21.1.2017 |
EN |
Official Journal of the European Union |
L 17/17 |
COMMISSION IMPLEMENTING REGULATION (EU) 2017/105
of 19 October 2016
amending Implementing Regulation (EU) No 1247/2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (1) and in particular Article 9(6) thereof,
Whereas:
(1) |
Commission Implementing Regulation (EU) No 1247/2012 (2) provides for the use of interim entity identifiers where a legal entity identifier is not available. An infrastructure enabling the attribution of legal entity identifiers to entities has recently become available, and market participants have become familiar with the use of such legal entity identifiers. Therefore, legal entity identifiers should now be the only means allowed for the purpose of identification of legal entities. |
(2) |
Determining whether the reporting counterparty is a buyer or a seller in a contract is particularly complex in the case of swap derivative contracts as such contracts involve the exchange of financial instruments between the parties. Therefore, specific rules should be established in order to ensure the accurate and consistent determination of who are the buyers and who are the sellers in swap derivative contracts. |
(3) |
In order to determine the real exposures of counterparties, competent authorities require complete and accurate information on the collateral exchanged between those counterparties. Accordingly, specific rules ensuring a consistent approach with regard to the reporting of collateralisation for a given derivative contract or portfolio should be determined. |
(4) |
The accurate classification and precise identification of derivatives is essential for the efficient use of data and for the meaningful aggregation of data across trade repositories, and therefore contributes to the objectives of the Financial Stability Board set out in the Feasibility Study on Aggregation of OTC Derivatives Trade Repository Data (3) published on 19 September 2014. Reporting requirements relating to the classification and identification of derivatives should therefore be amended so that this information is available in its entirety to competent authorities. |
(5) |
In order to accommodate for the reporting of new types of derivatives contracts which have become available and are traded on a frequent basis by virtue of financial innovation, swaptions and spreadbets should be added to the list of classes of derivative contracts. More broadly, in view of ongoing financial innovation giving rise to new types of derivative contracts, it is important to ensure that any new types of derivatives contracts that do not fall within an existing classification can nevertheless be reported. Therefore, it is appropriate to maintain the category ‘other’ in the classification of types of derivatives contracts. |
(6) |
Where two counterparties cannot agree on which of them should generate a unique trade identifier within the reporting timeline provided, the correct identification and association of the two reports pertaining to the same transaction may not be possible. It is therefore necessary to establish criteria for the generation of unique trade identifiers so as to avoid counting the same transaction twice. |
(7) |
Counterparties may face significant difficulty in obtaining all of the relevant information with regard to trades that were terminated before the commencement date for reporting. Given the resulting complexity of reporting terminated trades and the fact that such trades do not increase systemic risk, the period for reporting terminated trades should be extended from 3 years to 5 years from the commencement date for reporting. |
(8) |
In order to ensure full harmonisation of the data reported to trade repositories and therefore enable its consistent interpretation and aggregation, the standards and formats to be used in trade reports should be clarified. It is also appropriate to amend the reporting requirements with respect to data formats. Counterparties and trade repositories should therefore be granted sufficient time to take all necessary action to comply with the amended requirements. |
(9) |
Implementing Regulation (EU) No 1247/2012 should therefore be amended accordingly. |
(10) |
This Regulation is based on draft implementing technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission. |
(11) |
In accordance with Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (4), ESMA has conducted open public consultations on such draft implementing technical standards, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group referred to in Article 37 of that Regulation, |
HAS ADOPTED THIS REGULATION:
Article 1
Implementing Regulation (EU) No 1247/2012 is amended as follows:
(1) |
Article 3 is replaced by the following: ‘Article 3 Identification of counterparties and other entities A report shall use a legal entity identifier to identify:
|
(2) |
the following Articles 3a and 3b are inserted: ‘Article 3a Counterparty side 1. The counterparty side to the derivative contract referred to in field 14 of Table 1 of the Annex shall be determined in accordance with paragraphs 2 to 10. 2. In the case of options and swaptions, the counterparty that holds the right to exercise the option shall be identified as the buyer and the counterparty that sells the option and receives a premium shall be identified as the seller. 3. In the case of futures and forwards other than futures and forwards relating to currencies, the counterparty buying the instrument shall be identified as the buyer and the counterparty selling the instrument shall be identified as the seller. 4. In the case of swaps related to securities, the counterparty that bears the risk of price movement of the underlying security and receives the security amount shall be identified as the buyer and the counterparty that pays the security amount shall be identified as the seller. 