ANNEX
Details to be reported to trade repositories
Table 1
Counterparty Data
| Field | Details to be reported
| Parties to the contract |
1 | Reporting timestamp | Date and time of reporting to the trade repository.
4 | Name of the counterparty | Corporate name of the reporting counterparty. This field can be left blank in case the counterparty ID already contains this information.
5 | Domicile of the counterparty | Information on the registered office, consisting of full address, city and country of the reporting counterparty. This field can be left blank in case the counterparty ID already contains this information.
6 | Corporate sector of the counterparty | Nature of the reporting counterparty’s company activities (bank, insurance company, etc.). This field can be left blank in case the counterparty ID already contains this information.
13 | Counterparty side | Identifies whether the contract was a buy or a sell. In the case of an interest rate derivative contract, the buy side will represent the payer of leg 1 and the sell side will be the payer of leg 2.
18 | Currency of mark to market value of the contract | The currency used for the mark to market valuation of the contract, or mark to model valuation where applicable under Article 11(2) of Regulation (EU) No 648/2012.
19 | Valuation date | Date of the last mark to market or mark to model valuation.
20 | Valuation time | Time of the last mark to market or mark to model valuation.
2 | Reporting Counterparty ID | Unique code identifying the reporting counterparty. In casecounterparty of anthe individual, a client code shall be used.contract.
3 | Type of ID of the other Counterparty | Type of the code used to identify the other Counterparty.
34 | ID of the other counterpartyCounterparty | Unique code identifying the other counterparty of the contract. This field shall be filled from the perspective of the reporting counterparty. In case of ana individual,private individual a client code shall be used.used in a consistent manner.
145 | ContractCountry withof non-EEAthe counterpartyother Counterparty | IndicatesThe whethercode of country where the registered office of the other counterparty is domiciledlocated outsideor country of residence in case that the EEA.other counterparty is a natural person.
6 | Corporate sector of the reporting counterparty | Nature of the reporting counterparty's company activities. If the Reporting Counterparty is a Financial Counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties and applying to that Counterparty. If the Reporting Counterparty is a Non-Financial Counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties and applying to that Counterparty. Where more than one activity is reported, the codes shall be populated in order of the relative importance of the corresponding activities.
7 | Financial or non-financial natureNature of the reporting counterparty | Indicate if the reporting counterparty is a financialCCP, a financial, non-financial counterparty or non-financialother type of counterparty in accordance with point 5 of Article 1 or points 1, 8 and 9 of Article 2 of Regulation (EU) No 648/2012.648/2012 of the European Parliament and of the Council (^{1}).
8 | Broker ID | In the case a broker acts as intermediary for the reporting counterparty without becoming a counterparty,counterparty himself, the reporting counterparty shall identify this broker by a unique code. In case of an individual, a client code shall be used.
9 | ReportingReport submitting entity ID | In the case where the reporting counterparty has delegated the submission of the report to a third party or to the other counterparty, this entity has to be identified in this field by a unique code. Otherwise this field shall be left blank. In case of an individual, a client code shall be used, as assigned by the legal entity used by the individual counterparty to execute the trade.
10 | Clearing member ID | In the case where the derivative contract is cleared and the reporting counterparty is not a clearing member,member itsitself, the clearing member through which the derivative contract is cleared shall be identified in this field by a unique code. In case of an individual, a client code, as assigned by the CCP, shall be used.
11 | Type of ID of the Beneficiary | Type of the code used to identify the Beneficiary.
1112 | Beneficiary ID | The party subject to the rights and obligations arising from the contract. Where the transaction is executed via a structure, such as a trust or fund, representing a number of beneficiaries, the beneficiary should be identified as that structure. IfWhere the beneficiary of the contract is not a counterparty to this contract, the reporting counterparty has to identify this beneficiary by a unique code or, in case of individuals,a private individual, by a client code used in a consistent manner as assigned by the legal entity used by the private individual.
1213 | Trading capacity | Identifies whether the reporting counterparty has concluded the contract as principal on own account (on own behalf or behalf of a client) or as agent for the account of and on behalf of a client.
14 | Counterparty side | Identifies whether the reporting counterparty is a buyer or a seller.
15 | Directly linked to commercial activity or treasury financing | Information on whether the contract is objectively measurable as directly linked to the reporting counterparty’scounterparty's commercial or treasury financing activity, as referred to in Article 10(3) of Regulation (EU) No 648/2012. This field shall be left blank in the case where the reporting counterparty is a financial counterparty, as referred to in pointArticle 82(8) of Article 2 Regulation (EU) No 648/2012.
