4 alphanumeric characters |
||||||
|
42 |
Section 2c - Details on the transaction |
Execution timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
||||||
|
43 |
Section 2c - Details on the transaction |
Effective date |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
44 |
Section 2c - Details on the transaction |
Expiration date |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
45 |
Section 2c - Details on the transaction |
Early termination date |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
46 |
Section 2c - Details on the transaction |
Final contractual settlement date |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
47 |
Section 2c - Details on the transaction |
Delivery type |
4 alphabetic characters: CASH = Cash PHYS = Physical OPTL = Optional for counterparty or when determined by a third party |
||||||
|
48 |
Section 2g - Details on the transaction |
Price |
|
||||||
|
49 |
Section 2g - Details on the transaction |
Price currency |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
|
Fields 50-52 are repeatable and shall be populated in the case of derivatives involving price schedules |
|
|
||||||
|
50 |
Section 2g - Details on the transaction |
Unadjusted effective date of the price |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
51 |
Section 2g - Details on the transaction |
Unadjusted end date of the price |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
52 |
Section 2g - Details on the transaction |
Price in effect between the unadjusted effective date and the end date |
|
||||||
|
53 |
Section 2g - Details on the transaction |
Package transaction price |
|
||||||
|
54 |
Section 2g - Details on the transaction |
Package transaction price currency |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
55 |
Section 2g - Details on the transaction |
Notional amount of leg 1 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
56 |
Section 2g - Details on the transaction |
Notional currency 1 |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
|
Fields 57-59 are repeatable and shall be populated in the case of derivatives involving notional amount schedules |
|
|
||||||
|
57 |
Section 2g - Details on the transaction |
Effective date of the notional amount of leg 1 |
ISO 8601 date in the UTC format YYYY-MM-DD |
||||||
|
58 |
Section 2g - Details on the transaction |
End date of the notional amount of leg 1 |
ISO 8601 date in the UTC format YYYY-MM-DD |
||||||
|
59 |
Section 2g - Details on the transaction |
Notional amount in effect on associated effective date of leg 1 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
60 |
Section 2g - Details on the transaction |
Total notional quantity of leg 1 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
|
Fields 61-63 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules |
|
|
||||||
|
61 |
Section 2g - Details on the transaction |
Effective date of the notional quantity of leg 1 |
ISO 8601 date in the UTC format YYYY-MM-DD |
||||||
|
62 |
Section 2g - Details on the transaction |
End date of the notional quantity of leg 1 |
ISO 8601 date in the UTC format YYYY-MM-DD |
||||||
|
63 |
Section 2g - Details on the transaction |
Notional quantity in effect on associated effective date of leg 1 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
64 |
Section 2g - Details on the transaction |
Notional amount of leg 2 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
65 |
Section 2g - Details on the transaction |
Notional currency 2 |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
|
Fields 66-68 are repeatable and shall be populated in the case of derivatives involving notional amount schedules |
|
|
||||||
|
66 |
Section 2g - Details on the transaction |
Effective date of the notional amount of leg 2 |
ISO 8601 date in the UTC format YYYY-MM-DD |
||||||
|
67 |
Section 2g - Details on the transaction |
End date of the notional amount of leg 2 |
ISO 8601 date in the UTC format YYYY-MM-DD |
||||||
|
68 |
Section 2g - Details on the transaction |
Notional amount in effect on associated effective date of leg 2 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
69 |
Section 2g - Details on the transaction |
