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Preamble

THE EUROPEAN COMMISSION,

Having regard to Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012, and in particular Article 4(10) thereof,

Having regard to Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories and in particular Article 9(6) thereof,

Whereas:

  1. (1)

    The details reported by securities financing transaction ("SFT") counterparties to trade repositories or the European Securities and Markets Authority ("ESMA") should be submitted in a harmonised format in order to facilitate data collection, aggregation and comparison across trade repositories. To minimise costs for the reporting counterparties, the reporting format for SFTs should be consistent, to the extent feasible, with that prescribed for the reporting of derivatives contracts under Article 9 of Regulation (EU) No 648/2012 of the European Parliament and of the Council. This Regulation therefore prescribes the format for each of the fields to be reported and standardises a report by reference to an ISO standard that is widely used in the financial industry.

  2. (2)

    The global legal entity identifier ("LEI") system has now been fully implemented and each counterparty to an SFT should therefore only use that system to identify a legal entity in a report. For the counterparty's use of the LEI system to be effective, that counterparty should ensure that the reference data related to its LEI are renewed in accordance with the terms of an accredited LEI issuer (Local Operating Unit). An extension of the global LEI system to identify branches of legal entities is currently being developed. Until such time as that extension is finalised and considered suitable for the purposes of reporting SFTs, and this Regulation is amended accordingly, the ISO code of the country where the branch is located should be used to identify that branch where an SFT is concluded through a branch office of a counterparty.

  3. (3)

    A global unique trader identifier ("UTI") system for identifying SFTs is also being developed. Until such time as that global UTI system is finalised and considered suitable for the purposes of reporting SFTs, and this Regulation is amended accordingly, a UTI agreed by the counterparties should be used to identify a SFT.

  4. (4)

    Article 4a of Commission Implementing Regulation (EU) No 1247/2012 contains a procedure to determine the entity responsible for generating a UTI in respect of the reporting of derivatives contracts for those situations where counterparties fail to agree on the entity responsible for generating the UTI. To ensure consistency between the reporting of derivatives contracts and of SFTs, a similar procedure should be set up for counterparties reporting SFTs.

  5. (5)

    Currently, there is no common market practice for determining the counterparty side in an SFT. Therefore, specific rules should be established to ensure the accurate and consistent identification of the collateral provider and of the collateral taker in an SFT.

  6. (6)

    A number of reports may be submitted for a single SFT, for example if successive modifications are made to that SFT. In order to ensure that each report relating to an SFT, and each SFT as a whole, is properly understood, reports should be submitted in the chronological sequence in which the reported events occurred.

  7. (7)

    To lessen the burden of reporting the modification of certain values, and in particular the details of collateral value, of margin posted or received and of collateral reuse, those details should be reported as they stand at the end of each day only if they vary from previously reported details.

  8. (8)

    The details of an outstanding margin loan should be reported as they stand at the end of each day, where there is a net cash debit in base currency or where a counterparty's short market value is positive.

  9. (9)

    The market value of securities lent or borrowed should be reported as it stands at the end of each day. Similarly, when the counterparties report the market value of collateral, they should do so as it stands at the end of each day.

  10. (10)

    This Regulation is based on the draft implementing technical standards submitted by ESMA to the Commission, pursuant to the procedure in Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority).

  11. (11)

    ESMA has conducted open public consultations on these draft implementing technical standards, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010,

  12. (12)

    As it is the case for the reporting of SFTs, certain identifiers and codes to be used for the reporting of derivative contracts are still being developed. Until such time as those identifiers and codes are available, considered suitable for the purposes of reporting and Implementing Regulation (EU) No 1247/2012 has been amended accordingly, that Regulation provides for the use of an ISO 10692 CFI code to classify derivatives for which an ISO 6166 ISIN code or an AII code are not available, and for the use of a unique trade identifier agreed by the counterparties to identify a derivative report. To ensure legal certainty as regards the appropriate procedure to amend the requirements applicable to the reporting of derivatives contracts, and the required degree of consistency between the reporting of derivatives and of SFTs, Implementing Regulation (EU) No 1247/2012 should only refer to the requirements currently applicable to that reporting.

  13. (13)

    Implementing Regulation (EU) No 1247/2012 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article -1 Interpretation

Where a term is defined in Regulation 2015/2365/EU, as amended by The Transparency of Securities Financing Transactions and of Reuse (Amendment) (EU Exit) Regulations 2019, that definition shall apply for the purposes of this Regulation.

Article 1 Data standards and formats for SFT reports

The details of an SFT in a report to be submitted pursuant to Article 4(1) of Regulation (EU) 2015/2365 shall be provided in accordance with the standards and formats specified in Tables 1 to 5 of Annex I. That report shall be provided in a common electronic and machine-readable form and in a common XML template in accordance with the ISO 20022 methodology.

Article 2 Identification of counterparties and other entities

  1. (1)

    The report referred to in Article 1 shall use an ISO 17442 legal entity identifier ("LEI") code to identify the following:

    1. (a)

      a beneficiary which is a legal entity;

    2. (b)

      a broking entity;

    3. (c)

      a central counterparty ("CCP") authorised in accordance with Regulation (EU) No 648/2012;

    4. (d)

      a clearing member;

    5. (e)

      an agent lender;

    6. (f)

      a central securities depository ("CSD") participant;

    7. (g)

      a counterparty which is a legal entity;

    8. (h)

      a tri-party agent;

    9. (i)

      a report submitting entity;

    10. (j)

      an issuer of a security which was lent, borrowed or provided as collateral in a SFT.

  2. (2)

    A counterparty to an SFT shall ensure that the reference data related to its ISO 17442 LEI code is renewed in accordance with the terms of any of the accredited Local Operating Units of the Global LEI System.

  3. (3)

    Where an SFT is concluded through a branch of a counterparty, the report referred to in Article 1 shall use the code specified in Field 7 and in Field 8 of Table 1 of Annex I to identify that branch of a counterparty.

Article 3 Unique Trade Identifier

  1. (1)

    A report shall be identified through a unique trade identifier ("UTI") agreed by the counterparties in accordance with the format specified in Field 1 of Table 2 of Annex I.

  2. (2)

    Where counterparties fail to agree on the entity responsible for generating UTI to be assigned to the report, the counterparties shall determine the entity responsible for generating a UTI in accordance with the following:

    1. (a)

      for centrally-executed and cleared SFTs, the UTI shall be generated at the point of clearing by the CCP for the clearing member. Another UTI shall be generated by the clearing member for its counterparty;

    2. (b)

      for centrally-executed but not centrally-cleared SFTs, the UTI shall be generated by the trading venue of execution for its member;

    3. (c)

      for centrally-confirmed and cleared SFTs, the UTI shall be generated by the CCP for the clearing member at the point of clearing. Another UTI shall be generated by the clearing member for its counterparty;

    4. (d)

      for SFTs that were centrally-confirmed by electronic means but were not centrally-cleared, the UTI shall be generated by the trade confirmation platform at the point of confirmation;

    5. (e)

      for all SFTs other than those referred to in points (a) to (d), the following shall apply:

      1. (i)

        where financial counterparties conclude an SFT with non-financial counterparties, the financial counterparties shall generate the UTI;

      2. (ii)

        for all securities lending or borrowing transactions other than those referred to in point (i), the collateral provider as referred to in Article 4 shall generate the UTI;

      3. (iii)

        for all SFTs other than those referred to in points (i) and (ii), the collateral taker as referred to in Article 4 shall generate the UTI.

