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Document 32017R0105

Commission Implementing Regulation (EU) 2017/105 of 19 October 2016 amending Implementing Regulation (EU) No 1247/2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories (Text with EEA relevance. )

C/2016/6801

OJ L 17, 21.1.2017, p. 17–41 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_impl/2017/105/oj

21.1.2017   

EN

Official Journal of the European Union

L 17/17


COMMISSION IMPLEMENTING REGULATION (EU) 2017/105

of 19 October 2016

amending Implementing Regulation (EU) No 1247/2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (1) and in particular Article 9(6) thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) No 1247/2012 (2) provides for the use of interim entity identifiers where a legal entity identifier is not available. An infrastructure enabling the attribution of legal entity identifiers to entities has recently become available, and market participants have become familiar with the use of such legal entity identifiers. Therefore, legal entity identifiers should now be the only means allowed for the purpose of identification of legal entities.

(2)

Determining whether the reporting counterparty is a buyer or a seller in a contract is particularly complex in the case of swap derivative contracts as such contracts involve the exchange of financial instruments between the parties. Therefore, specific rules should be established in order to ensure the accurate and consistent determination of who are the buyers and who are the sellers in swap derivative contracts.

(3)

In order to determine the real exposures of counterparties, competent authorities require complete and accurate information on the collateral exchanged between those counterparties. Accordingly, specific rules ensuring a consistent approach with regard to the reporting of collateralisation for a given derivative contract or portfolio should be determined.

(4)

The accurate classification and precise identification of derivatives is essential for the efficient use of data and for the meaningful aggregation of data across trade repositories, and therefore contributes to the objectives of the Financial Stability Board set out in the Feasibility Study on Aggregation of OTC Derivatives Trade Repository Data (3) published on 19 September 2014. Reporting requirements relating to the classification and identification of derivatives should therefore be amended so that this information is available in its entirety to competent authorities.

(5)

In order to accommodate for the reporting of new types of derivatives contracts which have become available and are traded on a frequent basis by virtue of financial innovation, swaptions and spreadbets should be added to the list of classes of derivative contracts. More broadly, in view of ongoing financial innovation giving rise to new types of derivative contracts, it is important to ensure that any new types of derivatives contracts that do not fall within an existing classification can nevertheless be reported. Therefore, it is appropriate to maintain the category ‘other’ in the classification of types of derivatives contracts.

(6)

Where two counterparties cannot agree on which of them should generate a unique trade identifier within the reporting timeline provided, the correct identification and association of the two reports pertaining to the same transaction may not be possible. It is therefore necessary to establish criteria for the generation of unique trade identifiers so as to avoid counting the same transaction twice.

(7)

Counterparties may face significant difficulty in obtaining all of the relevant information with regard to trades that were terminated before the commencement date for reporting. Given the resulting complexity of reporting terminated trades and the fact that such trades do not increase systemic risk, the period for reporting terminated trades should be extended from 3 years to 5 years from the commencement date for reporting.

(8)

In order to ensure full harmonisation of the data reported to trade repositories and therefore enable its consistent interpretation and aggregation, the standards and formats to be used in trade reports should be clarified. It is also appropriate to amend the reporting requirements with respect to data formats. Counterparties and trade repositories should therefore be granted sufficient time to take all necessary action to comply with the amended requirements.

(9)

Implementing Regulation (EU) No 1247/2012 should therefore be amended accordingly.

(10)

This Regulation is based on draft implementing technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission.

(11)

In accordance with Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (4), ESMA has conducted open public consultations on such draft implementing technical standards, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group referred to in Article 37 of that Regulation,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) No 1247/2012 is amended as follows:

(1)

Article 3 is replaced by the following:

‘Article 3

Identification of counterparties and other entities

A report shall use a legal entity identifier to identify:

(a)

a beneficiary which is a legal entity;

(b)

a broking entity;

(c)

a CCP;

(d)

a clearing member;

(e)

a counterparty which is a legal entity;

(f)

a submitting entity.’;

(2)

the following Articles 3a and 3b are inserted:

‘Article 3a

Counterparty side

1.   The counterparty side to the derivative contract referred to in field 14 of Table 1 of the Annex shall be determined in accordance with paragraphs 2 to 10.

