ANNEX
Table 1
Counterparty Data
| Field | Format
| Parties to the contract |
1 | Reporting timestamp | ISO 8601 date format / UTC time format.
2 | Counterparty ID | Legal Entity Identifier (LEI) (20 alphanumerical digits), interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).
3 | ID of the other Counterparty | Legal Entity Identifier (LEI) (20 alphanumerical digits), interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).
4 | Name of the counterparty | 100 alphanumerical digits or blank in case of coverage by Legal Entity Identifier (LEI).
5 | Domicile of the counterparty | 500 alphanumerical digits or blank in case of coverage by Legal Entity Identifier (LEI).
6 | Corporate sector of the counterparty | Taxonomy: blank in case of coverage by Legal Entity Identifier (LEI) or in case of non-financial counterparties.
6 | Corporate sector of the counterparty | Taxonomy: A = Assurance undertaking authorised in accordance with Directive 2002/83/EC; C = Credit institution authorised in accordance with Directive 2006/48/EC; F = Investment firm in accordance with Directive 2004/39/EC; I = Insurance undertaking authorised in accordance with Directive 73/239/EEC; L = Alternative investment fund managed by AIFMs authorised or registered in accordance with Directive 2011/61/EU; O = Institution for occupational retirement provision within the meaning of Article 6(a) of Directive 2003/41/EC; R = Reinsurance undertaking authorised in accordance with Directive 2005/68/EC; U = UCITS and its management company, authorised in accordance with Directive 2009/65/EC; or blank in case of coverage by Legal Entity Identifier (LEI) or in case of non-financial counterparties.
7 | Financial or non-financial nature of the counterparty | F=Financial Counterparty, N=Non-Financial Counterparty.
8 | Broker ID | Legal Entity Identifier (LEI) (20 alphanumerical digits), interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).
9 | Reporting entity ID | Legal Entity Identifier (LEI) (20 alphanumerical digits), interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).
10 | Clearing member ID | Legal Entity Identifier (LEI) (20 alphanumerical digits), interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).
11 | Beneficiary ID | Legal Entity Identifier (LEI) (20 alphanumerical digits), interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).
12 | Trading capacity | P=Principal, A=Agent.
13 | Counterparty side | B=Buyer, S=Seller.
14 | Trade with non-EEA counterparty | Y=Yes, N=No.
15 | Directly linked to commercial activity or treasury financing | Y=Yes, N=No.
16 | Clearing threshold | Y=Above, N=Below.
17 | Mark to market value of contract | Up to 20 numerical digits in the format xxxx,yyyyy.
18 | Currency of mark to market value of the contract | ISO 4217 Currency Code, 3 alphabetical digits.
19 | Valuation date | ISO 8601 date format.
20 | Valuation time | UTC time format.
21 | Valuation type | M=mark to market / O=mark to model.
22 | Collateralisation | U=uncollateralised, PC= partially collateralised, OC=one way collateralised or FC=fully collateralised.
23 | Collateral portfolio | Y=Yes, N=No.
24 | Collateral portfolio code | Up to 10 numerical digits.
25 | Value of the collateral | Specify the value the total amount of collateral posted; up to 20 numerical digits in the format xxxx,yyyyy.
26 | Currency of the collateral value | Specify the currency of field 25; ISO 4217 Currency Code, 3 alphabetical digits.
Table 2
Common Data
| Field | Format | Applicable types of derivative contract
| Section 2a - Contract type | | All contracts
1 | Taxonomy used | Identify the taxonomy used: U=U = Product Identifier [endorsed in Europe] \(I = \frac{\mathrm{ISIN}}{\mathrm{AII}} + \mathrm{CFI}\) E=E = Interim taxonomy |
2 | Product ID 1 | For taxonomy = U: Product Identifier (UPI), to be defined For taxonomy = I: ISIN or AII, 12 digits alphanumerical code For taxonomy = E: Derivative class: CO = Commodity CR = Credit CU = Currency EQ = Equity IR = Interest Rate OT = Other |
3 | Product ID 2 | For taxonomy = U Blank For taxonomy = I CFI, 6 characters alphabetical code For taxonomy = E: Derivative type: CD = Contracts for difference FR = Forward rate agreements FU = Futures FW = Forwards OP = Option SW = Swap OT = Other |
4 | Underlying | ISIN (12 alphanumerical digits); LEI (20 alphanumerical digits); Interim entity identifier (20 alphanumerical digits); UPI (to be defined); B=B = Basket; I=I = Index. |
5 | Notional currency 1 | ISO 4217 Currency Code, 3 alphabetical digits. |
6 | Notional currency 2 | ISO 4217 Currency Code, 3 alphabetical digits. |
7 | Deliverable currency | ISO 4217 Currency Code, 3 alphabetical digits. |
| Section 2b - Details on the transaction | | All contracts
8 | Trade ID | Up to 52 alphanumerical digits. |
9 | Transaction reference number | An alphanumeric field up to 40 characters |
