7.10.2022

Official Journal of the European Union

L 262/1

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

(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(5) thereof,

Whereas:

(1)

Delegated Regulation (EU) No 148/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories has been substantially amended. Since further amendments would be needed in order to improve the clarity of the reporting framework and ensure coherence with new implementing technical standards and other internationally agreed standards, it should be repealed and replaced by this Regulation.

(2)	The reporting of complete and accurate details of derivatives, including the indication of the business events triggering the changes to the derivatives, is essential to ensure that the derivative data can be effectively used.

(3)

Where a derivative contract is composed of a combination of derivative contracts that are negotiated together as the product of a single economic agreement, the competent authorities need to understand the characteristics of each of the derivative contracts concerned. Since competent authorities also need to be able to understand the overall context, it should also be apparent from the report that the derivative contract is part of a complex derivative. Therefore, derivative contracts pertaining to a combination of derivative contracts should be reported in separate reports for each derivative contract with an internal identifier to provide a link between the reports.

(4)

In the case of derivative contracts composed of a combination of derivative contracts which need to be reported in more than one report, it may be difficult to determine how the relevant information about the contract should be set out across reports and thus how many reports should be submitted. Therefore, counterparties should agree on the number of reports to be submitted detailing such a contract.

(5)

In order to allow flexibility, a counterparty should be able to delegate the reporting of a contract to the other counterparty or to a third party. Counterparties should also be able to agree to delegate reporting to a common third entity including a central counterparty (‘CCP’). In order to ensure data quality when one report is made on behalf of both counterparties, it should contain all relevant details in relation to each counterparty. Where the reporting is delegated, the report should contain the full set of details that would have been reported had the report been made by the reporting counterparty.

(6)	It is important to acknowledge that a CCP acts as a party to a derivative contract. Accordingly, where an existing contract is subsequently cleared by a CCP, it should be reported as terminated and the new contract resulting from clearing should be reported.

(7)

It is also important to acknowledge that certain derivatives, such as derivatives traded on trading venues or organised trading platforms located outside the Union, derivatives cleared by CCPs or contracts for difference, are often terminated and included into a position and the risk for such derivatives is managed at position level. Furthermore, it is the resulting position, rather than original derivatives at trade level, that becomes subject to the subsequent lifecycle events. In order to enable efficient and accurate reporting of such derivatives, counterparties should be allowed to report at position level. To ensure that counterparties do not use position-level reporting inappropriately, specific conditions should be set out, which should be fulfilled to report at position level.

(8)

In order to properly monitor concentration of exposures and systemic risk, it is crucial to ensure that complete and accurate information on exposure and collateral exchanged between two counterparties is submitted to trade repositories. The mark to market or mark to model value of a contract indicates the sign and size of the exposures related to that contract, and complements the information on the original value specified in the contract. Thus, it is essential that counterparties report valuations of derivative contracts according to a common methodology. Furthermore, it is equally important to require reporting of posted and received initial and variation margins pertaining to a particular derivative. Therefore, counterparties that collateralise their derivatives should report such collateralisation details on a trade-level basis. Where collateral is calculated on a portfolio basis, counterparties should report posted and received initial and variation margins pertaining to that portfolio using a unique code as determined by the reporting counterparty. That unique code should identify the specific portfolio over which the collateral is exchanged and should also ensure that all relevant derivatives can be linked to that particular portfolio.

(9)

Notional amount is an essential characteristic of a derivative to determine the obligations associated with that derivative. Furthermore, notional amounts are used as one of the metrics to assess exposures, trading volumes and size of the derivative market. Thus, consistent reporting of notional amounts is essential. In order to ensure that counterparties report notional amounts in a harmonised manner, the required method of computing notional amount should be specified with regard to different types of products.

(10)

Similarly, information relating to the pricing of the derivatives should be reported consistently and thus allow competent authorities to verify the reported exposures, evaluate costs and liquidity in the derivatives markets as well as compare the prices of similar products traded in different markets.

(11)

As a result of lifecycle events such as clearing, novation or compression, certain derivatives are created, modified or terminated. In order to enable competent authorities to understand the sequences of events occurring in the market and the relations between the reported derivatives, it is essential to provide a method to link all relevant derivatives impacted by the same lifecycle event. As the most efficient way of linking the derivatives may differ depending on the nature of the event, different linking methods should be set out.

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

(13)

ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (2).

(14)	To enable counterparties and trade repositories to take all necessary actions to adapt to the new requirements, the date of application of this Regulation should be deferred by 18 months,

HAS ADOPTED THIS REGULATION:

Article 1

Details to set out in reports pursuant to Article 9(1) and (3) of Regulation (EU) No 648/2012

1. Reports to trade repositories made pursuant to Article 9(1) and (3) of Regulation (EU) No 648/2012 shall include the complete and accurate details set out in Tables 1, 2 and 3 of the Annex to this Regulation that pertain to the derivative concerned.

Those details shall be reported in a single report.

2. When reporting the conclusion, modification or termination of the derivative, a counterparty shall specify in its report the details of the action type and event type, as described in the fields 151 and 152 in Table 2 of the Annex, to which that conclusion, modification or termination is related.

3. By way of derogation from paragraph 1, where the fields in the Tables 1, 2 and 3 of the Annex do not allow for the effective reporting of the details referred to in paragraph 1, those details shall be reported in separate reports, such as in the case where the derivative contract is composed of a combination of derivative contracts that are negotiated together as the product of a single economic agreement.

Before the reporting deadline, counterparties to a derivative contract composed of a combination of derivative contracts referred to in the first subparagraph shall agree on the number of separate reports to be sent to a trade repository in relation to that derivative contract.

The reporting counterparty shall link the separate reports by an identifier that is unique at the level of the counterparty to the group of derivative reports, in accordance with field 6 in Table 2 of the Annex.

4. Where one report is made on behalf of both counterparties, it shall contain the details set out in Tables 1, 2 and 3 of the Annex in relation to each of the counterparties.

5. Where one counterparty reports the details of a derivative to a trade repository on behalf of the other counterparty, or a third entity reports a contract to a trade repository on behalf of one or both counterparties, the details reported shall include the full set of details that would have been reported had the derivatives been reported to the trade repository by each counterparty separately.

Article 2

Cleared trades

1. Where a derivative whose details have already been reported pursuant to Article 9 of Regulation (EU) No 648/2012 is subsequently cleared by a central counterparty (‘CCP’), that derivative shall be reported as terminated by specifying in fields 151 and 152 in Table 2 of the Annex to this Regulation the action type ‘Terminate’ and event type ‘Clearing’. New derivatives resulting from clearing shall be reported by specifying in fields 151 and 152 in Table 2 of the Annex to this Regulation the action type ‘New’ and event type ‘Clearing’.

2. Where a derivative is both concluded on a trading venue or on an organised trading platform located outside the Union and cleared by a CCP on the same day, only the derivatives resulting from clearing shall be reported. Those derivatives shall be reported by specifying in fields 151 and 152 in Table 2 of the Annex either the action type ‘New’, or the action type ‘Position component’, in accordance with Article 3(2), and event type ‘Clearing’.

Article 3

Reporting at position level

1. Following the reporting of the details of a derivative a counterparty has concluded and the termination of that derivative due to inclusion in a position, a counterparty shall be allowed to use position level reporting, provided that all of the following conditions are fulfilled:

(a)	the risk is managed at position level;

(b)	the reports relate to derivatives concluded on a trading venue or on an organised trading platform located outside the Union or to derivatives cleared by a CCP or to contracts for difference that are fungible with each other and have been replaced by the position;

(c)	the derivatives at trade level as referred to in field 154 in Table 2 of the Annex, were correctly reported prior to their inclusion in the position;

(d)	other events that affect the common fields in the report of the position are separately reported;

(e)	the derivatives referred to in point (b) were duly terminated by indicating the action type ‘Terminate’ in field 151 in Table 2 of the Annex and event type ‘Inclusion in a position’ in the field 152 in Table 2 of the Annex;

(f)	the resulting position was duly reported either as a new position or as an update to an existing position;

(g)	the report of the position was made correctly filling in all the applicable fields in Tables 1 and 2 of the Annex and by indicating that the report is made at position level in field 154 in Table 2 of the Annex;

(h)	the counterparties to the derivative agree that the derivative should be reported at position level.

2. When an existing derivative is to be included in a position level report on the same day, such derivative shall be reported with action type ‘Position component’ in field 151 in Table 2 of the Annex.

3. The subsequent updates, including valuation updates, collateral updates and other modifications and lifecycle events, shall be reported at position level and they shall not be reported for the original derivatives at trade level that were terminated and included in that position.

Article 4

Reporting of exposures

1. The data on collateral for both cleared and non-cleared derivatives shall include all posted and received collateral in accordance with fields 1 to 29 in Table 3 of the Annex.

2. Where a counterparty 1 collateralises on a portfolio basis, the counterparty 1 or the entity responsible for reporting shall report to a trade repository collateral posted and received on a portfolio basis in accordance with fields 1 to 29 in Table 3 of the Annex and specify a code identifying the portfolio in accordance with field 9 in Table 3 of the Annex.

3. Non-financial counterparties other than those referred to in Article 10 of Regulation (EU) No 648/2012 or the entities responsible for reporting on their behalf shall not be required to report collateral, mark-to-market, or mark-to-model valuations of the contracts set out in Table 2 and Table 3 of the Annex to this Regulation.

4. For derivatives cleared by a CCP, the counterparty 1 or the entity responsible for reporting shall report the valuation of the derivative provided by the CCP in accordance with fields 21 to 25 in Table 2 of the Annex.

5. For derivatives not cleared by a CCP, the counterparty 1 or the entity responsible for reporting shall report, in accordance with fields 21 to 25 in Table 2 of the Annex to this Regulation, the valuation of the derivative performed in accordance with the methodology defined in International Financial Reporting Standard (IFRS) 13 Fair Value Measurement as adopted by Commission Regulation (EC) No 1126/2008 (3), without applying any adjustment to the fair value.

Article 5

Notional amount

1. The notional amount of a derivative referred to in fields 55 and 64 in Table 2 of the Annex shall be specified as follows:

(a)	in the case of swaps, futures, forwards and options traded in monetary units, the reference amount;

(b)	in the case of options other than those referred to in point (a), calculated using the strike price;

(c)	in the case of forwards other than those referred to in point (a), the product of the forward price and the total notional quantity of the underlying;

(d)	in the case of equity dividend swaps, the product of the period fixed strike and the number of shares or index units;

(e)	in the case of equity volatility swaps, the vega notional amount;

(f)	in the case of equity variance swaps, the variance amount;

(g)	in the case of financial contracts for difference, the resulting amount of the initial price and the total notional quantity;

(h)	in case of commodity fixed/float swaps, the product of the fixed price and the total notional quantity;

(i)	in case of commodity basis swaps, the product of the last available spot price at the time of the transaction of the underlying asset of the leg with no spread and the total notional quantity of the leg with no spread;

(j)	in case of swaptions, the notional amount of the underlying contract;

(k)

in the case of a derivative not referred to in subparagraphs (a) to (j), where the notional amount is calculated using the price of the underlying asset and such price is only available at the time of settlement, the end of day price of the underlying asset at the date of conclusion of the contract.

2. The initial report of a derivative contract whose notional amount varies over time shall specify the notional amount as applicable at the date the derivative contract was concluded and the notional amount schedule.

When reporting the notional amount schedule, counterparties shall indicate all of the following:

(i)	the unadjusted date on which the associated notional amount becomes effective;

(ii)	the unadjusted end date of the notional amount;

(iii)

the notional amount which becomes effective on the associated unadjusted effective date.

Article 6

Price

1. The price of a derivative referred to in field 48 in Table 2 of the Annex shall be specified as follows:

(a)	in the case of swaps with periodic payments relating to commodities, the fixed price;

(b)	in the case of forwards relating to commodities and equities, the forward price of the underlying;

(c)	in the case of swaps relating to equities and contracts for difference, the initial price of the underlying.

2. The price of a derivative shall not be specified in field 48 in Table 2 of the Annex when it is specified in another field in Table 2 of the Annex.

Article 7

Linking of reports

The reporting counterparty or entity responsible for reporting shall link the reports related to the derivatives concluded or terminated as a result of the same event referred to in the field 152 in Table 2 of the Annex as follows:

(a)

in the case of clearing, step-in, allocation and exercise, the counterparty shall report the unique trade identifier (‘UTI’) of the original derivative that was terminated as a result of the event referred to in the field 152 in Table 2 in the field 3 in Table 2 of the Annex within the report or reports pertaining to the derivative or the derivatives resulting from that event;

(b)

in the case of inclusion of a derivative in a position, the counterparty shall report the UTI of the position in which that derivative has been included in the field 4 in Table 2 of the Annex within the report of that derivative sent with action type ‘Position component’ or a combination of action type ‘Terminate’ and event type ‘Inclusion in a position’;

(c)

in the case of post-trade risk reduction (‘PTRR’) event with a PTRR service provider or CCP providing the PTRR service, the counterparty shall report a unique code identifying this event as provided by that PTRR service provider or CCP in the field 5 in Table 2 of the Annex within all the reports pertaining to the derivatives that were either terminated due to or result from that event.

Article 8

Repeal

Delegated Regulation (EU) No 148/2013 is repealed.

References to the repealed Regulation shall be construed as references to this Regulation.

Article 9

Entry into force

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

It shall apply from 29 April 2024.

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

Done at Brussels, 10 June 2022.

For the Commission

The President

Ursula VON DER LEYEN

(1) OJ L 201, 27.7.2012, p. 1.

(2) 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).

(3) Commission Regulation (EC) No 1126/2008 of 3 November 2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council (Text with EEA relevance) (OJ L 320, 29.11.2008, p. 1).