5. In the case of swaps related to interest rates or inflation indices, the counterparty paying the fixed rate shall be identified as the buyer and the counterparty receiving the fixed rate shall be identified as the seller. In the case of basis swaps, the counterparty that pays the spread shall be identified as the buyer and the counterparty that receives the spread shall be identified as the seller. 6. In the case of cross-currency swaps and swaps and forwards related to currencies, the counterparty receiving the currency which appears first when sorted alphabetically by International Organization for Standardization (ISO 4217) standard shall be identified as the buyer and the counterparty delivering that currency shall be identified as the seller. 7. In the case of swaps related to dividends, the counterparty receiving the equivalent actual dividend payments shall be identified as the buyer and the counterparty paying the dividend and receiving the fixed rate shall be identified as the seller. 8. With the exception of options and swaptions, in the case of derivative instruments for the transfer of credit risk, the counterparty buying the protection shall be identified as the buyer and the counterparty selling the protection shall be identified as the seller. 9. In the case of derivative contracts relating to commodities, the counterparty that receives the commodity specified in the report shall be identified as the buyer and the counterparty that delivers the commodity shall be identified as the seller. 10. In the case of forward-rate agreements, the counterparty paying the fixed rate shall be identified as the buyer and the counterparty receiving the fixed rate shall be identified as the seller. Article 3b Collateralisation 1. The type of collateralisation of the derivative contract referred to in Field 21 of Table 1 of the Annex shall be identified by the reporting counterparty in accordance with paragraphs 2 to 5. 2. Where no collateral agreement exists between the counterparties or where the collateral agreement between the counterparties stipulates that the reporting counterparty does not post neither initial margin nor variation margin with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as uncollateralised; 3. Where the collateral agreement between the counterparties stipulates that the reporting counterparty only posts regularly variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as partially collateralised; 4. Where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margins and that the other counterparty either posts only variation margins or does not post any margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as one-way collateralised; 5. Where the collateral agreement between the counterparties stipulates that both counterparties post initial margin and regularly post variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as fully collateralised’; |
(3) |
Article 4 is replaced by the following: ‘Article 4 Specification, identification, and classification of derivatives 1. A report shall specify a derivative on the basis of contract type and asset class in accordance with paragraphs 2 and 3. 2. The derivative shall be specified in Field 1 of Table 2 of the Annex as one of the following contract types:
3. The derivative shall be specified in Field 2 of Table 2 of the Annex as one of the following asset classes:
4. Where derivatives do not fall within one of the asset classes specified in paragraph 3, the counterparties shall specify in the report the asset class most closely resembling the derivative. Both counterparties shall specify the same asset class. 5. The derivative shall be identified in Field 6 of Table 2 of the Annex using the following, where available:
Where an AII code is used, the complete AII code shall be used. 6. The complete AII code referred to in paragraph 5 shall be the result of the concatenation of the following six elements:
7. The derivative shall be classified in Field 4 of Table 2 of the Annex using an ISO 10692 Classification of Financial Instrument (CFI) code for products identified through an ISO 6166 ISIN code or an AII code. 8. Derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified by means of a designated code. That code shall be:
9. Until the code referred to in paragraph 8 is endorsed by ESMA, derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified using an ISO 10692 CFI code. (*1) Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 (OJ L 173, 12.6.2014, p. 84).’;" |
(4) |
the following Articles 4a and 4b are inserted: ‘Article 4a Unique Trade Identifier 1. A report shall be identified through either a global unique trade identifier endorsed by ESMA or, in the absence thereof, a unique trade identifier agreed by the counterparties. 2. Where counterparties fail to agree on the entity responsible for generating the unique trade identifier to be assigned to the report, the counterparties shall determine the entity responsible for generating a unique trade identifier in accordance with the following:
3. The counterparty generating the unique trade identifier shall communicate that unique trade identifier to the other counterparty in a timely manner so that the latter is able to meet its reporting obligation. Article 4b Venue of execution The venue of execution of the derivative contract shall be identified in Field 15 of Table 2 of the Annex as follows:
(*2) Commission Regulation (EC) No 1287/2006 of 10 August 2006 implementing Directive 2004/39/EC of the European Parliament and of the Council as regards recordkeeping obligations for investment firms, transaction reporting, market transparency, admission of financial instruments to trading, and defined terms for the purposes of that Directive (OJ L 241, 2.9.2006, p. 1)’;" |
(5) |
in Article 5, paragraph 4 is replaced by the following: ‘4. The following derivative contracts which are not outstanding on the commencement date for reporting for a particular derivative class shall be reported to a trade repository within five years of that date:
|
(6) |
the Annex is replaced by the text set out in the Annex to this Regulation. |
Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 1 November 2017, with the exception of Article 1(5), which shall apply from the date of entry into force.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 19 October 2016.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 201, 27.7.2012, p. 1.
(2) Commission Implementing Regulation (EU) No 1247/2012 of 19 December 2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories (OJ L 352, 21.12.2012, p. 20).
(3) http://www.fsb.org/wp-content/uploads/r_140919.pdf
(4) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
ANNEX
‘ANNEX
Table 1
Counterparty Data
|
Field |
Format |
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Parties to the contract |
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1 |
Reporting timestamp |
ISO 8601 date in the format and Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ |
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2 |
Reporting Counterparty ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code. |
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3 |
Type of ID of the other Counterparty |
“LEI” for ISO 17442 Legal Entity Identifier (LEI) “CLC” for Client code |
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4 |
ID of the other Counterparty |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code. Client code (up to 50 alphanumerical digits). |
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5 |
Country of the other Counterparty |
ISO 3166 — 2 character country code |
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6 |
Corporate sector of the reporting counterparty |
Taxonomy for Financial Counterparties:
Taxonomy for Non-Financial Counterparties. The following categories correspond to the main sections of Statistical classification of economic activities in the European Community (NACE) as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council (7)
Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities, separating them with a “-”. Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012. |
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7 |
Nature of the reporting counterparty |
F = Financial Counterparty N = Non-Financial Counterparty C = Central Counterparty O = Other |
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8 |
Broker ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code. |
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9 |
Report submitting entity ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code |
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10 |
Clearing member ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code |
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11 |
Type of ID of the Beneficiary |
“LEI” for ISO 17442 Legal Entity Identifier (LEI) “CLC” for Client code |
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12 |
Beneficiary ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code or up to 50 alphanumerical character client code in the case where the client is not eligible for a Legal Entity Identifier |
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13 |
Trading capacity |
P = Principal A = Agent |
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14 |
Counterparty side |
B = Buyer S = Seller Populated in accordance with Article 3a |
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15 |
Directly linked to commercial activity or treasury financing |
Y = Yes N = No |
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16 |
Clearing threshold |
Y = Above the threshold N = Below the threshold |
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17 |
Value of contract |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
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18 |
Currency of the value |
ISO 4217 Currency Code, 3 alphabetical characters |
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19 |
Valuation timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
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20 |
Valuation type |
M = Mark-to-market O = Mark-to-model C = CCP's valuation. |
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21 |
Collateralisation |
U = uncollateralised PC = partially collateralised OC = one way collateralised FC = fully collateralised Populated in accordance with Article 3b |
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22 |
Collateral portfolio |
Y = Yes N = No |
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23 |
Collateral portfolio code |
Up to 52 alphanumerical characters including four special characters: “. - _.” Special characters are not allowed at the beginning and at the end of the code. No space allowed. |
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24 |
Initial margin posted |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
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25 |
Currency of the initial margin posted |
ISO 4217 Currency Code, 3 alphabetical characters |
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26 |
Variation margin posted |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
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27 |
Currency of the variation margins posted |
ISO 4217 Currency Code, 3 alphabetical characters |
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28 |
Initial margin received |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
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29 |
Currency of the initial margin received |
ISO 4217 Currency Code, 3 alphabetical characters |
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30 |
Variation margin received |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
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31 |
Currency of the variation margins received |
ISO 4217 Currency Code, 3 alphabetical characters |