  3. (3)

    The counterparty generating the UTI shall communicate that UTI to the other counterparty in a timely manner so that the latter is able to meet its reporting obligation.

Article 4 Counterparty side

  1. (1)

    The counterparty side to the SFT referred to in Field 9 of Table 1 of Annex I shall be identified in accordance with paragraphs 2 to 4.

  2. (2)

    In the case of repurchase transactions, buy-sell back transactions and sell-buy back transactions, the counterparty that buys securities, commodities, or guaranteed rights relating to title to securities or commodities in the opening or spot leg of the trade and agrees to sell them at a specified price on a future date in the closing or forward leg of the trade, shall be identified as the collateral taker in Field 9 of Table 1 of Annex I. The counterparty that sells those securities, commodities, or guaranteed rights shall be identified as the collateral provider in Field 9 of Table 1 of Annex I.

  3. (3)

    In the case of securities or commodities borrowing transactions and securities or commodities lending transactions, the counterparty that lends the securities or commodities on condition that the borrower will return equivalent securities or commodities on a future date or at the request of the transferor, shall be identified as the collateral taker in Field 9 of Table 1 of Annex I. The counterparty that borrows those securities or commodities shall be identified as the collateral provider in Field 9 of Table 1 of Annex I.

  4. (4)

    In the case of margin lending transactions, the borrower, that is the counterparty to which credit is extended in exchange for collateral, shall be identified as the collateral provider in Field 9 of Table 1 of Annex I. The lender, that is the counterparty that provides the credit in exchange for collateral, shall be identified as the collateral taker in Field 9 of Table 1 of Annex I.

Article 5 Frequency of SFT reports

  1. (1)

    All reports of the details of an SFT specified under Article 1(2) of Commission Delegated Regulation (EU) 2019/356 be provided in the chronological order in which the reported events occurred.

  2. (2)

    A counterparty to a margin lending transaction shall report the details of the outstanding margin loan as they stand at the end of each day, where there is a net cash debit in base currency or where a counterparty's short market value is positive.

  3. (3)

    A counterparty to an outstanding SFT shall report any modification of the details relating to the collateral data in Fields 75 to 94 of Table 2 of Annex I with action type "Collateral update". The counterparty shall report those modified details as they stand at the end of each day until it reports the termination of the SFT, or it reports the SFT with action type "Error", or until the SFT reaches its maturity date, whichever is the earlier.

  4. (4)

    A counterparty to an outstanding SFT shall report any modification of the end-of-day market value of the securities lent or borrowed in Field 57 of Table 2 of Annex I with action type "Valuation update". The counterparty shall report that modified market value as it stands at the end of each day until it reports the termination of the SFT, or it reports the SFT with action type "Error", or until the SFT reaches its maturity date.

  5. (5)

    A counterparty shall report any modification of the total amount of margin posted or received for all cleared SFTs as it stands at the end of the day in Fields 8 to 19 of Table 3 of Annex I with action type "Margin update" after it has first reported the total amount of margin posted or received with action type "New".

  6. (6)

    A counterparty shall report any modification of the value of reused collateral, reinvested cash and the funding sources with action type "Reuse update" as it stands at the end of the day in Fields 8 to 14 of Table 4 of Annex I after it has reported the relevant values with action type "New".

Article 6 Amendments to Implementing Regulation (EU) No 1247/2012

Implementing Regulation (EU) No 1247/2012 is amended as follows:

  1. (1)

    Article 4 is amended as follows:

    1. (a)

      paragraph 7 is replaced by the following:

      'The derivative shall be classified in Field 4 of Table 2 of the Annex using an ISO 10692 Classification of Financial Instrument (CFI) code.';

    2. (b)

      paragraphs 8 and 9 are deleted.

  2. (2)

    In Article 4a, paragraph 1 is replaced by the following:

    '1. A report shall be identified through a unique trade identifier agreed by the counterparties.';

  3. (3)

    The Annex is replaced by the text set out in Annex II to this Regulation.

Article 7 Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

Signature

Done at Brussels, 13 December 2018.

For the Commission

The President

Jean-Claude JUNCKER

ANNEX I Formats to be used for reports on the details of securities financing transactions, as referred to in Article 4(1) and (5) of Regulation (EU) 2015/2365

Table 1 Counterparty Data

No

Field

Format

1

Reporting timestamp

ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ

2

Report submitting entity

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

3

Reporting counterparty

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

4

[deleted]

[deleted]

5

Sector of the reporting counterparty

Taxonomy for Financial Counterparties:

"CDTI" - Credit institution which is a CRR firm (within the definition in Article 4(1)(2A) of the Capital Requirements Regulation) or a third country entity that would be such an entity if its registered office or, if it has no registered office, its head office, were in the United Kingdom.

"INVF" - 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;

(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;

or a third-country entity that would be such an entity if its registered office or head office were in the United Kingdom.

"INUN" - Insurance undertaking as defined in section 417 of the FSMA, or a third-country entity that would be such an entity if it had its head office in the United Kingdom.

"AIFD" - AIF (within the definition in regulation 3 of the Alternative Investment Fund Managers Regulations 2013) managed by AIFMs (within the definition in regulation 4 of those Regulations) authorized or registered in accordance with those Regulations, or a third- country entity which would require authorisation or registration in accordance with that legislative act but for the fact that it is a third country entity.

"ORPI" - Institution for occupational retirement provision within the meaning of section 1(1) of the Pension Schemes Act 1993 or a third-country entity which would come within that definition if its main administration were in the United Kingdom.

"CCPS" - Central counterparty authorized in accordance with Regulation (EU) No 648/2012 of the European Parliament and of the Council or a third-country entity which would require authorisation or registration in accordance with that legislative act

"REIN" - Reinsurance undertaking as defined in section 417 of the FSMA or a third-country entity which would come within that definition if it had its head office in the United Kingdom.

"CSDS" - Central securities depository authorized in accordance with Regulation (EU) No 909/2014 of the European Parliament and of the Council or a third-country entity which would require authorisation or registration in accordance with that legislative act

‘UCIT’ – UK UCITS (within the definition in section 237(3) of the FSMA) and its management company (within the definition in section 237(2) of the FSMA), authorized in accordance with Directive 2009/65/EC of the European Parliament and of the Council or a third- country entity which would require authorisation or registration in accordance with that legislative act if its management company were established in the United Kingdom.