ANNEX

Table 1

	Section	Field	Details to be reported
1	Parties to the derivative	Reporting timestamp	Date and time of the submission of the report to the trade repository.
2	Parties to the derivative	Report submitting entity ID	In the case where the entity responsible for reporting has delegated the submission of the report to a third party or to the other counterparty, that entity has to be identified in this field by a unique code. Otherwise the entity responsible for reporting should be identified in this field.
3	Parties to the derivative	Entity responsible for reporting	Where a financial counterparty is solely responsible, and legally liable, for reporting on behalf of both counterparties in accordance with Article 9(1a) of Regulation (EU) No 648/2012 of the Parliament and of the Council (1) and the non-financial counterparty does not decide to report itself the details of its OTC derivative contracts with the financial counterparty, the unique code identifying that financial counterparty. Where a management company is responsible, and legally liable, for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 9(1b) of that Regulation, the unique code identifying that management company. Where an Alternative Investment Fund Manager (AIFM) is responsible, and legally liable, for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 9(1c) of that Regulation, the unique code identifying that AIFM. Where an authorised entity that is responsible for managing and acting on behalf of an IORP is responsible, and legally liable, for reporting on its behalf in accordance with Article 9(1d) of that Regulation, the unique code identifying that entity. This field is applicable only to OTC derivatives.
4	Parties to the derivative	Counterparty 1 (Reporting counterparty)	Identifier of the counterparty to a derivative transaction who is fulfilling its reporting obligation via the report in question. In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.
5	Parties to the derivative	Nature of counterparty 1	Indicate if counterparty 1 is a central counterparty (‘CCP’), a financial counterparty or a non-financial counterparty as defined in Article 2, points 1, 8 and 9, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point 5, of that Regulation.
6	Parties to the derivative	Corporate sector of counterparty 1	Nature of counterparty 1's company activities. If counterparty 1 is a financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties in field 6 of Table 1 of the Annex to Commission Implementing Regulation (EU) 2022/1860 (2) and applying to that counterparty. If counterparty 1 is a non-financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty. Where more than one activity is reported, the codes shall be populated in order of the relative importance of the corresponding activities.
7	Parties to the derivative	Clearing threshold of counterparty 1	Information whether counterparty 1 is above the clearing threshold referred to in Article 4a(3) or 10(3) of Regulation (EU) No 648/2012 at the date when the transaction was concluded.
8	Parties to the derivative	Counterparty 2 identifier type	Indicator of whether LEI was used to identify counterparty 2.
9	Parties to the derivative	Counterparty 2	Identifier of the second counterparty to a derivative transaction. In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.
10	Parties to the derivative	Country of counterparty 2	In case counterparty 2 is a natural person, the code of country of residence of that person.
11	Parties to the derivative	Nature of counterparty 2	Indicate if counterparty 2 is a CCP, a financial counterparty or a non-financial counterparty as defined in Article 2, points 1, 8 and 9, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point 5, of that Regulation.
12	Parties to the derivative	Corporate sector of counterparty 2	Nature of counterparty 2's company activities. If counterparty 2 is a financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty. If counterparty 2 is a non-financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty. Where more than one activity is reported, the codes shall be populated in order of the relative importance of the corresponding activities.
13	Parties to the derivative	Clearing threshold of counterparty 2	Information whether counterparty 2 is above the clearing threshold referred to in Article 4a(3) or 10(3) of Regulation (EU) No 648/2012 at the date when the transaction was concluded.
14	Parties to the derivative	Reporting obligation of counterparty 2	Indicator of whether counterparty 2 has the reporting obligation under Regulation (EU) No 648/2012, irrespective of who is responsible and legally liable for its reporting.
15	Parties to the derivative	Broker ID	In the case a broker acts as intermediary for counterparty 1 without becoming a counterparty himself, counterparty 1 shall identify that broker by a unique code.
16	Parties to the derivative	Clearing member	Identifier of the clearing member through which a derivative transaction was cleared at a CCP. This data element is applicable to cleared transactions.
17	Parties to the derivative	Direction	Indicator of whether counterparty 1 is the buyer or the seller as determined at the date the derivative was concluded.
18	Parties to the derivative	Direction of leg 1	Indicator of whether counterparty 1 is the payer or the receiver of leg 1 as determined at the date the derivative was concluded.
19	Parties to the derivative	Direction of leg 2	Indicator of whether counterparty 1 is the payer or the receiver of leg 2 as determined at the date the derivative was concluded.
20	Parties to the derivative	Directly linked to commercial activity or treasury financing	Information on whether the contract is objectively measurable as directly linked to counterparty 1's commercial or treasury financing activity, as referred to in Article 10(3) of Regulation (EU) No 648/2012. This field shall be populated only where counterparty 1 is a non-financial counterparty, as defined in Article 2 point (9) of the Regulation (EU) No 648/2012.

Table 2

Section

Field

Details to be reported

Section 2a - Identifiers and links

UTI

Unique Trade Identifier as referred to in Article 7 of Implementing Regulation (EU) 2022/1860.

Section 2a - Identifiers and links

Report tracking number

Where a derivative was executed on a trading venue, a number generated by the trading venue and unique to that execution.

Section 2a - Identifiers and links

Prior UTI (for one-to-one and one-to-many relations between transactions)

UTI assigned to the predecessor transaction that has given rise to the reported transaction due to a lifecycle event, in a one-to-one relation between transactions (e.g. in the case of a novation, when a transaction is terminated, and a new transaction is generated) or in a one-to-many relation between transactions (e.g. in clearing or if a transaction is split into several different transactions).

This data element is not applicable when reporting many-to-one and many-to-many relations between transactions (e.g. in the case of a compression).

Section 2a - Identifiers and links

Subsequent position UTI

The UTI of the position in which a derivative is included. This field is applicable only for the reports related to the termination of a derivative due to its inclusion in a position.

Section 2a - Identifiers and links

Post Trade Risk Reduction (PTRR) ID

Identifier generated by the PTRR service provider or CCP providing the PTRR service in order to connect all derivatives entering into a given PTRR event and resulting from that PTRR event.

Section 2a - Identifiers and links

Package identifier

Identifier (determined by counterparty 1) in order to connect derivatives in the same package in accordance with Article 1(3), third subparagraph, of this Regulation.

A package may include reportable and non-reportable transactions.

Section 2b – Contract information

International Securities Identification Number (ISIN)

ISIN identifying the product if that product is admitted to trading or traded on a regulated market, MTF, OTF or systematic internaliser.

Section 2b – Contract information

Unique product identifier (UPI)

UPI identifying the product.

Section 2b – Contract information

Product classification

Classification of Financial Instrument (CFI) code pertaining to the instrument.

Section 2b – Contract information

Contract type

Each reported contract shall be classified according to its type.

Section 2b – Contract information

Asset class

Each reported contract shall be classified according to the asset class it is based on.

Section 2b – Contract information

Derivative based on crypto-assets

Indicator whether the derivative is based on crypto-assets.

Section 2b – Contract information

Underlying identification type

The type of relevant underlying identifier.

Section 2b – Contract information

Underlying identification

The direct underlying shall be identified by using a unique identification for this underlying based on its type.

For Credit Default Swaps, the ISIN of the reference obligation should be provided.

Section 2b – Contract information

Indicator of the underlying index

An indication of the underlying index, where available.

Section 2b – Contract information

Name of the underlying index

The full name of the underlying index as assigned by the index provider.

Section 2b – Contract information

Custom basket code

If the derivative transaction is based on a custom basket, unique code assigned by the structurer of the custom basket to link its constituents.

Section 2b – Contract information

Identifier of the basket’s constituents

In case of custom baskets composed, among others, of financial instruments traded in a trading venue, only financial instruments traded in a trading venue shall be specified.

Section 2b – Contract information

Settlement currency 1

Currency for the cash settlement of the transaction when applicable.

For multicurrency products that do not net, the settlement currency of the leg 1.

This data element is not applicable for physically settled products (e.g. physically settled swaptions).

Section 2b – Contract information

Settlement currency 2

Currency for the cash settlement of the transaction when applicable.

For multicurrency products that do not net, the settlement currency of the leg 2.

This data element is not applicable for physically settled products (e.g. physically settled swaptions).

Section 2c – Valuation

Valuation amount

Mark-to-market valuation of the contract, or mark-to-model valuation as referred to in Article 4 of this Regulation.

The CCP’s valuation to be used for a cleared trade.

Section 2c – Valuation

Valuation currency

Currency in which the valuation amount is denominated.

Section 2c – Valuation

Valuation timestamp

Date and time of the last valuation marked to market, provided by the CCP or calculated using the current or last available market price of the inputs.

Section 2c – Valuation

Valuation method

Source and method used for the valuation of the transaction by counterparty 1.

If at least one valuation input is used that is classified as mark-to-model, then the whole valuation is classified as mark-to-model.

If only inputs are used that are classified as mark-to-market, then the whole valuation is classified as mark-to-market.

Section 2c – Valuation

Delta

The ratio of the change in the price of a derivative transaction to the change in the price of the underlying.

This field is applicable only to options and swaptions.

Updated delta shall be reported on a daily basis by financial counterparties and non-financial counterparties as referred to in Article 10 of Regulation (EU) No 648/2012.

Section 2d - Collateral

Collateral portfolio indicator

Indicator of whether the collateralisation was performed on a portfolio basis. By ‘on a portfolio basis’, it is meant a set of transactions that are margined together (either on a net or a gross basis) contrary to the scenario where the margin is calculated and posted for each individual transaction separately.

Section 2d - Collateral

Collateral portfolio code

If collateral is reported on a portfolio basis, unique code assigned by counterparty 1 to the portfolio. This data element is not applicable if the collateralisation was performed on a transaction level basis, or if there is no collateral agreement or if no collateral is posted or received.

Section 2e - Risk mitigation / Reporting

Confirmation timestamp

Date and time of the confirmation, as set out in Article 12 of Commission Delegated Regulation (EU) No 149/2013 (3). Applicable only to OTC derivative contracts not cleared by a CCP.

Section 2e - Risk mitigation / Reporting

Confirmed

For new reportable transactions, whether the legally binding terms of an OTC derivatives contract were documented and agreed upon (confirmed) or not (unconfirmed).

If documented and agreed, whether such confirmation was done:

—	via a shared confirmation facility or platform, or a private or bilateral electronic system (electronic);

—	via a human-readable written document, such as fax, paper or manually processed e-mails (non-electronic).

Applicable only to OTC derivative contracts not cleared by a CCP.

Section 2f - Clearing

Clearing obligation

Indicates, whether the reported 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 under Regulation (EU) No 648/2012, as of the time of execution of the contract.

Applicable only to OTC derivative contracts.

Section 2f - Clearing

Cleared

Indicator of whether the derivative has been cleared by a CCP.

Section 2f - Clearing

Clearing timestamp

Time and date when clearing took place.

Applicable only to derivatives cleared by a CCP.

Section 2f - Clearing

Central counterparty

Identifier of the CCP that cleared the transaction.

This data element is not applicable if the value of the data element ‘Cleared’ is ‘N’ (‘No, not centrally cleared’).

Section 2g - Details on the transaction

Master Agreement type

Reference to the master agreement type under which the counterparties concluded a derivative.

Section 2g - Details on the transaction

Other master agreement type

Name of the master agreement. This field shall only be completed where ‘OTHR’ is reported in field 34 in this table.

Section 2g - Details on the transaction

Master Agreement version

Reference to the year of the master agreement relevant to the reported trade, if applicable.

Section 2g - Details on the transaction

Intragroup

Indicates whether the contract was entered into as an intragroup transaction, as defined in Article 3 of Regulation (EU) No 648/2012.

Section 2g - Details on the transaction

PTRR

Identify whether the contract results from a PTRR operation.

Section 2g - Details on the transaction

Type of PTRR technique

Indicator of a type of a PTRR operation for the purpose of reporting under Regulation (EU) No 648/2012.

Portfolio Compression without a third-party service provider: An arrangement to reduce risk in existing portfolios of trades using non-price forming trades mainly to reduce notional amount outstanding, the number of transactions or otherwise harmonise the terms, by wholly or partially terminating trades and commonly to replacing the terminated derivatives with new replacement trades.

Portfolio Compression with a third-party service provider or CCP: A PTRR service provided by a service provider or CCP to reduce risk in existing portfolios of trades using non-price forming trades mainly to reduce notional amount outstanding, the number of transactions or otherwise harmonise the terms, by wholly or partially terminating trades and commonly to replacing the terminated derivatives with new replacement trades.

Portfolio Rebalancing/Margin management: A PTRR service provided by a service provider to reduce risk in an existing portfolio of trades by adding new non-price forming trades and where no existing trades in the portfolio are terminated or replaced and the notional is increased rather than decreased.

Other Portfolio PTRR services: A PTRR service provided by a service provider to reduce risk in existing portfolios of trades using non-price forming trades and where such service does not qualify as Portfolio Compression or Portfolio Rebalancing.

Section 2g - Details on the transaction

PTRR service provider

LEI identifying the PTRR service provider.

Section 2g - Details on the transaction

Venue of execution

Identification of the venue where the transaction was executed.

Use the ISO 10383 segment MIC for transactions executed on a trading venue, Systematic Internaliser (‘SI’) or organised trading platform outside the Union. Where the segment MIC does not exist, use the operating MIC.

Use MIC code ‘XOFF’ for financial instruments admitted to trading, or traded on a trading venue or for which a request for admission was made, where the transaction on that financial instrument is not executed on a trading venue, SI or organised trading platform outside the Union, or where a counterparty does not know it is trading with a counterparty 2 acting as an SI.

Use MIC code ‘XXXX’ for financial instruments that are not admitted to trading or traded on a trading venue or for which no request for admission has been made and that are not traded on an organised trading platform outside the Union.

Section 2c - Details on the transaction

Execution timestamp

Date and time a transaction was originally executed, resulting in the generation of a new UTI. This data element remains unchanged throughout the life of the UTI. For position level reporting it should refer to the time when position was opened for the first time.

Section 2c - Details on the transaction

Effective date

Unadjusted date at which obligations under the OTC derivative transaction come into effect, as included in the confirmation.

If the effective date is not specified as part of the terms of the contract, the counterparties shall report in this field the date of execution of the derivative.