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32 |
Excess collateral posted |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
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33 |
Currency of the excess collateral posted |
ISO 4217 Currency Code, 3 alphabetical characters |
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34 |
Excess collateral received |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
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35 |
Currency of the excess collateral received |
ISO 4217 Currency Code, 3 alphabetical characters |
Table 2
Common Data
|
Field |
Format |
Applicable types of derivative contracts |
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|
Section 2a — Contract type |
|
All contracts |
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1 |
Contract type |
CD = Financial contracts for difference FR = Forward rate agreements FU = Futures FW = Forwards OP = Option SB = Spreadbet SW = Swap ST = Swaption OT = Other |
|
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2 |
Asset class |
CO = Commodity and emission allowances CR = Credit CU = Currency EQ = Equity IR = Interest Rate |
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|
Section 2b — Contract information |
|
All contracts |
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3 |
Product classification type |
C = CFI U = UPI |
|
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4 |
Product classification |
ISO 10692 CFI, 6 characters alphabetical code Endorsed UPI |
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5 |
Product identification type |
Specify the applicable identification:
|
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6 |
Product identification |
For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code For product identifier type A: Complete AII code in accordance with Article 4(8) |
|
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7 |
Underlying identification type |
I = ISIN A = AII U = UPI B = Basket X = Index |
|
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8 |
Underlying identification |
For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code For underlying identification type A: complete AII code in accordance with Article 4(8) For underlying identification type U: UPI For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code in accordance with Article 4(8). Identifiers of individual components shall be separated with a dash “-”. For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider |
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9 |
Notional currency 1 |
ISO 4217 Currency Code, 3 alphabetical characters |
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10 |
Notional currency 2 |
ISO 4217 Currency Code, 3 alphabetical characters |
|
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11 |
Deliverable currency |
ISO 4217 Currency Code, 3 alphabetical characters |
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|
Section 2c — Details on the transaction |
|
All contracts |
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12 |
Trade ID |
Until global UTI is available, up to 52 alphanumerical character code including four special characters:“. - _.” Special characters are not allowed at the beginning and at the end of the code. No space allowed. |
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13 |
Report tracking number |
An alphanumeric field up to 52 characters |
|
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14 |
Complex trade component ID |
An alphanumeric field up to 35 characters |
|
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15 |
Venue of execution |
ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters, in accordance with Article 4(b). |
|
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16 |
Compression |
Y = contract results from compression N = contract does not result from compression |
|
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17 |
Price/rate |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. In case the price is reported in percent values, it should be expressed as percentage where 100 % is represented as “100” |
|
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18 |
Price notation |
U = Units P = Percentage Y = Yield |
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19 |
Currency of price |
ISO 4217 Currency Code, 3 alphabetic characters |
|
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20 |
Notional |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
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21 |
Price multiplier |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
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22 |
Quantity |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
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23 |
Up-front payment |
Up to 20 numerical characters including decimals. The negative symbol to be used to indicate that the payment was made, not received. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
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24 |
Delivery type |
C = Cash P = Physical O = Optional for counterparty or when determined by a third party |
|
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25 |
Execution timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
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26 |
Effective date |
ISO 8601 date in the format YYYY-MM-DD |
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27 |
Maturity date |
ISO 8601 date in the format YYYY-MM-DD |
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28 |
Termination date |
ISO 8601 date in the format YYYY-MM-DD |
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29 |
Settlement date |
ISO 8601 date in the format YYYY-MM-DD |
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30 |
Master Agreement type |
Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any |
