Table 1
Counterparty Data
| Field | Format
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: 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.
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).
14 | Trade with non-EEA counterparty | Y=Yes, N=No.
17 | Mark to market value of contract | Up to 20 numerical digits in the format xxxx,yyyyy.
20 | Valuation time | UTC time format.
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.
| Parties to the contract |
1 | Reporting timestamp | ISO 8601 date in the format /and UTCCoordinated Universal Time (UTC) time format.format YYYY-MM-DDThh:mm:ssZ
2 | Reporting Counterparty ID | ISO 17442 Legal Entity Identifier (LEI) (2020 alphanumerical digits),character interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).code.
43 | NameType of ID of the counterpartyother Counterparty | 100‘LEI’ alphanumericalfor digitsISO or blank in case of coverage by17442 Legal Entity Identifier (LEI).(LEI) ‘CLC’ for Client code
34 | ID of the other Counterparty | ISO 17442 Legal Entity Identifier (LEI) (2020 alphanumerical digits),character interimcode. entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a clientClient code (50(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: A = Assurance undertaking authorised in accordance with Directive 2009/138/EC of the European Parliament and of the Council (1) C = Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council (2) F = Investment firm authorised in accordance with Directive 2004/39/EC of the European Parliament and of the Council (3) I = Insurance undertaking authorised in accordance with Directive 2009/138/EC L = Alternative investment fund managed by Alternative Investment Fund Managers (AIFMs) authorised or registered in accordance with Directive 2011/61/EU of the European Parliament and of the Council (4) O = Institution for occupational retirement provision within the meaning of Article 6(a) of Directive 2003/41/EC of the European Parliament and of the Council (5) R = Reinsurance undertaking authorised in accordance with Directive 2009/138/EC U = Undertakings for the Collective Investment in Transferable Securities (UCITS) and its management company, authorised in accordance with Directive 2009/65/EC of the European Parliament and of the Council (6) 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 (7) 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 | Financial or non-financial natureNature of the reporting counterparty | F=FinancialF Counterparty,= N=Non-FinancialFinancial Counterparty.Counterparty N = Non-Financial Counterparty C = Central Counterparty O = Other
8 | Broker ID | ISO 17442 Legal Entity Identifier (LEI) (2020 alphanumerical digits),character interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).code.
9 | ReportingReport submitting entity ID | ISO 17442 Legal Entity Identifier (LEI) (2020 alphanumerical digits), interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a clientcharacter code (50 alphanumerical digits).
10 | Clearing member ID | ISO 17442 Legal Entity Identifier (LEI) (2020 alphanumerical digits), interim entity identifier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a clientcharacter code (50 alphanumerical digits).
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
1213 | Trading capacity | P=Principal,P A=Agent.= Principal A = Agent
1314 | Counterparty side | B=Buyer,B S=Seller.= Buyer S = Seller Populated in accordance with Article 3a
15 | Directly linked to commercial activity or treasury financing | Y=Yes,Y N=No.= Yes N = No
16 | Clearing threshold | Y=Above,Y N=Below.= 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 mark to marketthe value of the contract | ISO 4217 Currency Code, 3 alphabetical digits.characters
19 | Valuation datetimestamp | ISO 8601 date format.in the UTC time format YYYY-MM-DDThh:mm:ssZ
2120 | Valuation type | M=markM to= marketMark-to-market /O O=mark= toMark-to-model model.C = CCP's valuation.
2221 | Collateralisation | U=uncollateralised,U PC== uncollateralised PC = partially collateralised,collateralised OC=oneOC = one way collateralised orFC FC=fully= collateralised.fully collateralised Populated in accordance with Article 3b
2322 | Collateral portfolio | Y=Yes,Y N=No.= 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.
2625 | Currency of the collateralinitial valuemargin posted | Specify the currency of field 25; ISO 4217 Currency Code, 3 alphabetical digits.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
(1) Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 335, 17.12.2009, p. 1). (2) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338). (3) Directive 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council and repealing Council Directive 93/22/EEC (OJ L 145, 30.4.2004, p. 1). (4) Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1). (5) Directive 2003/41/EC of the European Parliament and of the Council of 3 June 2003 on the activities and supervision of institutions for occupational retirement provision (OJ L 235, 23.9.2003, p. 10). (6) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32). (7) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).