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 futures and forwards other than futures and forwards relating to currencies, the counterparty buying the instrument shall be identified as the buyer and the counterparty selling the instrument shall be identified as the seller.

4.   In the case of swaps related to securities, the counterparty that bears the risk of price movement of the underlying security and receives the security amount shall be identified as the buyer and the counterparty that pays the security amount shall be identified as the seller.

5.   In the case of swaps related to interest rates or inflation indices, the counterparty paying the fixed rate shall be identified as the buyer and the counterparty receiving the fixed rate shall be identified as the seller. In the case of basis swaps, the counterparty that pays the spread shall be identified as the buyer and the counterparty that receives the spread shall be identified as the seller.

6.   In the case of cross-currency swaps and swaps and forwards related to currencies, the counterparty receiving the currency which appears first when sorted alphabetically by International Organization for Standardization (ISO 4217) standard shall be identified as the buyer and the counterparty delivering that currency shall be identified as the seller.

7.   In the case of swaps related to dividends, the counterparty receiving the equivalent actual dividend payments shall be identified as the buyer and the counterparty paying the dividend and receiving the fixed rate shall be identified as the seller.

8.   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.

9.   In the case of derivative contracts relating to commodities, the counterparty that receives the commodity specified in the report shall be identified as the buyer and the counterparty that delivers the commodity shall be identified as the seller.

10.   In the case of forward-rate agreements, the counterparty paying the fixed rate shall be identified as the buyer and the counterparty receiving the fixed rate shall be identified as the seller.

Article 3b

Collateralisation

1.   The type of collateralisation of the derivative contract referred to in Field 21 of Table 1 of the Annex shall be identified by the reporting counterparty in accordance with paragraphs 2 to 5.

2.   Where no collateral agreement exists between the counterparties or where the collateral agreement between the counterparties stipulates that the reporting counterparty does not post neither initial margin nor variation margin with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as uncollateralised;

3.   Where the collateral agreement between the counterparties stipulates that the reporting counterparty only posts regularly variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as partially collateralised;

4.   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 either posts only variation margins or does not post any margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as one-way collateralised;

5.   Where the collateral agreement between the counterparties stipulates that both counterparties post initial margin and regularly post variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as fully collateralised’;

(3)

Article 4 is replaced by the following:

‘Article 4

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 paragraphs 2 and 3.

2.   The derivative shall be specified in Field 1 of Table 2 of the Annex as one of the following contract types:

(a)

financial contract for difference;

(b)

forward rate agreement;

(c)

forward;

(d)

future;

(e)

option;

(f)

spreadbet;

(g)

swap;

(h)

swaption;

(i)

other.

3.   The derivative shall be specified in Field 2 of Table 2 of the Annex as one of the following asset classes:

(a)

commodities and emission allowances;

(b)

credit;

(c)

currency;

(d)

equity;

(e)

interest rate.

4.   Where derivatives do not fall within one of the asset classes specified in paragraph 3, the counterparties shall specify in the report the asset class most closely resembling the derivative. Both counterparties shall specify the same asset class.

5.   The derivative shall be identified in Field 6 of Table 2 of the Annex using the following, where available:

(a)

an ISO 6166 International Securities Identification Number (ISIN) code or an Alternative Instrument Identifier code (AII), as applicable, until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014 of the European Parliament and of the Council (*1);

(b)

an ISIN from the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014.

Where an AII code is used, the complete AII code shall be used.

6.   The complete AII code referred to in paragraph 5 shall be the result of the concatenation of the following six elements:

(a)

ISO 10383 Market Identifier Code (MIC) of the trading venue where the derivative is traded, specified using 4 alphanumeric characters;

(b)

Code, which is assigned by the trading venue, uniquely associated with a particular underlying instrument and settlement type and other characteristics of the contract, specified using up to 12 alphanumeric characters;

(c)

single character identifying whether the instrument is an option or a future, specified as “O” where it is an option and as “F” where it is a future;

(d)

single character identifying whether the option is a put or a call, specified as “P” where it is a put option and as “C” where it is a call option; where the instrument has been identified as a future in accordance with point (c), it shall be specified as “F”;

(e)

exercise date or maturity date of a derivative contract specified in ISO 8601 YYYY-MM-DD standard;

(f)

the strike price of an option, specified using up to 19 digits including up to five decimals without any leading or trailing zeros. A decimal point shall be used as the decimal separator. Negative values are not allowed. Where the instrument is a future, the strike price shall be populated with zero.