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31 |
Master Agreement version |
ISO 8601 date in the format YYYY |
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|
Section 2d — Risk mitigation/Reporting |
|
All contracts |
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32 |
Confirmation timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
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33 |
Confirmation means |
Y = Non-electronically confirmed N = Non-confirmed E = Electronically confirmed |
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|
Section 2e — Clearing |
|
All contracts |
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34 |
Clearing obligation |
Y = Yes N = No |
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35 |
Cleared |
Y = Yes N = No |
|
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36 |
Clearing timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
|
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37 |
CCP |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code |
|
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38 |
Intragroup |
Y = Yes N = No |
|
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|
Section 2f — Interest Rates |
|
Interest rate derivatives |
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39 |
Fixed rate of leg 1 |
Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as “100”. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
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40 |
Fixed rate of leg 2 |
Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as “100”. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
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41 |
Fixed rate day count leg 1 |
Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression “Actual”, e.g. 30/360 or Actual/365 |
|
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42 |
Fixed rate day count leg 2 |
Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression “Actual”, e.g. 30/360 or Actual/365 |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
43 |
Fixed rate payment frequency leg 1 –time period |
Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
|
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
44 |
Fixed rate payment frequency leg 1 — multiplier |
Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
45 |
Fixed rate payment frequency leg 2 — time period |
Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
|
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
46 |
Fixed rate payment frequency leg 2 — multiplier |
Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
47 |
Floating rate payment frequency leg 1 — time period |
Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
|
|
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48 |
Floating rate payment frequency leg 1 — multiplier |
Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
49 |
Floating rate payment frequency leg 2 — time period |
Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
|
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
50 |
Floating rate payment frequency leg 2 — multiplier |
Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
51 |
Floating rate reset frequency leg 1 — time period |
Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:
|
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
52 |
Floating rate reset frequency leg 1 — multiplier |
Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. |
|
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53 |
Floating rate reset frequency leg 2 — time period |
Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:
|
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
54 |
Floating rate reset frequency leg 2 — multiplier |
Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. |
|
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55 |
Floating rate of leg 1 |
The name of the floating rate index
Or up to 25 alphanumerical characters if the reference rate is not included in the above list |
|
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56 |
Floating rate reference period leg 1 — time period |
Time period describing reference period, whereby the following abbreviations apply:
|
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
57 |
Floating rate reference period leg 1 — multiplier |
Integer multiplier of the time period describing the reference period. Up to 3 numerical characters. |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
58 |
Floating rate of leg 2 |
The name of the floating rate index
Or up to 25 alphanumerical characters if the reference rate is not included in the above list |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
59 |
Floating rate reference period leg 2 — time period |
Time period describing reference period, whereby the following abbreviations apply:
|
|
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60 |
Floating rate reference period leg 2 — multiplier |
Integer multiplier of the time period describing the reference period. Up to 3 numerical characters. |
|
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|
Section 2g — Foreign Exchange |
|
Currency derivatives |
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61 |
Delivery currency 2 |
ISO 4217 Currency Code, 3 alphabetical character code |
|
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62 |
Exchange rate 1 |
Up to 10 numerical digits including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
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63 |
Forward exchange rate |
Up to 10 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
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64 |
Exchange rate basis |
Two ISO 4217 currency codes separated by “/”. First currency code shall indicate the base currency, and the second currency code shall indicate the quote currency. |
|
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|
Section 2h — Commodities and emission allowances |
|