6

Additional sector classification

"ETFT" - ETF

"MMFT" - MMF

"REIT" - REIT

"OTHR" - Other

7

Branch of the reporting counterparty

ISO 3166-1 alpha-2 country code 2 alphabetic characters.

8

Branch of the other counterparty

ISO 3166-1 alpha-2 country code 2 alphabetic characters.

9

Counterparty side

"TAKE" - Collateral taker

"GIVE" - Collateral provider

10

Entity responsible for the report

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

11

Other counterparty

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

Client code (up to 50 alphanumeric characters).

12

Country of the other Counterparty

ISO 3166-1 alpha-2 country code 2 alphabetic characters.

13

Beneficiary

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

Client code (up to 50 alphanumeric characters).

14

Tri-party agent

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

15

Broker

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

16

Clearing member

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

17

Central Securities Depository ("CSD") participant or indirect participant

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

18

Agent lender

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

Table 2 Loan and Collateral Data

No

Field

Format

1

Unique Trade Identifier (UTI)

Up to 52 alphanumeric character code including four special characters:

Only upper-case alphabetic characters A-Z and the digits 0-9, inclusive in both cases, are allowed.

2

Report tracking number

Up to 52 alphanumeric character code including four special characters:

Only upper-case alphabetic characters A-Z and the digits 0-9, inclusive in both cases, are allowed.

3

Event date

ISO 8601 date in the format YYYY-MM-DD

4

Type of SFT

"SLEB" - securities or commodities lending or securities or commodities borrowing

"SBSC" - buy-sell back transaction or sell-buy back transaction

"REPO" - repurchase transaction

"MGLD" - margin lending transaction

5

Cleared

"true"

"false"

6

Clearing timestamp

ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ

7

CCP

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

8

Trading venue

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

Where segmental MICs exist for a trading venue, the segmental MIC shall be used.

9

Master agreement type

"MRAA" - MRA

"GMRA" - GMRA

"MSLA" - MSLA

"GMSL" - GMSLA

"ISDA" - ISDA

"DERP" - Deutscher Rahmenvertrag für Wertpapierpensionsgeschäfte

"CNBR" - China Bond Repurchase Master Agreement,

"KRRA" - Korea Financial Investment Association (KOFIA) Standard Repurchase Agreement

"CARA" - Investment Industry Regulatory Organization of Canada (IIROC) Repurchase/Reverse Repurchase Transaction Agreement

"FRFB" - Convention-Cadre Relative aux Operations de Pensions Livrees,

"CHRA" -Swiss Master Repurchase Agreement

"DEMA" - German Master Agreement

"JPBR" - Japanese Master Agreement on the Transaction with Repurchase Agreement of the Bonds

"ESRA" - Contrato Marco de compraventa y Reporto de valores

"OSLA" - Overseas Securities Lending Agreement (OSLA)

"MEFI" - Master Equity and Fixed Interest Stock Lending Agreement (MEFISLA)

"GESL" - Gilt Edged Stock Lending Agreement (GESLA)

"KRSL" - Korean Securities Lending Agreement (KOSLA)

"DERD" - Deutscher Rahmenvertrag für Wertpapierdarlehen

"AUSL" - Australian Masters Securities Lending Agreement (AMSLA)

"JPBL" - Japanese Master Agreement on Lending Transaction of Bonds

"JPSL" - Japanese Master Agreement on the Borrowing and Lending Transactions of Share Certificates

"BIAG" - bilateral agreement

"CSDA" - CSD bilateral agreement

Or "OTHR" if the master agreement type is not included in the above list

10

Other master agreement type

Up to 50 alphanumeric characters.

11

Master agreement version

ISO 8601 date in the format YYYY

12

Execution timestamp

ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ

13

Value date (Start date)

ISO 8601 date in the format YYYY-MM-DD

14

Maturity date (End date)

ISO 8601 date in the format YYYY-MM-DD

15

Termination date

ISO 8601 date in the format YYYY-MM-DD

16

Minimum notice period

Integer field up to 3 digits.

17

Earliest call-back date

ISO 8601 date in the format YYYY-MM-DD

18

General collateral Indicator

"SPEC" - specific collateral

"GENE" - general collateral

19

Delivery By Value ("DBV") indicator

"true"

"false"

20

Method used to provide collateral

"TTCA"- title transfer collateral arrangement

"SICA"- securities financial collateral arrangement

"SIUR"- securities financial collateral arrangement with the right of use

21

Open term

"true"

"false"

22

Termination optionality

"EGRN" - evergreen

"ETSB" - extendable

"NOAP" - non applicable

In the case of margin lending, the attributes listed in fields 23-34 shall be repeated and completed for each currency used in the margin loan.

23

Fixed rate

Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as "100".

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

24

Day count convention

The code representing day count convention:

"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

Or up to 35 alphanumeric characters if the day count convention is not included in the above list.

25

Floating rate

The code representing the floating rate index

"EONA" - EONIA

"EONS" - EONIA SWAP

"EURI" - EURIBOR

"EUUS" - EURODOLLAR

"EUCH" - EuroSwiss

"GCFR" - GCF REPO

"ISDA" - ISDAFIX

"LIBI" - LIBID

"LIBO" - LIBOR

"MAAA" - Muni AAA

"PFAN" - Pfandbriefe

"TIBO" - TIBOR

"STBO" - STIBOR

"BBSW" - BBSW

"JIBA" - JIBAR

"BUBO" - BUBOR

"CDOR" - CDOR

"CIBO" - CIBOR

"MOSP" - MOSPRIM

"NIBO" - NIBOR

"PRBO" - PRIBOR

"TLBO" - TELBOR

"WIBO" - WIBOR

"TREA" - Treasury

"SWAP" - SWAP

"FUSW" - Future SWAP

Or up to 25 alphanumeric characters if the reference rate is not included in the above list.

26

Floating rate reference period - time period

Time period describing reference period, whereby the following abbreviations apply:

"YEAR" - Year

"MNTH" - Month

"WEEK" - Week

"DAYS" - Day

27

Floating rate reference period - multiplier

Integer multiplier of the time period describing reference period of the floating rate.

Up to 3 numeric characters.

28

Floating rate payment frequency - time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

"YEAR" - Year

"MNTH" - Month

"WEEK" - Week

"DAYS" - Day

29

Floating rate payment frequency - multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numeric characters.

30

Floating rate reset frequency - time period

Time period describing how often the counterparties reset the floating repo rate, whereby the following abbreviations apply:

"YEAR" - Year

"MNTH" - Month

"WEEK" - Week

"DAYS" - Day

31

Floating rate reset frequency - multiplier

Integer multiplier of the time period describing how often the counterparties reset the floating repo rate.