16 | Clearing threshold | Information on whether the reporting counterparty is above the clearing threshold as referred to in Article 10(2)10(3) of Regulation (EU) No 648/2012. This field shall be left blank in case the reporting counterparty is a financial counterparty, as referred to in pointArticle 82(8) of Article 2 Regulation (EU) No 648/2012.
17 | Mark to market valueValue of contract | Mark to market valuation of the contract, or mark to model valuation where applicable under Article 11(2) of Regulation (EU) No 648/2012. The CCP's valuation to be used for a cleared trade.
2618 | Currency of the collateral value | SpecifyThe currency used for the valuevaluation of the collateral for field 25.contract.
19 | Valuation timestamp | Date and time of the last valuation. For mark-to-market valuation the date and time of publishing of reference prices shall be reported.
2120 | Valuation type | Indicate whether valuation was performed mark to market ormarket, mark to model.model or provided by the CCP.
2221 | Collateralisation | WhetherIndicate collateralisationwhether wasa performed.collateral agreement between the counterparties exists.
2322 | Collateral portfolio | Whether the collateralisation was performed on a portfolio basis. Portfolio means the collateral calculated on the basis of net positions resulting from a set of contracts, rather than per trade.
2423 | Collateral portfolio code | If collateral is reported on a portfolio basis, the portfolio should be identified by a unique code determined by the reporting counterparty.
2524 | Initial margin posted | Value of the collateralinitial | Value of the collateralmargin posted by the reporting counterparty to the other counterparty. Where collateralinitial margin is posted on a portfolio basis, this field should include the overall value of allinitial collateralmargin posted for the portfolio.
25 | Currency of the initial margin posted | Specify the currency of the initial margin posted.
26 | Variation margin posted | Value of the variation margin posted, including cash settled, by the reporting counterparty to the other counterparty. Where variation margin is posted on a portfolio basis, this field should include the overall value of variation margin posted for the portfolio.
27 | Currency of the variation margins posted | Specify the currency of variation margin posted.
28 | Initial margin received | Value of the initial margin received by the reporting counterparty from the other counterparty. Where initial margin is received on a portfolio basis, this field should include the overall value of initial margin received for the portfolio.
29 | Currency of the initial margin received | Specify the currency of the initial margin received.
30 | Variation margin received | Value of the variation margin received, including cash settled, by the reporting counterparty from the other counterparty. Where variation margin is received on a portfolio basis, this field should include the overall value of variation margin received for the portfolio.
31 | Currency of the variation margins received | Specify the currency of the variation margin received.
32 | Excess collateral posted | Value of collateral posted in excess of the required collateral.
33 | Currency of the excess collateral posted | Specify the currency of the excess collateral posted.
34 | Excess collateral received | Value of collateral received in excess of the required. Collateral
35 | Currency of the excess collateral received | Specify the currency of the excess collateral received.
(1) 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 (OJ L 201, 27.7.2012, p. 1).
Table 2
Common Data
| Field | Details to be reported | Applicable types of derivative contractcontracts
| Section 2a — Contract type | | All contracts
4 | Underlying | The underlying shall be identified by using a unique identifier for this underlying. In case of baskets or indices, an indication for this basket or index shall be used where a unique identifier does not exist. |
8 | Trade ID | A Unique Trade ID agreed at the European level, which is provided by the reporting counterparty. If there is no unique trade ID in place, a unique code should be generated and agreed with the other counterparty. |
9 | Transaction reference number | A unique identification number for the transaction provided by the reporting entity or a third party reporting on its behalf. |
14 | Notional amount | Original value of the contract. |
42 | Exchange rate 1 | The contractual rate of exchange of the currencies. |
43 | Forward exchange rate | Forward exchange rate on value date. |
| Section 2g — Commodities | If a UPI is reported and contains all the information below, this is not required to be reported unless to be reported according to Regulation (EU) No 1227/2011 of the European Parliament and of the Council (2). | Commodity derivatives
1 | TaxonomyContract usedtype | TheEach reported contract shall be identifiedclassified byaccording usingto aits product identifier.type. |
2 | ProductAsset ID 1class | TheEach reported contract shall be identifiedclassified byaccording usingto athe productasset identifier.class it is based on. |
| Section 2b — DetailsContract on the transactioninformation | | All contracts
3 | Product classification type | The type of relevant product classification. |