Total notional quantity of leg 2 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
|
Fields 70-72 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules |
|
|
||||||
|
70 |
Section 2g - Details on the transaction |
Effective date of the notional quantity of leg 2 |
ISO 8601 date in the UTC format YYYY-MM-DD |
||||||
|
71 |
Section 2g - Details on the transaction |
End date of the notional quantity of leg 2 |
ISO 8601 date in the UTC format YYYY-MM-DD |
||||||
|
72 |
Section 2g - Details on the transaction |
Notional quantity in effect on associated effective date of leg 2 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
|
Section of fields 73-78 is repeatable |
|
|
||||||
|
73 |
Section 2g - Details on the transaction |
Other payment type |
4 alphabetic characters: UFRO= Upfront Payment, i.e. the initial payment made by one of the counterparties either to bring a transaction to fair value or for any other reason that may be the cause of an off-market transaction UWIN = Unwind or Full termination, i.e. the final settlement payment made when a transaction is unwound prior to its end date; Payments that may result due to full termination of derivative transaction(s) PEXH = Principal Exchange, i.e. Exchange of notional values for cross-currency swaps |
||||||
|
74 |
Section 2g - Details on the transaction |
Other payment amount |
Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. Any value greater than or equal to zero is allowed. |
||||||
|
75 |
Section 2g - Details on the transaction |
Other payment currency |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
76 |
Section 2g - Details on the transaction |
Other payment date |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
77 |
Section 2g - Details on the transaction |
Other payment payer |
|
||||||
|
78 |
Section 2g – Details on the transaction |
Other payment receiver |
|
||||||
|
79 |
Section 2h - Interest Rates |
Fixed rate of leg 1 or coupon |
Positive and negative values, up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
||||||
|
80 |
Section 2h - Interest Rates |
Fixed rate or coupon day count convention leg 1 |
4 alphanumeric characters: A001 = IC30360ISDAor30360AmericanBasicRule A002 = IC30365 A003 = IC30Actual A004 = Actual360 A005 = Actual365Fixed A006 = ActualActualICMA A007 = IC30E360orEuroBondBasismodel1 A008 = ActualActualISDA A009 = Actual365LorActuActubasisRule A010 = ActualActualAFB A011 = IC30360ICMAor30360basicrule A012 = IC30E2360orEurobondbasismodel2 A013 = IC30E3360orEurobondbasismodel3 A014 = Actual365NL A015 = ActualActualUltimo A016 = IC30EPlus360 A017 = Actual364 A018 = Business252 A019 = Actual360NL A020 = 1/1 NARR = Narrative |
||||||
|
81 |
Section 2h - Interest Rates |
Fixed rate or coupon payment frequency period leg 1 |
4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
||||||
|
82 |
Section 2h - Interest Rates |
Fixed rate or coupon payment frequency period multiplier leg 1 |
Any integer value greater than or equal to zero, up to 3 numeric characters. |
||||||
|
83 |
Section 2h - Interest Rates |
Identifier of the floating rate of leg 1 |
If the floating rate has an ISIN, the ISIN code for that rate. |
||||||
|
84 |
Section 2h - Interest Rates |
Indicator of the floating rate of leg 1 |
The indication of the floating rate index. 4 alphabetic characters: ESTR = €STR SONA = SONIA SOFR = SOFR EONA = EONIA 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 EFFR = Effective Federal Funds Rate OBFR = Overnight Bank Funding Rate CZNA = CZEONIA |
||||||
|
85 |
Section 2h - Interest Rates |
Name of the floating rate of leg 1 |
Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index. |
||||||
|
86 |
Section 2h - Interest Rates |
Floating rate day count convention of leg 1 |
4 alphanumeric characters: A001 = IC30360ISDAor30360AmericanBasicRule A002 = IC30365 A003 = IC30Actual A004 = Actual360 A005 = Actual365Fixed A006 = ActualActualICMA A007 = IC30E360orEuroBondBasismodel1 A008 = ActualActualISDA A009 = Actual365LorActuActubasisRule A010 = ActualActualAFB A011 = IC30360ICMAor30360basicrule A012 = IC30E2360orEurobondbasismodel2 A013 = IC30E3360orEurobondbasismodel3 A014 = Actual365NL A015 = ActualActualUltimo A016 = IC30EPlus360 A017 = Actual364 A018 = Business252 A019 = Actual360NL A020 = 1/1 NARR = Narrative |