Section 2c - Details on the transaction

Expiration date

Unadjusted date at which obligations under the derivative transaction stop being effective, as included in the confirmation. Early termination does not affect this data element.

Section 2c - Details on the transaction

Early termination date

Effective date of the early termination (expiry) of the reported transaction.

This data element is applicable if the termination of the transaction occurs prior to its maturity due to an ex-interim decision of a counterparty (or counterparties).

Section 2c - Details on the transaction

Final contractual settlement date

Unadjusted date as per the contract, by which all transfer of cash or assets should take place and the counterparties should no longer have any outstanding obligations to each other under that contract.

For products that may not have a final contractual settlement date (e.g. American options), this data element reflects the date by which the transfer of cash or asset would take place if termination were to occur on the expiration date.

Section 2c - Details on the transaction

Delivery type

Indicates whether the contract is settled physically or in cash.

Section 2g - Details on the transaction

Price

Price specified in the derivative transaction. It does not include fees, taxes or commissions.

Where the price is not known when a new transaction is reported, the price is updated as it becomes available.

For transactions that are part of a package, this data element contains the price of the component transaction where applicable.

Section 2g - Details on the transaction

Price currency

Currency in which the price is denominated.

Price currency is only applicable if price is expressed as monetary value.

Fields 50 to 52 are repeatable and shall be populated in the case of derivatives involving price schedules.

Section 2g - Details on the transaction

Unadjusted effective date of the price

Unadjusted effective date of the price.

Section 2g - Details on the transaction

Unadjusted end date of the price

Unadjusted end date of the price (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

Section 2g - Details on the transaction

Price in effect between the unadjusted effective date and the end date

Price in effect between the unadjusted effective date and inclusive of the unadjusted end date.

Section 2g - Details on the transaction

Package transaction price

Traded price of the entire package in which the reported derivative transaction is a component.

This data element is not applicable if

—	no package is involved, or

—	package transaction spread is used.

Prices and related data elements of the transactions (Price currency) that represent individual components of the package are reported when available.

The package transaction price may not be known when a new transaction is reported but may be updated later.

Section 2g - Details on the transaction

Package transaction price currency

Currency in which the package transaction price is denominated.

This data element is not applicable if

—	no package is involved, or

—	package transaction spread is used, or

—	package transaction price is expressed as percentage.

Section 2g - Details on the transaction

Notional amount of leg 1

Notional amount of leg 1 as referred to in Article 5 of this Regulation.

Section 2g - Details on the transaction

Notional currency 1

Where applicable: the currency in which the notional amount of leg 1 is denominated.

Fields 57 to 59 are repeatable and shall be populated in the case of derivatives involving notional amount schedules

Section 2g - Details on the transaction

Effective date of the notional amount of leg 1

Unadjusted date on which the associated notional amount of leg 1 becomes effective.

Section 2g - Details on the transaction

End date of the notional amount of leg 1

Unadjusted end date of the notional amount of leg 1 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

Section 2g - Details on the transaction

Notional amount in effect on associated effective date of leg 1

Notional amount of leg 1 which becomes effective on the associated unadjusted effective date.

Section 2g - Details on the transaction

Total notional quantity of leg 1

Aggregate Notional quantity of the underlying asset of leg 1 for the term of the transaction.

Where the total notional quantity is not known when a new transaction is reported, the total notional quantity is updated as it becomes available.

Fields 61 to 63 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules

Section 2g - Details on the transaction

Effective date of the notional quantity of leg 1

Unadjusted date on which the associated notional quantity of leg 1 becomes effective

Section 2g - Details on the transaction

End date of the notional quantity of leg 1

Unadjusted end date of the notional quantity of leg 1 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

Section 2g - Details on the transaction

Notional quantity in effect on associated effective date of leg 1

Notional quantity of leg 1 which becomes effective on the associated unadjusted effective date.

Section 2g - Details on the transaction

Notional amount of leg 2

Where applicable, notional amount of leg 2 as referred to in Article 5 of this Regulation.

Section 2g - Details on the transaction

Notional currency 2

Where applicable: the currency in which the notional amount of leg 2 is denominated.

Fields 66 to 68 are repeatable and shall be populated in the case of derivatives involving notional amount schedules

Section 2g - Details on the transaction

Effective date of the notional amount of leg 2

Unadjusted date on which the associated notional amount of leg 2 becomes effective.

Section 2g - Details on the transaction

End date of the notional amount of leg 2

Unadjusted end date of the notional amount of leg 2 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

Section 2g - Details on the transaction

Notional amount in effect on associated effective date of leg 2

Notional amount of leg 2 which becomes effective on the associated unadjusted effective date.

Section 2g - Details on the transaction

Total notional quantity of leg 2

Aggregate Notional quantity of the underlying asset of leg 2 for the term of the transaction.

Where the total notional quantity is not known when a new transaction is reported, the total notional quantity is updated as it becomes available.

Fields 70 to 72 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules

Section 2g - Details on the transaction

Effective date of the notional quantity of leg 2

Unadjusted date on which the associated notional quantity of leg 2 becomes effective.

Section 2g - Details on the transaction

End date of the notional quantity of leg 2

Unadjusted end date of the notional quantity of leg 2 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

Section 2g - Details on the transaction

Notional quantity in effect on associated effective date of leg 2

Notional quantity of leg 2 which becomes effective on the associated unadjusted effective date.

Section of fields 73 to 78 is repeatable

Section 2g - Details on the transaction

Other payment type

Type of Other payment amount.

Option premium payment is not included as a payment type as premiums for option are reported using the option premium dedicated data element.

Section 2g - Details on the transaction

Other payment amount

Payment amounts with corresponding payment types to accommodate requirements of transaction descriptions from different asset classes.

Section 2g - Details on the transaction

Other payment currency

Currency in which Other payment amount is denominated.

Section 2g - Details on the transaction

Other payment date

Unadjusted date on which the other payment amount is paid.

Section 2g - Details on the transaction

Other payment payer

Identifier of the payer of Other payment amount.

Section 2g - Details on the transaction

Other payment receiver

Identifier of the receiver of Other payment amount.

Section 2h - Interest Rates

Fixed rate of leg 1 or coupon

An indication of the fixed rate leg 1 or coupon used, where applicable.

Section 2h - Interest Rates

Fixed rate or coupon day count convention leg 1

Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.

Section 2h - Interest Rates

Fixed rate or coupon payment frequency period leg 1

Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the fixed rate of leg 1 or coupon.

Section 2h - Interest Rates

Fixed rate or coupon payment frequency period multiplier leg 1

Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the fixed rate of leg 1 or coupon. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.

This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.

Section 2h - Interest Rates

Identifier of the floating rate of leg 1

Where applicable: an identifier of the interest rates used which are reset at predetermined intervals by reference to a market reference rate.

Section 2h - Interest Rates

Indicator of the floating rate of leg 1

An indication of the interest rate, where available.

Section 2h - Interest Rates

Name of the floating rate of leg 1

The full name of the interest rate as assigned by the index provider.

Section 2h - Interest Rates

Floating rate day count convention of leg 1

Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments for the floating rate of leg 1 are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.

Section 2h - Interest Rates

Floating rate payment frequency period of leg 1

Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the floating rate of leg 1.

Section 2h - Interest Rates

Floating rate payment frequency period multiplier of leg 1

Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the floating rate of leg 1. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.

Section 2h - Interest Rates

Floating rate reference period of leg 1 – time period

Time period describing the reference period for the floating rate of leg 1.

Section 2h - Interest Rates

Floating rate reference period of leg 1 – multiplier

Multiplier of the time period describing the reference period for the floating rate of leg 1.

Section 2h - Interest Rates

Floating rate reset frequency period of leg 1

Where applicable: time unit associated with the frequency of payments resets, e.g. day, week, month, year or term of the stream for the floating rate of leg 1.

Section 2h - Interest Rates

Floating rate reset frequency multiplier of leg 1

Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment resets dates occur for the floating rate of leg 1. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.

Section 2h - Interest Rates

Spread of leg 1

An indication of the spread of leg 1, where applicable: for OTC derivative transactions with periodic payments (e.g. interest rate fixed/float swaps, interest rate basis swaps, commodity swaps),

—	spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s).

—	difference between the reference prices of the two floating leg indexes.

Section 2h - Interest Rates

Spread currency of leg 1

Where applicable: currency in which the spread of leg 1 is denominated.

This data element is only applicable if spread is expressed as monetary amount.

Section 2h - Interest Rates

Fixed rate of leg 2

An indication of the fixed rate leg 2 used, where applicable.

Section 2h - Interest Rates

Fixed rate day count convention leg 2

Section 2h - Interest Rates

Fixed rate payment frequency period leg 2

Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the fixed rate of leg 2.

Section 2h - Interest Rates

Fixed rate payment frequency period multiplier leg 2

Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the fixed rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.

Section 2h - Interest Rates

Identifier of the floating rate of leg 2

Where applicable: an identifier of the interest rates used which are reset at predetermined intervals by reference to a market reference rate

100

Section 2h - Interest Rates

Indicator of the floating rate of leg 2

An indication of the interest rate, where available.

101

Section 2h - Interest Rates

Name of the floating rate of leg 2

The full name of the interest rate as assigned by the index provider.

102

Section 2h - Interest Rates

Floating rate day count convention of leg 2

Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments for the floating rate of leg 2 are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.

103

Section 2h - Interest Rates

Floating rate payment frequency period of leg 2

Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the floating rate of leg 2.

104

Section 2h - Interest Rates

Floating rate payment frequency period multiplier of leg 2

Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the floating rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.

105

Section 2h - Interest Rates

Floating rate reference period of leg 2 – time period

Time period describing the reference period for the floating rate of leg 2.

106

Section 2h - Interest Rates

Floating rate reference period of leg 2 – multiplier

Multiplier of the time period describing the reference period for the floating rate of leg 2.

107

Section 2h - Interest Rates

Floating rate reset frequency period of leg 2

Where applicable: time unit associated with the frequency of payments resets, e.g. day, week, month, year or term of the stream for the floating rate of leg 2.

108

Section 2h - Interest Rates

Floating rate reset frequency multiplier of leg 2

Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment resets dates occur for the floating rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.

109

Section 2h - Interest Rates

Spread of leg 2

An indication of the spread of leg 2, where applicable: for OTC derivative transactions with periodic payments (e.g. interest rate fixed or float swaps, interest rate basis swaps, commodity swaps),

—	spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s).

—	difference between the reference prices of the two floating leg indexes.

110

Section 2h - Interest Rates

Spread currency of leg 2

Where applicable: currency in which the spread of leg 2 is denominated.

This data element is only applicable if the spread is expressed as monetary amount.

111

Section 2h - Interest Rates

Package transaction spread

Traded price of the entire package in which the reported derivative transaction is a component of a package transaction.

Package transaction price when the price of the package is expressed as a spread, difference between two reference prices.

This data element is not applicable if

—	no package is involved, or

—	package transaction price is used.

Spread and related data elements of the transactions (spread currency) that represent individual components of the package are reported when available.

Package transaction spread may not be known when a new transaction is reported but may be updated later.

112

Section 2h - Interest Rates

Package transaction spread currency

Currency in which the package transaction spread is denominated.

This data element is not applicable if

—	no package is involved, or

—	package transaction price is used, or

—	package transaction spread is expressed as percentage or basis points.

113

Section 2i – Foreign Exchange

Exchange rate 1

Exchange rate between the two different currencies specified in the derivative transaction agreed by the counterparties at the inception of the transaction, expressed as the rate of exchange from converting the unit currency into the quoted currency.

114

Section 2i – Foreign Exchange

Forward exchange rate

Forward exchange rate as agreed between the counterparties in the contractual agreement. It shall be expressed as a price of base currency in the quoted currency.

115

Section 2i – Foreign Exchange

Exchange rate basis

Currency pair and order in which the exchange rate is denominated, expressed as unit currency or quoted currency.

116

Section 2j - Commodities and emission allowances (General)

Base product

Base product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860.

117

Section 2j - Commodities and emission allowances (General)

Sub-product

Sub-product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860.

This field requires a specific base product in field.

118

Section 2j - Commodities and emission allowances (General)

Further sub-product

Further sub product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860.

This field requires a specific sub product in field.

119

Section 2k - Commodities and emission allowances (Energy)

Delivery point or zone

Delivery point(s) or market area(s).

120

Section 2k - Commodities and emission allowances (Energy)

Interconnection Point

Identification of the border(s) or border point(s) of a transportation contract.

121

Section 2k - Commodities and emission allowances (Energy)

Load type

Identification of the delivery profile.

Section of fields 122 to 131 is repeatable

122

Section 2k - Commodities and emission allowances (Energy)

Delivery interval start time

The start time of the delivery interval for each block or shape.

123

Section 2k - Commodities and emission allowances (Energy)

Delivery interval end time

The end time of the delivery interval for each block or shape.

124

Section 2k - Commodities and emission allowances (Energy)

Delivery start date

Start date of delivery.

125

Section 2k - Commodities and emission allowances (Energy)

Delivery end date

End date of delivery.

126

Section 2k - Commodities and emission allowances (Energy)

Duration

The duration of the delivery period.

127

Section 2k - Commodities and emission allowances (Energy)

Days of the week

The days of the week of the delivery.

128

Section 2k - Commodities and emission allowances (Energy)

Delivery capacity

The number of units included in the transaction for each delivery interval specified in fields 122 and 123.

129

Section 2k - Commodities and emission allowances (Energy)

Quantity Unit

The unit of measurement used.

130

Section 2k - Commodities and emission allowances (Energy)

Price/time interval quantity

If applicable, price per quantity per delivery time interval.

131

Section 2k - Commodities and emission allowances (Energy)

Currency of the price/time interval quantity

The currency in which the price per time interval quantity is expressed.

132

Section 2l - Options

Option type

Indication as to whether the derivative contract is a call (right to purchase a specific underlying asset) or a put (right to sell a specific underlying asset) or whether it cannot be determined whether it is a call or a put at the time of execution of the derivative contract.

