ANNEX

1

Parties to the derivative

Reporting timestamp

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

2

Parties to the derivative

Report submitting entity ID

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.

3

Parties to the derivative

Entity responsible for reporting

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System.

4

Parties to the derivative

Counterparty 1 (Reporting counterparty)

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System.

5

Parties to the derivative

Nature of the counterparty 1

F = Financial Counterparty

N = Non-Financial Counterparty

C = Central Counterparty

O = Other

6

Parties to the derivative

Corporate sector of the counterparty 1

Taxonomy for Financial Counterparties:

‘INVF’ – an 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;

‘CDTI’ – a credit institution which is a CRR firm (within the definition in Article 4(1)(2A) of the Capital Requirements Regulation);

‘INUN’ - an insurance undertaking or reinsurance undertaking as defined in section 417 of the FSMA;

‘UCIT’ – a UK UCITS (within the definition in section 237(3) of the FSMA) and, where relevant, its management company (within the definition in section 237(2) of the FSMA), unless that UCITS is set up exclusively for the purposes of serving one or more employee share purchase plans;

‘ORPI’ – an occupational pension scheme within the meaning given in section 1(1) of the Pension Schemes Act 1993 which is established in the United Kingdom;

‘AIFD’ – an alternative investment fund (AIF), within the meaning given in regulation 3 of the Alternative Investment Fund Managers Regulations 2013, which is either established in the UK or managed by an AIFM (within the meaning given in regulation 4 of those Regulations) authorised or registered in accordance with those Regulations unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans or unless that AIF is a securitisation special purpose entity as defined in Article 4.1(an) of Directive 2011/61/EU, and where relevant, its AIFM is established in the United Kingdom;

‘CSDS’ – a central securities depository authorised in accordance with Regulation (EU) No 909/2014;

Taxonomy for Non-Financial Counterparties. The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006 (as it had effect immediately before IP completion day)

‘A’ - Agriculture, forestry and fishing;

‘B’ - Mining and quarrying;

‘C’ - Manufacturing;

‘D’ - Electricity, gas, steam and air conditioning supply;

‘E’ - Water supply, sewerage, waste management and remediation activities;

‘F’ - Construction;

‘G’ - Wholesale and retail trade, repair of motor vehicles and motorcycles;

‘H’ - Transportation and storage;

‘I’ - Accommodation and food service activities;

‘J’ - Information and communication;

‘K’ - Financial and insurance activities;

‘L’ - Real estate activities;

‘M’ - Professional, scientific and technical activities;

‘N’ - Administrative and support service activities;

‘O’ - Public administration and defence; compulsory social security;

‘P’ - Education;

‘Q’ - Human health and social work activities;

‘R’ - Arts, entertainment and recreation;

‘S’ - Other service activities;

‘T’ - Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use;

‘U’ - Activities of extraterritorial organizations and bodies.

Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities.

Leave blank in the case of CCPs and other types of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012.

7

Parties to the derivative

Clearing threshold of counterparty 1

Boolean value:

TRUE = Above the threshold

FALSE = Below the threshold

8

Parties to the derivative

Counterparty 2 identifier type

Boolean value:

TRUE

FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the Statement from the Regulatory Oversight Committee on Individuals Acting in a Business Capability, from 20 September 2015 (the ‘ROC Statement’).

9

Parties to the derivative

Counterparty 2

ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ‘ROC Statement’.

The code identifying a natural person shall be composed by the LEI of the counterparty 1 followed by a unique identifier assigned and maintained consistently by the counterparty 1 for that natural person(s) for regulatory reporting purpose.

10

Parties to the derivative

Country of counterparty 2

ISO 3166 Country Code - 2 character country code

11

Parties to the derivative

Nature of counterparty 2

F = Financial Counterparty

N = Non-Financial Counterparty

C = Central Counterparty

O = Other

12

Parties to the derivative

Corporate sector of the counterparty 2

Taxonomy for Financial Counterparties:

‘INVF’ – an 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;

‘CDTI’ – a credit institution which is a CRR firm (within the definition in Article 4(1)(2A) of the Capital Requirements Regulation);

‘INUN’ - an insurance undertaking or reinsurance undertaking as defined in section 417 of the FSMA;

‘UCIT’ - a UK UCITS (within the definition in section 237(3) of the FSMA) and, where relevant, its management company (within the definition in section 237(2) of the FSMA), unless that UCITS is set up exclusively for the purposes of serving one or more employee share purchase plans;

‘ORPI’ – an occupational pension scheme within the meaning given in section 1(1) of the Pension Schemes Act 1993 which is established in the United Kingdom;

‘AIFD’ - an alternative investment fund (AIF), within the meaning given in regulation 3 of the Alternative Investment Fund Managers Regulations 2013, which is either established in the UK or managed by an AIFM (within the meaning given in regulation 4 of those Regulations) authorised or registered in accordance with those Regulations unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans or unless that AIF is a securitisation special purpose entity as defined in Article 4.1(an) of Directive 2011/61/EU, and where relevant, its AIFM is established in the United Kingdom;

‘CSDS’ - a central securities depository authorised in accordance with Regulation (EU) No 909/2014.