4 | Product classification | For products identified through International Securities Identification Number (ISIN) or Alternative Instrument Identifier (AII), Classification of Financial Instruments (CFI) code shall be specified. For products for which ISIN or AII are not available, endorsed Unique Product Identifier (UPI) shall be specified. Until UPI is endorsed those products shall be classified with CFI code. |
35 | Product IDidentification 2type | The contracttype shallof be identified by using arelevant product identifier.identification. |
6 | Product identification | The product shall be identified through ISIN or AII. AII shall be used if a product is traded in a trading venue classified as AII in the register published on ESMA's website and set up on the basis of information provided by competent authorities pursuant to Article 13(2) of Commission Regulation (EC) No 1287/2006 (1). AII shall only be used until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014 of the European Parliament and of the Council (2). |
7 | Underlying identification type | The type of relevant underlying identifier. |
8 | Underlying identification | The direct underlying shall be identified by using a unique identification for this underlying based on its type. AII shall only be used until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014. For Credit Default Swaps, the ISIN of the reference obligation should be provided. In case of baskets composed, among others, of financial instruments traded in a trading venue, only financial instruments traded in a trading venue shall be specified. |
59 | Notional currency 1 | The currency of the notional amount. In the case of an interest rate or currency derivative contract, this will be the notional currency of leg 1. |
610 | Notional currency 2 | The other currency of the notional amount. In the case of an interest rate or currency derivative contract, this will be the notional currency of leg 2. |
711 | Deliverable currency | The currency to be delivered. |
| Section 2d2c — ClearingDetails on the transaction | | All contracts
12 | Trade ID | Until global UTI is available, a Unique Trade ID agreed with the other counterparty. |
1613 | QuantityReport tracking number | NumberA unique number for the group of contractsreports includedwhich inrelate to the report,same whereexecution moreof than onea derivative contract is reported.contract. |
14 | Complex trade component ID | Identifier, internal to the reporting firm, to identify and link all the reports related to the same derivative contract composed of a combination of derivative contracts. The code must be unique at the level of the counterparty to the group of transaction reports resulting from the derivative contract. Field applicable only where a firm executes a derivative contract composed of two or more derivative contracts and where this contract cannot be adequately reported in a single report. |
1015 | Venue of execution | The venue of execution of the derivative contract shall be identified by a unique code for this venue. In case ofWhere a contract was concluded OTC,OTC it has to be identified whetherand the respective instrument is admitted to trading butor traded on a trading venue, MIC code ‘XOFF’ shall be used. Where a contract was concluded OTC orand the respective instrument is not admitted to trading andor traded OTC.on a trading venue, MIC code ‘XXXX’ shall be used. |
1116 | Compression | Identify whether the contract results from a compression exercise.operation as defined in Article 2(1)(47) of Regulation (EU) No 600/2014. |
1217 | Price/rate | The price per derivative excluding, where applicable, commission and accrued interest. |
1318 | Price notation | The manner in which the price is expressed. |
19 | Currency of price | The currency in which the Price/rate is denominated. |
20 | Notional | The reference amount from which contractual payments are determined. In case of partial terminations, amortisations and in case of contracts where the notional, due to the characteristics of the contract, varies over time, it shall reflect the remaining notional after the change took place. |
1521 | Price multiplier | The number of units of the financial instrument which are contained in a trading lot; for example, the number of derivatives represented by onethe contract. |
22 | Quantity | Number of contracts included in the report. For spread bets, the quantity shall be the monetary value wagered per point movement in the direct underlying financial instrument. |
1723 | Up-front payment | Amount of any up-front payment the reporting counterparty made or received. |
1824 | Delivery type | Indicates whether the contract is settled physically or in cash. |
3025 | ClearingExecution timestamp | TimeDate and datetime when clearingthe tookcontract place.was executed. |
2026 | Effective date | Date when obligations under the contract come into effect. |
2127 | Maturity date | Original date of expiry of the reported contract. An early termination shall not be reported in this field. |
2228 | Termination date | Termination date in the case of an early termination of the reported contract. If not different from maturity date, this field shall be left blank. |
2329 | DateSettlement of Settlementdate | Date of settlement of the underlying. If more than one, further fields may be used (e.g. 23A, 23B, 23C, etc.).used. |
2430 | Master Agreement type | Reference to the name of the relevantany master agreement, if used for the reported contractexistent (e.g. ISDA Master Agreement; Master Power Purchase and Sale Agreement; International ForEx Master Agreement; European Master Agreement or any local Master Agreements). |