In case of swaptions it shall be:

—	‘Put’, in case of receiver swaption, in which the buyer has the right to enter into a swap as a fixed-rate receiver.

—	‘Call’, in case of payer swaption, in which the buyer has the right to enter into a swap as a fixed-rate payer.

In case of Caps and Floors it shall be:

—	‘Put’, in case of a Floor.

—	‘Call’, in case of a Cap.

133

Section 2l - Options

Option style

Indicates whether the option may be exercised only at a fixed date (European), a series of pre-specified dates (Bermudan) or at any time during the life of the contract (American).

134

Section 2l - Options

Strike price

—	For options other than FX options, swaptions and similar products, price at which the owner of an option can buy or sell the underlying asset of the option.

—

For foreign exchange options, exchange rate at which the option can be exercised, expressed as the rate of exchange from converting the unit currency into the quoted currency. In the example 0,9426 USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 = EUR 0,9426.Where the strike price is not known when a new transaction is reported, the strike price is updated as it becomes available.

—	For volatility and variance swaps and similar products the volatility strike price is reported in this data element.

Fields 135 to 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

Unadjusted effective date of the strike price.

136

Section 2l - Options

End date of the strike price

Unadjusted end date of the strike price (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

137

Section 2l - Options

Strike price in effect on associated effective date

Strike price in effect between the unadjusted effective date and unadjusted end date inclusive.

138

Section 2l - Options

Strike price currency/currency pair

For equity options, commodity options, and similar products, currency in which the strike price is denominated.

For foreign exchange options: Currency pair and order in which the strike price is expressed. It is expressed as unit currency per quoted currency.

139

Section 2l - Options

Option premium amount

For options and swaptions of all asset classes, monetary amount paid by the option buyer.

This data element is not applicable if the instrument is not an option or does not embed any optionality.

140

Section 2l - Options

Option premium currency

For options and swaptions of all asset classes, currency in which the option premium amount is denominated. This data element is not applicable if the instrument is not an option or does not embed any optionality.

141

Section 2l - Options

Option premium payment date

Unadjusted date on which the option premium is paid.

142

Section 2i - Options

Maturity date of the underlying

In case of swaptions, maturity date of the underlying swap.

143

Section 2m – Credit derivatives

Seniority

Indicates the seniority of the debt security, or debt basket or index underlying a derivative.

144

Section 2m – Credit derivatives

Reference entity

Identification of the underlying reference entity.

145

Section 2m – Credit derivatives

Series

The series number of the composition of the index if applicable.

146

Section 2m – Credit derivatives

Version

A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index.

147

Section 2m – Credit derivatives

Index factor

The factor to apply to the Notional (field 55 in this Table) to adjust it to all the previous credit events in that Index series.

148

Section 2m – Credit derivatives

Tranche

Indication whether a derivative contract is tranched.

149

Section 2m – Credit derivatives

Credit Default Swap (CDS) index attachment point

Defined lower point at which the level of losses in the underlying portfolio reduces the notional of a tranche. For example, the notional in a tranche with an attachment point of 3 % will be reduced after 3 % of losses in the portfolio have occurred. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket).

150

Section 2m – Credit derivatives

CDS index detachment point

Defined point beyond which losses in the underlying portfolio no longer reduce the notional of a tranche. For example, the notional in a tranche with an attachment point of 3 % and a detachment point of 6 % will be reduced after there have been 3 % of losses in the portfolio. 6 % losses in the portfolio deplete the notional of the tranche. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket).

151

Section 2n - Modifications to the derivative

Action type

—	New: A report of a derivative, at a trade or position level, for the first time.

—	Modify: A modification to the terms or details of a previously reported derivative, at a trade or position level, but not a correction of a report.

—	Correct: A report correcting the erroneous data fields of a previously submitted report.

—	Terminate: A termination of an existing derivative, at a trade or position level.

—

Error: A cancellation of a wrongly submitted entire report in case the derivative, at a trade or position level, never came into existence or was not subject to Regulation (EU) No 648/2012 reporting requirements but was reported to a trade repository by mistake or a cancellation of a duplicate report.

—	Revive: Re-opening of a derivative, at a trade or position level, that was cancelled with action type ‘Error’ or terminated by mistake.

—	Valuation: An update of a valuation of a derivative, at a trade or position level

—	Position component: A report of a new derivative that is included in a separate position report on the same day.

152

Section 2n - Modifications to the derivative

Event type

—	Trade: Conclusion of a derivative or renegotiation of its terms that does not result in change of a counterparty

—	Step-in: An event, where part or entirety of the derivative is transferred to a counterparty 2 (and reported as a new derivative) and the existing derivative is either terminated or its notional is modified.

—	PTRR: Post-trade risk reduction exercise

—	Early termination: Termination of a derivative, at a trade or position level

—	Clearing: Clearing as defined in Article 2 point (3) of Regulation (EU) No 648/2012

—	Exercise: The exercise of an option or a swaption by one counterparty of the transaction, fully or partially.

—	Allocation: Allocation event, where an existing derivative is allocated to different counterparties and reported as new derivatives with reduced notional amounts.

—	Credit event: Applies only to credit derivatives. A credit event that results in a modification of a derivative, at a trade or position level

Corporate event: A corporate action on equity underlying that impacts the derivatives on that equity

—	Inclusion in position: Inclusion of CCP-cleared derivative or CFD into a position, where an existing derivative is terminated and either a new position is created or the notional of an existing position is modified.

Update - Update of an outstanding derivative performed during the transition period in order to ensure its conformity with the amended reporting requirements

153

Section 2n - Modifications to the derivative

Event date

Date on which the reportable event relating to the derivative contract and captured by the report took place or, in case of a modification when the modification become effective.

154

Section 2n - Modifications to the derivative

Level

Indication whether the report is done at trade or position level.

Position level report can be used only as a supplement to trade level reporting to report post-trade events and only if individual trades in fungible products have been replaced by the position.

Table 3

Item

Section

Field

Details to be reported

Parties to the derivative

Reporting timestamp

Date and time of the submission of the report to the trade repository.

Parties to the derivative

Report submitting entity ID

In the case where the entity responsible for reporting has delegated the submission of the report to a third party or to the other counterparty, this entity has to be identified in this field by a unique code.

Otherwise the entity responsible for reporting should be identified in this field.

Parties to the derivative

Entity responsible for reporting

Where a financial counterparty is solely responsible, and legally liable, for reporting on behalf of both counterparties in accordance with Article 9(1a) of Regulation (EU) No 648/2012 and the non-financial counterparty does not decide to report itself the details of its OTC derivative contracts with the financial counterparty, the unique code identifying that financial counterparty. Where a management company is responsible, and legally liable, for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 9(1b) of that Regulation, the unique code identifying that management company. Where an Alternative Investment Fund Manager (AIFM) is responsible, and legally liable, for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 9(1c) of that Regulation, the unique code identifying that AIFM. Where an authorised entity that is responsible for managing and acting on behalf of an IORP is responsible, and legally liable, for reporting on its behalf in accordance with Article 9(1d) of that Regulation, the unique code identifying that entity.

This field is applicable only to OTC derivatives.

Parties to the derivative

Counterparty 1 (Reporting counterparty)

Identifier of the counterparty to a derivative transaction who is fulfilling its reporting obligation via the report in question.

In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.

Parties to the derivative

Counterparty 2 identifier type

Indicator of whether LEI was used to identify the counterparty 2.

Parties to the derivative

Counterparty 2

Identifier of the second counterparty to a derivative transaction.

In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.

Collateral

Collateral timestamp

Date and time as of which the values of the margins are reported.

Collateral

Collateral portfolio indicator

Collateral

Collateral portfolio code

Collateral

UTI

Unique Trade Identifier as referred to in Article 7 of Implementing Regulation (EU) 2022/1860.

Collateral

Collateralisation category

Indicate whether a collateral agreement between the counterparties exists.

This data element is provided for each transaction or each portfolio, depending on whether the collateralisation is performed at the transaction or portfolio level, and is applicable to both cleared and uncleared transactions.

Collateral

Initial margin posted by counterparty 1 (pre-haircut)

Monetary value of initial margin that has been posted by counterparty 1, including any margin that is in transit and pending settlement.

If the collateralisation is performed at portfolio level, the initial margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin posted relates to such single transaction.

This field refers to the total current value of the initial margin, rather than to its daily change.

The data element refers both to uncleared and centrally cleared transactions.

For centrally cleared transactions, the data element does not include default fund contributions, nor collateral posted against liquidity provisions to the CCP, i.e. committed credit lines.

If the initial margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.

Collateral

Initial margin posted by counterparty 1 (post-haircut)

Monetary value of initial margin that has been posted by counterparty 1, including any margin that is in transit and pending settlement.

This field refers to the total current value of the initial margin after application of the haircut (if applicable), rather than to its daily change.

The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include default fund contributions, nor collateral posted against liquidity provisions to the CCP, i.e. committed credit lines.

If the initial margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.

Collateral

Currency of the initial margin posted

Currency in which the initial margin posted is denominated.

If the initial margin posted is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted initial margins.

Collateral

Variation margin posted by counterparty 1 (pre-haircut)

Monetary value of the variation margin posted by counterparty 1, including the cash-settled margin and any margin that is in transit and pending settlement.

Contingent variation margin is not included.

If the collateralisation is performed at portfolio level, the variation margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin posted relates to such single transaction.

This field refers to the total current value of the variation margin, cumulated since the first reporting of variation margins posted for the portfolio or transaction.

If the variation margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.

Collateral

Variation margin posted by counterparty 1 (post-haircut)

Monetary value of the variation margin posted by counterparty 1, including the cash-settled margin and any margin that is in transit and pending settlement.

Contingent variation margin is not included.

This field refers to the total current value of the variation margin after application of the haircut, if applicable, cumulated since the first reporting of posted variation margins for the portfolio or transaction.

If the variation margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.

Collateral

Currency of the variation margins posted

Currency in which the variation margin posted is denominated.

If the variation margin posted is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted variation margins.

Collateral

Excess collateral posted by counterparty 1

Monetary value of any additional collateral posted by counterparty 1 separate and independent from initial and variation margin. This field refers to the total current value of the excess collateral before application of the haircut, if applicable, rather than to its daily change.

Any initial or variation margin amount posted that exceeds the required initial margin or required variation margin, is reported as part of the initial margin posted or variation margin posted respectively rather than included as excess collateral posted.

For centrally cleared transactions, excess collateral is reported only to the extent it can be assigned to a specific portfolio or transaction.

Collateral

Currency of the excess collateral posted

Currency in which the excess collateral posted is denominated.

If the excess collateral posted is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted excess collateral.

Collateral

Initial margin collected by counterparty 1 (pre-haircut)

Monetary value of initial margin that has been collected by counterparty 1, including any margin that is in transit and pending settlement.

If the collateralisation is performed at portfolio level, the initial margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin collected relates to such single transaction.

This field refers to the total current value of the initial margin, rather than to its daily change.

The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include collateral collected by the CCP as part of its investment activity.

If the initial margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.

Collateral

Initial margin collected by counterparty 1 (post-haircut)

Monetary value of initial margin that has been collected by counterparty 1, including any margin that is in transit and pending settlement.

This field refers to the total current value of the initial margin after application of the haircut, if applicable, rather than to its daily change.

If the initial margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.

Collateral

Currency of initial margin collected

Currency in which the initial margin collected is denominated.

If the initial margin collected is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of collected initial margins.

Collateral

Variation margin collected by counterparty 1 (pre-haircut)

Monetary value of the variation margin collected by counterparty 1, including the cash-settled margin and any margin that is in transit and pending settlement.

Contingent variation margin is not included.

If the collateralisation is performed at portfolio level, the variation margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin collected relates to such single transaction.

This field refers to the total current value of the variation margin, cumulated since the first reporting of collected variation margins for the portfolio/transaction.

If the variation margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.

Collateral

Variation margin collected by counterparty 1 (post-haircut)

Monetary value of the variation margin collected by counterparty 1, including the cash-settled margin, and any margin that is in transit and pending settlement.

Contingent variation margin is not included.

This field refers to the total current value of the variation margin collected after application of the haircut, if applicable, cumulated since the first reporting of collected variation margins for the portfolio/transaction.

If the variation margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.

Collateral

Currency of variation margin collected

Currency in which the variation margin collected is denominated.

If the variation margin collected is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of collected variation margins.

Collateral

Excess collateral collected by counterparty 1

Monetary value of any additional collateral collected by counterparty 1 separate and independent from initial and variation margin. This data element refers to the total current value of the excess collateral before application of the haircut, if applicable, rather than to its daily change.

Any initial or variation margin amount collected that exceeds the required initial margin or required variation margin, is reported as part of the initial margin collected or variation margin collected respectively, rather than included as excess collateral collected.

For centrally cleared transactions excess collateral is reported only to the extent it can be assigned to a specific portfolio or transaction.

Collateral

Currency of excess collateral collected

Currency in which the excess collateral collected is denominated.

If the excess collateral is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of collected excess collateral.

Collateral

Action type

The report shall contain one of the following action types:

(a)	a new margin balance or a modification of the details of the margins shall be identified as ‘Margin update’;

(b)	a correction of data fields that were submitted incorrectly in a previous report shall be identified as ‘Correct’.

Collateral

Event date

Date on which the reportable event relating to the derivative contract and captured by the report took place. In the case of collateral update - the date for which the information contained in the report is provided.

(1) 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).

(2) 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 (see page 68 of this Official Journal).

(3) Commission Delegated Regulation (EU) No 149/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on indirect clearing arrangements, the clearing obligation, the public register, access to a trading venue, non-financial counterparties, and risk mitigation techniques for OTC derivatives contracts not cleared by a CCP (OJ L 52, 23.2.2013, p. 11).

7.10.2022

Official Journal of the European Union

L 262/46

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

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

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

Whereas:

(1)

To ensure the high quality of the details of derivatives reported to trade repositories, trade repositories should verify the identity of the report submitting entities, the logical integrity of the sequence in which the details of the derivative are reported, and the completeness and correctness of those details.