Taxonomy for Non-Financial Counterparties:

The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006

‘A’ - Agriculture, forestry and fishing;

‘B’ - Mining and quarrying;

‘C’ - Manufacturing;

‘D’ - Electricity, gas, steam and air conditioning supply;

‘E’ - Water supply, sewerage, waste management and remediation activities;

‘F’ - Construction;

‘G’ - Wholesale and retail trade, repair of motor vehicles and motorcycles;

‘H’ - Transportation and storage;

‘I’ - Accommodation and food service activities;

‘J’ - Information and communication;

‘K’ - Financial and insurance activities;

‘L’ - Real estate activities;

‘M’ - Professional, scientific and technical activities;

‘N’ - Administrative and support service activities;

‘O’ - Public administration and defence; compulsory social security;

‘P’ - Education;

‘Q’ - Human health and social work activities;

‘R’ - Arts, entertainment and recreation;

‘S’ - Other service activities;

‘T’ - Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use;

‘U’ - Activities of extraterritorial organizations and bodies.

Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities.

Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012.

13

Parties to the derivative

Clearing threshold of counterparty 2

Boolean value:

TRUE = Above the threshold

FALSE = Below the threshold

14

Parties to the derivative

Reporting obligation of counterparty 2

Boolean value:

TRUE, if the counterparty 2 has the reporting obligation

FALSE, if the counterparty 2 does not have the reporting obligation

15

Parties to the derivative

Broker ID

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.

16

Parties to the derivative

Clearing member

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.

17

Parties to the derivative

Direction

4 alphabetic characters:

BYER = buyer

SLLR = seller

Populated in accordance with Article 5

18

Parties to the derivative

Direction of leg 1

4 alphabetic characters:

MAKE = payer

TAKE = receiver

Populated in accordance with Article 5

19

Parties to the derivative

Direction of leg 2

4 alphabetic characters:

MAKE = payer

TAKE = receiver

Populated in accordance with Article 5

20

Parties to the derivative

Directly linked to commercial activity or treasury financing

Boolean value:

TRUE = Yes

FALSE = No

21

Parties to the derivative

Execution agent

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.

1

Section 2a - Identifiers and links

UTI

ISO 23897 UTI. Up to 52 alphanumeric characters, only the upper-case alphabetic characters A–Z and the digits 0–9 are allowed

2

Section 2a - Identifiers and links

Report tracking number

An alphanumeric field up to 52 characters

3

Section 2a - Identifiers and links

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

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

4

Section 2a - Identifiers and links

Subsequent position UTI

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

5

Section 2a - Identifiers and links

PTRR ID

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

The first 20 characters represent the LEI of the compression provider

6

Section 2a - Identifiers and links

Package identifier

Up to 35 alphanumeric characters.

7

Section 2b – Contract information

International Securities Identification Number (ISIN)

ISO 6166 ISIN, 12 character alphanumeric code

8

Section 2b – Contract information

Unique product identifier (UPI)

ISO 4914 UPI, 12 character alphanumeric code

9

Section 2b – Contract information

Product classification

ISO 10692 CFI, 6 characters alphabetic code

10

Section 2b – Contract information

Contract type

CFDS = Financial contracts for difference

FRAS = Forward rate agreements

FUTR = Futures

FORW = Forwards

OPTN = Option

SPDB = Spreadbet

SWAP = Swap

SWPT = Swaption

OTHR = Other

11

Section 2b – Contract information

Asset class

COMM = Commodity and emission allowances

CRDT = Credit

CURR = Currency

EQUI = Equity

INTR = Interest Rate

12

Section 2b – Contract information

Derivative based on crypto-assets

Boolean value:

TRUE - for derivatives based on crypto-assets

FALSE - for other derivatives

13

Section 2b – Contract information

Underlying identification type

1 alphabetic character:

I = ISIN

B = Basket

X = Index

14

Section 2b – Contract information

Underlying identification

For underlying identification type I: ISO 6166 ISIN, 12 character alphanumeric code

For underlying identification type X: ISO 6166 ISIN if available, 12 character alphanumeric code

15

Section 2b – Contract information

Indicator of the underlying index

The indication of the floating rate index. 4 alphabetic characters:

ESTR = €STR

SONA = SONIA

SOFR = SOFR

EONA = EONIA

EONS = EONIA SWAP

EURI = EURIBOR

EUUS = EURODOLLAR

EUCH = EuroSwiss

GCFR = GCF REPO

ISDA = ISDAFIX

LIBI = LIBID

LIBO = LIBOR

MAAA = Muni AAA

PFAN = Pfandbriefe

TIBO = TIBOR

STBO = STIBOR

BBSW = BBSW

JIBA = JIBAR

BUBO = BUBOR

CDOR = CDOR

CIBO = CIBOR

MOSP = MOSPRIM

NIBO = NIBOR

PRBO = PRIBOR

TLBO = TELBOR

WIBO = WIBOR

TREA = Treasury

SWAP = SWAP

FUSW = Future SWAP

EFFR = Effective Federal Funds Rate

OBFR = Overnight Bank Funding Rate

CZNA = CZEONIA

TONA = TONAR

16

Section 2b – Contract information

Name of the underlying index

Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index.

17

Section 2b – Contract information

Custom basket code

Up to 72 alphanumeric characters composed of LEI of the basket structurer followed by up to 52 alphanumeric characters.

18

Section 2b – Contract information

Identifier of the basket’s constituents

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

19

Section 2b – Contract information

Settlement currency 1

ISO 4217 Currency Code, 3 alphabetic characters

20

Section 2b – Contract information

Settlement currency 2

ISO 4217 Currency Code, 3 alphabetic characters

21

Section 2c - Valuation

Valuation amount

Positive and negative value up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

The negative symbol, if populated, is not counted as a numeric character.

