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Document 02022R1860-20221007

    Consolidated text: 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)Text with EEA relevance

    Access initial legal act
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    Legal status of the document In force

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    ELI: http://data.europa.eu/eli/reg_impl/2022/1860/2022-10-07

    02022R1860 — EN — 07.10.2022 — 000.002

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

    ►B

    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)

    (OJ L 262 7.10.2022, p. 68)


    Corrected by:

    ►C1

    Corrigendum, OJ L 304, 24.11.2022, p.  102 (2022/1860)

    ►C2

    Corrigendum, OJ L 125, 11.5.2023, p.  59 ((EU) 2022/1860)



    ▼B

    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)



    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 ( 1 ) 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;

    (b) 

    a CCP;

    (c) 

    a clearing member;

    (d) 

    a counterparty which is a legal entity;

    (e) 

    a report submitting entity;

    (f) 

    an entity responsible for reporting;

    (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 ►C1  in accordance with paragraphs 2 to 13 ◄ .
    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:

    (i) 

    for derivatives that were centrally-confirmed by electronic means, the trade confirmation platform at the point of confirmation;

    (ii) 

    for all other derivatives, the counterparties shall agree on the entity responsible for generating the UTI. Where the counterparties fail to agree, the counterparty whose LEI is first based on sorting the identifiers of the counterparties with the characters of the identifier reversed shall be responsible for the generation.

    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:

    (i) 

    where financial counterparties conclude a derivative with non-financial counterparties, the financial counterparties shall generate the UTI;

    (ii) 

    where non-financial counterparties above the clearing threshold conclude a derivative with non-financial counterparties below the clearing threshold, those non-financial counterparties above the clearing threshold shall generate the UTI;

    (iii) 

    for all derivatives other than those referred to in points (i) and (ii), the counterparties shall agree on the entity responsible for generating the UTI. Where the counterparties fail to agree, the counterparty whose LEI is first based on sorting the identifiers of the counterparties with the characters of the identifier reversed shall be responsible for the generation.

    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 ( 2 ).

    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:

    (i) 

    broker ID, as referred to in the field 15 in Table 1 of the Annex;

    (ii) 

    clearing member, as referred to in the field 16 in Table 1 of the Annex;

    (iii) 

    directly linked to commercial activity or treasury financing, as referred to in the field 20 in Table 1 of the Annex;

    (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.

    ▼C2

    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 29 April 2024 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 29 April 2024, unless they have submitted a report with the action type ‘Modify’ or ‘Correct’ for that derivative within this period.

    ▼B

    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.



    ANNEX



    Table 1

     

    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):

    ‘A’ -  Agriculture, forestry and fishing;

    ‘B’ -  Mining and quarrying;

    ‘C’ -  Manufacturing;

    ‘D’ -  Electricity, gas, steam and air conditioning supply;

    ‘E’ -  Water supply, sewerage, waste management and remediation activities;

    ‘F’ -  Construction;

    ‘G’ -  Wholesale and retail trade, repair of motor vehicles and motorcycles;

    ‘H’ -  Transportation and storage;

    ‘I’ -  Accommodation and food service activities;

    ‘J’ -  Information and communication;

    ‘K’ -  Financial and insurance activities;

    ‘L’ -  Real estate activities;

    ‘M’ -  Professional, scientific and technical activities;

    ‘N’ -  Administrative and support service activities;

    ‘O’ -  Public administration and defence; compulsory social security;

    ‘P’ -  Education;

    ‘Q’ -  Human health and social work activities;

    ‘R’ -  Arts, entertainment and recreation;

    ‘S’ -  Other service activities;

    ‘T’ -  Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use;

    ‘U’ -  Activities of extraterritorial organisations and bodies.

    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:

    — TRUE

    — FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the Statement from the Regulatory Oversight Committee on Individuals Acting in a Business Capacity, from 20 September 2015(the ‘ROC Statement’).

    9

    Parties to the derivative

    Counterparty 2

    — ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

    — The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.

