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.
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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= 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:
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3 | Product ID 2 | For taxonomy = U Blank For taxonomy = I CFI, 6 characters alphabetical code For taxonomy = E: Derivative type:
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4 | Underlying | ISIN (12 alphanumerical digits); LEI (20 alphanumerical digits); Interim entity identifier (20 alphanumerical digits); UPI (to be defined); B= Basket; 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= 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= Agricultural EN= Energy FR= Freights ME= Metals IN= Index EV= Environmental EX= Exotic | ||||||||
46 | Commodity details | Agricultural GO= Grains oilseeds DA= Dairy LI= Livestock FO= Forestry SO= Softs Energy OI= Oil NG= Natural gas CO= Coal EL= Electricity IE= Inter-energy Metals PR= Precious NP= Non-precious Environmental WE= Weather 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= Base Load PL= Peak Load OP= Off-Peak BH= Block Hours 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= New M= Modify E= Error, C= Cancel, Z= Compression, V= Valuation update, O= Other. | ||||||||
59 | Details of action type | Free text, field of up to 50 characters. |