The information contained in a report under Article 9 of Regulation (EU) No 648/2012 shall be provided in the format specified in the Annex to this Regulation.
Article 2 Frequency of derivative contract reports
Where provided for in Article 11(2) of Regulation (EU) No 648/2012, mark to market or mark to model valuations of contracts reported to a trade repository shall be done on a daily basis. Any other reporting elements as provided for in the Annex to this Regulation and the Annex to Regulation (EU) No 148/2013 shall be reported as they occur and taking into account the time limit foreseen under Article 9 of Regulation (EU) No 648/2012, notably as regards the conclusion, modification or termination of a contract.
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.
Article 4 Specification, identification, and classification of derivatives
- (1)
A report shall specify a derivative on the basis of contract type and asset class in accordance with paragraphs 2 and 3.
- (2)
The derivative shall be specified in Field 1 of Table 2 of the Annex as one of the following contract types:
- (a)
financial contract for difference;
- (b)
forward rate agreement;
- (c)
forward;
- (d)
future;
- (e)
option;
- (f)
spreadbet;
- (g)
swap;
- (h)
swaption;
- (i)
other.
- (a)
- (3)
The derivative shall be specified in Field 2 of Table 2 of the Annex as one of the following asset classes:
- (a)
commodities and emission allowances;
- (b)
credit;
- (c)
currency;
- (d)
equity;
- (e)
interest rate.
- (a)
- (4)
Where derivatives do not fall within one of the asset classes specified in paragraph 3, the counterparties shall specify in the report the asset class most closely resembling the derivative. Both counterparties shall specify the same asset class.
- (5)
The derivative shall be identified in Field 6 of Table 2 of the Annex using the following, where available:
- (a)
an ISO 6166 International Securities Identification Number (ISIN) code or an Alternative Instrument Identifier code (AII), as applicable, until 3 January 2018;
- (b)
an ISIN from 3 January 2018.
Where an AII code is used, the complete AII code shall be used.
- (a)
- (6)
The complete AII code referred to in paragraph 5 shall be the result of the concatenation of the following six elements:
- (a)
ISO 10383 Market Identifier Code (MIC) of the trading venue where the derivative is traded, specified using 4 alphanumeric characters;
- (b)
code, which is assigned by the trading venue, uniquely associated with a particular underlying instrument and settlement type and other characteristics of the contract, specified using up to 12 alphanumeric characters;
- (c)
single character identifying whether the instrument is an option or a future, specified as "O" where it is an option and as "F" where it is a future;
- (d)
single character identifying whether the option is a put or a call, specified as "P" where it is a put option and as "C" where it is a call option; where the instrument has been identified as a future in accordance with point (c), it shall be specified as "F";
- (e)
exercise date or maturity date of a derivative contract specified in ISO 8601 YYYY-MM-DD standard;
- (f)
the strike price of an option, specified using up to 19 digits including up to five decimals without any leading or trailing zeros. A decimal point shall be used as the decimal separator. Negative values are not allowed. Where the instrument is a future, the strike price shall be populated with zero.
- (a)
- (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.
Article 4a Unique Trade Identifier
- (1)
A report shall be identified through a unique trade identifier agreed by the counterparties.
- (2)
Where counterparties fail to agree on the entity responsible for generating the unique trade identifier to be assigned to the report, the counterparties shall determine the entity responsible for generating a unique trade identifier in accordance with the following:
- (a)
for centrally-executed and cleared trades, the unique trade identifier shall be generated at the point of clearing by the central counterparty (CCP) for the clearing member. Another unique trade identifier shall be generated by the clearing member for its counterparty;
- (b)
for centrally-executed but not centrally-cleared trades, the unique trade identifier shall be generated by the trading venue of execution for its member;
- (c)
for centrally-confirmed and cleared trades, the unique trade identifier shall be generated at the point of clearing by the CCP for the clearing member. Another unique trade identifier shall be generated by the clearing member for its counterparty;
- (d)
for trades that were centrally-confirmed by electronic means but were not centrally-cleared, the unique trade identifier shall be generated by the trade confirmation platform at the point of confirmation;
- (e)
for all trades other than those referred to in points (a) to (d), the following shall apply:
- (i)
where financial counterparties trade with non-financial counterparties, the financial counterparties shall generate the unique trade identifier;
- (ii)
where non-financial counterparties above the clearing threshold trade with non-financial counterparties below the clearing threshold, those non-financial counterparties above the clearing threshold shall generate the unique trade identifier;
- (iii)
for all trades other than those referred to in points (i) and (ii), the seller shall generate the unique trade identifier.