10 | Venue of execution | ISO 10383 Market Identifier Code (MIC), 4 digits alphabetical. Where relevant, XOFF for listed derivatives that are traded off-exchange or XXXX for OTC derivatives. |
11 | Compression | Y = if the contract results from compression; N= if the contract does not result from compression. |
12 | Price / rate | Up to 20 numerical digits in the format xxxx,yyyyy. |
13 | Price notation | E.g. ISO 4217 Currency Code, 3 alphabetical digits, percentage. |
14 | Notional amount | Up to 20 numerical digits in the format xxxx,yyyyy. |
15 | Price multiplier | Up to 10 numerical digits. |
16 | Quantity | Up to 10 numerical digits. |
17 | Up-front payment | Up to 10 numerical digits in the format xxxx,yyyyy for payments made by the reporting counterparty and in the format xxxx,yyyyy for payments received by the reporting counterparty. |
18 | Delivery type | C=Cash, P=Physical, O=Optional for counterparty. |
19 | Execution timestamp | ISO 8601 date format / UTC time format. |
20 | Effective date | ISO 8601 date format. |
21 | Maturity date | ISO 8601 date format. |
22 | Termination date | ISO 8601 date format. |
23 | Settlement date | ISO 8601 date format. |
24 | Master Agreement type | Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any. |
25 | Master Agreement version | Year, xxxx. |
| Section 2c - Risk mitigation / Reporting | | All contracts
26 | Confirmation timestamp | ISO 8601 date format, UTC time format. |
27 | Confirmation means | Y=Non-electronically confirmed, N=Non-confirmed, E=Electronically confirmed. |
| Section 2d - Clearing | | All contracts
28 | Clearing obligation | Y=Yes, N=No. |
29 | Cleared | Y=Yes, N=No. |
30 | Clearing timestamp | ISO 8601 date format / UTC time format. |
31 | CCP ID | Legal Entity Identifier (LEI) (20 alphanumerical digits) or, if not available, interim entity identifier (20 alphanumerical digits) or, if not available, BIC (11 alphanumerical digits). |
32 | Intragroup | Y=Yes, N=No. |
| Section 2e - Interest Rates | | Interest rate derivatives
33 | Fixed rate of leg 1 | Numerical digits in the format xxxx,yyyyy. |
34 | Fixed rate of leg 2 | Numerical digits in the format xxxx,yyyyy. |
35 | Fixed rate day count | Actual/365, 30B/360 or Other. |
36 | Fixed leg payment frequency | An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y. |
37 | Floating rate payment frequency | An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y. |
38 | Floating rate reset frequency | D=D = An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y. |
39 | Floating rate of leg 1 | The name of the floating rate index, e.g. 3M Euribor. |
40 | Floating rate of leg 2 | The name of the floating rate index, e.g. 3M Euribor. |
| Section 2f – Foreign Exchange | | Currency derivatives
41 | Currency 2 | ISO 4217 Currency Code, 3 alphabetical digits. |
42 | Exchange rate 1 | Up to 10 numerical digits in the format xxxx,yyyyy. |
43 | Forward exchange rate | Up to 10 numerical digits in the format xxxx,yyyyy. |
44 | Exchange rate basis | E.g. EUR/USD or USD/EUR. |
| Section 2g - Commodities | If a UPI is reported and contains all the information below, this is not required unless to be reported according to Regulation (EU) No 1227/2011. | Commodity derivatives
| General
45 | Commodity base | AG=AG = Agricultural EN=EN = Energy FR=FR = Freights ME=ME = Metals IN=IN = Index EV=EV = Environmental EX=EX = Exotic |
46 | Commodity details | Agricultural GO=GO = Grains oilseeds DA=DA = Dairy LI=LI = Livestock FO=FO = Forestry SO=SO = Softs Energy OI=OI = Oil NG=NG = Natural gas CO=CO = Coal EL=EL = Electricity IE=IE = Inter-energy Metals PR=PR = Precious NP=NP = Non-precious Environmental WE=WE = Weather EM=EM = Emissions |
| Energy
47 | Delivery point or zone | EIC code, 16 character alphanumeric code. |
48 | Interconnection Point | Free text, field of up to 50 characters. |
49 | Load type | Repeatable section of fields 50-54 to identify the product delivery profile which correspond to the delivery periods of a day; BL=BL = Base Load PL=PL = Peak Load OP=OP = Off-Peak BH=BH = Block Hours OT=OT = Other |
50 | Delivery start date and time | ISO 8601 date format / UTC time format. |
51 | Delivery end date and time | ISO 8601 date format / UTC time format. |
52 | Contract capacity | Free text, field of up to 50 characters. |
53 | Quantity Unit | 10 numerical digits in the format xxxx,yyyyy. |
54 | Price/time interval quantities | 10 numerical digits in the format xxxx,yyyyy. |
| Section 2h - Options | | Contracts that contain an option
55 | Option type | P=Put, C=Call. |
56 | Option style (exercise) | A=American, B=Bermudan, E=European, S=Asian. |
57 | Strike price (cap/floor rate) | Up to 10 Numerical digits in the format xxxx,yyyyy. |
| Section 2i - Modifications to the contract | | All contracts
58 | Action type | N=N = New M=M = Modify E=E = Error, C=C = Cancel, Z=Z = Compression, V=V = Valuation update, O=O = Other. |
59 | Details of action type | Free text, field of up to 50 characters. |