7.   The derivative shall be classified in Field 4 of Table 2 of the Annex using an ISO 10692 Classification of Financial Instrument (CFI) code for products identified through an ISO 6166 ISIN code or an AII code.

8.   Derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified by means of a designated code. That code shall be:

(a)

unique;

(b)

neutral;

(c)

reliable;

(d)

open source;

(e)

scalable;

(f)

accessible;

(g)

available at a reasonable cost basis;

(h)

subject to an appropriate governance framework.

9.   Until the code referred to in paragraph 8 is endorsed by ESMA, derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified using an ISO 10692 CFI code.

(*1)  Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 (OJ L 173, 12.6.2014, p. 84).’;"

(4)

the following Articles 4a and 4b are inserted:

‘Article 4a

Unique Trade Identifier

1.   A report shall be identified through either a global unique trade identifier endorsed by ESMA or, in the absence thereof, a unique trade identifier agreed by the counterparties.

2.   Where counterparties fail to agree on the entity responsible for generating the unique trade identifier to be assigned to the report, the counterparties shall determine the entity responsible for generating a unique trade identifier in accordance with the following:

(a)

for centrally-executed and cleared trades, the unique trade identifier shall be generated at the point of clearing by the central counterparty (CCP) for the clearing member. Another unique trade identifier shall be generated by the clearing member for its counterparty;

(b)

for centrally-executed but not centrally-cleared trades, the unique trade identifier shall be generated by the trading venue of execution for its member;

(c)

for centrally-confirmed and cleared trades, the unique trade identifier shall be generated at the point of clearing by the CCP for the clearing member. Another unique trade identifier shall be generated by the clearing member for its counterparty;

(d)

for trades that were centrally-confirmed by electronic means but were not centrally-cleared, the unique trade identifier shall be generated by the trade confirmation platform at the point of confirmation;

(e)

for all trades other than those referred to in points (a) to (d), the following shall apply:

(i)

where financial counterparties trade with non-financial counterparties, the financial counterparties shall generate the unique trade identifier;

(ii)

where non-financial counterparties above the clearing threshold trade with non-financial counterparties below the clearing threshold, those non-financial counterparties above the clearing threshold shall generate the unique trade identifier;

(iii)

for all trades other than those referred to in points (i) and (ii), the seller shall generate the unique trade identifier.

3.   The counterparty generating the unique trade identifier shall communicate that unique trade identifier to the other counterparty in a timely manner so that the latter is able to meet its reporting obligation.

Article 4b

Venue of execution

The venue of execution of the derivative contract shall be identified in Field 15 of Table 2 of the Annex as follows:

(a)

until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014:

(i)

for a venue of execution inside the Union, the ISO 10383 Market Identifier Code (MIC) published on ESMA's website in the register set up on the basis of information provided by competent authorities pursuant to Article 13(2) of Commission Regulation (EC) No 1287/2006 (*2);

(ii)

for a venue of execution outside the Union, the ISO 10383 MIC included in the list of MIC codes maintained and updated by ISO and published at ISO web site;

(b)

from the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014, the ISO 10383 MIC.

(*2)  Commission Regulation (EC) No 1287/2006 of 10 August 2006 implementing Directive 2004/39/EC of the European Parliament and of the Council as regards recordkeeping obligations for investment firms, transaction reporting, market transparency, admission of financial instruments to trading, and defined terms for the purposes of that Directive (OJ L 241, 2.9.2006, p. 1)’;"

(5)

in Article 5, paragraph 4 is replaced by the following:

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

(a)

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

(b)

derivative contracts that were entered into on or after 16 August 2012.’;

(6)

the Annex is replaced by the text set out in the Annex to this Regulation.