    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:

    ‘A’ -  Agriculture, forestry and fishing;

    ‘B’ -  Mining and quarrying;

    ‘C’ -  Manufacturing;

    ‘D’ -  Electricity, gas, steam and air conditioning supply;

    ‘E’ -  Water supply, sewerage, waste management and remediation activities;

    ‘F’ -  Construction;

    ‘G’ -  Wholesale and retail trade, repair of motor vehicles and motorcycles;

    ‘H’ -  Transportation and storage;

    ‘I’ -  Accommodation and food service activities;

    ‘J’ -  Information and communication;

    ‘K’ -  Financial and insurance activities;

    ‘L’ -  Real estate activities;

    ‘M’ -  Professional, scientific and technical activities;

    ‘N’ -  Administrative and support service activities;

    ‘O’ -  Public administration and defence; compulsory social security;

    ‘P’ -  Education;

    ‘Q’ -  Human health and social work activities;

    ‘R’ -  Arts, entertainment and recreation;

    ‘S’ -  Other service activities;

    ‘T’ -  Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use;

    ‘U’ -  Activities of extraterritorial organisations and bodies.

    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:

    — TRUE, if counterparty 2 has the reporting obligation

    — FALSE, if counterparty 2 does not have the reporting obligation

    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
    (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).



    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:

    — TRUE - for derivatives based on crypto-assets

    — FALSE - for other derivatives

    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:

    — NCNF = unconfirmed

    — ECNF = electronic

    — YCNF = non-electronic

    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

    — If price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

    — If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 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.

    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

    — If price is expressed as monetary value- any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

    — If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 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.

    53

    Section 2g - Details on the transaction

    Package transaction price

    — If package transaction price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

    — If package transaction price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 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.

    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

    — ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

    — The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.

    78

    Section 2g – Details on the transaction

    Other payment receiver

    — ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

    — The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.

    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

    — If spread is expressed as monetary amount - any value up to 18 numeric characters including up to 13 decimal places.

    — If spread is expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).

    — If spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 instead of 2.57%).

    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

    — If spread is expressed as monetary amount - any value up to 18 numeric characters including up to 13 decimal places.

    — If spread is expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).

    — If spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 instead of 2.57%).

    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

    — If package transaction spread is expressed as monetary amount - positive and negative value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

    — If package transaction spread is expressed as percentage - positive and negative value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up.

    — If package transaction spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 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.

    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

    — If strike price is expressed as monetary amount: any value up to 18 numeric characters including up to 13 decimal places (e.g. USD 6.39, expressed as 6.39), for equity options, commodity options, foreign exchange options and similar products. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

    — If strike price is expressed as percentage: any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.1 instead of 2.1%), for interest rate options, interest rate and credit swaptions quoted in spread, and similar products.

    — 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.

     

    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

    — If strike price is expressed as monetary amount: any value up to 18 numeric characters including up to 13 decimal places (e.g. USD 6.39, expressed as 6.39), for equity options, commodity options, foreign exchange options and similar products. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

    — If strike price is expressed as percentage: any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.1 instead of 2.1%), for interest rate options, interest rate and credit swaptions quoted in spread, and similar products.

    — 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.

    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:

    — TRUE

    — FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

    6

    Parties to the derivative

    Counterparty 2

    — ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

    — The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.

    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

     

    ‘INDP’ - Industrial products’

    ‘CSTR’ - Construction

    ‘MFTG’ - Manufacturing

     

    ‘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

    ‘PRME’ - Precious

    ‘GOLD’ - Gold

    ‘SLVR’ - Silver

    ‘PTNM’ - Platinum

    ‘PLDM’ - Palladium

    ‘OTHR’ - Other

    ‘MCEX’ - Multi Commodity Exotic’

     

     

    ‘PAPR’ – Paper’

    ‘CBRD’ - Containerboard

    ‘NSPT’ - Newsprint

    ‘PULP’ - Pulp

    ‘RCVP’ - Recovered paper

    ‘OTHR’ - Other

     

    ‘POLY’ – Polypropylene’

    ‘PLST’ – Plastic

    ‘OTHR’ - Other

     

    ‘INFL’ - Inflation’

     

     

    ‘OEST’ - Official economic statistics’

     

     

    ‘OTHC’ - ‘Other C10 derivatives’ as defined in Table 10.1 of Annex III to Commission Delegated Regulation (EU) 2017/583 (1)

     

     

    ‘OTHR’ - Other

     

     
    (1)   

    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).


    ( 1 ) Commission Delegated Regulation (EU) 2022/1855 of 10 June 2022 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards specifying the minimum details of the data to be reported to trade repositories and the type of reports to be used (See page 1 of this Official Journal).

    ( 2 ) 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).

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