(2)

For the same reason, trade repositories should reconcile the details of each derivative report received where both counterparties have a reporting obligation. A standardised process should be specified to enable trade repositories to conduct reconciliation in a consistent manner and to reduce the risks of details of derivatives not being reconciled. Certain details of derivatives, however, might not be identical due to the specificities of the technology systems used by the entities submitting the report. Certain tolerances therefore need to be applied, so that minor differences in the reported details of derivatives do not prevent the authorities from analysing the data with an adequate level of confidence.

(3)

Furthermore and notwithstanding other obligations with regard to the details of derivatives collected and recorded when performing the reconciliation process, the trade repositories should ensure the confidentiality of the data exchanged between them and made available to the reporting counterparties, the entities responsible for reporting and the report submitting entities.

(4)

Where a corporate restructuring event resulting in the change of legal entity identifier (‘LEI’) of a counterparty takes place, the details of the entities identified in a derivative report need to be updated. To ensure the integrity of that information, which is essential for the monitoring of systemic risks to financial stability, it is necessary that the update is performed centrally by the trade repositories. For that reason, a procedure should be established to ensure that trade repositories can update the identifier of the entity in a centralised manner, thus ensuring an efficient, robust and timely process.

(5)

Report submitting entities should be given sufficient time to adapt to the reporting requirements, in particular to prevent the accumulation of non-reconciled trades immediately after the reporting obligation starts to apply. It is therefore appropriate that in a first phase only a reduced set of fields should be reconciled.

(6)

Report submitting entities and entities responsible for reporting, where applicable, should be able to monitor their compliance with their reporting obligations under Regulation (EU) 648/2012. They should therefore be able to access certain information, on a daily basis, in respect of those reports, including the result of the verification of those reports, also where a warning has been generated, and the progress of the reconciliation of the reported data. It is therefore necessary to specify the information that a trade repository should make available to these entities at the end of each working day.

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

(8)

The European Securities and Markets Authority has consulted the members of the European System of Central Banks and has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (2).

(9)	To enable counterparties and trade repositories to take all necessary actions to adapt to the new requirements, the date of application of this Regulation should be deferred by eighteen months,

HAS ADOPTED THIS REGULATION:

Article 1

Verification of derivatives by trade repositories

1. A trade repository shall verify all of the following in a received derivative report:

(a)	the identity of the report submitting entity as referred to in field 2 of Table 1 and field 2 of Table 3 of the Annex to Commission Implementing Regulation (EU) 2022/1860 (3) ;

(b)	that the XML template used to report a derivative complies with the ISO 20022 methodology in accordance with Article 1 of Implementing Regulation (EU) 2022/1860;

(c)

that the report submitting entity, if different from the entity responsible for reporting as referred to in field 3 of Table 1 and field 3 in Table 3 of the Annex to Implementing Regulation (EU) 2022/1860, is duly authorised to report on behalf of counterparty 1 or the entity responsible for reporting, if different from counterparty 1, as referred to in field 4 of Table 1 and field 4 in Table 3 of the Annex to Implementing Regulation (EU) 2022/1860;

(d)	that the same derivative has not been submitted previously;

(e)	that a derivative report with action type ‘Modification’, ‘Margin Update’, ‘Valuation’, ‘Correction’, ‘Error‘ or ‘Terminate’ relates to a previously submitted derivative;

(f)	that a derivative report with action type ‘Modification’ does not relate to a derivative that has been reported as cancelled with action type ‘Error’ which has not been subsequently reported with action type ‘Revive’;

(g)	that a derivative report does not include the action type ‘New’ in respect of a derivative that has previously been reported;

(h)	that a derivative report does not include the action type ‘Position component’ in respect of a derivative that has previously been reported;

(i)	that a derivative report does not purport to modify the details of fields ‘Counterparty 1’ or ‘Counterparty 2’ to a previously reported derivative;

(j)	that a derivative report does not purport to modify an existing derivative by specifying an effective date later than the reported maturity date of the derivative;

(k)	that a derivative reported with action type ‘Revive’ relates to a previously submitted derivative report with action type ‘Error’ or ‘Terminate’ or to a derivative that has matured;

(l)	the correctness and completeness of the derivative report.

2. A trade repository shall reject a derivative report that does not comply with one of the requirements set out in paragraph 1 and assign to it one of the rejection categories set out in Table 1 of the Annex.

3. A trade repository shall provide the report submitting entities with detailed information on the results of the data verification referred to in paragraph 1 within sixty minutes after it has received a derivative report. A trade repository shall provide those results in an XML format and a template in accordance with the ISO 20022 methodology. The results shall specify reasons for the rejection of a derivative report in accordance with Table 1 of the Annex.

Article 2

Procedure for updates of Legal Entity Identifiers

1. A trade repository to which a request under Article 8 of Implementing Regulation (EU) 2022/1860 is addressed shall identify the outstanding derivatives referred to in paragraph 2 of Article 2 of Implementing Regulation (EU) 2022/1860 at the time of the corporate restructuring event, where the entity is reported with the identifier used before the corporate restructuring event in the field ‘Counterparty 1’ or ‘Counterparty 2’, as informed in the relevant request. It shall replace the old identifier with the new Legal Entity Identifier (‘LEI’) in the reports relating to all those derivatives at the time of the event referred to in Article 8 of Implementing Regulation (EU) 2022/1860 pertaining to that counterparty. A trade repository shall perform the procedure on the update of the identifier at the latest on the day of restructuring or within 30 calendar days as of receipt of the request if reported less than 30 calendar days prior to the date of the corporate restructuring event.

2. A trade repository shall identify the relevant derivatives referred to in paragraph 2 of Article 2 of Implementing Regulation (EU) 2022/1860 at the time of the corporate restructuring event, where the entity is identified with the old identifier in any of the fields, and replace that identifier with the new LEI. Where a corporate restructuring event relates to an update of the LEI for fields other than ‘Counterparty 1’ or ‘Counterparty 2’, the trade repository shall perform such an update of the relevant derivatives only following a timely confirmation by counterparty 1 or the entity responsible for reporting.

3. A trade repository shall carry out the following actions:

(a)	following the receipt of the relevant confirmation under paragraph 2, implement the update of the LEI as of the date referred to in paragraph 1;

(b)

broadcast the following information at the earliest possibility, and no later than 5 working days after the complete notification is received, to all the other trade repositories and to the reporting counterparties, report submitting entities, entities responsible for reporting involved in the derivatives contracts concerned by the LEI update, and to third parties which have been granted access to information under Article 78(7) of Regulation (EU) No 648/2012, as applicable:

(i)	the old identifier(s);

(ii)	the new identifier;

(iii)

the date as of which the update shall be done;

(iv)	in case of corporate events affecting a subset of the derivatives outstanding at the date of the event, the list of the unique trade identifiers (UTIs) of the derivatives concerned by the LEI update;

(c)

notify, at the latest the working day before the date on which the update is applied, the entities listed in Article 81(3) of Regulation (EU) No 648/2012 who have access to the data relating to the derivatives that have been updated, by way of a specific file in machine-readable format:

(i)	the old identifier(s);

(ii)	the new identifier;

(iii)

the date as of which the update shall be done;

(iv)	in case of corporate events affecting a subset of the derivatives outstanding at the date of the event, the list of the UTIs of the derivatives concerned by the LEI update;

(d)	record the LEI update in the reporting log.

4. A trade repository shall not update the LEIs reported for derivatives different from those referred to in paragraph 2 of Article 2 of Implementing Regulation (EU) 2022/1860 at the time of the corporate event.

Article 3

Reconciliation of data by trade repositories

1. A trade repository shall seek to reconcile a reported derivative by undertaking the steps set out in paragraph 3, provided that all of the following conditions are met:

(a)	the trade repository has completed the verifications set out in paragraphs 1 and 2 of Article 1;

(b)	both counterparties to the reported derivative have a reporting obligation pursuant to Article 9 of Regulation (EU) No 648/2012;

(c)	the trade repository has not received a report with the action type ‘Error’ in respect of the reported derivative, unless such report has been followed by a report with action type ‘Revive’.

2. A trade repository shall have arrangements in place to ensure the confidentiality of the data when exchanging information with other trade repositories and when providing information to reporting counterparties, report submitting entities, entities responsible for reporting as well as third parties which have been granted access to information under Article 78(7) of Regulation (EU) No 648/2012 about the values for all the fields that are subject to reconciliation.

3. Where all the conditions of paragraph 1 are met, a trade repository shall undertake the following steps, using the latest reported value for each of the fields in Table 2 of the Annex as of the preceding working day:

(a)	a trade repository having received a derivative report shall verify whether it has received a corresponding report from or on behalf of the other counterparty;

(b)

a trade repository that has not received a corresponding derivative report as referred to in point (a) shall attempt to identify the trade repository that has received the corresponding derivative report by communicating to all registered trade repositories the values of the following fields of the reported derivative: ‘Unique Transaction Identifier’, ‘Counterparty 1’ and ‘Counterparty 2’;

(c)

a trade repository that determines that another trade repository has received a corresponding derivative report referred to in point (a) shall exchange with that trade repository the details of the reported derivative in an XML format and a template developed in accordance with the ISO 20022 methodology;

(d)

a trade repository shall treat a reported derivative as reconciled where the details of that derivative subject to reconciliation match the details of the corresponding derivative as referred to in point (a) and in accordance with the applicable tolerance limits and relevant dates of application as laid down in Table 2 of the Annex;

(e)	a trade repository shall subsequently assign values for the reconciliation categories for each reported derivatives transaction, as set out in Table 3 of the Annex;

(f)	a trade repository shall conclude the steps in points (a) to (e) at the earliest opportunity and shall take no such steps after midnight Universal Coordinated Time on a given working day;

(g)	a trade repository that cannot reconcile a reported derivative shall seek to match the details of that reported derivative on the following working day. The trade repository shall no longer seek to reconcile the reported derivative thirty calendar days after the derivative is not outstanding.

4. A trade repository shall confirm the total number of paired derivatives and the number of reconciled derivatives with each trade repository with which it has reconciled derivatives at the end of each working day. A trade repository shall have in place written procedures for ensuring the resolution of all discrepancies identified in this process.

5. No later than sixty minutes after the conclusion of the reconciliation process as set out in point (f) of paragraph 3, a trade repository shall provide the report submitting entities with the results of the reconciliation process performed by it on the reported derivatives. A trade repository shall provide those results in an XML format and a template developed in accordance with the ISO 20022 methodology, including information on the fields that have not been reconciled.

Article 4

End-of-day response mechanisms

1. With regard to each working day, a trade repository shall make available to the reporting counterparties, report submitting entities, entities responsible for reporting as well as third parties which have been granted access to information under Article 78(7) of Regulation (EU) No 648/2012, as applicable, the following information on the concerned derivatives, in an XML format and a template developed in accordance with the ISO 20022 methodology:

(a)	the derivatives reported during that day;

(b)	the latest trade states of the outstanding derivatives;

(c)	the derivative reports that have been rejected during that day;

(d)	the reconciliation status of all reported derivatives subject to reconciliation pursuant to Article 3(1);

(e)	the outstanding derivatives for which no valuation has been reported, or for which the valuation that was reported is dated more than fourteen calendar days earlier than the day for which the report is generated;

(f)	the outstanding derivatives for which no margin information has been reported, or for which the margin information that was reported is dated more than fourteen calendar days earlier than the day for which the report is generated;

(g)	the derivatives that were received on that day with action type ‘New’, ‘Position component’, ‘Modification’ or ‘Correction’ and whose notional amount is abnormal for that class of derivatives.

2. A trade repository shall provide such information no later than 06:00 Coordinated Universal time on the working day following the day to which the information provided in paragraph 1 refers.

Article 5

Entry into force and application

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

It shall apply from 29 April 2024.

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

Done at Brussels, 10 June 2022.

For the Commission

The President

Ursula VON DER LEYEN

(1) OJ L 201, 27.7.2012, p. 1.

(3) 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 (See page 68 of this Official Journal).

ANNEX

Table 1

Reasons for rejection of a derivative report

Rejection categories

Reason

Schema

—	the derivative has been rejected, because of non-compliant schema.

Permission

—	the derivative has been rejected, because the report submitting entity is not permissioned to report on behalf of the reporting counterparty or the entity responsible for reporting.

Logical

—	the derivative has been rejected, because the action type for the derivative is not logically correct.

Business

—	the derivative is rejected, because the derivative is not complying with one or more content validations.