Table 2
Common Data
1 | Taxonomy used | Identify the taxonomy used: U = Product Identifier [endorsed in Europe] I = \frac{\mathrm{ISIN}}{\mathrm{AII}} + \mathrm{CFI} 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 |
4 | Underlying | ISIN (12 alphanumerical digits); LEI (20 alphanumerical digits); Interim entity identifier (20 alphanumerical digits); UPI (to be defined); B = Basket; I = Index. |
12 | Price / rate | Up to 20 numerical digits in the format xxxx,yyyyy. |
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. |
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). |
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. |
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. |
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
| Field | Format | Applicable types of derivative contractcontracts
| Section 2a -— Contract type | | All contracts
31 | ProductContract ID 2type | For taxonomy = U Blank For taxonomy = I CFI, 6 characters alphabetical code For taxonomy = E: Derivative type: CD = ContractsFinancial 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 -— DetailsContract on the transactioninformation | | All contracts
3 | Product classification type | C = CFI U = UPI |
4 | Product classification | ISO 10692 CFI, 6 characters alphabetical code Endorsed UPI |
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 in accordance with Article 4(8) |
7 | Underlying identification type | I = ISIN A = AII U = UPI 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 in accordance with Article 4(8) For underlying identification type U: UPI For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code in accordance with Article 4(8). 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 |
59 | Notional currency 1 | ISO 4217 Currency Code, 3 alphabetical digits.characters |
610 | Notional currency 2 | ISO 4217 Currency Code, 3 alphabetical digits.characters |
711 | Deliverable currency | ISO 4217 Currency Code, 3 alphabetical digits.characters |
| Section 2d2c -— ClearingDetails on the transaction | | All contracts
12 | Trade ID | Until global UTI is available, 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. |
913 | TransactionReport referencetracking number | An alphanumeric field up to 4052 characters |
814 | TradeComplex trade component ID | UpAn alphanumeric field up to 5235 alphanumerical digits.characters |
1015 | Venue of execution | ISO 10383 Market Identifier Code (MIC), 4 digitsalphanumerical alphabetical.characters, Wherein relevant,accordance XOFFwith forArticle listed derivatives that are traded off-exchange or XXXX for OTC derivatives.4(b). |
1116 | Compression | Y = if the contract results from compression;compression N=N if the= contract does not result from compression.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’ |
1318 | Price notation | E.g.U ISO= 4217Units CurrencyP Code,= 3Percentage alphabeticalY digits,= percentage.Yield |
4119 | Currency 2of price | ISO 4217 Currency Code, 3 alphabeticalalphabetic digits.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. |
1824 | Delivery type | C=Cash,C P=Physical,= O=OptionalCash P = Physical O = Optional for counterparty.counterparty or when determined by a third party |
1925 | Execution timestamp | ISO 8601 date formatin /the UTC time format.format YYYY-MM-DDThh:mm:ssZ |
2026 | Effective date | ISO 8601 date format.in the format YYYY-MM-DD |
2127 | Maturity date | ISO 8601 date format.in the format YYYY-MM-DD |
2228 | Termination date | ISO 8601 date format.in the format YYYY-MM-DD |
2329 | Settlement date | ISO 8601 date format.in the format YYYY-MM-DD |
2430 | Master Agreement type | Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any.any |
2531 | Master Agreement version | Year,ISO xxxx.8601 date in the format YYYY |
| Section 2c2d -— Risk mitigation / Reportingmitigation/Reporting | | All contracts
2632 | Confirmation timestamp | ISO 8601 date format,in the UTC time format.format YYYY-MM-DDThh:mm:ssZ |
2733 | Confirmation means | Y=Non-electronicallyY confirmed,= N=Non-confirmed,Non-electronically E=Electronicallyconfirmed confirmed.N = Non-confirmed E = Electronically confirmed |
| Section 2f2e –— Foreign ExchangeClearing | | CurrencyAll derivativescontracts
2834 | Clearing obligation | Y=Yes,Y N=No.= Yes N = No |
2935 | Cleared | Y=Yes,Y N=No.= Yes N = No |
3036 | Clearing timestamp | ISO 8601 date formatin /the UTC time format.format YYYY-MM-DDThh:mm:ssZ |
37 | CCP | ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code |
3238 | Intragroup | Y=Yes,Y N=No.= Yes N = No |
| Section 2e2f -— 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 |
3643 | Fixed legrate payment frequency leg 1 –time period | An integer multiplier of a timeTime period describing how often the counterparties exchange payments, e.g.whereby 10D,the 3M,following 5Y.abbreviations apply: Y = Year M = Month W = Week D = Day |
3744 | FloatingFixed rate payment frequency leg 1 — multiplier | An integerInteger multiplier of athe time period describing how often the counterparties exchange payments,payments. e.g.Up 10D,to 3M,3 5Y.numerical characters. |
3845 | FloatingFixed rate resetpayment frequency leg 2 — time period | D = An integer multiplier of a timeTime period describing how often the counterparties exchange payments, e.g.whereby 10D,the 3M,following 5Y.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
4565 | Commodity base | AG = Agricultural EN = Energy FR = Freights ME = Metals IN = Index EV = Environmental EX = Exotic OT = Other |
4666 | 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
53 | Quantity Unit | 10 numerical digits in the format xxxx,yyyyy. |
54 | Price/time interval quantities | 10 numerical digits in the format xxxx,yyyyy. |
55 | Option type | P=Put, C=Call. |
57 | Strike price (cap/floor rate) | Up to 10 Numerical digits in the format xxxx,yyyyy. |
4767 | Delivery point or zone | EIC code, 16 character alphanumeric code.code Repeatable field. |
4868 | Interconnection Point | FreeEIC text,code, field16 ofcharacter upalphanumeric to 50 characters.code |
4969 | Load type | Repeatable section of fields 50-54 to identify the product delivery profile which correspond to the delivery periods of a day; BL = Base Load PL = Peak Load OP = Off-Peak BH = BlockHour/Block Hours SH = Shaped GD = Gas Day OT = Other |
Repeatable section of fields 70 — 77
70 | Load delivery intervals | hh:mmZ |
5071 | Delivery start date and time | ISO 8601 date formatin /the UTC time format.format YYYY-MM-DDThh:mm:ssZ |
5172 | Delivery end date and time | ISO 8601 date formatin /the UTC time format.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 2h2i -— 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 |
5679 | Option exercise style (exercise) | A=American,A B=Bermudan,= E=European,American S=Asian.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 2i2j -— ModificationsCredit to the contractderivatives | | All contracts
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 |
5287 | Contract capacitySeries | Free text,Integer field of up to 505 characters.characters |
5988 | Details of action typeVersion | Free text,Integer field of up to 505 characters.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 | |
5893 | Action type | N = New M = Modify E = Error,Error C = Cancel,Early Termination R = Correction Z = Compression,Compression V = Valuation update,update OP = Other.Position component |
94 | Level | T = Trade P = Position |