Article 1 Citation
1These Standards may be cited as the ‘EMIR Technical Standards on the Minimum Details of the Data to be Reported to Trade Repositories 2023’.
Article 2 Definitions
1In these Standards ‘UK-adopted international accounting standards’ means (in accordance with section 474(1) of the Companies Act 2006) international accounting standards which are adopted for use within the United Kingdom by virtue of Chapter 2 or 3 of Part 2 of the International Accounting Standards and European Public Limited-Liability Company (Amendment etc.) (EU Exit) Regulations 2019.
Article 3 Details to set out in reports pursuant to Article 9(1) and (3) of Regulation (EU) No 648/2012
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11. 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 that pertain to the derivative concerned.
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12. 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.
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13. The details referred to in paragraph 1 shall be reported within a single report.
By way of derogation from the first subparagraph, the details referred to in paragraph 1 shall be reported in separate reports where the fields in the Tables 1, 2 and 3 of the Annex do not allow for the effective reporting of those details, 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.
Counterparties to a derivative contract composed of a combination of derivative contracts referred to in the second subparagraph shall agree, before the reporting deadline, 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.
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14. 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.
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15. 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 4 Cleared trades
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11. 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 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 the action type ‘New’ and event type ‘Clearing’.
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12. Where a derivative is both concluded on a trading venue or on an organised trading platform located outside of the UK and cleared by a CCP on the same day, only the derivatives resulting from clearing shall be reported. These 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 5(2), and event type ‘Clearing’.
5 Reporting at position level
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11. 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:
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(a) the risk is managed at position level;
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(b) the reports relate to derivatives concluded on a trading venue or on an organised trading platform located outside of the UK 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;
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(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;
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(d) other events that affect the common fields in the report of the position are separately reported;
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(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 position’ in the field 152 in Table 2 of the Annex;
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(f) the resulting position was duly reported either as a new position or as an update to an existing position;
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(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;
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(h) the counterparties to the derivative agree that the derivative should be reported at position level.
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12. 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.
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13. 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 6 Reporting of exposures
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11. 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.
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12. 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.
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13. 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.
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14. 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.
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15. 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, the valuation of the derivative performed in accordance with the methodology defined in International Financial Reporting Standard 13 Fair Value Measurement as contained in UK-adopted international accounting standards, without applying any adjustment to the fair value.
Article 7 Notional amount
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11. The notional amount of a derivative referred to in fields 55 and 64 in Table 2 of the Annex shall be specified as follows:
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(a) in the case of swaps, futures, forwards and options traded in monetary units, the reference amount;
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(b) in the case of options other than those referred to in point (a), calculated using the strike price;
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(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;
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(d) in the case of equity dividend swaps, the product of the period fixed strike and the number of shares or index units;
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(e) in the case of equity volatility swaps, the vega notional amount;
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(f) in the case of equity variance swaps, the variance amount;
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(g) in the case of financial contracts for difference, the resulting amount of the initial price and the total notional quantity;
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(h) in case of commodity fixed/float swaps, the product of the fixed price and the total notional quantity;
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(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;
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(j) in case of swaptions, the notional amount of the underlying contract;
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(k) in the case of a derivative not referred to in points (a) to (j) above, 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.
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2. The initial report of a derivative contract whose notional amount varies over time shall specify the notional amount as applicable at the date of conclusion of the derivative contract and the notional amount schedule.
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When reporting the notional amount schedule, counterparties shall indicate:
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(i) the unadjusted date on which the associated notional amount becomes effective;
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(ii) the unadjusted end date of the notional amount; and
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(iii) the notional amount which becomes effective on the associated unadjusted effective date.
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Article 8 Price
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11. The price of a derivative referred to in field 48 in Table 2 of the Annex shall be specified as follows:
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(a) in the case of swaps with periodic payments relating to commodities, the fixed price;
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(b) in the case of forwards relating to commodities and equities, the forward price of the underlying;
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(c) in the case of swaps relating to equities and contracts for difference, the initial price of the underlying.
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12. 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 9 Linking of reports
1The 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 field 152 in Table 2 as follows:
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(a) in the case of clearing, step-in, allocation and exercise, the counterparty shall report the unique trade identifier 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;
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(b) in the case of inclusion of a derivative in a position, the counterparty shall report the unique trade identifier 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 position’;
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(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.