Table 2

	Section	Field	Reconciliation tolerance	Reconciliation start date
1	Parties to the derivative	Reporting timestamp	NA	NA
2	Parties to the derivative	Report submitting entity ID	NA	NA
3	Parties to the derivative	Entity responsible for reporting	NA	NA
4	Parties to the derivative	Counterparty 1 (Reporting counterparty)	Same as field 9 in this table	Start date of the reporting obligation
5	Parties to the derivative	Nature of counterparty 1	NA	NA
6	Parties to the derivative	Corporate sector of counterparty 1	NA	NA
7	Parties to the derivative	Clearing threshold of counterparty 1	NA	NA
8	Parties to the derivative	Counterparty 2 identifier type	NA	NA
9	Parties to the derivative	Counterparty 2	Same as field 4 in this table	Start date of the reporting obligation
10	Parties to the derivative	Country of counterparty 2	NA	NA
11	Parties to the derivative	Nature of counterparty 2	NA	NA
12	Parties to the derivative	Corporate sector of counterparty 2	NA	NA
13	Parties to the derivative	Clearing threshold of counterparty 2	NA	NA
14	Parties to the derivative	Reporting obligation of counterparty 2	NA	NA
15	Parties to the derivative	Broker ID	NA	NA
16	Parties to the derivative	Clearing member	NA	NA
17	Parties to the derivative	Direction	Opposite	Start date of the reporting obligation
18	Parties to the derivative	Direction of leg 1	Opposite	Start date of the reporting obligation
19	Parties to the derivative	Direction of leg 2	Opposite	Start date of the reporting obligation
20	Parties to the derivative	Directly linked to commercial activity or treasury financing	NA	NA
1	Section 2a - Identifiers and links	UTI	No	Start date of the reporting obligation
2	Section 2a - Identifiers and links	Report tracking number	No	Start date of the reporting obligation
3	Section 2a - Identifiers and links	Prior UTI (for one-to-one and one-to-many relations between transactions)	No	Two years after the start date of the reporting obligation
4	Section 2a - Identifiers and links	Subsequent position UTI	No	Two years after the start date of the reporting obligation
5	Section 2a - Identifiers and links	Post Trade Risk Reduction (PTRR) ID	NA	NA
6	Section 2a - Identifiers and links	Package identifier	NA	NA
7	Section 2b – Contract information	International Securities Identification Number (ISIN)	No	Start date of the reporting obligation
8	Section 2b – Contract information	Unique product identifier (UPI)	No	Start date of the reporting obligation
9	Section 2b – Contract information	Product classification	No	Start date of the reporting obligation
10	Section 2b – Contract information	Contract type	No	Start date of the reporting obligation
11	Section 2b – Contract information	Asset class	No	Start date of the reporting obligation
12	Section 2b – Contract information	Derivative based on crypto-assets	No	Two years from the start date of the reporting obligation
13	Section 2b – Contract information	Underlying identification type	No	Start date of the reporting obligation
14	Section 2b – Contract information	Underlying identification	No	Start date of the reporting obligation
15	Section 2b – Contract information	Indicator of the underlying index	Yes	Two years from the start date of the reporting obligation
16	Section 2b – Contract information	Name of the underlying index	Yes	Two years from the start date of the reporting obligation
17	Section 2b – Contract information	Custom basket code	No	Two years from the start date of the reporting obligation
18	Section 2b – Contract information	Identifier of the basket’s constituents	Yes	Two years from the start date of the reporting obligation
19	Section 2b – Contract information	Settlement currency 1	No	Two years from the start date of the reporting obligation
20	Section 2b – Contract information	Settlement currency 2	No	Two years from the start date of the reporting obligation
21	Section 2c – Valuation	Valuation amount	Yes	Two years from the start date of the reporting obligation
22	Section 2c – Valuation	Valuation currency	No	Two years from the start date of the reporting obligation
23	Section 2c – Valuation	Valuation timestamp	NA	NA
24	Section 2c – Valuation	Valuation method	No	Two years from the start date of the reporting obligation
25	Section 2c – Valuation	Delta	Yes	Two years from the start date of the reporting obligation
26	Section 2d - Collateral	Collateral portfolio indicator	NA	NA
27	Section 2d - Collateral	Collateral portfolio code	NA	NA
28	Section 2e - Risk mitigation / Reporting	Confirmation timestamp	Yes	Start date of the reporting obligation
29	Section 2e - Risk mitigation / Reporting	Confirmed	No	Start date of the reporting obligation
30	Section 2f - Clearing	Clearing obligation	Yes	Start date of the reporting obligation
31	Section 2f - Clearing	Cleared	No	Start date of the reporting obligation
32	Section 2f - Clearing	Clearing timestamp	Yes	Start date of the reporting obligation
33	Section 2f - Clearing	Central counterparty	No	Start date of the reporting obligation
34	Section 2g - Details on the transaction	Master Agreement type	Yes	Start date of the reporting obligation
35	Section 2g - Details on the transaction	Other master agreement type	NA	NA
36	Section 2g - Details on the transaction	Master Agreement version	No	Start date of the reporting obligation
37	Section 2g - Details on the transaction	Intragroup	No	Start date of the reporting obligation
38	Section 2g - Details on the transaction	PTRR	No	Start date of the reporting obligation
39	Section 2g - Details on the transaction	Type of PTRR technique	No	Start date of the reporting obligation
40	Section 2g - Details on the transaction	PTRR service provider	No	Start date of the reporting obligation
41	Section 2g - Details on the transaction	Venue of execution	No	Start date of the reporting obligation
42	Section 2c - Details on the transaction	Execution timestamp	Yes	Start date of the reporting obligation
43	Section 2c - Details on the transaction	Effective date	No	Start date of the reporting obligation
44	Section 2c - Details on the transaction	Expiration date	No	Start date of the reporting obligation
45	Section 2c - Details on the transaction	Early termination date	No	Start date of the reporting obligation
46	Section 2c - Details on the transaction	Final contractual settlement date	No	Start date of the reporting obligation
47	Section 2c - Details on the transaction	Delivery type	No	Start date of the reporting obligation
48	Section 2g - Details on the transaction	Price	Yes	Start date of the reporting obligation
49	Section 2g - Details on the transaction	Price currency	No	Start date of the reporting obligation
50	Section 2g - Details on the transaction	Unadjusted effective date of the price	No	Two years from the start date of the reporting obligation
51	Section 2g - Details on the transaction	Unadjusted end date of the price	No	Two years from the start date of the reporting obligation
52	Section 2g - Details on the transaction	Price in effect between the unadjusted effective date and the end date	Yes	Two years from the start date of the reporting obligation
53	Section 2g - Details on the transaction	Package transaction price	Yes	Two years from the start date of the reporting obligation
54	Section 2g - Details on the transaction	Package transaction price currency	No	Two years from the start date of the reporting obligation
55	Section 2g - Details on the transaction	Notional amount of leg 1	Yes	Start date of the reporting obligation
56	Section 2g - Details on the transaction	Notional currency 1	No	Start date of the reporting obligation
57	Section 2g - Details on the transaction	Effective date of the notional amount of leg 1	No	Start date of the reporting obligation
58	Section 2g - Details on the transaction	End date of the notional amount of leg 1	No	Start date of the reporting obligation
59	Section 2g - Details on the transaction	Notional amount in effect on associated effective date of leg 1	Yes	Start date of the reporting obligation
60	Section 2g - Details on the transaction	Total notional quantity of leg 1	Yes	Start date of the reporting obligation
61	Section 2g - Details on the transaction	Effective date of the notional quantity of leg 1	No	Start date of the reporting obligation
62	Section 2g - Details on the transaction	End date of the notional quantity of leg 1	No	Start date of the reporting obligation
63	Section 2g - Details on the transaction	Notional quantity in effect on associated effective date of leg 1	Yes	Start date of the reporting obligation
64	Section 2g - Details on the transaction	Notional amount of leg 2	Yes	Start date of the reporting obligation
65	Section 2g - Details on the transaction	Notional currency 2	No	Start date of the reporting obligation
66	Section 2g - Details on the transaction	Effective date of the notional amount of leg 2	No	Start date of the reporting obligation
67	Section 2g - Details on the transaction	End date of the notional amount of leg 2	No	Start date of the reporting obligation
68	Section 2g - Details on the transaction	Notional amount in effect on associated effective date of leg 2	Yes	Start date of the reporting obligation
69	Section 2g - Details on the transaction	Total notional quantity of leg 2	Yes	Start date of the reporting obligation
70	Section 2g - Details on the transaction	Effective date of the notional quantity of leg 2	No	Start date of the reporting obligation
71	Section 2g - Details on the transaction	End date of the notional quantity of leg 2	No	Start date of the reporting obligation
72	Section 2g - Details on the transaction	Notional quantity in effect on associated effective date of leg 2	Yes	Start date of the reporting obligation
73	Section 2g - Details on the transaction	Other payment type	No	Two years from the start date of the reporting obligation
74	Section 2g - Details on the transaction	Other payment amount	Yes	Two years from the start date of the reporting obligation
75	Section 2g - Details on the transaction	Other payment currency	No	Two years from the start date of the reporting obligation
76	Section 2g - Details on the transaction	Other payment date	No	Two years from the start date of the reporting obligation
77	Section 2g - Details on the transaction	Other payment payer	Yes	Two years from the start date of the reporting obligation
78	Section 2g - Details on the transaction	Other payment receiver	Yes	Two years from the start date of the reporting obligation
79	Section 2h - Interest Rates	Fixed rate of leg 1 or coupon	Yes	Start date of the reporting obligation
80	Section 2h - Interest Rates	Fixed rate or coupon day count convention leg 1	No	Start date of the reporting obligation
81	Section 2h - Interest Rates	Fixed rate or coupon payment frequency period leg 1	No	Start date of the reporting obligation
82	Section 2h - Interest Rates	Fixed rate or coupon payment frequency period multiplier leg 1	No	Start date of the reporting obligation
83	Section 2h - Interest Rates	Identifier of the floating rate of leg 1	No	Start date of the reporting obligation
84	Section 2h - Interest Rates	Indicator of the floating rate of leg 1	No	Start date of the reporting obligation
85	Section 2h - Interest Rates	Name of the floating rate of leg 1	NA	NA
86	Section 2h - Interest Rates	Floating rate day count convention of leg 1	No	Start date of the reporting obligation
87	Section 2h - Interest Rates	Floating rate payment frequency period of leg 1	No	Start date of the reporting obligation
88	Section 2h - Interest Rates	Floating rate payment frequency period multiplier of leg 1	No	Start date of the reporting obligation
89	Section 2h - Interest Rates	Floating rate reference period of leg 1 – time period	No	Start date of the reporting obligation
90	Section 2h - Interest Rates	Floating rate reference period of leg 1 – multiplier	No	Start date of the reporting obligation
91	Section 2h - Interest Rates	Floating rate reset frequency period of leg 1	No	Start date of the reporting obligation
92	Section 2h - Interest Rates	Floating rate reset frequency multiplier of leg 1	No	Start date of the reporting obligation
93	Section 2h - Interest Rates	Spread of leg 1	Yes	Two years from the start date of the reporting obligation
94	Section 2h - Interest Rates	Spread currency of leg 1	No	Two years from the start date of the reporting obligation
95	Section 2h - Interest Rates	Fixed rate of leg 2	Yes	Start date of the reporting obligation
96	Section 2h - Interest Rates	Fixed rate day count convention leg 2	No	Start date of the reporting obligation
97	Section 2h - Interest Rates	Fixed rate payment frequency period leg 2	No	Start date of the reporting obligation
98	Section 2h - Interest Rates	Fixed rate payment frequency period multiplier leg 2	No	Start date of the reporting obligation
99	Section 2h - Interest Rates	Identifier of the floating rate of leg 2	No	Start date of the reporting obligation
100	Section 2h - Interest Rates	Indicator of the floating rate of leg 2	No	Start date of the reporting obligation
101	Section 2h - Interest Rates	Name of the floating rate of leg 2	NA	NA
102	Section 2h - Interest Rates	Floating rate day count convention of leg 2	No	Start date of the reporting obligation
103	Section 2h - Interest Rates	Floating rate payment frequency period of leg 2	No	Start date of the reporting obligation
104	Section 2h - Interest Rates	Floating rate payment frequency period multiplier of leg 2	No	Start date of the reporting obligation
105	Section 2h - Interest Rates	Floating rate reference period of leg 2 – time period	No	Start date of the reporting obligation
106	Section 2h - Interest Rates	Floating rate reference period of leg 2 – multiplier	No	Start date of the reporting obligation
107	Section 2h - Interest Rates	Floating rate reset frequency period of leg 2	No	Start date of the reporting obligation
108	Section 2h - Interest Rates	Floating rate reset frequency multiplier of leg 2	No	Start date of the reporting obligation
109	Section 2h - Interest Rates	Spread of leg 2	Yes	Two years from the start date of the reporting obligation
110	Section 2h - Interest Rates	Spread currency of leg 2	No	Two years from the start date of the reporting obligation
111	Section 2h - Interest Rates	Package transaction spread	Yes	Two years from the start date of the reporting obligation
112	Section 2h - Interest Rates	Package transaction spread currency	No	Two years from the start date of the reporting obligation
113	Section 2i – Foreign Exchange	Exchange rate 1	Yes	Two years from the start date of the reporting obligation
114	Section 2i – Foreign Exchange	Forward exchange rate	Yes	Two years from the start date of the reporting obligation
115	Section 2i – Foreign Exchange	Exchange rate basis	No	Two years from the start date of the reporting obligation
116	Section 2j - Commodities and emission allowances (General)	Base product	No	Two years from the start date of the reporting obligation
117	Section 2j - Commodities and emission allowances (General)	Sub-product	No	Two years from the start date of the reporting obligation
118	Section 2j - Commodities and emission allowances (General)	Further sub-product	No	Two years from the start date of the reporting obligation
119	Section 2k - Commodities and emission allowances (Energy)	Delivery point or zone	No	Two years from the start date of the reporting obligation
120	Section 2k - Commodities and emission allowances (Energy)	Interconnection Point	No	Two years from the start date of the reporting obligation
121	Section 2k - Commodities and emission allowances (Energy)	Load type	No	Two years from the start date of the reporting obligation
122	Section 2k - Commodities and emission allowances (Energy)	Delivery interval start time	Yes	Two years from the start date of the reporting obligation
123	Section 2k - Commodities and emission allowances (Energy)	Delivery interval end time	Yes	Two years from the start date of the reporting obligation
124	Section 2k - Commodities and emission allowances (Energy)	Delivery start date	No	Two years from the start date of the reporting obligation
125	Section 2k - Commodities and emission allowances (Energy)	Delivery end date	No	Two years from the start date of the reporting obligation
126	Section 2k - Commodities and emission allowances (Energy)	Duration	No	Two years from the start date of the reporting obligation
127	Section 2k - Commodities and emission allowances (Energy)	Days of the week	No	Two years from the start date of the reporting obligation
128	Section 2k - Commodities and emission allowances (Energy)	Delivery capacity	Yes	Two years from the start date of the reporting obligation
129	Section 2k - Commodities and emission allowances (Energy)	Quantity Unit	No	Two years from the start date of the reporting obligation
130	Section 2k - Commodities and emission allowances (Energy)	Price/time interval quantity	Yes	Two years from the start date of the reporting obligation
131	Section 2k - Commodities and emission allowances (Energy)	Currency of the price/time interval quantity	No	Two years from the start date of the reporting obligation
132	Section 2l - Options	Option type	No	Start date of the reporting obligation
133	Section 2l - Options	Option style	No	Start date of the reporting obligation
134	Section 2l - Options	Strike price	Yes	Two years from the start date of the reporting obligation
135	Section 2l - Options	Effective date of the strike price	No	Two years from the start date of the reporting obligation
136	Section 2l - Options	End date of the strike price	No	Two years from the start date of the reporting obligation
137	Section 2l - Options	Strike price in effect on associated effective date	Yes	Two years from the start date of the reporting obligation
138	Section 2l - Options	Strike price currency/currency pair	No	Two years from the start date of the reporting obligation
139	Section 2l - Options	Option premium amount	Yes	Two years from the start date of the reporting obligation
140	Section 2l - Options	Option premium currency	No	Two years from the start date of the reporting obligation
141	Section 2l - Options	Option premium payment date	No	Two years from the start date of the reporting obligation
142	Section 2i - Options	Maturity date of the underlying	No	Start date of the reporting obligation
143	Section 2m – Credit derivatives	Seniority	No	Start date of the reporting obligation
144	Section 2m – Credit derivatives	Reference entity	No	Start date of the reporting obligation
145	Section 2m – Credit derivatives	Series	No	Two years from the start date of the reporting obligation
146	Section 2m – Credit derivatives	Version	No	Two years from the start date of the reporting obligation
147	Section 2m – Credit derivatives	Index factor	Yes	Start date of the reporting obligation
148	Section 2m – Credit derivatives	Tranche	No	Start date of the reporting obligation
149	Section 2m – Credit derivatives	Credit Default Swap (CDS) index attachment point	Yes	Two years from the start date of the reporting obligation
150	Section 2m – Credit derivatives	CDS index detachment point	Yes	Two years from the start date of the reporting obligation
151	Section 2n - Modifications to the derivative	Action type	NA	NA
152	Section 2n - Modifications to the derivative	Event type	NA	NA
153	Section 2n - Modifications to the derivative	Event date	NA	NA
154	Section 2n - Modifications to the derivative	Level	No	Start date of the reporting obligation