Commodity and emission allowance derivatives |
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General |
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65 |
Commodity base |
AG = Agricultural EN = Energy FR = Freights ME = Metals IN = Index EV = Environmental EX = Exotic OT = Other |
|
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66 |
Commodity details |
Agricultural
Energy
Freights
Metals
Environmental
|
|
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Energy |
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67 |
Delivery point or zone |
EIC code, 16 character alphanumeric code Repeatable field. |
|
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68 |
Interconnection Point |
EIC code, 16 character alphanumeric code |
|
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69 |
Load type |
BL = Base Load PL = Peak Load OP = Off-Peak BH = Hour/Block Hours SH = Shaped GD = Gas Day OT = Other |
|
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Repeatable section of fields 70 — 77 |
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70 |
Load delivery intervals |
hh:mmZ |
|
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71 |
Delivery start date and time |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
|
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72 |
Delivery end date and time |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
|
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73 |
Duration |
N = Minutes H = Hour D = Day W = Week M = Month Q = Quarter S = Season Y = Annual O = Other |
|
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74 |
Days of the week |
WD = Weekdays WN = Weekend MO = Monday TU = Tuesday WE = Wednesday TH = Thursday FR = Friday SA = Saturday SU = Sunday Multiple values separated by “/” are permitted |
|
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75 |
Delivery capacity |
Up to 20 numerical digits including decimals The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
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76 |
Quantity Unit |
KW KWh/h KWh/d MW MWh/h MWh/d GW GWh/h GWh/d Therm/d KTherm/d MTherm/d cm/d mcm/d |
|
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77 |
Price/time interval quantities |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
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|
Section 2i — Options |
|
Contracts that contain an option |
||||||||||||||||||||||||||||||||||||||||||||||||||||
78 |
Option type |
P = Put C = Call O = where it cannot be determined whether it is a call or a put |
|
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79 |
Option exercise style |
A = American B = Bermudan E = European S = Asian More than one value is allowed |
|
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80 |
Strike price (cap/floor rate) |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. Where the strike price is reported in percent values, it should be expressed as percentage where 100 % is represented as “100” |
|
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81 |
Strike price notation |
U = Units P = Percentage Y = Yield |
|
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82 |
Maturity date of the underlying |
ISO 8601 date in the format YYYY-MM-DD |
|
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|
Section 2j — Credit derivatives |
|
|
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83 |
Seniority |
SNDB = Senior, such as Senior Unsecured Debt (Corporate/Financial), Foreign Currency Sovereign Debt (Government), SBOD = Subordinated, such as Subordinated or Lower Tier 2 Debt (Banks), Junior Subordinated or Upper Tier 2 Debt (Banks), OTHR = Other, such as Preference Shares or Tier 1 Capital (Banks) or other credit derivatives |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
84 |
Reference entity |
ISO 3166 — 2 character country code or ISO 3166-2 — 2 character country code followed by dash “-” and up to 3 alphanumeric character country subdivision code or ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
85 |
Frequency of payment |
MNTH = Monthly QURT = Quarterly MIAN = Semi-annually YEAR = Yearly |
|
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86 |
The calculation basis |
Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression “Actual”, e.g. 30/360 or Actual/365 |
|
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87 |
Series |
Integer field up to 5 characters |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
88 |
Version |
Integer field up to 5 characters |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
89 |
Index factor |
Up to 10 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
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90 |
Tranche |
T = Tranched U = Untranched |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
91 |
Attachment point |
Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
92 |
Detachment point |
Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Section 2k — Modifications to the contract |
|
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
93 |
Action type |
N = New M = Modify E = Error C = Early Termination R = Correction Z = Compression V = Valuation update P = Position component |
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
94 |
Level |
T = Trade P = Position’ |
|
(1) Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 335, 17.12.2009, p. 1).
(2) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).
(3) Directive 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council and repealing Council Directive 93/22/EEC (OJ L 145, 30.4.2004, p. 1).
(4) Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).
(5) Directive 2003/41/EC of the European Parliament and of the Council of 3 June 2003 on the activities and supervision of institutions for occupational retirement provision (OJ L 235, 23.9.2003, p. 10).
(6) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
(7) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).