ANNEX
1Table 1
|
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, 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 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 the trustees or managers of an occupational pension scheme are responsible, and legally liable, for reporting on its behalf in accordance with Article 9(1d) of that Regulation, the unique code identifying those trustees or managers. This field is applicable only to the 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 the counterparty 1 |
Indicate if the counterparty 1 is a CCP, a financial, non-financial counterparty or other type of counterparty as defined in points 1, 8 and 9 of Article 2 of Regulation (EU) No 648/2012 or an entity as referred to in accordance with point 5 of Article 1. |
|
6 |
Parties to the derivative |
Corporate sector of the counterparty 1 |
Nature of the counterparty 1’s company activities. If the 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 EMIR Technical Standards on the Standards, Formats, Frequency and Methods and Arrangements for Reporting 2023 and applying to that counterparty. If the 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 EMIR Technical Standards on the Standards, Formats, Frequency and Methods and Arrangements for Reporting 2023 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 or 10 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 the 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 the counterparty 2 |
Indicate if counterparty 2 is a CCP, a financial, non-financial counterparty or other type of counterparty in accordance with point 5 of Article 1 or points 1, 8 and 9 of Article 2 of Regulation (EU) No 648/2012. |
|
12 |
Parties to the derivative |
Corporate sector of the 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 EMIR Technical Standards on the Standards, Formats, Frequency and Methods and Arrangements for Reporting 2023 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 EMIR Technical Standards on the Standards, Formats, Frequency and Methods and Arrangements for Reporting 2023 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 4(a) or 10 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 the counterparty 1 without becoming a counterparty himself, the counterparty 1 shall identify this 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 the counterparty 1 is the payer or the receiver of leg 1 as determined at the date the derivative was concluded. |
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19 |
Parties to the derivative |
Direction of leg 2 |
Indicator of whether the 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 the counterparty 1 is a non-financial counterparty, as referred to in Article 2(9) of the Regulation (EU) No 648/2012. |
|
21 |
Parties to the derivative |
Execution agent |
LEI identifying the entity that executed the transaction on behalf of the counterparty, and binds the counterparty to the terms of the transaction, but is not a broker. |
1Table 2
|
Item |
Section |
Field |
Details to be reported |
|
1 |
Section 2a - Identifiers and links |
UTI |
Unique Transaction Identifier as referred to in Article 8 of the EMIR Technical Standards on the Standards, Formats, Frequency and Methods and Arrangements for Reporting 2023. |
|
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 |
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 the counterparty 1) in order to connect derivatives in the same package in accordance with Article 3(3). 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 6 of these Technical Standards. 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 in the below table, then the whole valuation is classified as mark-to-model. If only inputs are used that are classified as mark-to-market in the table below, then the whole valuation is classified as mark-to-market. |
|
25 |
Section 2c - Valuation |
Delta |
The ratio of the absolute change in price of a derivative transaction to the change in price of the underlier. 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 the 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. 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/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 of 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, defined in Article 3 of Regulation (EU) No 648/2012, except that, for the contract to be characterised as an intragroup transaction for the purposes of this reporting field, the references to counterparties established in a third-country jurisdiction in Articles 3(1), 3(2)(a)(i) and 3(2)(d) respectively apply to counterparties established in any third country jurisdiction, not only jurisdictions for which: (a) the Commission has adopted an implementing act as referred to in Article 13(2) in respect of that third country before IP completion day; or (b) the Treasury have made regulations under that Article in respect of that third country after IP completion day. This does not affect the meaning of the term ‘intragroup transaction’ as used elsewhere in Regulation (EU) No 648/2012 or related legislation. |
|
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 EMIR. 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 replace 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 replace 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 PTTR 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 of the UK. 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 of the UK, 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 of the UK. |
|
42 |
Section 2g - 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 2g - 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 2g - 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 2g - 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 2g - 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 (eg, 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 2g - 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 and 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 7 of these Technical Standards. |
|
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 7 of these Technical Standards. |
|
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, eg, 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, eg, 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, eg, 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 (eg, 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, eg, 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, eg, 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, eg, 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 (eg, 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. |
|
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 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 of the EMIR Technical Standards on the Standards, Formats, Frequency and Methods and Arrangements for Reporting 2023. |
|
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 of the EMIR Technical Standards on the Standards, Formats, Frequency and Methods and Arrangements for Reporting 2023. 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 of the EMIR Technical Standards on the Standards, Formats, Frequency and Methods and Arrangements for Reporting 2023. 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/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 2l - 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 amount of Leg 1 (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. Correction: 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(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. |
1Table 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 |
Unique code identifying the entity responsible for reporting. Where the entity responsible for reporting has delegated the submission of the report to a third party or to the other counterparty, the unique code identifying the delegated entity. |
|
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 the trustees or managers of an occupational pension scheme are responsible, and legally liable, for reporting on its behalf in accordance with Article 9(1d) of that Regulation, the unique code identifying those trustees on managers. This field is applicable only to the OTC derivatives. |
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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. |
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5 |
Parties to the derivative |
Counterparty 2 identifier type |
Indicator of whether LEI was used to identify counterparty 2. |
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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. |
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7 |
Collateral |
Collateral timestamp |
Date and time as of which the values of the margins are reported. |
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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. |
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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. |
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10 |
Collateral |
UTI |
Unique Transaction Identifier as referred to in Article 8 of the EMIR Technical Standards on the Standards, Formats, Frequency and Methods and Arrangements for Reporting 2023. |
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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. |
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12 |
Collateral |
Initial margin posted by the 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 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, ie, 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. |
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13 |
Collateral |
Initial margin posted by the 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 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 central counterparty, 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. |
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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. |
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15 |
Collateral |
Variation margin posted by the 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/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. |
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16 |
Collateral |
Variation margin posted by the 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 data element 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 /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. |
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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. |
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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. |
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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 field reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted excess collateral. |
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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 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 central counterparty 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. |
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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 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 central counterparty 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. |
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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. |
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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 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. |
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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 or 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. |
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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. |
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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. |
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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. |
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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 ‘Correction’. |
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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. |