Article 2

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 1 November 2017, with the exception of Article 1(5), which shall apply from the date of entry into force.

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

Done at Brussels, 19 October 2016.

For the Commission

The President

Jean-Claude JUNCKER


(1)  OJ L 201, 27.7.2012, p. 1.

(2)  Commission Implementing Regulation (EU) No 1247/2012 of 19 December 2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories (OJ L 352, 21.12.2012, p. 20).

(3)  http://www.fsb.org/wp-content/uploads/r_140919.pdf

(4)  Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).


ANNEX

‘ANNEX

Table 1

Counterparty Data

 

Field

Format

 

Parties to the contract

1

Reporting timestamp

ISO 8601 date in the format and Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ

2

Reporting Counterparty ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.

3

Type of ID of the other Counterparty

“LEI” for ISO 17442 Legal Entity Identifier (LEI)

“CLC” for Client code

4

ID of the other Counterparty

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.

Client code (up to 50 alphanumerical digits).

5

Country of the other Counterparty

ISO 3166 — 2 character country code

6

Corporate sector of the reporting counterparty

Taxonomy for Financial Counterparties:

 

A = Assurance undertaking authorised in accordance with Directive 2009/138/EC of the European Parliament and of the Council (1)

 

C = Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council (2)

 

F = Investment firm authorised in accordance with Directive 2004/39/EC of the European Parliament and of the Council (3)

 

I = Insurance undertaking authorised in accordance with Directive 2009/138/EC

 

L = Alternative investment fund managed by Alternative Investment Fund Managers (AIFMs) authorised or registered in accordance with Directive 2011/61/EU of the European Parliament and of the Council (4)

 

O = Institution for occupational retirement provision within the meaning of Article 6(a) of Directive 2003/41/EC of the European Parliament and of the Council (5)

 

R = Reinsurance undertaking authorised in accordance with Directive 2009/138/EC

 

U = Undertakings for the Collective Investment in Transferable Securities (UCITS) and its management company, authorised in accordance with Directive 2009/65/EC of the European Parliament and of the Council (6)

Taxonomy for Non-Financial Counterparties. The following categories correspond to the main sections of Statistical classification of economic activities in the European Community (NACE) as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council (7)

 

1 = Agriculture, forestry and fishing

 

2 = Mining and quarrying

 

3 = Manufacturing

 

4 = Electricity, gas, steam and air conditioning supply

 

5 = Water supply, sewerage, waste management and remediation activities

 

6 = Construction

 

7 = Wholesale and retail trade, repair of motor vehicles and motorcycles

 

8 = Transportation and storage

 

9 = Accommodation and food service activities

 

10 = Information and communication

 

11 = Financial and insurance activities

 

12 = Real estate activities

 

13 = Professional, scientific and technical activities

 

14 = Administrative and support service activities

 

15 = Public administration and defence; compulsory social security

 

16 = Education

 

17 = Human health and social work activities

 

18 = Arts, entertainment and recreation

 

19 = Other service activities

 

20 = Activities of households as employers; undifferentiated goods — and services — producing activities of households for own use

 

21 = 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, separating them with a “-”.

Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012.

7

Nature of the reporting counterparty

F = Financial Counterparty

N = Non-Financial Counterparty

C = Central Counterparty

O = Other

8

Broker ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.

9

Report submitting entity ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code

10

Clearing member ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code

11

Type of ID of the Beneficiary

“LEI” for ISO 17442 Legal Entity Identifier (LEI)

“CLC” for Client code

12

Beneficiary ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code or up to 50 alphanumerical character client code in the case where the client is not eligible for a Legal Entity Identifier

13

Trading capacity

P = Principal

A = Agent

14

Counterparty side

B = Buyer

S = Seller

Populated in accordance with Article 3a

15

Directly linked to commercial activity or treasury financing

Y = Yes

N = No

16

Clearing threshold

Y = Above the threshold

N = Below the threshold

17

Value of contract

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

18

Currency of the value

ISO 4217 Currency Code, 3 alphabetical characters

19

Valuation timestamp

ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ

20

Valuation type

M = Mark-to-market

O = Mark-to-model

C = CCP's valuation.