Up to 3 numeric characters.

32

Spread

Up to 5 numeric characters.

33

Margin lending currency amount

Up to 18 numeric characters including up to 5 decimals.

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

34

Margin lending currency

ISO 4217 Currency Code, 3 alphabetic characters.

Fields 35-36 shall be repeated and completed for each floating rate adjustment.

35

Adjusted rate

Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as "100".

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

36

Rate date

ISO 8601 date in the format YYYY-MM-DD

37

Principal amount on the value date

Up to 18 numeric characters including up to 5 decimals.

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

38

Principal amount on the maturity date

Up to 18 numeric characters including up to 5 decimals.

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

39

Principal amount currency

ISO 4217 Currency Code, 3 alphabetic characters.

40

Type of asset

"SECU" - Securities

"COMM" - Commodities

41

Security identifier

ISO 6166 ISIN 12 character alphanumeric code.

42

Classification of a security

ISO 10692 CFI, 6 characters alphabetical code.

Where a commodity was lent or borrowed, the classification of that commodity shall be specified in fields 43, 44 and 45.

43

Base product

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

44

Sub - product

Only values in the "Sub - product" column of the classification of commodities derivatives table are allowed.

45

Further sub - product

Only values in the "Further sub - product" of the classification of commodities derivatives table are allowed.

46

Quantity or nominal amount

Up to 18 numeric characters including up to 5 decimals.

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

47

Unit of measure

"KILO" - Kilogram, "PIEC" - Piece, "TONS" - Ton, "METR" - Metre, "INCH" - Inch, "YARD" - Yard, "GBGA" - GBGallon, "GRAM" - Gram, "CMET" - Centimetre, "SMET" - SquareMetre, "FOOT" - Foot, "MILE" - Mile, "SQIN" - SquareInch, "SQFO" - SquareFoot, "SQMI" - SquareMile, "GBOU" - GBOunce, "USOU" - USOunce, "GBPI" - GBPint, "USPI" - USPint, "GBQA" - GBQuart, "USQA" - USQuart, "USGA" - USGallon, "MMET" - Millimetre, "KMET" - Kilometre, "SQYA" - SquareYard, "ACRE" - Acre, "ARES" - Are, "SMIL" - SquareMillimetre, "SCMT" - SquareCentimetre, "HECT" - Hectare, "SQKI" - SquareKilometre, "MILI" - MilliLitre, "CELI" - Centilitre, "LITR" - Litre, "PUND" - Pound, "ALOW" - Allowances, "ACCY" - AmountOfCurrency, "BARL" - Barrels, "BCUF" - BillionCubicFeet, "BDFT" - BoardFeet, "BUSL" - Bushels, "CEER" - CertifiedEmissionsReduction, "CLRT" - ClimateReserveTonnes, "CBME" - CubicMeters, "DAYS" - Days, "DMET" - DryMetricTons, "ENVC" - EnvironmentalCredit, "ENVO" - EnvironmentalOffset, "HUWG" - Hundredweight, "KWDC" - KilowattDayCapacity, "KWHO" - KilowattHours, "KWHC" - KilowattHoursCapacity, "KMOC" - KilowattMinuteCapacity, "KWMC" - KilowattMonthCapacity, "KWYC" - KilowattYearCapacity, "MWDC" - MegawattDayCapacity, "MWHO" - MegawattHours, "MWHC" - MegawattHoursCapacity, "MWMC" - MegawattMinuteCapacity, "MMOC" - MegawattMonthCapacity, "MWYC" - MegawattYearCapacity, "TONE" - MetricTons, "MIBA" - MillionBarrels, "MBTU" - OneMillionBTU, "OZTR" - TroyOunces, "UCWT" - USHundredweight, "IPNT" - IndexPoint, "PWRD" - PrincipalWithRelationToDebtInstrument, "DGEU" - DieselGallonEquivalent, "GGEU" - GasolineGallonEquivalent, "TOCD" - TonsOfCarbonDioxide.

48

Currency of nominal amount

ISO 4217 Currency Code, 3 alphabetic characters.

49

Security or commodity price

Up to 18 numeric characters including up to 5 decimals in case the price is expressed units.

Up to 11 numeric characters including up to 10 decimals in case the price is expressed as percentage or yield.

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

50

Price currency

ISO 4217 Currency Code, 3 alphabetic characters.

51

Security quality

"INVG" - Investment grade

"NIVG" - Non-investment grade

"NOTR" - Non-rated

"NOAP" - Not applicable

52

Maturity of the security

ISO 8601 date in the format YYYY-MM-DD

53

Jurisdiction of the issuer

ISO 3166-1 alpha-2 country code, 2 alphabetic characters.

54

LEI of the issuer

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

55

Security type

"GOVS" - Government securities

"SUNS" - Supra-nationals and agencies securities

"FIDE" - Debt securities (including covered bonds) issued by banks and other financial institutions

"NFID" - Corporate debt securities (including covered bonds) issued by non-financial institutions

"SEPR" - Securitized products (including CDO, CMBS, ABCP)

"MEQU" - Main index equities (including convertible bonds)

"OEQU" - Other equities (including convertible bonds)

"OTHR"- Other assets (including shares in mutual funds)

56

Loan value

Up to 18 numeric characters including up to 5 decimals.

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

57

Market value

Up to 18 numeric characters including up to 5 decimals.

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

58

Fixed rebate rate

Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as "100".

The negative symbol, if populated, shall not be counted as a numerical character.

59

Floating rebate rate

The code representing the floating rate index

"EONA" - EONIA

"EONS" - EONIA SWAP

"EURI" - EURIBOR

"EUUS" - EURODOLLAR

"EUCH" - EuroSwiss

"GCFR" - GCF REPO

"ISDA" - ISDAFIX

"LIBI" - LIBID

"LIBO" - LIBOR

"MAAA" - Muni AAA

"PFAN" - Pfandbriefe

"TIBO" - TIBOR

"STBO" - STIBOR

"BBSW" - BBSW

"JIBA" - JIBAR

"BUBO" - BUBOR

"CDOR" - CDOR

"CIBO" - CIBOR

"MOSP" - MOSPRIM

"NIBO" - NIBOR

"PRBO" - PRIBOR

"TLBO" - TELBOR

"WIBO" - WIBOR

"TREA" - Treasury

"SWAP" - SWAP

"FUSW" - Future SWAP

Or up to 25 alphanumeric characters if the reference rate is not included in the above list

60

Floating rebate rate reference period - time period

Time period describing reference period, whereby the following abbreviations apply:

"YEAR" - Year

"MNTH" - Month

"WEEK" - Week

"DAYS" - Day

61

Floating rebate rate reference period - multiplier

Integer multiplier of the time period describing reference period of the floating rebate rate.

Up to 3 numeric characters.