||||||
|
87 |
Section 2h - Interest Rates |
Floating rate payment frequency period of leg 1 |
4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
||||||
|
88 |
Section 2h - Interest Rates |
Floating rate payment frequency period multiplier of leg 1 |
Any integer value greater than or equal to zero, up to 3 numeric characters. |
||||||
|
89 |
Section 2h - Interest Rates |
Floating rate reference period of leg 1 – time period |
4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
||||||
|
90 |
Section 2h - Interest Rates |
Floating rate reference period of leg 1 – multiplier |
Any integer value greater than or equal to zero, up to 3 numeric characters. |
||||||
|
91 |
Section 2h - Interest Rates |
Floating rate reset frequency period of leg 1 |
4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
||||||
|
92 |
Section 2h - Interest Rates |
Floating rate reset frequency multiplier of leg 1 |
Any integer value greater than or equal to zero, up to 3 numeric characters. |
||||||
|
93 |
Section 2h - Interest Rates |
Spread of leg 1 |
|
||||||
|
94 |
Section 2h - Interest Rates |
Spread currency of leg 1 |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
95 |
Section 2h - Interest Rates |
Fixed rate of leg 2 |
Positive and negative values, up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
||||||
|
96 |
Section 2h - Interest Rates |
Fixed rate day count convention leg 2 |
4 alphanumeric characters: A001 = IC30360ISDAor30360AmericanBasicRule A002 = IC30365 A003 = IC30Actual A004 = Actual360 A005 = Actual365Fixed A006 = ActualActualICMA A007 = IC30E360orEuroBondBasismodel1 A008 = ActualActualISDA A009 = Actual365LorActuActubasisRule A010 = ActualActualAFB A011 = IC30360ICMAor30360basicrule A012 = IC30E2360orEurobondbasismodel2 A013 = IC30E3360orEurobondbasismodel3 A014 = Actual365NL A015 = ActualActualUltimo A016 = IC30EPlus360 A017 = Actual364 A018 = Business252 A019 = Actual360NL A020 = 1/1 NARR = Narrative |
||||||
|
97 |
Section 2h - Interest Rates |
Fixed rate payment frequency period leg 2 |
4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
||||||
|
98 |
Section 2h - Interest Rates |
Fixed rate payment frequency period multiplier leg 2 |
Any integer value greater than or equal to zero, up to 3 numeric characters. |
||||||
|
99 |
Section 2h - Interest Rates |
Identifier of the floating rate of leg 2 |
If the floating rate has an ISIN, the ISIN code for that rate. |
||||||
|
100 |
Section 2h - Interest Rates |
Indicator of the floating rate of leg 2 |
The indication of the floating rate index. 4 alphabetic characters: ESTR = €STR SONA = SONIA SOFR = SOFR EONA = EONIA 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 EFFR = Effective Federal Funds Rate OBFR = Overnight Bank Funding Rate CZNA = CZEONIA |
||||||
|
101 |
Section 2h - Interest Rates |
Name of the floating rate of leg 2 |
Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index. |
||||||
|
102 |
Section 2h - Interest Rates |
Floating rate day count convention of leg 2 |
4 alphanumeric characters: A001 = IC30360ISDAor30360AmericanBasicRule A002 = IC30365 A003 = IC30Actual A004 = Actual360 A005 = Actual365Fixed A006 = ActualActualICMA A007 = IC30E360orEuroBondBasismodel1 A008 = ActualActualISDA A009 = Actual365LorActuActubasisRule A010 = ActualActualAFB A011 = IC30360ICMAor30360basicrule A012 = IC30E2360orEurobondbasismodel2 A013 = IC30E3360orEurobondbasismodel3 A014 = Actual365NL A015 = ActualActualUltimo A016 = IC30EPlus360 A017 = Actual364 A018 = Business252 A019 = Actual360NL A020 = 1/1 NARR = Narrative |
||||||
|
103 |
Section 2h - Interest Rates |
Floating rate payment frequency period of leg 2 |
4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
||||||
|
104 |
Section 2h - Interest Rates |
Floating rate payment frequency period multiplier of leg 2 |
Any integer value greater than or equal to zero, up to 3 numeric characters. |
||||||
|
105 |
Section 2h - Interest Rates |
Floating rate reference period of leg 2 – time period |
4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
||||||
|
106 |
Section 2h - Interest Rates |
