7.10.2022   

EN

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and ensure coherence with new implementing technical standards and other internationally agreed standards, it should be repealed and replaced by this Regulation.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

1

Section 2a - Identifiers and links

UTI

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

2

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.

3

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).

4

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.

5

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.

6

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.

7

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.

8

Section 2b – Contract information

Unique product identifier (UPI)

UPI identifying the product.

9

Section 2b – Contract information

Product classification

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

10

Section 2b – Contract information

Contract type

Each reported contract shall be classified according to its type.

11

Section 2b – Contract information

Asset class

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

12

Section 2b – Contract information

Derivative based on crypto-assets

Indicator whether the derivative is based on crypto-assets.

13

Section 2b – Contract information

Underlying identification type

The type of relevant underlying identifier.

14

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.

15

Section 2b – Contract information

Indicator of the underlying index

An indication of the underlying index, where available.

16

Section 2b – Contract information

Name of the underlying index

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

17

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.

18

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.

19

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).

20

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).

21

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.

22

Section 2c – Valuation

Valuation currency

Currency in which the valuation amount is denominated.

23

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.

24

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.

25

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.

26

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.

27

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.

28

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.

29

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.

30

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.

31

Section 2f - Clearing

Cleared

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

32

Section 2f - Clearing

Clearing timestamp

Time and date when clearing took place.

Applicable only to derivatives cleared by a CCP.

33

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’).

34

Section 2g - Details on the transaction

Master Agreement type

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

35

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.

36

Section 2g - Details on the transaction

Master Agreement version

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

37

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.

38

Section 2g - Details on the transaction

PTRR

Identify whether the contract results from a PTRR operation.

39

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.

40

Section 2g - Details on the transaction

PTRR service provider

LEI identifying the PTRR service provider.

41

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.

42

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.

43

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.

44

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.

45

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).

46

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.

47

Section 2c - Details on the transaction

Delivery type

Indicates whether the contract is settled physically or in cash.

48

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.

49

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.

 

 

50

Section 2g - Details on the transaction

Unadjusted effective date of the price

Unadjusted effective date of the price.

51

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).

52

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.

53

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.

54

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.

55

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.

56

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

 

 

57

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.

58

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).

59

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.

60

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

 

 

61

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

62

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).

63

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.

64

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.

65

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

 

 

66

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.

67

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).

68

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.

69

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

 

 

70

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.

71

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).

72

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

 

 

73

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.

74

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.

75

Section 2g - Details on the transaction

Other payment currency

Currency in which Other payment amount is denominated.

76

Section 2g - Details on the transaction

Other payment date

Unadjusted date on which the other payment amount is paid.

77

Section 2g - Details on the transaction

Other payment payer

Identifier of the payer of Other payment amount.

78

Section 2g - Details on the transaction

Other payment receiver

Identifier of the receiver of Other payment amount.

79

Section 2h - Interest Rates

Fixed rate of leg 1 or coupon

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

80

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.

81

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.

82

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.

83

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.

84

Section 2h - Interest Rates

Indicator of the floating rate of leg 1

An indication of the interest rate, where available.

85

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.

86

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.

87

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.

88

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.

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.

89

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.

90

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.

91

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.

92

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.

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.

93

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.

94

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.

95

Section 2h - Interest Rates

Fixed rate of leg 2

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

96

Section 2h - Interest Rates

Fixed rate day count convention 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 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.

97

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.

98

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.

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.

99

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.

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.

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.

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.

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

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, 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.

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 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

Counterparty 2 identifier type

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

6

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.

7

Collateral

Collateral timestamp

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

8

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.

9

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.

10

Collateral

UTI

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

11

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.

12

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.

13

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.

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 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.

14

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.

15

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.

16

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.

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 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.

17

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.

18

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.

19

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.

20

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.

21

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.

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 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 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.

22

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.

23

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.

24

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.

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 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.

25

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.

26

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.

27

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.

28

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’.

29

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).