21

Collateralisation

U = uncollateralised

PC = partially collateralised

OC = one way collateralised

FC = fully collateralised

Populated in accordance with Article 3b

22

Collateral portfolio

Y = Yes

N = No

23

Collateral portfolio code

Up to 52 alphanumerical characters including four special characters: “. - _.”

Special characters are not allowed at the beginning and at the end of the code. No space allowed.

24

Initial margin posted

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

25

Currency of the initial margin posted

ISO 4217 Currency Code, 3 alphabetical characters

26

Variation margin posted

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

27

Currency of the variation margins posted

ISO 4217 Currency Code, 3 alphabetical characters

28

Initial margin received

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

29

Currency of the initial margin received

ISO 4217 Currency Code, 3 alphabetical characters

30

Variation margin received

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

31

Currency of the variation margins received

ISO 4217 Currency Code, 3 alphabetical characters

32

Excess collateral posted

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

33

Currency of the excess collateral posted

ISO 4217 Currency Code, 3 alphabetical characters

34

Excess collateral received

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

35

Currency of the excess collateral received

ISO 4217 Currency Code, 3 alphabetical characters


Table 2

Common Data

 

Field

Format

Applicable types of derivative contracts

 

Section 2a — Contract type

 

All contracts

1

Contract type

CD = Financial contracts for difference

FR = Forward rate agreements

FU = Futures

FW = Forwards

OP = Option

SB = Spreadbet

SW = Swap

ST = Swaption

OT = Other

 

2

Asset class

CO = Commodity and emission allowances

CR = Credit

CU = Currency

EQ = Equity

IR = Interest Rate

 

 

Section 2b — Contract information

 

All contracts

3

Product classification type

C = CFI

U = UPI

 

4

Product classification

ISO 10692 CFI, 6 characters alphabetical code

Endorsed UPI

 

5

Product identification type

Specify the applicable identification:

 

I = ISIN

 

A = AII

 

6

Product identification

For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code

For product identifier type A: Complete AII code in accordance with Article 4(8)

 

7

Underlying identification type

I = ISIN

A = AII

U = UPI

B = Basket

X = Index

 

8

Underlying identification

For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code

For underlying identification type A: complete AII code in accordance with Article 4(8)

For underlying identification type U: UPI

For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code in accordance with Article 4(8). Identifiers of individual components shall be separated with a dash “-”.

For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider

 

9

Notional currency 1

ISO 4217 Currency Code, 3 alphabetical characters

 

10

Notional currency 2

ISO 4217 Currency Code, 3 alphabetical characters

 

11

Deliverable currency

ISO 4217 Currency Code, 3 alphabetical characters

 

 

Section 2c — Details on the transaction

 

All contracts

12

Trade ID

Until global UTI is available, up to 52 alphanumerical character code including four special characters:“. - _.”

Special characters are not allowed at the beginning and at the end of the code. No space allowed.

 

13

Report tracking number

An alphanumeric field up to 52 characters

 

14

Complex trade component ID

An alphanumeric field up to 35 characters

 

15

Venue of execution

ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters, in accordance with Article 4(b).

 

16

Compression

Y = contract results from compression

N = contract does not result from compression

 

17

Price/rate

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

In case the price is reported in percent values, it should be expressed as percentage where 100 % is represented as “100”

 

18

Price notation

U = Units

P = Percentage

Y = Yield

 

19

Currency of price

ISO 4217 Currency Code, 3 alphabetic characters

 

20

Notional

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

 

21

Price multiplier

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

 

22

Quantity

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

 

23

Up-front payment

Up to 20 numerical characters including decimals.