Table 3

Reconciliation categories	Allowable values
Reporting requirement for both counterparties	Yes/No
Reporting type	Single-sided/dual-sided
Pairing	Paired/unpaired
Reconciliation	Reconciled/not reconciled
Valuation reconciliation	Reconciled/not reconciled
Revived	Yes/No
Further modifications	Yes/No

7.10.2022

Official Journal of the European Union

L 262/68

COMMISSION IMPLEMENTING REGULATION (EU) 2022/1860

of 10 June 2022

laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

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

Whereas:

(1)

Commission Implementing Regulation (EU) No 1247/2012 (2) has been substantially amended. Since further amendments would be needed in order to improve the clarity and coherence of the legal framework, including reporting requirements in other jurisdictions, Implementing Regulation (EU) No 1247/2012 should be repealed and replaced by this Regulation.

(2)

The details reported to trade repositories by the counterparties to derivatives should be submitted in a harmonised format in order to facilitate data collection, aggregation and comparison across trade repositories. Therefore, the format for each of the fields to be reported should be prescribed and reports should be standardised by reference to an ISO standard that is widely used in the financial industry.

(3)

A number of reports may be submitted for a single derivative, for example if successive modifications are made to that derivative. In order to ensure that each report relating to a derivative, and each derivative as a whole, is properly understood, reports should be submitted in the chronological sequence in which the reported events occurred.

(4)	To lessen the burden of reporting the modification of certain values, and in particular the details relating to the valuation of the contract and the margin posted or received, those details should be reported as they stand at the end of each day.

(5)

The global legal entity identifier (‘LEI’) system has now been fully implemented and each counterparty to a derivative or entity responsible for reporting should therefore only use that system to identify a legal entity in a report. For the use of the LEI system to be effective, that counterparty or that entity responsible for reporting should ensure that the reference data related to its LEI are renewed in accordance with the terms of an accredited LEI issuer, referred to as a Local Operating Unit.

(6)	Determining the counterparty side in a derivative is complex for certain products. Therefore, in order to ensure that this information is reported consistently and accurately, specific rules for the determination of the direction of the derivative should be established.

(7)

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

(8)

The accurate specification and classification as well as precise identification of derivatives is essential for the efficient use of data and for the meaningful aggregation of data across trade repositories, and therefore contributes to the objectives of the Financial Stability Board set out in the Feasibility Study on Aggregation of OTC Derivatives Trade Repository Data published on 19 September 2014. Furthermore, the implementation of the globally agreed Unique Product Identifier (UPI) is essential for enabling the aggregation of derivative data at global level. Reporting requirements relating to the classification and identification of derivatives should therefore be set out so that this information is available in its entirety to competent authorities.

(9)

Timely generation and provision of the Unique Trade Identifier (UTI) (3) is indispensable to enable both counterparties to use the same UTI, thus ensuring the correct identification and association of the two reports pertaining to the same derivative. It is therefore necessary to establish criteria to determine the entity responsible for the generation of the UTI so as to avoid counting the same derivative twice. Furthermore, in order to secure this objective for the derivatives concluded with counterparties outside of the Union, it is important to align these rules with the globally agreed guidance on the UTI.

(10)

Change of the LEI of a given entity due to a corporate event or obtaining of a LEI by a legal entity may result in a need of updating a substantial number of reports, notably all reports where such entity is identified as party involved in a derivative. For that reason, a procedure should be established to ensure that trade repositories can update the identifier of the entity in a centralised manner, thus ensuring an efficient, robust and timely process.

(11)

Authorities may not be aware of certain significant reporting problems of the supervised reporting entities, for example when such problems do not result in rejections of reports or reconciliation failures. To ensure that authorities have visibility of significant reporting problems, entities responsible for reporting should notify the competent authorities of relevant errors and omission in reporting.

(12)

Where a financial counterparty is solely responsible and legally liable for reporting of the details of OTC derivative contracts on behalf of a non-financial counterparty pursuant to Article 9(1a) of Regulation (EU) No 648/2012, the financial counterparty should put in place necessary arrangements to ensure that it can duly comply with this obligation without duplication of the reporting of details of derivatives.

(13)

Reconciliation breaks are a clear indication of potential problems with the quality of the reported data. Therefore, the counterparties, the entities responsible for reporting and the report submitting entities, as applicable, should have in place arrangements to ensure that the reconciliation failures are resolved.

(14)

In order to ensure that authorities can effectively fulfil their mandates, in particular related to financial stability, it is necessary that they have a clear and complete picture of all derivatives with outstanding risk. Only a harmonised requirement to duly update all outstanding derivatives can prevent divergences in the implementation of reporting requirements applying to outstanding derivatives and hence mitigate the risk of undermining supervisory convergence. Furthermore, ensuring that reports pertaining to outstanding derivatives are aligned in terms of data content and data quality, allows for simplification of the reporting flows thus resulting in the long term in reduction of costs for all relevant stakeholders, including trade repositories, reporting entities and authorities. Thus, to secure improvement of the functioning and reduction of the burden of reporting, in line with the objectives of the amendments of Regulation (EU) No 648/2012 introduced by Regulation (EU) 2019/834 of the European Parliament and of the Council (4), it is essential that counterparties report complete and accurate details of all outstanding derivatives in accordance with the currently applicable requirements. To mitigate the initial burden related to the update of outstanding derivatives, additional time should be granted for the counterparties to update the data pertaining to the outstanding derivatives. Furthermore, counterparties should be required to submit such update only if no modification occurs within that time that would require the counterparty to report complete and accurate details of the derivative in a report pertaining to that modification.

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

(16)

ESMA has consulted the members of the European System of Central Banks before submitting the draft implementing technical standards on which this Regulation is based. ESMA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (5).

(17)	To enable counterparties and trade repositories to take all necessary actions to adapt to the new requirements, the date of application of this Regulation should be deferred by eighteen months,

HAS ADOPTED THIS REGULATION:

Article 1

Data standards and formats of derivative reports

The details of a derivative contract to be reported pursuant to Article 9 of Regulation (EU) No 648/2012 shall be provided in accordance with the standards and formats laid down in Tables 1, 2 and 3 of the Annex to this Regulation and in a common electronic and machine-readable form and in a common XML template in accordance with the ISO 20022 methodology.

Article 2

Frequency of reports

1. All reports of the details of a derivative specified in Article 1 of Commission Delegated Regulation (EU) 2022/1855 (6) shall be provided in the chronological order in which the events pertaining to the information to be reported have occurred.

2. A CCP, a financial counterparty or a non-financial counterparty as referred to in Article 10 of Regulation (EU) No 648/2012, which is a counterparty to a derivative, or the entity responsible for reporting, shall report any modification of the details relating to the collateral data in fields 1 to 29 in Table 3 of the Annex to Delegated Regulation (EU) 2022/1855 with action type ‘Margin update’, as those details stand at the end of each day, for that derivative when:

(a)	the derivative has not matured and has not been the subject of a report with the action type ‘Terminate’, ‘Error’ or ‘Position component’ as referred to in field 151 in Table 2 of the Annex; or

(b)	the derivative was subject to a report with action type ‘Revive’ not followed by another report with the action type ‘Terminate’ or ‘Error’ as referred to in field 151 in Table 2 of the Annex.

3. A counterparty to a derivative referred to in points (a) and (b) of paragraph 2 that is a CCP, a financial counterparty or a non-financial counterparty as referred to in Article 10 of Regulation (EU) No 648/2012 or the entity responsible for reporting shall report the end-of-day mark-to-market or mark-to-model valuation of the contract in fields 21 to 25 in Table 2 of the Annex to Delegated Regulation (EU) 2022/1855 with action type ‘Valuation update’, as it stands at the end of each day.

Article 3

Identification of counterparties and other entities

1. A report shall use an ISO 17442 Legal Entity Identifier (LEI) code to identify:

(a)	a broking entity;

(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 in accordance with paragraphs 2 to 14.

2. In the case of options and swaptions, the counterparty that holds the right to exercise the option shall be identified as the buyer and the counterparty that sells the option and receives a premium shall be identified as the seller.

3. In the case of forwards related to currencies, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

4. In the case of swaps related to currencies where multiple exchanges of currencies take place, each counterparty for both legs of the trade shall be identified as either the payer or the receiver of the leg based on the exchange of currencies that takes place closest to the expiration date.

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

6. In the case of financial contracts for difference and spreadbets the counterparty which goes short on the contract shall be identified as the seller, and the counterparty going long on the contract shall be identified as the buyer.

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

8. In the case of swaps related to securities other than swaps related to dividends, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

9. In the case of swaps related to interest rates or inflation indices, including the cross-currency swaps, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

10. With the exception of options and swaptions, in the case of derivative instruments for the transfer of credit risk, the counterparty buying the protection shall be identified as the buyer and the counterparty selling the protection shall be identified as the seller.

11. In the case of swaps related to commodities, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

12. In the case of forward-rate agreements, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

13. In the case of derivatives related to variance, volatility and correlation, the counterparty profiting from an increase in the price of the underlying shall be identified as the buyer and the counterparty profiting from a decrease in the price of the underlying shall be identified as the seller.

Article 5

Collateralisation

Reporting counterparty shall identify the type of collateralisation of the derivative contract or a portfolio of derivatives referred to in field 11 in Table 3 of the Annex as follows:

(a)	as ‘uncollateralised’ where no collateral agreement exists between the counterparties or where the collateral agreement between the counterparties stipulates that the counterparties post neither initial margin nor variation margin with respect to the derivative or a portfolio of derivatives;

(b)

as ‘partially collateralised: counterparty 1 only’ where the collateral agreement between the counterparties stipulates that the reporting counterparty only posts regularly variation margins and that the other counterparty does not post any margin with respect to the derivative or a portfolio of derivatives;

(c)

as ‘partially collateralised: counterparty 2 only’ where the collateral agreement between the counterparties stipulates that the other counterparty only posts regularly variation margin and that the reporting counterparty does not post any margin with respect to the derivative or a portfolio of derivatives;

(d)	as ‘partially collateralised’ where the collateral agreement between the counterparties stipulates that both counterparties only post regularly variation margin with respect to the derivative or a portfolio of derivatives;

(e)

as ‘one-way collateralised: counterparty 1 only’ where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margins and that the other counterparty does not post any margins with respect to the derivative or a portfolio of derivatives;

(f)

as ‘one-way collateralised: counterparty 2 only’ where the collateral agreement between the counterparties stipulates that the other counterparty posts the initial margin and regularly posts variation margins and that the reporting counterparty does not post any margins with respect to the derivative or a portfolio of derivatives;

(g)

as ‘one-way/partially collateralised: counterparty 1’ where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margin and that the other counterparty regularly posts only variation margin with respect to the derivative or a portfolio of derivatives;

(h)

as ‘one-way/partially collateralised: counterparty 2’ where the collateral agreement between the counterparties stipulates that the other counterparty posts the initial margin and regularly posts variation margin and that the reporting counterparty regularly posts only variation margin with respect to the derivative or a portfolio of derivatives

(i)	as ‘fully collateralised’ where the collateral agreement between the counterparties stipulates that both counterparties post initial margin and regularly post variation margins with respect to the derivative with respect to the derivative or a portfolio of derivatives.

Article 6

Specification, identification, and classification of derivatives

1. A report shall specify a derivative on the basis of contract type and asset class in accordance with fields 10 and 11 in Table 2 of the Annex.

The report shall specify the asset class most closely resembling the derivative where derivatives do not belong to one of the classes of derivatives referred to in field 11 in Table 2 of the Annex. Both counterparties shall specify the same asset class.

2. A derivative shall be identified in field 7 in Table 2 of the Annex using an ISO 6166 International Securities Identification Number (ISIN) code in either of the following cases:

(a)	it is admitted to trading or traded on a trading venue;

(b)	it is traded on a systematic internaliser and its underlying is admitted to trading or traded on a trading venue or is an index or basket composed of instruments traded on a trading venue.

3. A derivative other than the derivative referred to in paragraph 2 shall be identified in field 8 of Table 2 of the Annex using an ISO 4914 Unique Product Identifier (UPI) code.