22

Section 2c - Valuation

Valuation currency

ISO 4217 Currency Code, 3 alphabetic characters

23

Section 2c - Valuation

Valuation timestamp

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

24

Section 2c - Valuation

Valuation method

4 alphabetic characters:

MTMA = Mark-to-market

MTMO = Mark-to-model

CCPV = CCP’s valuation.

25

Section 2c - Valuation

Delta

Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

Any value between -1 and 1 (including -1 and 1) is allowed.

26

Section 2d - Collateral

Collateral portfolio indicator

Boolean value:

TRUE = collateralised on a portfolio basis

FALSE = not part of a portfolio

27

Section 2d - Collateral

Collateral portfolio code

Up to 52 alphanumeric characters. Special characters are not allowed

28

Section 2e - Risk mitigation / Reporting

Confirmation timestamp

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

29

Section 2e - Risk mitigation / Reporting

Confirmed

4 alphabetic characters:

NCNF = unconfirmed

ECNF = electronic

YCNF = non-electronic

30

Section 2f - Clearing

Clearing obligation

TRUE = the contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation and both counterparties to the contract are subject to the clearing obligation

FLSE = the contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation but one or both counterparties to the contract are not subject to the clearing obligation

or value 'UKWN' - the contract does not belong to a class of OTC derivatives that has been declared subject to the clearing obligation

31

Section 2f - Clearing

Cleared

1 alphabetic character:

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

N= no, not centrally cleared.

32

Section 2f - Clearing

Clearing timestamp

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

33

Section 2f - Clearing

Central counterparty

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.

34

Section 2g - Details on the transaction

Master Agreement type

4 alphabetic characters:

‘ISDA’ - ISDA

‘CDEA’ - FIA-ISDA Cleared Derivatives Execution Agreement

‘EUMA’ - European Master Agreement

‘FPCA’ - FOA Professional Client Agreement

‘FMAT’ - FBF Master Agreement relating to transactions on forward financial instruments

‘DERV’ - Deutscher Rahmenvertrag für Finanztermingeschäfte (DRV)

‘CMOP’ - Contrato Marco de Operaciones Financieras

‘CHMA’ - Swiss Master Agreement

‘IDMA’ - Islamic Derivative Master Agreement

‘EFMA’ - EFET Master Agreement

‘GMRA’ - GMRA

‘GMSL’ - GMSLA

‘BIAG’ - bilateral agreement

Or ‘OTHR’ if the master agreement type is not included in the above list.

35

Section 2g - Details on the transaction

Other master agreement type

Up to 50 alphanumeric characters.

36

Section 2g - Details on the transaction

Master Agreement version

ISO 8601 date in the format YYYY

37

Section 2g - Details on the transaction

Intragroup

Boolean value:

TRUE = contract entered into as an intragroup transaction

FALSE = contract not entered into as an intragroup transaction

38

Section 2g - Details on the transaction

PTRR

Boolean value:

TRUE = contract results from a PTRR event

FALSE = contract does not result from a PTRR event

39

Section 2g - Details on the transaction

Type of PTRR technique

4 alphabetic characters:

‘PWOS’- Portfolio Compression without a third- party service provider

‘PWAS’ - Portfolio Compression with a third-party service provider or CCP

‘PRBM’ - Portfolio Rebalancing/Margin management

OTHR – other

40

Section 2g - Details on the transaction

PTRR service provider

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.

41

Section 2g - Details on the transaction

Venue of execution

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

42

Section 2g - Details on the transaction

Execution timestamp

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

43

Section 2g - Details on the transaction

Effective date

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

44

Section 2g - Details on the transaction

Expiration date

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

45

Section 2g - Details on the transaction

Early termination date

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

46

Section 2g - Details on the transaction

Final contractual settlement date

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

47

Section 2g - Details on the transaction

Delivery type

4 alphabetic characters:

CASH = Cash

PHYS = Physical

OPTL = Optional for counterparty or when determined by a third party

48

Section 2g - Details on the transaction

Price

If price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties should round half-up.

If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (eg 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties should round half-up.

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

The negative symbol, if populated, is not counted as a numeric character.

49

Section 2g - Details on the transaction

Price currency

ISO 4217 Currency Code, 3 alphabetic characters

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

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

51

Section 2g - Details on the transaction

Unadjusted end date of the price

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

52

Section 2g - Details on the transaction

Price in effect between the unadjusted effective and end date

If price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties should round half-up.

If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g., 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties should round half-up.

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

The negative symbol, if populated, is not counted as a numeric character.

53

Section 2g - Details on the transaction

Package transaction price

If Package transaction price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties should round half-up.

If Package transaction price is expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g., 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties should round half-up.

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

The negative symbol, if populated, is not counted as a numeric character.

54

Section 2g - Details on the transaction

Package transaction price currency

ISO 4217 Currency Code, 3 alphabetic characters

55

Section 2g - Details on the transaction

Notional amount of leg 1

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

56

Section 2g - Details on the transaction

Notional currency 1

ISO 4217 Currency Code, 3 alphabetic characters

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

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

58

Section 2g - Details on the transaction

End date of the notional amount of leg 1

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

59

Section 2g - Details on the transaction

Notional amount in effect on associated effective date of leg 1

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

60

Section 2g - Details on the transaction

Total notional quantity of leg 1

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

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

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

62

Section 2g - Details on the transaction

End date of the notional quantity of leg 1

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

63

Section 2g - Details on the transaction

Notional quantity in effect on associated effective date of leg 1

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

64

Section 2g - Details on the transaction

Notional amount of leg 2

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

65

Section 2g - Details on the transaction

Notional currency 2

ISO 4217 Currency Code, 3 alphabetic characters

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

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

67

Section 2g - Details on the transaction

End date of the notional amount of leg 2

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

68

Section 2g - Details on the transaction

Notional amount in effect on associated effective date of leg 2

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

69

Section 2g - Details on the transaction

Total notional quantity of leg 2

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

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

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

71

Section 2g - Details on the transaction

End date of the notional quantity of leg 2

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

72

Section 2g - Details on the transaction

Notional quantity in effect on associated effective date of leg 2

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

Section of fields 73 to 78 is repeatable

73

Section 2g - Details on the transaction

Other payment type

4 alphabetic characters:

UFRO= Upfront Payment, i.e., the initial payment made by one of the counterparties either to bring a transaction to fair value or for any other reason that may be the cause of an off-market transaction

UWIN = Unwind or Full termination, i.e., the final settlement payment made when a transaction is unwound prior to its end date; Payments that may result due to full termination of derivative transaction(s)

PEXH = Principal Exchange, i.e., Exchange of notional values for cross-currency swaps

74

Section 2g - Details on the transaction

Other payment amount

Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

Any value greater than or equal to zero is allowed.

75

Section 2g - Details on the transaction

Other payment currency

ISO 4217 Currency Code, 3 alphabetic characters

76

Section 2g - Details on the transaction

Other payment date

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

77

Section 2g - Details on the transaction

Other payment payer

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ‘ROC Statement’.

The code identifying a natural person shall be composed by the LEI of the counterparty 1 followed by a unique identifier assigned and maintained consistently by the counterparty 1 for that natural person(s) for regulatory reporting purposes.

78

Section 2g - Details on the transaction

Other payment receiver

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ‘ROC Statement’.

The code identifying a natural person shall be composed by the LEI of the counterparty 1 followed by a unique identifier assigned and maintained consistently by the counterparty 1 for that natural person(s) for regulatory reporting purposes.

79

Section 2h - Interest Rates

Fixed rate of leg 1 or coupon

Positive and negative values, up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g., 2.57 instead of 2.57%).

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

The negative symbol, if populated, is not counted as a numeric character.

80

Section 2h - Interest Rates

Fixed rate or coupon day count convention leg 1

4 alphanumeric characters:

A001 = IC30360ISDAor30360AmericanBasicRule

A002 = IC30365

A003 = IC30Actual

A004 = Actual360

A005 = Actual365Fixed

A006 = ActualActualICMA

A007 = IC30E360orEuroBondBasismodel1

A008 = ActualActualISDA

A009 = Actual365LorActuActubasisRule

A010 = ActualActualAFB

A011 = IC30360ICMAor30360basicrule

A012 = IC30E2360orEurobondbasismodel2

A013 = IC30E3360orEurobondbasismodel3

A014 = Actual365NL

A015 = ActualActualUltimo

A016 = IC30EPlus360

A017 = Actual364

A018 = Business252

A019 = Actual360NL

A020 = 1/1

NARR = Narrative

81

Section 2h - Interest Rates

Fixed rate or coupon payment frequency period leg 1

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

82

Section 2h - Interest Rates

Fixed rate or coupon payment frequency period multiplier leg 1

Any integer value greater than or equal to zero, up to 3 numeric characters.

83

Section 2h - Interest Rates

Identifier of the floating rate of leg 1

If the floating rate has an ISIN, the ISIN code for that rate.

84

Section 2h - Interest Rates

Indicator of the floating rate of leg 1

The indication of the floating rate index. 4 alphabetic characters:

ESTR = €STR

SONA = SONIA

SOFR = SOFR

EONA = EONIA

EONS = EONIA SWAP

EURI = EURIBOR

EUUS = EURODOLLAR

EUCH = EuroSwiss

GCFR = GCF REPO

ISDA = ISDAFIX

LIBI = LIBID

LIBO = LIBOR

MAAA = Muni AAA

PFAN = Pfandbriefe

TIBO = TIBOR

STBO = STIBOR

BBSW = BBSW

JIBA = JIBAR

BUBO = BUBOR

CDOR = CDOR

CIBO = CIBOR

MOSP = MOSPRIM

NIBO = NIBOR

PRBO = PRIBOR

TLBO = TELBOR

WIBO = WIBOR

TREA = Treasury

SWAP = SWAP

FUSW = Future SWAP

EFFR = Effective Federal Funds Rate

OBFR = Overnight Bank Funding Rate

CZNA = CZEONIA

TONA = TONAR

85

Section 2h - Interest Rates

Name of the floating rate of leg 1

Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index.

86

Section 2h - Interest Rates

Floating rate day count convention of leg 1

4 alphanumeric characters:

A001 = IC30360ISDAor30360AmericanBasicRule

A002 = IC30365

A003 = IC30Actual

A004 = Actual360

A005 = Actual365Fixed

A006 = ActualActualICMA

A007 = IC30E360orEuroBondBasismodel1

A008 = ActualActualISDA

A009 = Actual365LorActuActubasisRule

A010 = ActualActualAFB

A011 = IC30360ICMAor30360basicrule

A012 = IC30E2360orEurobondbasismodel2

A013 = IC30E3360orEurobondbasismodel3

A014 = Actual365NL

A015 = ActualActualUltimo

A016 = IC30EPlus360

A017 = Actual364

A018 = Business252

A019 = Actual360NL

A020 = 1/1

NARR = Narrative

87

Section 2h - Interest Rates

Floating rate payment frequency period of leg 1

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

88

Section 2h - Interest Rates

Floating rate payment frequency period multiplier of leg 1

Any integer value greater than or equal to zero, up to 3 numeric characters.