Floating rate reference period of leg 2 – multiplier |
Any integer value greater than or equal to zero, up to 3 numeric characters. |
||||||
|
107 |
Section 2h - Interest Rates |
Floating rate reset frequency period of leg 2 |
4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
||||||
|
108 |
Section 2h - Interest Rates |
Floating rate reset frequency multiplier of leg 2 |
Any integer value greater than or equal to zero, up to 3 numeric characters. |
||||||
|
109 |
Section 2h - Interest Rates |
Spread of leg 2 |
|
||||||
|
110 |
Section 2h - Interest Rates |
Spread currency of leg 2 |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
111 |
Section 2h - Interest Rates |
Package transaction spread |
|
||||||
|
112 |
Section 2h - Interest Rates |
Package transaction spread currency |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
113 |
Section 2i – Foreign Exchange |
Exchange rate 1 |
Any value greater than zero, up to 18 numeric digits including up to 13 decimal places. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
114 |
Section 2i – Foreign Exchange |
Forward exchange rate |
Any value greater than zero, up to 18 numeric digits including up to 13 decimal places. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
115 |
Section 2i – Foreign Exchange |
Exchange rate basis |
7 characters representing two ISO 4217 currency codes separated by ‘/’ without restricting the currency pair ordering. The first currency code shall indicate the unit currency, and the second currency code shall indicate the quote currency. |
||||||
|
116 |
Section 2j - Commodities and emission allowances (General) |
Base product |
Only values in the ‘Base product’ column of the classification of commodities derivatives table are allowed. |
||||||
|
117 |
Section 2j - Commodities and emission allowances (General) |
Sub-product |
Only values in the ‘Sub-product’ column of the classification of commodities derivatives table are allowed. |
||||||
|
118 |
Section 2j - Commodities and emission allowances (General) |
Further sub-product |
Only values in the ‘Further sub-product’ of the classification of commodities derivatives table are allowed. |
||||||
|
119 |
Section 2k - Commodities and emission allowances (Energy) |
Delivery point or zone |
EIC code, 16 character alphanumeric code Repeatable field. |
||||||
|
120 |
Section 2k - Commodities and emission allowances (Energy) |
Interconnection Point |
EIC code, 16 character alphanumeric code |
||||||
|
121 |
Section 2k - Commodities and emission allowances (Energy) |
Load type |
BSLD = Base Load PKLD = Peak Load OFFP = Off-Peak HABH = Hour/Block Hours SHPD = Shaped GASD = Gas Day OTHR = Other |
||||||
|
|
Section of fields 122-131 is repeatable |
|
|
||||||
|
122 |
Section 2k - Commodities and emission allowances (Energy) |
Delivery interval start time |
hh:mm:ssZ |
||||||
|
123 |
Section 2k - Commodities and emission allowances (Energy) |
Delivery interval end time |
hh:mm:ssZ |
||||||
|
124 |
Section 2k - Commodities and emission allowances (Energy) |
Delivery start date |
ISO 8601 date in the format YYYY-MM-DD |
||||||
|
125 |
Section 2k - Commodities and emission allowances (Energy) |
Delivery end date |
ISO 8601 date in the format YYYY-MM-DD |
||||||
|
126 |
Section 2k - Commodities and emission allowances (Energy) |
Duration |
MNUT=Minutes HOUR= Hour DASD= Day WEEK=Week MNTH=Month QURT = Quarter SEAS= Season YEAR= Annual OTHR=Other |
||||||
|
127 |
Section 2k - Commodities and emission allowances (Energy) |
Days of the week |
WDAY = Weekdays WEND = Weekend MOND = Monday TUED = Tuesday WEDD = Wednesday THUD = Thursday FRID = Friday SATD = Saturday SUND = Sunday XBHL - Excluding bank holidays IBHL - Including bank holidays Multiple values are permitted |
||||||
|
128 |
Section 2k - Commodities and emission allowances (Energy) |
Delivery capacity |
Up to 20 numeric digits including decimals The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
||||||
|
129 |
Section 2k - Commodities and emission allowances (Energy) |
Quantity Unit |
KWAT = KW KWHH = KWh/h KWHD = KWh/d MWAT = MW MWHH = MWh/h MWHD = MWh/d GWAT = GW GWHH = GWh/h GWHD = GWh/d THMD = Therm/d KTMD = Ktherm/d MTMD = Mtherm/d CMPD = cm/d MCMD = mcm/d BTUD = Btu/d MBTD = MMBtu/d MJDD = MJ/d HMJD = 100MJ/d MMJD = MMJ/d GJDD = GJ/d |