4. The reporting counterparty shall classify the derivative in field 9 in Table 2 of the Annex using an ISO 10962 Classification of Financial Instrument (CFI) code.

Article 7

Unique Trade Identifier

1. The counterparties shall report derivatives using the UTI generated in accordance with paragraphs 2, 3 and 5.

2. A derivative, reported either at transaction or position level, shall be identified using a ISO 23897 Unique Transaction Identifier (UTI) in field 1 in Table 2 of the Annex. The UTI shall be composed by the LEI of the entity which generated that UTI followed by a code containing up to 32 characters which is unique at the level of the generating entity.

3. The counterparties shall determine the entity responsible for generating the UTI in accordance with the following:

(a)	for cleared derivatives other than derivatives between two CCPs, the UTI shall be generated at the point of clearing by the CCP for the clearing member. A different UTI shall be generated by the clearing member for its counterparty for a trade in which the CCP is not a counterparty;

(b)	for centrally-executed but not centrally-cleared derivatives, the UTI shall be generated by the venue of execution for its member;

(c)

for derivatives other than those referred to in points (a) and (b), where either counterparty is subject to the reporting requirements in a third country, the UTI shall be generated pursuant to the rules of the jurisdiction of the counterparty that must comply first with those reporting requirements.

Where the counterparty subject to reporting under Article 9 of Regulation (EU) No 648/2012 must comply first with the reporting requirements, the entity responsible for generating the UTI shall be as follows:

(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 (7).

The entity responsible for reporting shall promptly notify any of those instances, as soon as it becomes aware of them.

The notification shall indicate at least the type of the error or omission, the date of the occurrence, scope of the affected reports, reasons for the errors or omissions, steps taken to resolve the issue and the timeline for resolution of the issue and corrections.

2. Where a financial counterparty is solely responsible and legally liable for reporting of the details of OTC derivative contracts on behalf of a non-financial counterparty pursuant to Article 9(1a) of Regulation (EU) No 648/2012, it shall put in place the following arrangements:

(a)

arrangements for the timely provision by the non-financial counterparty of the following details of the OTC derivative contracts that the financial counterparty cannot be reasonably expected to possess and where those are unknown by that financial counterparty:

(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.

Article 10

The date by which derivative contracts are to be reported

A counterparty to a derivative that fulfils the conditions set out in point (a) or (b) of Article 2(2) on XX.XX.20XX or the entity responsible for reporting shall report all details of that derivative required in accordance with the Annex by submitting a report with event type ‘Update’ within 180 calendar days of the [PO please insert date of application of the ITS], unless they have submitted a report with the action type ‘Modify’ or ‘Correct’ for that derivative within this period.

Article 11

Repeal

Implementing Regulation (EU) No 1247/2012 is repealed.

References to the repealed Regulation shall be construed as references to this Regulation.

Article 12

Entry into force and application

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

It shall apply from 29 April 2024.

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

Done at Brussels, 10 June 2022.

For the Commission

The President

Ursula VON DER LEYEN

(1) OJ L 201, 27.7.2012, p. 1.

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

(3) The term ‘unique trade identifier (UTI)’ used in Article 9(6) of Regulation (EU) No 648/2012 corresponds to that of Unique Transaction Identifier (UTI) used in the standard ISO 23897.

(4) Regulation (EU) 2019/834 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 648/2012 as regards the clearing obligation, the suspension of the clearing obligation, the reporting requirements, the risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty, the registration and supervision of trade repositories and the requirements for trade repositories (OJ L 141, 28.5.2019, p. 42)

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

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

(7) Commission Delegated Regulation (EU) 2022/1858 of 10 June 2022 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards specifying the procedures for the reconciliation of data between trade repositories and the procedures to be applied by the trade repository to verify the compliance by the reporting counterparty or submitting entity with the reporting requirements and to verify the completeness and correctness of the data reported (See page 46 of this Official Journal).

ANNEX

Table 1

Section

Field

Format

Parties to the derivative

Reporting timestamp

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

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.

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.

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.

Parties to the derivative

Nature of counterparty 1

F = Financial Counterparty

N = Non-Financial Counterparty

C = Central Counterparty

O = Other

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).

Parties to the derivative

Clearing threshold of counterparty 1

Boolean value:

TRUE = Above the threshold

FALSE = Below the threshold

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’).

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.

Parties to the derivative

Country of counterparty 2

ISO 3166 Country Code - 2 character country code

Parties to the derivative

Nature of counterparty 2

F = Financial Counterparty

N = Non-Financial Counterparty

C = Central Counterparty

O = Other

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.

Parties to the derivative

Clearing threshold of counterparty 2

Boolean value:

TRUE = Above the threshold

FALSE = Below the threshold

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

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.

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 .

Parties to the derivative

Direction

4 alphabetic characters:

BYER = buyer

SLLR = seller

Populated in accordance with Article 4 of this Regulation

Parties to the derivative

Direction of leg 1

4 alphabetic characters:

MAKE = payer

TAKE = receiver

Populated in accordance with Article 4 of this Regulation

Parties to the derivative

Direction of leg 2

4 alphabetic characters:

MAKE = payer

TAKE = receiver

Populated in accordance with Article 4 of this Regulation

Parties to the derivative

Directly linked to commercial activity or treasury financing

Boolean value:

TRUE = Yes

FALSE= No

Table 2

Section

Field

Format

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

Section 2a - Identifiers and links

Report tracking number

An alphanumeric field up to 52 characters

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

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

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

Section 2a - Identifiers and links

Package identifier

Up to 35 alphanumeric characters.

Section 2b – Contract information

International Securities Identification Number (ISIN)

ISO 6166 ISIN, 12 character alphanumeric code

Section 2b – Contract information

Unique product identifier (UPI)

ISO 4914 UPI, 12 character alphanumeric code

Section 2b – Contract information

Product classification

ISO 10962 CFI, 6 characters alphabetic code

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

Section 2b – Contract information

Asset class

COMM = Commodity and emission allowances

CRDT = Credit

CURR = Currency

EQUI = Equity

INTR = Interest Rate

Section 2b – Contract information

Derivative based on crypto-assets

Boolean value:

—	TRUE - for derivatives based on crypto-assets

—	FALSE - for other derivatives

Section 2b – Contract information

Underlying identification type

1 alphabetic character:

I = ISIN

B = Basket

X = Index

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

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

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.

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.

Section 2b – Contract information

Identifier of the basket’s constituents

For underlying identification type B: All individual components identified through ISO 6166 ISIN

Section 2b – Contract information

Settlement currency 1

ISO 4217 Currency Code, 3 alphabetic characters

Section 2b – Contract information

Settlement currency 2

ISO 4217 Currency Code, 3 alphabetic characters

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.

Section 2c – Valuation

Valuation currency

ISO 4217 Currency Code, 3 alphabetic characters

Section 2c – Valuation

Valuation timestamp

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

Section 2c – Valuation

Valuation method

4 alphabetic characters:

MTMA = Mark-to-market

MTMO = Mark-to-model

CCPV = CCP’s valuation.

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.

Section 2d - Collateral

Collateral portfolio indicator

Boolean value:

TRUE = collateralised on a portfolio basis

FALSE = not part of a portfolio

Section 2d - Collateral

Collateral portfolio code

Up to 52 alphanumeric characters

Special characters are not allowed

Section 2e - Risk mitigation / Reporting

Confirmation timestamp

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

Section 2e - Risk mitigation / Reporting

Confirmed

4 alphabetic characters:

—	NCNF = unconfirmed

—	ECNF = electronic

—	YCNF = non-electronic

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

Section 2f - Clearing

Cleared

1 alphabetic character:

Y= yes, centrally cleared, for beta and gamma transactions.

N= no, not centrally cleared.

Section 2f - Clearing

Clearing timestamp

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

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.

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

Section 2g - Details on the transaction

Other master agreement type

Up to 50 alphanumeric characters.

Section 2g - Details on the transaction

Master Agreement version

ISO 8601 date in the format YYYY

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

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

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

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.

Section 2g - Details on the transaction

Venue of execution

ISO 10383 Market Identifier Code (MIC), 4 alphanumeric characters

Section 2c - Details on the transaction

Execution timestamp

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

Section 2c - Details on the transaction

Effective date

ISO 8601 date in the UTC format YYYY-MM-DD.

Section 2c - Details on the transaction

Expiration date

ISO 8601 date in the UTC format YYYY-MM-DD.

Section 2c - Details on the transaction

Early termination date

ISO 8601 date in the UTC format YYYY-MM-DD.

Section 2c - Details on the transaction

Final contractual settlement date

ISO 8601 date in the UTC format YYYY-MM-DD.

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

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.

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

Section 2g - Details on the transaction

Unadjusted effective date of the price

ISO 8601 date in the UTC format YYYY-MM-DD.

Section 2g - Details on the transaction

Unadjusted end date of the price

ISO 8601 date in the UTC format YYYY-MM-DD.

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.

—

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.

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.

Section 2g - Details on the transaction

Package transaction price currency

ISO 4217 Currency Code, 3 alphabetic characters

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.

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

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

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

Section 2g - Details on the transaction

Notional amount in effect on associated effective date of leg 1

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

Section 2g - Details on the transaction

Total notional quantity of leg 1

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

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

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

Section 2g - Details on the transaction

Notional quantity in effect on associated effective date of leg 1

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

Section 2g - Details on the transaction

Notional amount of leg 2

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

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

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

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

Section 2g - Details on the transaction

Notional amount in effect on associated effective date of leg 2

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

Section 2g - Details on the transaction

Total notional quantity of leg 2

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

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

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

Section 2g - Details on the transaction

Notional quantity in effect on associated effective date of leg 2

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

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

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.

Section 2g - Details on the transaction

Other payment currency

ISO 4217 Currency Code, 3 alphabetic characters

Section 2g - Details on the transaction

Other payment date

ISO 8601 date in the UTC format YYYY-MM-DD.

Section 2g - Details on the transaction

Other payment payer

—

Section 2g – Details on the transaction

Other payment receiver

—

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.

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

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

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.

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.

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

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.

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

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

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.

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

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.

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

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.

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%).

Section 2h - Interest Rates

Spread currency of leg 1

ISO 4217 Currency Code, 3 alphabetic characters

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.

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

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

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.

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

—

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

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,

ISO 3166-2 Country Code - 2 character country code followed by dash ‘-’ and up to 3 alphanumeric character country subdivision code,

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

Parties to the derivative

Reporting timestamp

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

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.

Parties to the derivative

Entity responsible for reporting

Parties to the derivative

Counterparty 1 (Reporting counterparty)

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.

Parties to the derivative

Counterparty 2

—

Collateral

Collateral timestamp

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

Collateral

Collateral portfolio indicator

Boolean value:

TRUE = collateralised on a portfolio basis

FALSE = not part of a portfolio

Collateral

Collateral portfolio code

Up to 52 alphanumeric characters

Special characters are not allowed

Collateral

UTI

Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed

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

Collateral

Initial margin posted by counterparty 1 (pre-haircut)

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

Collateral

Initial margin posted by counterparty 1 (post-haircut)

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

Collateral

Currency of the initial margin posted

ISO 4217 Currency Code, 3 alphabetic characters

Collateral

Variation margin posted by counterparty 1 (pre-haircut)

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

Collateral

Variation margin posted by counterparty 1 (post-haircut)

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

Collateral

Currency of the variation margins posted

ISO 4217 Currency Code, 3 alphabetic characters

Collateral

Excess collateral posted by counterparty 1

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

Collateral

Currency of the excess collateral posted

ISO 4217 Currency Code, 3 alphabetic characters

Collateral

Initial margin collected by counterparty 1 (pre-haircut)

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

Collateral

Initial margin collected by counterparty 1 (post-haircut)

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

Collateral

Currency of initial margin collected

ISO 4217 Currency Code, 3 alphabetic characters

Collateral

Variation margin collected by counterparty 1 (pre-haircut)

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

Collateral

Variation margin collected by counterparty 1 (post-haircut)

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

Collateral

Currency of variation margin collected

ISO 4217 Currency Code, 3 alphabetic characters

Collateral

Excess collateral collected by counterparty 1

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

Collateral

Currency of excess collateral collected

ISO 4217 Currency Code, 3 alphabetic characters

Collateral

Action type

‘MARU’ - Margin update

‘CORR’ - Correct

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
‘ENVR’ - Environmental	‘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
‘METL’ – Metals’	‘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 (10)
‘OTHR’ - Other

(1) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173 12.6.2014, p. 349).

(2) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).

(3) Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 335, 17.12.2009, p. 1).

(4) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

(5) Directive (EU) 2016/2341 of the European Parliament and of the Council of of 14 December 2016 on the activities and supervision of institutions for occupational retirement provision (IORPs) (OJ L 354, 23.12.2016, p. 37).

(6) Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).

(7) Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 (OJ L 257 28.8.2014, p. 1).

(8) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).

(9) Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).

(10) Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (OJ L 87, 31.3.2017, p. 229).

		ISSN 1977-0677
Official Journal of the European Union		L 262

English edition	Legislation	Volume 65 7 October 2022

Contents		II Non-legislative acts	page
		REGULATIONS
	*	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 ( 1 )	1
	*	Commission Delegated Regulation (EU) 2022/1856 of 10 June 2022 amending the regulatory technical standards laid down in Delegated Regulation (EU) No 151/2013 by further specifying the procedure for accessing details of derivatives as well as the technical and operational arrangements for their access ( 1 )	34
	*	Commission Delegated Regulation (EU) 2022/1857 of 10 June 2022 amending the regulatory technical standards laid down in Delegated Regulation (EU) No 150/2013 as regards the details of the applications for registration as a trade repository and for applications for extension of registration as a trade repository ( 1 )	41
	*	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 ( 1 )	46
	*	Commission Implementing Regulation (EU) 2022/1859 of 10 June 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) No 1248/2012 as regards the format for applications for registration as trade repositories and for applications for extension of registration as trade repositories ( 1 )	65
	*	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 ( 1 )	68