89

Section 2h - Interest Rates

Floating rate reference period of leg 1 – time period

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

90

Section 2h - Interest Rates

Floating rate reference period of leg 1 – multiplier

Any integer value greater than or equal to zero, up to 3 numeric characters.

91

Section 2h - Interest Rates

Floating rate reset frequency period of leg 1

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

92

Section 2h - Interest Rates

Floating rate reset frequency multiplier of leg 1

Any integer value greater than or equal to zero, up to 3 numeric characters.

93

Section 2h - Interest Rates

Spread of leg 1

If Spread is expressed as monetary amount - any value up to 18 numeric characters including up to 13 decimal places.

If Spread is expressed as percentage- any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g., 2.57 instead of 2.57%).

If Spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g., 257 instead of 2.57%).

94

Section 2h - Interest Rates

Spread currency of leg 1

ISO 4217 Currency Code, 3 alphabetic characters

95

Section 2h - Interest Rates

Fixed rate of leg 2

Positive and negative values up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g., 2.57 instead of 2.57%).

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

The negative symbol, if populated, is not counted as a numeric character.

96

Section 2h - Interest Rates

Fixed rate day count convention leg 2

4 alphanumeric characters:

A001 = IC30360ISDAor30360AmericanBasicRule

A002 = IC30365

A003 = IC30Actual

A004 = Actual360

A005 = Actual365Fixed

A006 = ActualActualICMA

A007 = IC30E360orEuroBondBasismodel1

A008 = ActualActualISDA

A009 = Actual365LorActuActubasisRule

A010 = ActualActualAFB

A011 = IC30360ICMAor30360basicrule

A012 = IC30E2360orEurobondbasismodel2

A013 = IC30E3360orEurobondbasismodel3

A014 = Actual365NL

A015 = ActualActualUltimo

A016 = IC30EPlus360

A017 = Actual364

A018 = Business252

A019 = Actual360NL

A020 = 1/1

NARR = Narrative

97

Section 2h - Interest Rates

Fixed rate payment frequency period leg 2

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

98

Section 2h - Interest Rates

Fixed rate payment frequency period multiplier leg 2

Any integer value greater than or equal to zero, up to 3 numeric characters.

99

Section 2h - Interest Rates

Identifier of the floating rate of leg 2

If the floating rate has an ISIN, the ISIN code for that rate.

100

Section 2h - Interest Rates

Indicator of the floating rate of leg 2

The indication of the floating rate index. 4 alphabetic characters:

ESTR = €STR

SONA = SONIA

SOFR = SOFR

EONA = EONIA

EONS = EONIA SWAP

EURI = EURIBOR

EUUS = EURODOLLAR

EUCH = EuroSwiss

GCFR = GCF REPO

ISDA = ISDAFIX

LIBI = LIBID

LIBO = LIBOR

MAAA = Muni AAA

PFAN = Pfandbriefe

TIBO = TIBOR

STBO = STIBOR

BBSW = BBSW

JIBA = JIBAR

BUBO = BUBOR

CDOR = CDOR

CIBO = CIBOR

MOSP = MOSPRIM

NIBO = NIBOR

PRBO = PRIBOR

TLBO = TELBOR

WIBO = WIBOR

TREA = Treasury

SWAP = SWAP

FUSW = Future SWAP

EFFR = Effective Federal Funds Rate

OBFR = Overnight Bank Funding Rate

CZNA = CZEONIA

TONA = TONAR

101

Section 2h - Interest Rates

Name of the floating rate of leg 2

Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index.

102

Section 2h - Interest Rates

Floating rate day count convention of leg 2

4 alphanumeric characters:

A001 = IC30360ISDAor30360AmericanBasicRule

A002 = IC30365

A003 = IC30Actual

A004 = Actual360

A005 = Actual365Fixed

A006 = ActualActualICMA

A007 = IC30E360orEuroBondBasismodel1

A008 = ActualActualISDA

A009 = Actual365LorActuActubasisRule

A010 = ActualActualAFB

A011 = IC30360ICMAor30360basicrule

A012 = IC30E2360orEurobondbasismodel2

A013 = IC30E3360orEurobondbasismodel3

A014 = Actual365NL

A015 = ActualActualUltimo

A016 = IC30EPlus360

A017 = Actual364

A018 = Business252

A019 = Actual360NL

A020 = 1/1

NARR = Narrative

103

Section 2h - Interest Rates

Floating rate payment frequency period of leg 2

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

104

Section 2h - Interest Rates

Floating rate payment frequency period multiplier of leg 2

Any integer value greater than or equal to zero, up to 3 numeric characters.

105

Section 2h - Interest Rates

Floating rate reference period of leg 2 – time period

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

106

Section 2h - Interest Rates

Floating rate reference period of leg 2 – multiplier

Any integer value greater than or equal to zero, up to 3 numeric characters.

107

Section 2h - Interest Rates

Floating rate reset frequency period of leg 2

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

108

Section 2h - Interest Rates

Floating rate reset frequency multiplier of leg 2

Any integer value greater than or equal to zero, up to 3 numeric characters.

109

Section 2h - Interest Rates

Spread of leg 2

If Spread is expressed as monetary amount - any value up to 18 numeric characters including up to 13 decimal places.

If Spread is expressed as percentage- any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g., 2.57 instead of 2.57%).

If Spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g., 257 instead of 2.57%).