- (i)
- (a)
- (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 5 Reporting start date
-
1. Credit derivative and interest rate derivative contracts shall be reported:
-
(a) by 1 July 2013, where a trade repository for that particular derivative class has been registered under Article 55 of Regulation (EU) No 648/2012 before 1 April 2013;
-
(b) 90 days after the registration of a trade repository for a particular derivative class under article 55 of Regulation (EU) No 648/2012, where there is no trade repository registered for that particular derivative class before or on 1 April 2013;
-
(c) by 1 July 2015, where there is no trade repository registered for that particular derivative class under Article 55 of Regulation (EU) No 648/2012 by 1 July 2015.
-
-
2. Derivative contracts not referred to in paragraph 1 shall be reported:
-
(a) by 1 January 2014, where a trade repository for that particular derivative class has been registered under Article 55 of Regulation (EU) No 648/2012 before 1 October 2013;
-
(b) 90 days after the registration of a trade repository for a particular derivative class under Article 55 of Regulation (EU) No 648/2012, where there is no trade repository registered for that particular derivative class before or on 1 October 2013;
-
(c) by 1 July 2015, where there is no trade repository registered for that particular derivative class under Article 55 of Regulation (EU) No 648/2012 by 1 July 2015.
-
-
3. Those derivative contracts which were outstanding on 16 August 2012 and are still outstanding on the reporting start date shall be reported to a trade repository within 90 days of the reporting start date for a particular derivative class.
-
4. The following derivative contracts which are not outstanding on the commencement date for reporting for a particular derivative class shall be reported to a trade repository within five years of that date:
-
(a) derivative contracts that were entered into before 16 August 2012 and were still outstanding on 16 August 2012;
-
(b) derivative contracts that were entered into on or after 16 August 2012.
-
-
5. The reporting start date shall be extended by 180 days for the reporting of information referred to in Article 3 of Regulation (EU) No 148/2013.
Article 5 Reporting start date
- (1)
Derivative contracts shall be reported:
- (a)
Within six months of the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018, where a trade repository for that particular derivative class has been registered under Article 55 of Regulation (EU) No 648/2012 before the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018;
- (b)
90 days after the registration of a trade repository for a particular derivative class under Article 55 of Regulation (EU) No 648/2012, where there is no trade repository registered for that particular derivative class before or on the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018, but in any event no earlier than six months after the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018;
- (c)
Within six months of the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018, where there is no trade repository registered for that particular derivative class under Article 55 of Regulation (EU) No 648/2012 six months after the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018.
- (a)
- (3)
Those derivative contracts which were outstanding on 1 July 2017 and are still outstanding on the reporting start date shall be reported to a trade repository within 90 days of the reporting start date for a particular derivative class.
- (4)
The following derivative contracts which are not outstanding on the commencement date for reporting for a particular derivative class shall be reported to a trade repository within five years of that date:
- (a)
derivative contracts that were entered into before 1 July 2017 and were still outstanding on 1 July 2017;
- (b)
derivative contracts that were entered into on or after 1 July 2017.
- (a)
- (5)
The reporting start date shall be extended by 180 days for the reporting of information referred to in Article 3 of the delegated act with regard to regulatory technical standards specifying the minimum details of the data to be reported to trade repositories pursuant to Article 9(5) of Regulation (EU) No 648/2012.