62

Floating rebate rate payment frequency - time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

"YEAR" - Year

"MNTH" - Month

"WEEK" - Week

"DAYS" - Day

63

Floating rebate rate payment frequency - multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numeric characters.

64

Floating rebate rate reset frequency - time period

Time period describing how often the counterparties reset the floating rebate rate, whereby the following abbreviations apply:

"YEAR" - Year

"MNTH" - Month

"WEEK" - Week

"DAYS" - Day

65

Floating rebate rate reset frequency - multiplier

Integer multiplier of the time period describing how often the counterparties reset the floating rebate rate.

Up to 3 numeric characters.

66

Spread of the rebate rate

Up to 5 numeric characters.

67

Lending fee

Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as "100".

68

Exclusive arrangements

"true"

"false"

69

Outstanding margin loan

Up to 18 numeric characters including up to 5 decimals.

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

70

Base currency of outstanding margin loan

ISO 4217 Currency Code, 3 alphabetic characters.

71

Short market value

Up to 18 numeric characters including up to 5 decimals.

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

Collateral data

72

Uncollateralised Securities Lending ("SL") flag

"true"

"false"

73

Collateralisation of net exposure

"true"

"false"

74

Value date of the collateral

ISO 8601 date in the format YYYY-MM-DD

Where specific collateral was used, fields 75 to 94 shall be repeated and completed for each component of collateral, where applicable.

75

Type of collateral component

"SECU" - Securities

"COMM" - Commodities (only for repos, securities and commodities lending and borrowing and buy-sell backs)

"CASH" - Cash

Where cash was used as collateral, this shall be specified in fields 76 and 77.

76

Cash collateral amount

Up to 18 numeric characters including up to 5 decimals.

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

77

Cash collateral currency

ISO 4217 Currency Code, 3 alphabetic characters.

78

Identification of a security used as collateral

ISO 6166 ISIN 12 character alphanumeric code.

79

Classification of a security used as collateral

ISO 10692 CFI, 6 characters alphabetical code.

Where a commodity was used as collateral, the classification of that commodity shall be specified in fields 80, 81 and 82.

80

Base product

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

81

Sub - product

Only values in the "Sub - product" column of the classification of commodities derivatives table are allowed.

82

Further sub - product

Only values in the "Further sub - product" of the classification of commodities derivatives table are allowed.

83

Collateral quantity or nominal amount

Up to 18 numeric characters including up to 5 decimals.

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

84

Collateral unit of measure

"KILO" - Kilogram, "PIEC" - Piece, "TONS" - Ton, "METR" - Metre, "INCH" - Inch, "YARD" - Yard, "GBGA" - GBGallon, "GRAM" - Gram, "CMET" - Centimetre, "SMET" - SquareMetre, "FOOT" - Foot, "MILE" - Mile, "SQIN" - SquareInch, "SQFO" - SquareFoot, "SQMI" - SquareMile, "GBOU" - GBOunce, "USOU" - USOunce, "GBPI" - GBPint, "USPI" - USPint, "GBQA" - GBQuart, "USQA" - USQuart, "USGA" - USGallon, "MMET" - Millimetre, "KMET" - Kilometre, "SQYA" - SquareYard, "ACRE" - Acre, "ARES" - Are, "SMIL" - SquareMillimetre, "SCMT" - SquareCentimetre, "HECT" - Hectare, "SQKI" - SquareKilometre, "MILI" - MilliLitre, "CELI" - Centilitre, "LITR" - Litre, "PUND" - Pound, "ALOW" - Allowances, "ACCY" - AmountOfCurrency, "BARL" - Barrels, "BCUF" - BillionCubicFeet, "BDFT" - BoardFeet, "BUSL" - Bushels, "CEER" - CertifiedEmissionsReduction, "CLRT" - ClimateReserveTonnes, "CBME" - CubicMeters, "DAYS" - Days, "DMET" - DryMetricTons, "ENVC" - EnvironmentalCredit, "ENVO" - EnvironmentalOffset, "HUWG" - Hundredweight, "KWDC" - KilowattDayCapacity, "KWHO" - KilowattHours, "KWHC" - KilowattHoursCapacity, "KMOC" - KilowattMinuteCapacity, "KWMC" - KilowattMonthCapacity, "KWYC" - KilowattYearCapacity, "MWDC" - MegawattDayCapacity, "MWHO" - MegawattHours, "MWHC" - MegawattHoursCapacity, "MWMC" - MegawattMinuteCapacity, "MMOC" - MegawattMonthCapacity, "MWYC" - MegawattYearCapacity, "TONE" - MetricTons, "MIBA" - MillionBarrels, "MBTU" - OneMillionBTU, "OZTR" - TroyOunces, "UCWT" - USHundredweight, "IPNT" - IndexPoint, "PWRD" - PrincipalWithRelationToDebtInstrument, "DGEU" - DieselGallonEquivalent, "GGEU" - GasolineGallonEquivalent, "TOCD" - TonsOfCarbonDioxide.

85

Currency of collateral nominal amount

ISO 4217 Currency Code, 3 alphabetic characters.

86

Price currency

ISO 4217 Currency Code, 3 alphabetic characters.

87

Price per unit

Up to 18 numeric characters including up to 5 decimals in case the price is expressed in units.

Up to 11 numeric characters including up to 10 decimals in case the price is expressed as percentage or yield.

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

88

Collateral market value

Up to 18 numeric characters including up to 5 decimals.

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

89

Haircut or margin

Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as "100".

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

90

Collateral quality

"INVG" - Investment grade

"NIVG" - Non-investment grade

"NOTR" - Non-rated

"NOAP" - Not applicable

91

Maturity date of the security

ISO 8601 date in the format YYYY-MM-DD

92

Jurisdiction of the issuer

ISO 3166-1 alpha-2 country code, 2 alphabetic characters.

93

LEI of the issuer

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

94

Collateral type

"GOVS" - Government securities

"SUNS" - Supra-nationals and agencies securities

"FIDE" - Debt securities (including covered bonds) issued by banks and other financial institutions

"NFID" - Corporate debt securities (including covered bonds) issued by non-financial institutions

"SEPR" - Securitized products (including CDO, CMBS, ABCP)

"MEQU" - Main index equities (including convertible bonds)

"OEQU" - Other equities (including convertible bonds)

"OTHR"- Other assets (including shares in mutual funds)

95

Availability for collateral reuse

"true"

"false"

Field 96 shall be specified in the case where a collateral basket was used. The detailed allocation of collateral for SFTs transacted against a collateral pool shall be specified in fields 75 to 94 when available.

96

Collateral basket identifier

ISO 6166 ISIN 12 character alphanumeric code, or

"NTAV"

97

Portfolio code

52 alphanumeric character code including four special characters:

.- _.

Special characters are not allowed at the beginning and at the end of the code. No space allowed.