||||||
|
130 |
Section 2k - Commodities and emission allowances (Energy) |
Price/time interval quantity |
Up to 20 numeric characters including decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
||||||
|
131 |
Section 2k - Commodities and emission allowances (Energy) |
Currency of the price/time interval quantity |
ISO 4217 Currency Code, 3 alphabetical character code |
||||||
|
132 |
Section 2l - Options |
Option type |
4 alphabetic character: PUTO = Put CALL = Call OTHR = where it cannot be determined whether it is a call or a put |
||||||
|
133 |
Section 2l - Options |
Option style |
4 alphabetic characters: AMER = American BERM = Bermudan EURO = European |
||||||
|
134 |
Section 2l - Options |
Strike price |
|
||||||
|
|
Fields 135-137 are repeatable and shall be populated in the case of derivatives involving strike price schedules |
|
|
||||||
|
135 |
Section 2l - Options |
Effective date of the strike price |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
136 |
Section 2l - Options |
End date of the strike price |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
137 |
Section 2l - Options |
Strike price in effect on associated effective date |
|
||||||
|
138 |
Section 2l - Options |
Strike price currency/currency pair |
ISO 4217 Currency Code, 3 alphabetic characters; or for foreign exchange options: 7 characters representing two ISO 4217 currency codes separated by ‘/’ without restricting the currency pair ordering. The first currency code shall indicate the base currency, and the second currency code shall indicate the quote currency. |
||||||
|
139 |
Section 2l - Options |
Option premium amount |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
140 |
Section 2l - Options |
Option premium currency |
ISO 4217 Currency Code, 3 alphabetic characters |
||||||
|
141 |
Section 2l - Options |
Option premium payment date |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
142 |
Section 2i - Options |
Maturity date of the underlying |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
143 |
Section 2m – Credit derivatives |
Seniority |
4 alphabetic characters: 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 |
||||||
|
144 |
Section 2m – Credit derivatives |
Reference entity |
ISO 3166 Country Code - 2 character country code, or ISO 3166-2 Country Code - 2 character country code followed by dash ‘-’ and up to 3 alphanumeric character country subdivision code, or ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code |
||||||
|
145 |
Section 2m – Credit derivatives |
Series |
Integer field up to 5 characters |
||||||
|
146 |
Section 2m – Credit derivatives |
Version |
Integer field up to 5 characters |
||||||
|
147 |
Section 2m – Credit derivatives |
Index factor |
Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g. 0.05 instead of 5%) between 0 and 1 (including 0 and 1). The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
148 |
Section 2m – Credit derivatives |
Tranche |
Boolean value: TRUE = Tranched FALSE = Untranched |
||||||
|
149 |
Section 2m – Credit derivatives |
Credit Derivative Swap (CDS) index attachment point |
Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g. 0.05 instead of 5%) between 0 and 1 (including 0 and 1). The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
150 |
Section 2m – Credit derivatives |
CDS index detachment point |
Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g. 0.05 instead of 5%) between 0 and 1 (including 0 and 1). The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||||
|
151 |
Section 2n - Modifications to the derivative |
Action type |
4 alphabetic characters: NEWT = New MODI = Modify CORR = Correct TERM = Terminate EROR = Error REVI = Revive VALU = Valuation POSC = Position component |
||||||
|
152 |
Section 2n - Modifications to the derivative |
Event type |
4 alphabetic characters: TRAD = Trade NOVA = Step-in COMP = PTRR ETRM = Early termination CLRG = Clearing EXER = Exercise ALOC = Allocation CREV = Credit event CORP=Corporate event INCP = Inclusion in position UPDT = Update |
||||||
|
153 |