The negative symbol to be used to indicate that the payment was made, not received.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

 

24

Delivery type

C = Cash

P = Physical

O = Optional for counterparty or when determined by a third party

 

25

Execution timestamp

ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ

 

26

Effective date

ISO 8601 date in the format YYYY-MM-DD

 

27

Maturity date

ISO 8601 date in the format YYYY-MM-DD

 

28

Termination date

ISO 8601 date in the format YYYY-MM-DD

 

29

Settlement date

ISO 8601 date in the format YYYY-MM-DD

 

30

Master Agreement type

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

 

31

Master Agreement version

ISO 8601 date in the format YYYY

 

 

Section 2d — Risk mitigation/Reporting

 

All contracts

32

Confirmation timestamp

ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ

 

33

Confirmation means

Y = Non-electronically confirmed

N = Non-confirmed

E = Electronically confirmed

 

 

Section 2e — Clearing

 

All contracts

34

Clearing obligation

Y = Yes

N = No

 

35

Cleared

Y = Yes

N = No

 

36

Clearing timestamp

ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ

 

37

CCP

ISO 17442 Legal Entity Identifier (LEI)

20 alphanumerical character code

 

38

Intragroup

Y = Yes

N = No

 

 

Section 2f — Interest Rates

 

Interest rate derivatives

39

Fixed rate of leg 1

Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as “100”.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

 

40

Fixed rate of leg 2

Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as “100”.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

 

41

Fixed rate day count leg 1

Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression “Actual”, e.g. 30/360 or Actual/365

 

42

Fixed rate day count leg 2

Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression “Actual”, e.g. 30/360 or Actual/365

 

43

Fixed rate payment frequency leg 1 –time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

 

Y = Year

 

M = Month

 

W = Week

 

D = Day

 

44

Fixed rate payment frequency leg 1 — multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

 

45

Fixed rate payment frequency leg 2 — time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

 

Y = Year

 

M = Month

 

W = Week

 

D = Day

 

46

Fixed rate payment frequency leg 2 — multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

 

47

Floating rate payment frequency leg 1 — time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

 

Y = Year

 

M = Month

 

W = Week

 

D = Day

 

48

Floating rate payment frequency leg 1 — multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

 

49

Floating rate payment frequency leg 2 — time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

 

Y = Year

 

M = Month

 

W = Week

 

D = Day

 

50

Floating rate payment frequency leg 2 — multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

 

51

Floating rate reset frequency leg 1 — time period

Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:

 

Y = Year

 

M = Month

 

W = Week

 

D = Day

 

52

Floating rate reset frequency leg 1 — multiplier

Integer multiplier of the time period describing how often the counterparties reset the floating rate.

Up to 3 numerical characters.

 

53

Floating rate reset frequency leg 2 — time period

Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:

 

Y = Year

 

M = Month

 

W = Week

 

D = Day

 

54

Floating rate reset frequency leg 2 — multiplier

Integer multiplier of the time period describing how often the counterparties reset the floating rate.

Up to 3 numerical characters.

 

55

Floating rate of leg 1

The name of the floating rate index

 

“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

Or up to 25 alphanumerical characters if the reference rate is not included in the above list

 

56

Floating rate reference period leg 1 — time period

Time period describing reference period, whereby the following abbreviations apply:

 

Y = Year

 

M = Month

 

W = Week

 

D = Day

 

57

Floating rate reference period leg 1 — multiplier

Integer multiplier of the time period describing the reference period.

Up to 3 numerical characters.

 

58

Floating rate of leg 2

The name of the floating rate index

 

“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

Or up to 25 alphanumerical characters if the reference rate is not included in the above list

 

59

Floating rate reference period leg 2 — time period

Time period describing reference period, whereby the following abbreviations apply:

 

Y = Year

 

M = Month

 

W = Week

 

D = Day

 

60

Floating rate reference period leg 2 — multiplier

Integer multiplier of the time period describing the reference period.

Up to 3 numerical characters.

 

 

Section 2g — Foreign Exchange

 

Currency derivatives

61

Delivery currency 2

ISO 4217 Currency Code, 3 alphabetical character code

 

62

Exchange rate 1

Up to 10 numerical digits including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

 

63

Forward exchange rate

Up to 10 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

 

64

Exchange rate basis

Two ISO 4217 currency codes separated by “/”. First currency code shall indicate the base currency, and the second currency code shall indicate the quote currency.