110

Section 2h - Interest Rates

Spread currency of leg 2

ISO 4217 Currency Code, 3 alphabetic characters

111

Section 2h - Interest Rates

Package transaction spread

If Package transaction spread is expressed as monetary amount -positive and negative value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties should round half-up.

If Package transaction spread is expressed as percentage- positive and negative value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g., 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties should round half-up.

If Package transaction spread is expressed as basis points -any integer value up to 5 numeric characters expressed in basis points (e.g., 257 instead of 2.57%).

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

The negative symbol, if populated, is not counted as a numeric character.

112

Section 2h - Interest Rates

Package transaction spread currency

ISO 4217 Currency Code, 3 alphabetic characters

113

Section 2i – Foreign Exchange

Exchange rate 1

Any value greater than zero up to 18 numeric digits including up to 13 decimal places.

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

114

Section 2i – Foreign Exchange

Forward exchange rate

Any value greater than zero up to 18 numeric digits including up to 13 decimal places.

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

115

Section 2i – Foreign Exchange

Exchange rate basis

7 characters representing two ISO 4217 currency codes separated by “/” without restricting the currency pair ordering.

The first currency code shall indicate the unit currency, and the second currency code shall indicate the quote currency.

116

Section 2j - Commodities and emission allowances (General)

Base product

Only values in the ‘Base product’ column of the classification of commodities derivatives table are allowed.

117

Section 2j - Commodities and emission allowances (General)

Sub-product

Only values in the ‘Sub — product’ column of the classification of commodities derivatives table are allowed.

118

Section 2j - Commodities and emission allowances (General)

Further sub-product

Only values in the ‘Further sub — product’ of the classification of commodities derivatives table are allowed.

119

Section 2k - Commodities and emission allowances (Energy)

Delivery point or zone

EIC code, 16 character alphanumeric code. Repeatable field.

120

Section 2k - Commodities and emission allowances (Energy)

Interconnection Point

EIC code, 16 character alphanumeric code. Repeatable field.

121

Section 2k - Commodities and emission allowances (Energy)

Load type

BSLD = Base Load

PKLD = Peak Load

OFFP = Off-Peak

HABH = Hour/Block Hours

SHPD = Shaped

GASD = Gas Day

OTHR = Other

Section of fields 122 to 131 is repeatable

122

Section 2k - Commodities and emission allowances (Energy)

Delivery interval start time

hh:mm:ssZ

123

Section 2k - Commodities and emission allowances (Energy)

Delivery interval end time

hh:mm:ssZ

124

Section 2k - Commodities and emission allowances (Energy)

Delivery start date

ISO 8601 date in the format YYYY-MM-DD

125

Section 2k - Commodities and emission allowances (Energy)

Delivery end date

ISO 8601 date in the format YYYY-MM-DD

126

Section 2k - Commodities and emission allowances (Energy)

Duration

MNUT=Minutes

HOUR= Hour

DASD= Day

WEEK=Week

MNTH=Month

QURT = Quarter

SEAS= Season

YEAR= Annual

OTHR=Other

127

Section 2k - Commodities and emission allowances (Energy)

Days of the week

WDAY = Weekdays

WEND = Weekend

MOND = Monday

TUED = Tuesday

WEDD = Wednesday

THUD = Thursday

FRID = Friday

SATD = Saturday

SUND = Sunday

XBHL - Excluding bank holidays

IBHL - Including bank holidays

Multiple values are permitted

128

Section 2k - Commodities and emission allowances (Energy)

Delivery capacity

Up to 20 numeric digits including decimals

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

The negative symbol, if populated, is not counted as a numeric character.

129

Section 2k - Commodities and emission allowances (Energy)

Quantity Unit

KWAT = KW

KWHH = KWh/h

KWHD = KWh/d

MWAT = MW

MWHH = MWh/h

MWHD = MWh/d

GWAT = GW

GWHH = GWh/h

GWHD = GWh/d

THMD = Therm/d

KTMD = Ktherm/d

MTMD = Mtherm/d

CMPD = cm/d

MCMD = mcm/d

BTUD = Btu/d

MBTD = MMBtu/d

MJDD = MJ/d

HMJD = 100MJ/d

MMJD = MMJ/d

GJDD = GJ/d

130

Section 2k - Commodities and emission allowances (Energy)

Price/time interval quantity

Up to 20 numeric characters including decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numeric character.

131

Section 2k - Commodities and emission allowances (Energy)

Currency of the price/time interval quantity

ISO 4217 Currency Code, 3 alphabetical character code

132

Section 2l - Options

Option type

4 alphabetic characters:

PUTO = Put

CALL = Call

OTHR = where it cannot be determined whether it is a call or a put

133

Section 2l - Options

Option style

4 alphabetic characters:

AMER = American

BERM = Bermudan

EURO = European

134

Section 2l - Options

Strike price

If Strike price is expressed as monetary amount: any value up to 18 numeric characters including up to 13 decimal places (e.g., USD 6.39) expressed as 6.39, for equity options, commodity options, foreign exchange options and similar products. If the value has more than 13 digits after the decimal, reporting counterparties should round half-up.

If Strike price is expressed as percentage: any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g., 2.1 instead of 2.1%), for interest rate options, interest rate and credit swaptions quoted in spread, and similar products.

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

The negative symbol, if populated, is not counted as a numeric character.

Fields 135 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

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

136

Section 2l - Options

End date of the strike price

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

137

Section 2l - Options

Strike price in effect on associated effective date

If Strike price is expressed as monetary amount: any value up to 18 numeric characters including up to 13 decimal places (e.g., USD 6.39) expressed as 6.39, for equity options, commodity options, foreign exchange options and similar products. If the value has more than 13 digits after the decimal, reporting counterparties should round half-up.