Section 2n - Modifications to the derivative |
Event date |
ISO 8601 date in the UTC format YYYY-MM-DD. |
||||||
|
154 |
Section 2n - Modifications to the derivative |
Level |
4 alphabetic characters: TCTN = Trade PSTN = Position |
Table 3
|
|
Section |
Field |
Format |
||||
|
1 |
Parties to the derivative |
Reporting timestamp |
ISO 8601 date in the Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ |
||||
|
2 |
Parties to the derivative |
Report submitting entity ID |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
||||
|
3 |
Parties to the derivative |
Entity responsible for reporting |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System. |
||||
|
4 |
Parties to the derivative |
Counterparty 1 (Reporting counterparty) |
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System. |
||||
|
5 |
Parties to the derivative |
Counterparty 2 identifier type |
Boolean value:
|
||||
|
6 |
Parties to the derivative |
Counterparty 2 |
|
||||
|
7 |
Collateral |
Collateral timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
||||
|
8 |
Collateral |
Collateral portfolio indicator |
Boolean value: TRUE = collateralised on a portfolio basis FALSE = not part of a portfolio |
||||
|
9 |
Collateral |
Collateral portfolio code |
Up to 52 alphanumeric characters Special characters are not allowed |
||||
|
10 |
Collateral |
UTI |
Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed |
||||
|
11 |
Collateral |
Collateralisation category |
4 alphabetic characters: UNCL = uncollateralised PRC1= partially collateralised: counterparty 1 only PRC2= partially collateralised: counterparty 2 only PRCL= partially collateralised OWC1 = one way collateralised: counterparty 1 only OWC2 = one way collateralised: counterparty 2 only OWP1 = one way/partially collateralised: counterparty 1 OWP2 = one way/partially collateralised: counterparty 2 FLCL = fully collateralised Populated in accordance with Article 5 of this Regulation |
||||
|
12 |
Collateral |
Initial margin posted by counterparty 1 (pre-haircut) |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
13 |
Collateral |
Initial margin posted by counterparty 1 (post-haircut) |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
14 |
Collateral |
Currency of the initial margin posted |
ISO 4217 Currency Code, 3 alphabetic characters |
||||
|
15 |
Collateral |
Variation margin posted by counterparty 1 (pre-haircut) |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
16 |
Collateral |
Variation margin posted by counterparty 1 (post-haircut) |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
17 |
Collateral |
Currency of the variation margins posted |
ISO 4217 Currency Code, 3 alphabetic characters |
||||
|
18 |
Collateral |
Excess collateral posted by counterparty 1 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
19 |
Collateral |
Currency of the excess collateral posted |
ISO 4217 Currency Code, 3 alphabetic characters |
||||
|
20 |
Collateral |
Initial margin collected by counterparty 1 (pre-haircut) |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
21 |
Collateral |
Initial margin collected by counterparty 1 (post-haircut) |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
22 |
Collateral |
Currency of initial margin collected |
ISO 4217 Currency Code, 3 alphabetic characters |
||||
|
23 |
Collateral |
Variation margin collected by counterparty 1 (pre-haircut) |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
24 |
Collateral |
Variation margin collected by counterparty 1 (post-haircut) |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
25 |
Collateral |
Currency of variation margin collected |
ISO 4217 Currency Code, 3 alphabetic characters |
||||
|
26 |
Collateral |
Excess collateral collected by counterparty 1 |
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
||||
|
27 |
Collateral |
Currency of excess collateral collected |
ISO 4217 Currency Code, 3 alphabetic characters |
||||
|
28 |
Collateral |
Action type |
‘MARU’ - Margin update ‘CORR’ - Correct |
||||
|
29 |
Collateral |
Event date |
ISO 8601 date in the UTC format YYYY-MM-DD. |
Table 4
Classification of commodities
|
Base product |
Sub-product |
Further sub-product |
|
‘AGRI’ - Agricultural |