98

Action type

"NEWT" - New

"MODI" - Modification

"VALU" - Valuation

"COLU" - Collateral update

"EROR" - Error

"CORR" - Correction

"ETRM" - Termination/Early Termination

"POSC" - Position component

99

Level

"TCTN" - Transaction

"PSTN" - Position

Table 3 Margin Data

No

Field

Format

1

Reporting timestamp

ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ

2

Event date

ISO 8601 date in the format YYYY-MM-DD

3

Report submitting entity

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

4

Reporting Counterparty

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

5

Entity responsible for the report

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

6

Other counterparty

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

7

Portfolio code

52 alphanumeric character code including four special characters:

.- _.

Special characters are not allowed at the beginning and at the end of the code. No space allowed.

8

Initial margin posted

Up to 18 numeric characters including up to 5 decimals.

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

9

Currency of the initial margin posted

ISO 4217 Currency Code, 3 alphabetic characters.

10

Variation margin posted

Up to 18 numeric characters including up to 5 decimals.

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

11

Currency of the variation margin posted

ISO 4217 Currency Code, 3 alphabetic characters.

12

Initial margin received

Up to 18 numeric characters including up to 5 decimals.

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

13

Currency of the initial margin received

ISO 4217 Currency Code, 3 alphabetic characters.

14

Variation margin received

Up to 18 numeric characters including up to 5 decimals.

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

15

Currency of the variation margin received

ISO 4217 Currency Code, 3 alphabetic characters.

16

Excess collateral posted

Up to 18 numeric characters including up to 5 decimals.

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

17

Currency of the excess collateral posted

ISO 4217 Currency Code, 3 alphabetic characters.

18

Excess collateral received

Up to 18 numeric characters including up to 5 decimals.

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

19

Currency of the excess collateral received

ISO 4217 Currency Code, 3 alphabetic characters.

20

Action type

"NEWT" - New

"MARU" - Margin update

"EROR" - Error

"CORR" - Correction

Table 4 Re-use, Cash Reinvestment and Funding Sources Data

No

Field

Format

1

Reporting timestamp

ISO 8601 date in the format and UTC time format, i.e. YYYY-MM-DDThh:mm:ssZ

2

Event date

ISO 8601 date in the format YYYY-MM-DD

3

Report submitting entity

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

4

Reporting counterparty

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

5

Entity responsible for the report

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.

Field 6 shall be repeated and completed for each collateral component.

6

Type of collateral component

"SECU" - Securities

"CASH" - Cash

Fields 7, 8, 9 and 10 shall be repeated and completed for each security.

7

Collateral component

ISO 6166 ISIN 12 character alphanumeric code.

8

Value of reused collateral

Up to 18 numeric characters including up to 5 decimals.

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

9

Estimated reuse of collateral

Up to 18 numeric characters including up to 5 decimals.

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

10

Reused collateral currency

ISO 4217 Currency Code, 3 alphabetic characters.

11

Reinvestment Rate

Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as "100".

Fields 12, 13 and 14 shall be repeated and completed for each investment where cash collateral has been re-invested and in respect of each currency.

12

Type of re-invested cash investment

"MMFT" - registered money market fund

"OCMP" - any other commingled pool

"REPM" - the repo market

"SDPU" - direct purchase of securities

"OTHR" - other

13

Re-invested cash amount

Up to 18 numeric characters including up to 5 decimals.

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

14

Re-invested cash currency

ISO 4217 Currency Code, 3 alphabetic characters.

In the case of margin lending transactions, the counterparty shall repeat and complete fields 15, 16 and 17 for each funding source and shall provide the information in these fields at entity level.

15

Funding sources

"REPO" - repos or BSB

"SECL" - cash collateral from securities lending

"FREE" - free credits

"CSHS" - proceeds from customer short sales

"BSHS" - proceeds from broker short sales

"UBOR" - unsecured borrowing

"OTHR" - other

16

Market value of the funding sources

Up to 18 numeric characters including up to 5 decimals.

The decimal mark is not counted as a numeric character.

If not possible, pro rata amount.

17

Funding sources currency

ISO 4217 Currency Code, 3 alphabetic characters.

18

Action type

"NEWT" - New

"REUU" - reuse update

"EROR" - Error

"CORR" - Correction

Table 5 Classification of commodities

Base product

Sub — product

Further sub — product

"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" - Naptha

"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" -"Fertilizer"

"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" - Containerboard

"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

ANNEX II Table 1 Counterparty Data Table 2 Common Data

The Annex to Implementing Regulation (EU) No 1247/2012 is replaced by the text below.

ANNEX

Table 1 Counterparty Data

Field

Format

Parties to the contract

1

Reporting timestamp

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

2

Reporting Counterparty ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.

3

Type of ID of the other Counterparty

"LEI" for ISO 17442 Legal Entity Identifier (LEI)

"CLC" for Client code

4

ID of the other Counterparty

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.

Client code (up to 50 alphanumerical digits).

5

Country of the other Counterparty

ISO 3166 - 2 character country code

6

Corporate sector of the reporting counterparty

Taxonomy for Financial Counterparties:

C = Credit institution which is a CRR firm (within the definition in Article 4(1)(2A) of the Capital Requirements Regulation)

F = Investment firm within the meaning given in Article 2(1A) of the MIFIR which:

(v) has its registered office or head office in the United Kingdom;

(vi) 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;

(vii) 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

(viii) is not a firm which has permission under Part 4A of the FSMA to carry on regulated activities as an exempt investment firm, within the meaning of regulation 8 of the Financial Services and Markets Act 2000 (Markets in Financial Instruments) Regulations 2017;

I = Insurance undertaking as defined in section 417 of the FSMA

L = AIF (within the definition in regulation 3 of the Alternative Investment Fund Managers Regulations 2013) (AIFMs) (within the definition in regulation 4 of those Regulations) authorised or registered in accordance with those Regulations

O = Institution for occupational retirement provision within the meaning of section 1(1) of the Pensions Schemes Act 1993

R = Reinsurance undertaking as defined in section 417 of the FSMA

U = UK UCITS (within the definition in section 237(3) of the FSMA) and its management company (within the definition in section 237(2) of the FSMA)

Taxonomy for Non-Financial Counterparties. The following categories correspond to the main sections of Statistical classification of economic activities in the European Community (NACE) as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council (as it had effect immediately before IP completion day)

1 = Agriculture, forestry and fishing

2 = Mining and quarrying

3 = Manufacturing

4 = Electricity, gas, steam and air conditioning supply

5 = Water supply, sewerage, waste management and remediation activities

6 = Construction

7 = Wholesale and retail trade, repair of motor vehicles and motorcycles

8 = Transportation and storage

9 = Accommodation and food service activities

10 = Information and communication

11 = Financial and insurance activities

12 = Real estate activities

13 = Professional, scientific and technical activities

14 = Administrative and support service activities

15 = Public administration and defence; compulsory social security

16 = Education

17 = Human health and social work activities

18 = Arts, entertainment and recreation

19 = Other service activities

20 = Activities of households as employers; undifferentiated goods - and services - producing activities of households for own use

21 = Activities of extraterritorial organisations and bodies

Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities, separating them with a "-".

