ANNEX II Format for daily Reports

{ALPHANUM-n}

Up to n alphanumerical characters

Free text field.

{DECIMAL-n/m}

Decimal number of up to n digits in total of which up to m digits can be fraction digits

Numerical field for both positive and negative values:

• decimal separator is "." (full stop),
• negative numbers are prefixed with "–" (minus).

Where applicable, values are rounded and not truncated.

{DATEFORMAT}

ISO 8601 date format

Dates shall be formatted in the following format:

YYYY-MM-DD.

{DATE_TIME_FORMAT}

ISO 8601 date and time format

• Date and time in the following format:
• YYYY-MM-DDThh:mm:ss.ddddddZ.
• "YYYY" is the year,
• "MM" is the month,
• "DD" is the day,
• "T" — means that the letter "T" shall be used,
• "hh" is the hour,
• "mm" is the minute,
• "ss.dddddd" is the second and its fraction of a second,
• Z is UTC time.

Dates and times shall be reported in UTC.

{ISIN}

12 alphanumerical characters

ISIN code, as defined in ISO 6166

{LEI}

20 alphanumerical characters

Legal entity identifier as defined in ISO 17442

{MIC}

4 alphanumerical characters

Market identifier as defined in ISO 10383

{NATIONAL_ID}

35 alphanumerical characters

The ID is that set out in Article 6 of the Commission Delegated Regulation (EU) 2017/590 on transaction reporting obligations under Article 26 of Regulation (EU) No 600/2014 of the European Parliament and of the Council and Annex II to that Regulation.

{INTEGER-n}

Integer number of up to n digits in total

Numerical field for both positive and negative integer values.

Date and time of report submission

Field to be populated with the date and time on which the report is submitted.

{DATE_TIME_FORMAT}

Report reference number

Field to be populated with the unique identifier given by the submitter unambiguously identifying the report to both submitter and receiving competent authority.

{ALPHANUM-52}

Date of the trading day of the reported position

Field to be populated with the date on which the reported position is held at the close of the trading day on the relevant trading venue.

{DATEFORMAT}

Report status

Indication as to whether the report is new or a previously submitted report is cancelled or amended.

Where a previously submitted report is cancelled or amended, a report which contains all the details of the original report and using the original Report Reference Number should be sent and the "Report status" should be flagged as "CANC".

For amendments a new report that contains all the details of the original report and using the original Report Reference Number with all necessary details amended should be sent and the "Report status" should be flagged as "AMND".

Reporting entity ID

The identifier of the reporting investment firm. Field to be populated with the Legal Entity Identifier code (LEI) for legal entities or {NATIONAL_ID} for natural persons not having an LEI.

{LEI}

or

{NATIONAL_ID} — Natural persons

Position holder ID

Field to be populated with the Legal Entity Identifier code (LEI) for legal entities or {NATIONAL_ID} for natural persons not having an LEI. (Note: if the position is held as a proprietary position of the reporting firm, this field shall be identical to field "Reporting entity ID").

{LEI}

or

{NATIONAL_ID} — Natural persons

Email address of position holder

Email address for notifications of position-related matters.

{ALPHANUM-256}

Ultimate parent entity ID

Field to be populated with the Legal Entity Identifier code (LEI) for legal entities or {NATIONAL_ID} for natural persons not having an LEI. Note: this field may be identical to field "Reporting entity ID" or "Position holder ID" if the ultimate parent entity holds its own positions, or makes its own reports.

{LEI}

or

{NATIONAL_ID} — Natural persons

Email address of ultimate parent entity

Email address for correspondence in relation to aggregated positions.

{ALPHANUM-256}

Parent of collective investment scheme status

Field to report on whether the position holder is a collective investment undertaking that makes investment decisions independently from its parent as set out by Article 4(2) of the Commission Delegated Regulation (EU) 2017/591.

Identification code of contract traded on trading venues

Identifier of the commodity derivative, emission allowance or derivative thereof. See field "Trading venue identifier" for treatment of OTC contracts that are economically equivalent to contracts that are traded on trading venues.

{ISIN}

Venue product code

Field to be populated with a unique and unambiguous alphanumeric identifier utilised by the trading venue grouping together contracts with different maturities and strike prices in the same product.

{ALPHANUM-12}

Trading venue identifier

Field to be populated with the ISO 10383 segment MIC for positions reported in respect of on-venue contracts. Where the segment MIC does not exist, use the operating MIC.

Use MIC code "XXXX" for off-venue positions in economically equivalent OTC contracts.

Use MIC code "XOFF" for listed derivatives or emission allowances traded off-exchange.

{MIC}

Position type

Field to report whether the position is in either futures, options, emission allowances or derivatives thereof, commodity derivatives defined under point (c) of Article 4(1)(44) of Directive 2014/65/EU of the European Parliament and of the Council or any other contract type.

Position maturity

Indication of whether the maturity of the contract comprising the reported position relates to the spot month or to all other months. Note: separate reports are required for spot months and all other months.

Position quantity

Field to be populated with the net position quantity held in the commodity derivative, emission allowances or derivatives thereof expressed either in lots, when the position limits are expressed in lots, or units of the underlying.

This field should be populated with a positive number for long positions and a negative number for short positions.

If the position is in commodity derivatives defined under point (c) of Article 4(1)(44) of Directive 2014/65/EU this field shall be populated with the number of units held.

{DECIMAL-15/2}

Notation of the position quantity

This field shall be populated with the units used to report the position quantity.

Delta equivalent position quantity

If the Position Type is "OPTN" or an option on "EMIS", then this field shall contain the delta-equivalent quantity of the position reported in the "Position Quantity" field.

This field should be populated with a positive number for long calls and short puts and a negative number for long puts and short calls.

{DECIMAL-15/2}

Indicator of whether the position is risk reducing in relation to commercial activity

Field to report whether the position is risk reducing in accordance with Article 7 of Delegated Regulation (EU) 2017/591.