‘GROS’ - Grains Oil Seeds |
‘FWHT’ - Feed Wheat ‘SOYB’ - Soybeans ‘CORN’ - Maize ‘RPSD’ – Rapeseed ‘RICE’ - Rice ‘OTHR’ - Other |
|
‘SOFT’ - Softs |
‘CCOA’ - Cocoa ‘ROBU’ - Robusta Coffee ‘WHSG’ - White Sugar ‘BRWN’ - Raw Sugar ‘OTHR’ - Other |
|
|
‘POTA’- Potato |
|
|
|
‘OOLI’- Olive oil |
‘LAMP’ – ‘Lampante’ ‘OTHR’ - Other |
|
|
‘DIRY’- Dairy |
|
|
|
‘FRST’ - Forestry |
|
|
|
‘SEAF’ - Seafood |
|
|
|
‘LSTK’ - Livestock |
|
|
|
‘GRIN’ - Grain |
‘MWHT’ - Milling Wheat ‘OTHR’ - Other |
|
|
‘OTHR’ - Other |
|
|
|
‘NRGY’ –‘Energy |
‘ELEC’ -Electricity |
‘BSLD’- Base load ‘FITR’ - Financial Transmission Rights ‘PKLD’- Peak load ‘OFFP’- Off-peak ‘OTHR’- Other |
|
‘NGAS’ - Natural Gas |
‘GASP’- GASPOOL ‘LNGG’ - LNG ‘NBPG’ - NBP ‘NCGG’ - NCG ‘TTFG’ – TTF ‘OTHR’ - Other |
|
|
‘OILP’ -Oil |
‘BAKK’ - Bakken ‘BDSL’ - Biodiesel ‘BRNT’ - Brent ‘BRNX’ - Brent NX ‘CNDA’ - Canadian ‘COND’ - Condensate ‘DSEL’ - Diesel ‘DUBA’ - Dubai ‘ESPO’ - ESPO ‘ETHA’ - Ethanol ‘FUEL’ - Fuel ‘FOIL’ - Fuel Oil ‘GOIL’ - Gasoil ‘GSLN’ - Gasoline ‘HEAT’ - Heating Oil ‘JTFL’ - Jet Fuel ‘KERO’ - Kerosene ‘LLSO’ - Light Louisiana Sweet (LLS) ‘MARS’ - Mars ‘NAPH’ - Naphta ‘NGLO’ - NGL ‘TAPI’ - Tapis ‘URAL’ - Urals ‘WTIO’ – WTI ‘OTHR’ - Other |
|
|
‘COAL’- Coal ‘INRG’ - Inter Energy ‘RNNG’ - Renewable energy ‘LGHT’ - Light ends ‘DIST’ – Distillates ‘OTHR’ - Other |
|
|
|
‘ENVR’ - Environmental |
‘EMIS’ - Emissions |
‘CERE’ - CER ‘ERUE’ - ERU ‘EUAE’ - EUA ‘EUAA’– EUAA ‘OTHR’-Other |
|
‘WTHR’ - Weather ‘CRBR’ - Carbon related’ ‘OTHR’ - Other |
|
|
|
‘FRGT’ -‘Freight’ |
‘WETF’ - Wet |
‘TNKR’ –Tankers ‘OTHR’ - Other |
|
‘DRYF’ - Dry |
‘DBCR’ - Dry bulk carriers ‘OTHR’ - Other |
|
|
‘CSHP’ - Containerships |
|
|
|
‘OTHR’ - Other |
|
|
|
‘FRTL’ -‘Fertiliser’ |
‘AMMO’ - Ammonia ‘DAPH’ - DAP (Diammonium Phosphate) ‘PTSH’ - Potash ‘SLPH’ - Sulphur ‘UREA’ - Urea ‘UAAN’ - UAN (urea and ammonium nitrate) ‘OTHR’ - Other |
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‘INDP’ - Industrial products’ |
‘CSTR’ - Construction ‘MFTG’ - Manufacturing |
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‘METL’ – Metals’ |
‘NPRM’ - Non Precious |
‘ALUM’ - Aluminium ‘ALUA’ - Aluminium Alloy ‘CBLT’ - Cobalt ‘COPR’ - Copper ‘IRON’ - Iron ore ‘LEAD’ - Lead ‘MOLY’ - Molybdenum ‘NASC’ - NASAAC ‘NICK’ - Nickel ‘STEL’ - Steel ‘TINN’ - Tin ‘ZINC’ - Zinc ‘OTHR’ - Other |
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‘PRME’ - Precious |
‘GOLD’ - Gold ‘SLVR’ - Silver ‘PTNM’ - Platinum ‘PLDM’ - Palladium ‘OTHR’ - Other |
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‘MCEX’ - Multi Commodity Exotic’ |
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‘PAPR’ – Paper’ |
‘CBRD’ - Containerboard ‘NSPT’ - Newsprint ‘PULP’ - Pulp ‘RCVP’ - Recovered paper ‘OTHR’ - Other |
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‘POLY’ – Polypropylene’ |
‘PLST’ – Plastic ‘OTHR’ - Other |
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‘INFL’ - Inflation’ |
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‘OEST’ - Official economic statistics’ |
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‘OTHC’ - ‘Other C10 derivatives’ as defined in Table 10.1 of Annex III to Commission Delegated Regulation (EU) 2017/583 (10) |
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‘OTHR’ - Other |
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(1) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173 12.6.2014, p. 349).
(2) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).
(3) Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 335, 17.12.2009, p. 1).
(4) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
(5) Directive (EU) 2016/2341 of the European Parliament and of the Council of of 14 December 2016 on the activities and supervision of institutions for occupational retirement provision (IORPs) (OJ L 354, 23.12.2016, p. 37).
(6) Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).
(7) Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 (OJ L 257 28.8.2014, p. 1).
(8) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).
(9) Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).
(10) Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (OJ L 87, 31.3.2017, p. 229).