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

7

Nature of the reporting counterparty

F = Financial Counterparty

N = Non-Financial Counterparty

C = Central Counterparty

O = Other

8

Broker ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.

9

Report submitting entity ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code)

10

Clearing member ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code

11

Type of ID of the Beneficiary

"LEI" for ISO 17442 Legal Entity Identifier (LEI)

"CLC" for Client code

12

Beneficiary ID

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code or up to 50 alphanumerical character client code in the case where the client is not eligible for a Legal Entity Identifier

13

Trading capacity

P = Principal

A = Agent

14

Counterparty side

B = Buyer

S = Seller

Populated in accordance with Article 3a

15

Directly linked to commercial activity or treasury financing

Y = Yes

N = No

16

Clearing threshold

Y = Above the threshold

N = Below the threshold

17

Value of contract

Up to 20 numerical characters including decimals.

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

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

18

Currency of the value

ISO 4217 Currency Code, 3 alphabetical characters

19

Valuation timestamp

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

20

Valuation type

M = Mark-to-market

O = Mark-to-model

C = CCP's valuation.

21

Collateralisation

U = uncollateralised

PC = partially collateralised

OC = one way collateralised

FC = fully collateralised

Populated in accordance with Article 3b

22

Collateral portfolio

Y = Yes

N = No

23

Collateral portfolio code

Up to 52 alphanumerical characters including four special characters: ". - _."

Special characters are not allowed at the beginning and at the end of the code. No space allowed.

24

Initial margin posted

Up to 20 numerical characters including decimals.

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

25

Currency of the initial margin posted

ISO 4217 Currency Code, 3 alphabetical characters

26

Variation margin posted

Up to 20 numerical characters including decimals.

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

27

Currency of the variation margins posted

ISO 4217 Currency Code, 3 alphabetical characters

28

Initial margin received

Up to 20 numerical characters including decimals.

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

29

Currency of the initial margin received

ISO 4217 Currency Code, 3 alphabetical characters

30

Variation margin received

Up to 20 numerical characters including decimals.

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

31

Currency of the variation margins received

ISO 4217 Currency Code, 3 alphabetical characters

32

Excess collateral posted

Up to 20 numerical characters including decimals.

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

33

Currency of the excess collateral posted

ISO 4217 Currency Code, 3 alphabetical characters

34

Excess collateral received

Up to 20 numerical characters including decimals.

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

35

Currency of the excess collateral received

ISO 4217 Currency Code, 3 alphabetical characters

Table 2 Common Data

Field

Format

Applicable types of derivative contracts

Section 2a - Contract type

All contracts

1

Contract type

CD = Financial contracts for difference

FR = Forward rate agreements

FU = Futures

FW = Forwards

OP = Option

SB = Spreadbet

SW = Swap

ST = Swaption

OT = Other

2

Asset class

CO = Commodity and emission allowances

CR = Credit

CU = Currency

EQ = Equity

IR = Interest Rate

Section 2b - Contract information

All contracts

3

Product classification type

C = CFI

4

Product classification

ISO 10692 CFI, 6 characters alphabetical code

5

Product identification type

Specify the applicable identification:

I = ISIN

A = AII

6

Product identification

For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code

For product identifier type A: Complete AII code

7

Underlying identification type

I = ISIN

A = AII

B = Basket

X = Index

8

Underlying identification

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

For underlying identification type A: complete AII code

For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code. Identifiers of individual components shall be separated with a dash "-".

For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider

9

Notional currency 1

ISO 4217 Currency Code, 3 alphabetical characters

10

Notional currency 2

ISO 4217 Currency Code, 3 alphabetical characters

11

Deliverable currency

ISO 4217 Currency Code, 3 alphabetical characters

Section 2c - Details on the transaction

All contracts

12

Trade ID

Up to 52 alphanumerical character code including four special characters:". - _."

Special characters are not allowed at the beginning and at the end of the code. No space allowed.

13

Report tracking number

An alphanumeric field up to 52 characters

14

Complex trade component ID

An alphanumeric field up to 35 characters

15

Venue of execution

ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters, in accordance with Article 4(b).

16

Compression

Y = contract results from compression

N = contract does not result from compression

17

Price/rate

Up to 20 numerical characters including decimals.

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

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

In case the price is reported in percent values, it should be expressed as percentage where 100 % is represented as "100"

18

Price notation

U = Units

P = Percentage

Y = Yield

19

Currency of price

ISO 4217 Currency Code, 3 alphabetic characters

20

Notional

Up to 20 numerical characters including decimals.

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

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

21

Price multiplier

Up to 20 numerical characters including decimals.

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

22

Quantity

Up to 20 numerical characters including decimals.

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

23

Up-front payment

Up to 20 numerical characters including decimals.

The negative symbol to be used to indicate that the payment was made, not received.

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

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

24

Delivery type

C = Cash

P = Physical

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

25

Execution timestamp

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

26

Effective date

ISO 8601 date in the format YYYY-MM-DD

27

Maturity date

ISO 8601 date in the format YYYY-MM-DD

28

Termination date

ISO 8601 date in the format YYYY-MM-DD

29

Settlement date

ISO 8601 date in the format YYYY-MM-DD

30

Master Agreement type

Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any

31

Master Agreement version

ISO 8601 date in the format YYYY

Section 2d - Risk mitigation/Reporting

All contracts

32

Confirmation timestamp

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

33

Confirmation means

Y = Non-electronically confirmed

N = Non-confirmed

E = Electronically confirmed

Section 2e - Clearing

All contracts

34

Clearing obligation

Y = Yes

N = No

35

Cleared

Y = Yes

N = No

36

Clearing timestamp

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

37

CCP

ISO 17442 Legal Entity Identifier (LEI)

20 alphanumerical character code

38

Intragroup

Y = Yes

N = No

Section 2f - Interest Rates

Interest rate derivatives

39

Fixed rate of leg 1

Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as "100".

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

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

40

Fixed rate of leg 2

Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as "100".

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

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

41

Fixed rate day count leg 1

Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression "Actual", e.g. 30/360 or Actual/365

42

Fixed rate day count leg 2

Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression "Actual", e.g. 30/360 or Actual/365

43

Fixed rate payment frequency leg 1 -time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

44

Fixed rate payment frequency leg 1 - multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

45

Fixed rate payment frequency leg 2 - time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

46

Fixed rate payment frequency leg 2 - multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

47

Floating rate payment frequency leg 1 - time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

48

Floating rate payment frequency leg 1 - multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

49

Floating rate payment frequency leg 2 - time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

50

Floating rate payment frequency leg 2 - multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

51

Floating rate reset frequency leg 1 - time period

Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

52

Floating rate reset frequency leg 1 - multiplier

Integer multiplier of the time period describing how often the counterparties reset the floating rate.