If Strike price is expressed as percentage: any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g., 2.1 instead of 2.1%), for interest rate options, interest rate and credit swaptions quoted in spread, and similar products.

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

The negative symbol, if populated, is not counted as a numeric character.

138

Section 2l - Options

Strike price currency/currency pair

ISO 4217 Currency Code, 3 alphabetic characters; or

for foreign exchange options: 7 characters representing two ISO 4217 currency codes separated by “/” without restricting the currency pair ordering.

The first currency code shall indicate the base currency, and the second currency code shall indicate the quote currency.

139

Section 2l - Options

Option premium amount

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

140

Section 2l - Options

Option premium currency

ISO 4217 Currency Code, 3 alphabetic characters

141

Section 2l - Options

Option premium payment date

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

142

Section 2l - Options

Maturity date of the underlying

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

143

Section 2m – Credit derivatives

Seniority

4 alphabetic characters:

SNDB = Senior, such as Senior Unsecured Debt (Corporate/Financial), Foreign Currency Sovereign Debt (Government),

SBOD = Subordinated, such as Subordinated or Lower Tier 2 Debt (Banks), Junior Subordinated or Upper Tier 2 Debt (Banks),

OTHR = Other, such as Preference Shares or Tier 1 Capital (Banks) or other credit derivatives

144

Section 2m – Credit derivatives

Reference entity

ISO 3166 Country Code - 2 character country code, or

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

or

ISO 17442 LEI, 20 alphanumeric character code

145

Section 2m – Credit derivatives

Series

Integer field up to 5 characters

146

Section 2m – Credit derivatives

Version

Integer field up to 5 characters.

147

Section 2m – Credit derivatives

Index factor

Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g., 0.05 instead of 5%) between 0 and 1 (including 0 and 1).

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

148

Section 2m – Credit derivatives

Tranche

Boolean value:

TRUE = Tranched

FALSE = Untranched

149

Section 2m – Credit derivatives

Credit Default Swap (CDS) index attachment point

Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g., 0.05 instead of 5%) between 0 and 1 (including 0 and 1).

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

150

Section 2m – Credit derivatives

CDS index detachment point

Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g., 0.05 instead of 5%) between 0 and 1 (including 0 and 1).

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

151

Section 2n - Modifications to the derivative

Action type

4 alphabetic characters:

NEWT = New

MODI = Modify

CORR = Correction

TERM = Terminate

EROR = Error

REVI = Revive

VALU = Valuation

POSC = Position component

152

Section 2n - Modifications to the derivative

Event type

4 alphabetic characters:

TRAD = Trade

NOVA = Step-in

COMP = PTRR

ETRM = Early termination

CLRG = Clearing

EXER = Exercise

ALOC = Allocation

CREV = Credit event

CORP=Corporate event

INCP = Inclusion in position

UPDT = Update

153

Section 2n - Modifications to the derivative

Event date

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

154

Section 2n - Modifications to the derivative

Level

4 alphabetic characters:

TCTN = Trade

PSTN = Position

1

Parties to the derivative

Reporting timestamp

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

2

Parties to the derivative

Report submitting entity ID

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.

3

Parties to the derivative

Entity responsible for reporting

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System.

4

Parties to the derivative

Counterparty 1 (Reporting counterparty)

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System.

5

Parties to the derivative

Counterparty 2 identifier type

Boolean value:

TRUE

FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the ‘ROC Statement’.

6

Parties to the derivative

Counterparty 2

ISO 17442 LEI, 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ‘ROC Statement’. The code identifying a natural person shall be composed by the LEI of the counterparty 1 followed by a unique identifier assigned and maintained consistently by the counterparty 1 for that natural person(s) for regulatory reporting purpose.

7

Collateral

Collateral timestamp

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

8

Collateral

Collateral portfolio indicator

Boolean value:

TRUE = collateralised on a portfolio basis

FALSE = not part of a portfolio

9

Collateral

Collateral portfolio code

Up to 52 alphanumeric characters.

Special characters are not allowed

10

Collateral

UTI

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

11

Collateral

Collateralisation category

4 alphabetic characters:

UNCL = uncollateralised

PRC1 = partially collateralised: counterparty 1 only

PRC2 = partially collateralised: counterparty 2 only

PRCL = partially collateralised

OWC1 = one way collateralised: counterparty 1 only

OWC2 = one way collateralised: counterparty 2 only

OWP1 = one way/partially collateralised: counterparty 1

OWP2 = one way/partially collateralised: counterparty 2

FLCL = fully collateralised

Populated in accordance with Article 6 of these Technical Standards.

12

Collateral

Initial margin posted by the counterparty 1 (pre-haircut)

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

13

Collateral

Initial margin posted by the counterparty 1 (post-haircut)

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

14

Collateral

Currency of the initial margin posted

ISO 4217 Currency Code, 3 alphabetic characters

15

Collateral

Variation margin posted by the counterparty 1 (pre- haircut)

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

16

Collateral

Variation margin posted by the counterparty 1 (post- haircut)

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

17

Collateral

Currency of the variation margins posted

ISO 4217 Currency Code, 3 alphabetic characters

18

Collateral

Excess collateral posted by counterparty 1

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

19

Collateral

Currency of the excess collateral posted

ISO 4217 Currency Code, 3 alphabetic characters

20

Collateral

Initial margin collected by counterparty 1 (pre-haircut)

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

21

Collateral

Initial margin collected by counterparty 1 (post-haircut)

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

22

Collateral

Currency of initial margin collected

ISO 4217 Currency Code, 3 alphabetic characters

23

Collateral

Variation margin collected by counterparty 1 (pre- haircut)

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

24

Collateral

Variation margin collected by counterparty 1 (post- haircut)

Any value greater than or equal to zero up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

25

Collateral

Currency of variation margin collected

ISO 4217 Currency Code, 3 alphabetic characters

26

Collateral

Excess collateral collected by counterparty 1

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties should round half-up.