ANNEX Table 1 Counterparty Data Table 2 Common Data
Table 1 Counterparty Data
|
Field |
Format |
|
|
Parties to the contract |
||
|
1 |
Reporting timestamp |
ISO 8601 date in the format and Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ |
|
2 |
Reporting Counterparty ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code. |
|
3 |
Type of ID of the other Counterparty |
‘LEI’ for ISO 17442 Legal Entity Identifier (LEI) ‘CLC’ for Client code |
|
4 |
ID of the other Counterparty |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code. Client code (up to 50 alphanumerical digits). |
|
5 |
Country of the other Counterparty |
ISO 3166 – 2 character country code |
|
6 |
Corporate sector of the counterparty |
Taxonomy for Financial Counterparties: C = Credit institution which is a CRR firm (within the definition in Article 4(1)(2A) of the Capital Requirements Regulation) F = Investment firm within the meaning given in Article 2(1A) of the MIFIR which: (i) has its registered office or head office in the United Kingdom; (ii) has permission under Part 4A of the FSMA to carry on regulated activities relating to investment services and activities (as defined in Article 2(1)(2) of the MIFIR) in the United Kingdom; (iii) would require authorisation under Directive 2014/65/EU (as it had effect immediately before IP completion day) if it had its registered office (or if it does not have a registered office, its head offices) in an EEA state; and (iv) is not a firm which has permission under Part 4A of the FSMA to carry on regulated activities as an exempt investment firm, within the meaning of regulation 8 of the Financial Services and Markets Act 2000 (Markets in Financial Instruments) Regulations 2017; I = Insurance undertaking as defined in section 417 of the FSMA L = AIF (within the definition in regulation 3 of the Alternative Investment Fund Managers Regulations 2013) AIFMs (within the definition in regulation 4 of those Regulations) authorised or registered in accordance with those Regulations O = Institution for occupational retirement provision within the meaning of section 1(1) of the Pension Schemes Act 1993 R = Reinsurance undertaking as defined in section 417 of the FSMA U = UK UCITS (within the definition in section 237(3) of the FSMA) and its management company (within the definition in section 237(2) of the FSMA) 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 (as it had effect immediately before IP completion day) 1 = Agriculture, forestry and fishing 2 = Mining and quarrying 3 = Manufacturing 4 = Electricity, gas, steam and air conditioning supply 5 = Water supply, sewerage, waste management and remediation activities 6 = Construction 7 = Wholesale and retail trade, repair of motor vehicles and motorcycles 8 = Transportation and storage 9 = Accommodation and food service activities 10 = Information and communication 11 = Financial and insurance activities 12 = Real estate activities 13 = Professional, scientific and technical activities 14 = Administrative and support service activities 15 = Public administration and defence; compulsory social security 16 = Education 17 = Human health and social work activities 18 = Arts, entertainment and recreation 19 = Other service activities 20 = Activities of households as employers; undifferentiated goods – and services –producing activities of households for own use 21 = Activities of extraterritorial organisations and bodies Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities, separating them with a ‘-’. Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012. |
|
7 |
Nature of the reporting counterparty |
F=Financial Counterparty N=Non-Financial Counterparty C = Central Counterparty O = Other |
|
8 |
Broker ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code. |
|
9 |
Report submitting entity ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code) |
|
10 |
Clearing member ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code |
|
11 |
Type of ID of the Beneficiary |
‘LEI’ for ISO 17442 Legal Entity Identifier (LEI) ‘CLC’ for Client code |
|
12 |
Beneficiary ID |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code or up to 50 alphanumerical character client code in the case where the client is not eligible for a Legal Entity Identifier |
|
13 |
Trading capacity |
P = Principal A = Agent |
|
14 |
Counterparty side |
B = Buyer S = Seller Populated in accordance with Article 3a |
|
15 |
Directly linked to commercial activity or treasury financing |
Y=Yes N=No |
|
16 |
Clearing threshold |
Y = Above the threshold N = Below the threshold |
|
17 |
Value of contract |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
18 |
Currency of the value |
ISO 4217 Currency Code, 3 alphabetical characters |
|
19 |
Valuation timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
|
20 |
Valuation type |
M = Mark-to-market O = Mark-to-model C = CCP's valuation. |
|
21 |
Collateralisation |
U = uncollateralised PC = partially collateralised OC = one way collateralised FC = fully collateralised Populated in accordance with Article 3b |
|
22 |
Collateral portfolio |
Y=Yes N=No |
|
23 |
Collateral portfolio code |
Up to 52 alphanumerical characters including four special characters: ‘. - _.’ Special characters are not allowed at the beginning and at the end of the code. No space allowed. |
|
24 |