Up to 3 numerical characters.

53

Floating rate reset frequency leg 2 - time period

Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

54

Floating rate reset frequency leg 2 - multiplier

Integer multiplier of the time period describing how often the counterparties reset the floating rate.

Up to 3 numerical characters.

55

Floating rate of leg 1

The name of the floating rate index

"EONA" - EONIA

"EONS" - EONIA SWAP

"EURI" - EURIBOR

"EUUS" - EURODOLLAR

"EUCH" - EuroSwiss

"GCFR" - GCF REPO

"ISDA" - ISDAFIX

"LIBI" - LIBID

"LIBO" - LIBOR

"MAAA" - Muni AAA

"PFAN" - Pfandbriefe

"TIBO" - TIBOR

"STBO" - STIBOR

"BBSW" - BBSW

"JIBA" - JIBAR

"BUBO" - BUBOR

"CDOR" - CDOR

"CIBO" - CIBOR

"MOSP" - MOSPRIM

"NIBO" - NIBOR

"PRBO" - PRIBOR

"TLBO" - TELBOR

"WIBO" - WIBOR

"TREA" - Treasury

"SWAP" - SWAP

"FUSW" - Future SWAP

Or up to 25 alphanumerical characters if the reference rate is not included in the above list

56

Floating rate reference period leg 1 - time period

Time period describing reference period, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

57

Floating rate reference period leg 1 - multiplier

Integer multiplier of the time period describing the reference period.

Up to 3 numerical characters.

58

Floating rate of leg 2

The name of the floating rate index

"EONA" - EONIA

"EONS" - EONIA SWAP

"EURI" - EURIBOR

"EUUS" - EURODOLLAR

"EUCH" - EuroSwiss

"GCFR" - GCF REPO

"ISDA" - ISDAFIX

"LIBI" - LIBID

"LIBO" - LIBOR

"MAAA" - Muni AAA

"PFAN" - Pfandbriefe

"TIBO" - TIBOR

"STBO" - STIBOR

"BBSW" - BBSW

"JIBA" - JIBAR

"BUBO" - BUBOR

"CDOR" - CDOR

"CIBO" - CIBOR

"MOSP" - MOSPRIM

"NIBO" - NIBOR

"PRBO" - PRIBOR

"TLBO" - TELBOR

"WIBO" - WIBOR

"TREA" - Treasury

"SWAP" - SWAP

"FUSW" - Future SWAP

Or up to 25 alphanumerical characters if the reference rate is not included in the above list

59

Floating rate reference period leg 2 - time period

Time period describing reference period, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

60

Floating rate reference period leg 2 - multiplier

Integer multiplier of the time period describing the reference period.

Up to 3 numerical characters.

Section 2g - Foreign Exchange

Currency derivatives

61

Delivery currency 2

ISO 4217 Currency Code, 3 alphabetical character code

62

Exchange rate 1

Up to 10 numerical digits including decimals.

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

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

63

Forward exchange rate

Up to 10 numerical characters including decimals.

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

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

64

Exchange rate basis

Two ISO 4217 currency codes separated by "/". First currency code shall indicate the base currency, and the second currency code shall indicate the quote currency.

Section 2h - Commodities and emission allowances

Commodity and emission allowance derivatives

General

65

Commodity base

AG = Agricultural

EN = Energy

FR = Freights

ME = Metals

IN = Index

EV = Environmental

EX = Exotic

OT = Other

66

Commodity details

Agricultural

GO = Grains oilseeds

DA = Dairy

LI = Livestock

FO = Forestry

SO = Softs

SF = Seafood

OT = Other

Energy

OI = Oil

NG = Natural gas

CO = Coal

EL = Electricity

IE = Inter-energy

OT = Other

Freights

DR = Dry

WT = Wet

OT = Other

Metals

PR = Precious

NP = Non-precious

Environmental

WE = Weather

EM = Emissions

OT = Other

Energy

67

Delivery point or zone

EIC code, 16 character alphanumeric code

Repeatable field.

68

Interconnection Point

EIC code, 16 character alphanumeric code

69

Load type

BL = Base Load

PL = Peak Load

OP = Off-Peak

BH = Hour/Block Hours

SH = Shaped

GD = Gas Day

OT = Other

Repeatable section of fields 70 - 77

70

Load delivery intervals

hh:mmZ

71

Delivery start date and time

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

72

Delivery end date and time

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

73

Duration

N = Minutes

H = Hour

D = Day

W = Week

M = Month

Q = Quarter

S = Season

Y = Annual

O = Other

74

Days of the week

WD = Weekdays

WN = Weekend

MO = Monday

TU = Tuesday

WE = Wednesday

TH = Thursday

FR = Friday

SA = Saturday

SU = Sunday

Multiple values separated by "/" are permitted

75

Delivery capacity

Up to 20 numerical digits including decimals

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

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

76

Quantity Unit

KW

KWh/h

KWh/d

MW

MWh/h

MWh/d

GW

GWh/h

GWh/d

Therm/d

KTherm/d

MTherm/d

cm/d

mcm/d

77

Price/time interval quantities

Up to 20 numerical characters including decimals.

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

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

Section 2i - Options

Contracts that contain an option

78

Option type

P = Put

C = Call

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

79

Option exercise style

A = American

B = Bermudan

E = European

S = Asian

More than one value is allowed

80

Strike price (cap/floor rate)

Up to 20 numerical characters including decimals.

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

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

Where the strike price is reported in percent values, it should be expressed as percentage where 100 % is represented as "100"

81

Strike price notation

U = Units

P = Percentage

Y = Yield

82

Maturity date of the underlying

ISO 8601 date in the format YYYY-MM-DD

Section 2j - Credit derivatives

83

Seniority

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

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

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

84

Reference entity

ISO 3166 - 2 character country code

or

ISO 3166-2 - 2 character country code followed by dash "-" and up to 3 alphanumeric character country subdivision code

or

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code

85

Frequency of payment

MNTH = Monthly

QURT = Quarterly

MIAN = Semi-annually

YEAR = Yearly

86

The calculation basis

Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression "Actual", e.g. 30/360 or Actual/365

87

Series

Integer field up to 5 characters

88

Version

Integer field up to 5 characters

89

Index factor

Up to 10 numerical characters including decimals.

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

90

Tranche

T = Tranched

U = Untranched

91

Attachment point

Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.

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

92

Detachment point

Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.

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

Section 2k - Modifications to the contract

93

Action type

N = New

M = Modify

E = Error

C = Early Termination

R = Correction

Z = Compression

V = Valuation update

P = Position component

94

Level

T = Trade

P = Position