 

 

Section 2h — Commodities and emission allowances

 

Commodity and emission allowance derivatives

 

General

65

Commodity base

AG = Agricultural

EN = Energy

FR = Freights

ME = Metals

IN = Index

EV = Environmental

EX = Exotic

OT = Other

 

66

Commodity details

Agricultural

 

GO = Grains oilseeds

 

DA = Dairy

 

LI = Livestock

 

FO = Forestry

 

SO = Softs

 

SF = Seafood

 

OT = Other

Energy

 

OI = Oil

 

NG = Natural gas

 

CO = Coal

 

EL = Electricity

 

IE = Inter-energy

 

OT = Other

Freights

 

DR = Dry

 

WT = Wet

 

OT = Other

Metals

 

PR = Precious

 

NP = Non-precious

Environmental

 

WE = Weather

 

EM = Emissions

 

OT = Other

 

 

Energy

67

Delivery point or zone

EIC code, 16 character alphanumeric code

Repeatable field.

 

68

Interconnection Point

EIC code, 16 character alphanumeric code

 

69

Load type

BL = Base Load

PL = Peak Load

OP = Off-Peak

BH = Hour/Block Hours

SH = Shaped

GD = Gas Day

OT = Other

 

 

Repeatable section of fields 70 — 77

70

Load delivery intervals

hh:mmZ

 

71

Delivery start date and time

ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ

 

72

Delivery end date and time

ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ

 

73

Duration

N = Minutes

H = Hour

D = Day

W = Week

M = Month

Q = Quarter

S = Season

Y = Annual

O = Other

 

74

Days of the week

WD = Weekdays

WN = Weekend

MO = Monday

TU = Tuesday

WE = Wednesday

TH = Thursday

FR = Friday

SA = Saturday

SU = Sunday

Multiple values separated by “/” are permitted

 

75

Delivery capacity

Up to 20 numerical digits including decimals

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

 

76

Quantity Unit

KW

KWh/h

KWh/d

MW

MWh/h

MWh/d

GW

GWh/h

GWh/d

Therm/d

KTherm/d

MTherm/d

cm/d

mcm/d

 

77

Price/time interval quantities

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

 

 

Section 2i — Options

 

Contracts that contain an option

78

Option type

P = Put

C = Call

O = where it cannot be determined whether it is a call or a put

 

79

Option exercise style

A = American

B = Bermudan

E = European

S = Asian

More than one value is allowed

 

80

Strike price (cap/floor rate)

Up to 20 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numerical character.

Where the strike price is reported in percent values, it should be expressed as percentage where 100 % is represented as “100”

 

81

Strike price notation

U = Units

P = Percentage

Y = Yield

 

82

Maturity date of the underlying

ISO 8601 date in the format YYYY-MM-DD

 

 

Section 2j — Credit derivatives

 

 

83

Seniority

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

 

84

Reference entity

ISO 3166 — 2 character country code

or

ISO 3166-2 — 2 character country code followed by dash “-” and up to 3 alphanumeric character country subdivision code

or

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code

 

85

Frequency of payment

MNTH = Monthly

QURT = Quarterly

MIAN = Semi-annually

YEAR = Yearly

 

86

The calculation basis

Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression “Actual”, e.g. 30/360 or Actual/365

 

87

Series

Integer field up to 5 characters

 

88

Version

Integer field up to 5 characters

 

89

Index factor

Up to 10 numerical characters including decimals.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

 

90

Tranche

T = Tranched

U = Untranched

 

91

Attachment point

Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

 

92

Detachment point

Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.

The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.

 

 

Section 2k — Modifications to the contract

 

 

93

Action type

N = New

M = Modify

E = Error

C = Early Termination

R = Correction

Z = Compression

V = Valuation update

P = Position component

 

94

Level

T = Trade

P = Position’

 


(1)  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).

(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 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council and repealing Council Directive 93/22/EEC (OJ L 145, 30.4.2004, p. 1).

(4)  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).

(5)  Directive 2003/41/EC of the European Parliament and of the Council of 3 June 2003 on the activities and supervision of institutions for occupational retirement provision (OJ L 235, 23.9.2003, p. 10).

(6)  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).

(7)  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).


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