Initial margin posted |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
25 |
Currency of the initial margin posted |
ISO 4217 Currency Code, 3 alphabetical characters |
|
26 |
Variation margin posted |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
27 |
Currency of the variation margins posted |
ISO 4217 Currency Code, 3 alphabetical characters |
|
28 |
Initial margin received |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
29 |
Currency of the initial margin received |
ISO 4217 Currency Code, 3 alphabetical characters |
|
30 |
Variation margin received |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
31 |
Currency of the variation margins received |
ISO 4217 Currency Code, 3 alphabetical characters |
|
32 |
Excess collateral posted |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
33 |
Currency of the excess collateral posted |
ISO 4217 Currency Code, 3 alphabetical characters |
|
34 |
Excess collateral received |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
35 |
Currency of the excess collateral received |
ISO 4217 Currency Code, 3 alphabetical characters |
Table 2 Common Data
|
Field |
Format |
Applicable types of derivative contract |
|
|
Section 2a - Contract type |
All contracts |
||
|
1 |
Contract type |
CD = Financial contracts for difference FR = Forward rate agreements FU = Futures FW = Forwards OP = Option SB = Spreadbet SW = Swap ST = Swaption OT = Other |
|
|
2 |
Asset class |
CO = Commodity and emission allowances CR = Credit CU = Currency EQ = Equity IR = Interest Rate |
|
|
Section 2b – Contract information |
All contracts |
||
|
3 |
Product classification type |
C = CFI |
|
|
4 |
Product classification |
ISO 10692 CFI, 6 characters alphabetical code |
|
|
5 |
Product identification type |
Specify the applicable identification: I = ISIN A = AII |
|
|
6 |
Product identification |
For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code For product identifier type A: Complete AII code |
|
|
7 |
Underlying identification type |
I = ISIN A = AII B = Basket X = Index |
|
|
8 |
Underlying identification |
For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code For underlying identification type A: complete AII code For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code. Identifiers of individual components shall be separated with a dash ‘-’. For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider |
|
|
9 |
Notional currency 1 |
ISO 4217 Currency Code, 3 alphabetical characters |
|
|
10 |
Notional currency 2 |
ISO 4217 Currency Code, 3 alphabetical characters |
|
|
11 |
Deliverable currency |
ISO 4217 Currency Code, 3 alphabetical characters |
|
|
Section 2c – Details on the transaction |
All contracts |
||
|
12 |
Trade ID |
Up to 52 alphanumerical character code including four special characters:‘. - _.’ Special characters are not allowed at the beginning and at the end of the code. No space allowed. |
|
|
13 |
Report tracking number |
An alphanumeric field up to 52 characters |
|
|
14 |
Complex trade component ID |
An alphanumeric field up to 35 characters |
|
|
15 |
Venue of execution |
ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters in accordance with Article 4b. |
|
|
16 |
Compression |
Y = contract results from compression N = contract does not result from compression |
|
|
17 |
Price/rate |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. In case the price is reported in percent values, it should be expressed as percentage where 100 % is represented as ‘100’ |
|
|
18 |
Price notation |
U = Units P = Percentage Y = Yield |
|
|
19 |
Currency of price |
ISO 4217 Currency Code, 3 alphabetic characters |
|
|
20 |
Notional |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
|
21 |
Price multiplier |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
|
22 |
Quantity |
Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. |
|
|
23 |
Up-front payment |
Up to 20 numerical characters including decimals. The negative symbol to be used to indicate that the payment was made, not received. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
|
24 |
Delivery type |
C = Cash P = Physical O = Optional for counterparty or when determined by a third party |
|
|
25 |
Execution timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
|
|
26 |
Effective date |
ISO 8601 date in the format YYYY-MM-DD |
|
|
27 |
Maturity date |
ISO 8601 date in the format YYYY-MM-DD |
|
|
28 |
Termination date |
ISO 8601 date in the format YYYY-MM-DD |
|
|
29 |
Settlement date |
ISO 8601 date in the format YYYY-MM-DD |
|
|
30 |
Master Agreement type |
Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any |
|
|
31 |
Master Agreement version |
ISO 8601 date in the format YYYY |
|
|
Section 2d – Risk mitigation/Reporting |
All contracts |
||
|
32 |
Confirmation timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
|
|
33 |
Confirmation means |
Y = Non-electronically confirmed N = Non-confirmed E = Electronically confirmed |
|
|
Section 2e – Clearing |
All contracts |
||
|
34 |
Clearing obligation |
Y = Yes N = No |
|
|
35 |
Cleared |
Y = Yes N = No |
|
|
36 |
Clearing timestamp |
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
|
|
37 |
CCP |
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code |
|
|
38 |
Intragroup |
Y = Yes N = No |
|
|
Section 2f – Interest Rates |
Interest rate derivatives |
||
|
39 |
Fixed rate of leg 1 |
Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘100’. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
|
40 |
Fixed rate of leg 2 |
Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘100’. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. |
|
|
41 |
Fixed rate day count leg 1 |
Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365 |
|
|
42 |
Fixed rate day count leg 2 |
Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365 |
|
|
43 |
Fixed rate payment frequency leg 1 –time period |
Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day |
|
|
44 |
Fixed rate payment frequency leg 1 – multiplier |
Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. |
|
|
45 |
Fixed rate payment frequency leg 2 – time period |
Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day |
|
|
46 |
Fixed rate payment frequency leg 2 – multiplier |
Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. |
|
|
47 |
Floating rate payment frequency leg 1 – time period |
Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day |
|
|
48 |
Floating rate payment frequency leg 1 – multiplier |
Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. |
|
|
49 |
Floating rate payment frequency leg 2 – time period |
Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day |
|
|
50 |
Floating rate payment frequency leg 2 – multiplier |
Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. |
|
|
51 |
Floating rate reset frequency leg 1 – time period |
Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day |
|
|
52 |
Floating rate reset frequency leg 1 – multiplier |
Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. |
|
|
53 |
Floating rate reset frequency leg 2 – time period |
Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day |
|
|
54 |
Floating rate reset frequency leg 2 – multiplier |
Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. |
|
|
55 |
Floating rate of leg 1 |
The name of the floating rate index ‘EONA’ – EONIA ‘EONS’ – EONIA SWAP ‘EURI’ – EURIBOR ‘EUUS’ – EURODOLLAR ‘EUCH’ – EuroSwiss ‘GCFR’ – GCF REPO ‘ISDA’ – ISDAFIX ‘LIBI’ – LIBID ‘LIBO’ – LIBOR ‘MAAA’ – Muni AAA ‘PFAN’ – Pfandbriefe ‘TIBO’ – TIBOR ‘STBO’ – STIBOR ‘BBSW’ – BBSW ‘JIBA’ – JIBAR ‘BUBO’ – BUBOR ‘CDOR’ – CDOR ‘CIBO’ – CIBOR ‘MOSP’ – MOSPRIM ‘NIBO’ – NIBOR ‘PRBO’ – PRIBOR ‘TLBO’ – TELBOR ‘WIBO’ – WIBOR ‘TREA’ – Treasury ‘SWAP’ – SWAP ‘FUSW’ – Future SWAP Or up to 25 alphanumerical characters if the reference rate is not included in the above list |
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56 |
Floating rate reference period leg 1 – time period |
Time period describing reference period, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day |
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57 |
Floating rate reference period leg 1 – multiplier |
Integer multiplier of the time period describing the reference period. Up to 3 numerical characters. |
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58 |
Floating rate of leg 2 |
The name of the floating rate index ‘EONA’ – EONIA ‘EONS’ – EONIA SWAP ‘EURI’ – EURIBOR ‘EUUS’ – EURODOLLAR ‘EUCH’ – EuroSwiss ‘GCFR’ – GCF REPO ‘ISDA’ – ISDAFIX ‘LIBI’ – LIBID ‘LIBO’ – LIBOR ‘MAAA’ – Muni AAA ‘PFAN’ – Pfandbriefe ‘TIBO’ – TIBOR ‘STBO’ – STIBOR ‘BBSW’ – BBSW ‘JIBA’ – JIBAR ‘BUBO’ – BUBOR ‘CDOR’ – CDOR ‘CIBO’ – CIBOR ‘MOSP’ – MOSPRIM ‘NIBO’ – NIBOR ‘PRBO’ – PRIBOR ‘TLBO’ – TELBOR ‘WIBO’ – WIBOR ‘TREA’ – Treasury ‘SWAP’ – SWAP ‘FUSW’ – Future SWAP Or up to 25 alphanumerical characters if the reference rate is not included in the above list |
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59 |
Floating rate reference period leg 2 – time period |
Time period describing reference period, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day |
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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 GO = Grains oilseeds DA = Dairy LI = Livestock FO = Forestry SO = Softs SF = Seafood OT = Other Energy OI = Oil NG = Natural gas CO = Coal EL = Electricity IE = Inter-energy OT = Other Freights DR = Dry WT = Wet OT = Other Metals PR = Precious NP = Non-precious Environmental WE = Weather EM = Emissions OT = Other |
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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 |
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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 |
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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 |
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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 |
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88 |
Version |
Integer field up to 5 characters |
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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 |
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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. |
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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. |
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Section 2k – Modifications to the contract |
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93 |
Action type |
N = New M = Modify E = Error C = Early Termination R = Correction Z = Compression V = Valuation update P = Position component |
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94 |
Level |
T = Trade P = Position |