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

27

Collateral

Currency of excess collateral collected

ISO 4217 Currency Code, 3 alphabetic characters.

28

Collateral

Action type

‘MARU’ - Margin update

‘CORR’ – Correction

29

Collateral

Event date

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

‘AGRI’ - Agricultural

'GROS’ - Grains Oil Seeds

'FWHT’ - Feed Wheat

'SOYB’ - Soybeans

'CORN’ - Maize

‘RPSD’ - Rapeseed

‘RICE’ - Rice

‘OTHR’ – Other

'SOFT’ - Softs

'CCOA’ - Cocoa

'ROBU’ - Robusta Coffee

'WHSG’ - White Sugar

‘BRWN’ - Raw Sugar

‘OTHR’ – Other

'POTA' - Potato

'OOLI’- Olive oil

'LAMP’ - ‘Lampante'

‘OTHR’ – Other

'DIRY’- Dairy

'FRST’ - Forestry

'SEAF’ - Seafood

'LSTK’ - Livestock

'GRIN’ - Grain

‘MWHT’ - Milling Wheat

‘OTHR’ – Other

‘OTHR’ - Other

'NRGY’ – Energy

'ELEC’ - Electricity

'BSLD’- Base load

'FITR’ - Financial Transmission Rights

'PKLD’- Peak load

‘OFFP’- Off-peak

‘OTHR’- Other

'NGAS’ - Natural Gas

'GASP’- GASPOOL

'LNGG’ - LNG

'NBPG’ - NBP

'NCGG’ - NCG

'TTFG’ – TTF

‘OTHR’ – Other

'OILP’ - Oil

‘BAKK’ - Bakken

'BDSL’ - Biodiesel

'BRNT’ - Brent

'BRNX’ - Brent NX

'CNDA’ - Canadian

'COND’ – Condensate

'DSEL’ - Diesel

'DUBA’ - Dubai

'ESPO’ - ESPO

’ETHA’ - Ethanol

'FUEL’ - Fuel

'FOIL’ - Fuel Oil

'GOIL’ - Gasoil

'GSLN’ - Gasoline

'HEAT’ - Heating Oil

'JTFL’ - Jet Fuel

'KERO’ - Kerosene

'LLSO’ - Light Louisiana Sweet (LLS)

'MARS’ - Mars

'NAPH’ - Naphta

'NGLO’ - NGL

'TAPI’ - Tapis

'URAL’ - Urals

'WTIO’ - WTI

‘OTHR’ – Other

'COAL’- Coal

'INRG’ - Inter Energy

'RNNG’ - Renewable energy

‘LGHT’ - Light ends

‘DIST’ – Distillates

‘OTHR’ - Other

'ENVR’ - Environmental

'EMIS’ - Emissions

'CERE' - CER

'ERUE' - ERU

'EUAE' - EUA

'EUAA' - EUAA

'OTHR' – Other

'WTHR’ - Weather

'CRBR’ - Carbon related'

‘OTHR’ - Other

'FRGT’ - Freight

‘WETF’ - Wet

‘TNKR’ - Tankers

‘OTHR’ – Other

‘DRYF’ - Dry

‘DBCR’ - Dry bulk carriers

‘OTHR’ – Other

‘CSHP’ - Containerships

‘OTHR’ - Other

'FRTL’ - Fertiliser

'AMMO’ - Ammonia

'DAPH' - DAP (Diammonium Phosphate)

'PTSH’ - Potash

'SLPH’ - Sulphur

'UREA’ - Urea

'UAAN' - UAN (urea and ammonium nitrate)

‘OTHR’ - Other

'INDP’ - Industrial products

'CSTR’ - Construction

'MFTG’ - Manufacturing

'METL’ - Metals

'NPRM’ - Non-Precious

'ALUM’ - Aluminium

'ALUA’ - Aluminium Alloy

'CBLT’ - Cobalt

'COPR’ - Copper

'IRON’ - Iron ore

'LEAD’ - Lead

'MOLY’ - Molybdenum

'NASC’ - NASAAC

'NICK’ – Nickel

'STEL’ - Steel

'TINN’ - Tin

'ZINC’ - Zinc

‘OTHR’ – Other

‘PRME’ - Precious

'GOLD’ - Gold

'SLVR’ - Silver

'PTNM’ - Platinum

‘PLDM’ - Palladium

‘OTHR’ – Other

'MCEX’ - Multi Commodity Exotic

'PAPR’ - Paper

'CBRD’ - Container board

'NSPT’ - Newsprint

'PULP’ - Pulp

'RCVP’ - Recovered paper

‘OTHR’ – Other

'POLY’ - Polypropylene

'PLST’ – Plastic

‘OTHR’ – Other

‘INFL’ - Inflation

‘OEST’ - Official economic statistics

‘OTHC’ - Other C10 ‘as defined in Table 10.1 Section 10 of Annex III to Commission Delegated Regulation (EU) 2017/583

‘OTHR’ - Other