2531 | Master Agreement version | Reference to the year of the master agreement version used for the reported trade, if applicable (e.g. 1992, 2002, etc.). |
| Section 2c2d — Risk mitigation/Reporting | | All contracts
2632 | Confirmation timestamp | Date and time of the confirmation, as definedset underout in Article 12 of Commission Delegated Regulation (EU) No 149/2013 (^{1}) indicating time zone in which the confirmation has taken place.(^{3}). |
2733 | Confirmation means | Whether the contract was electronically confirmed, non-electronically confirmed or remains unconfirmed. |
| Section 2e — Clearing | | All contracts
2834 | Clearing obligation | Indicates, whether the reported contract isbelongs to a class of OTC derivatives that has been declared subject to the clearing obligation and both counterparties to the contract are subject to the clearing obligation under Regulation (EU) No 648/2012.648/2012, as of the time of execution of the contract. |
2935 | Cleared | Indicates, whether clearing has taken place. |
1936 | ExecutionClearing timestamp | AsTime definedand indate Articlewhen 1(2).clearing took place. |
3137 | CCP | In the case of a contract that has been cleared, the unique code for the CCP that has cleared the contract. |
3238 | Intragroup | Indicates whether the contract was entered into as an intragroup transaction, defined in Article 3 of Regulation (EU) No 648/2012. |
| Section 2e2f — Interest Rates | If a UPI is reported and contains all the information below, this is not required to be reported. | Interest rate derivatives
3339 | Fixed rate of leg 1 | An indication of the fixed rate leg 1 used, if applicable. |
3440 | Fixed rate of leg 2 | An indication of the fixed rate leg 2 used, if applicable. |
3541 | Fixed rate day count leg 1 | The actual number of days in the relevant fixed rate leg 1 payer calculation period, if applicable. |
3642 | Fixed rate day count leg payment frequency2 | FrequencyThe actual number of paymentsdays forin the relevant fixed rate leg,leg 2 payer calculation period, if applicable. |
3743 | FloatingFixed rate payment frequency leg 1 — time period | FrequencyTime period describing frequency of payments for the floatingfixed rate leg,leg 1, if applicable. |
3844 | FloatingFixed rate resetpayment frequency leg 1 — multiplier | FrequencyMultiplier of floatingthe time period describing frequency of payments for the fixed rate leg resets,1, if applicable. |
45 | Fixed rate payment frequency leg 2 — time period | Time period describing frequency of payments for the fixed rate leg 2, if applicable. |
46 | Fixed rate payment frequency leg 2 — multiplier | Multiplier of the time period describing frequency of payments for the fixed rate leg 2, if applicable. |
47 | Floating rate payment frequency leg 1 — time period | Time period describing frequency of payments for the floating rate leg 1, if applicable. |
48 | Floating rate payment frequency leg 1 — multiplier | Multiplier of the time period describing frequency of payments for the floating rate leg 1, if applicable. |
49 | Floating rate payment frequency leg 2 — time period | Time period describing frequency of payments for the floating rate leg 2, if applicable. |
50 | Floating rate payment frequency leg 2 — multiplier | Multiplier of the time period describing frequency of payments for the floating rate leg 2, if applicable. |
51 | Floating rate reset frequency leg 1 — time period | Time period describing frequency of floating rate leg 1 resets, if applicable. |
52 | Floating rate reset frequency leg 1 — multiplier | Multiplier of the time period describing frequency of floating rate leg 1 resets, if applicable. |
53 | Floating rate reset frequency leg 2 — time period | Time period of frequency of floating rate leg 2 resets, if applicable. |
54 | Floating rate reset frequency leg 2 — multiplier | Multiplier of the time period describing frequency of floating rate leg 2 resets, if applicable. |
3955 | Floating rate of leg 1 | An indication of the interest rates used which are reset at predetermined intervals by reference to a market reference rate, if applicable. |
56 | Floating rate reference period leg 1 — time period | Time period describing the reference period for the floating rate of leg 1. |
57 | Floating rate reference period leg 1 — multiplier | Multiplier of the time period describing the reference period for the floating rate of leg 1. |
4058 | Floating rate of leg 2 | An indication of the interest rates used which are reset at predetermined intervals by reference to a market reference rate, if applicable. |
59 | Floating rate reference period leg 2 — time period | Time period describing the reference period for the floating rate of leg 2. |
60 | Floating rate reference period leg 2 — multiplier | Multiplier of the time period describing the reference period for the floating rate of leg 2. |
| Section 2f2g — Foreign Exchange | If a UPI is reported and contains all the information below, this is not required to be reported. | Currency derivatives
4161 | CurrencyDelivery currency 2 | The cross currency, if different from the currency of delivery. |
62 | Exchange rate 1 | The exchange rate as of the date and time when the contract was concluded. It shall be expressed as a price of base currency in the quoted currency. |
63 | Forward exchange rate | Forward exchange rate as agreed between the counterparties in the contractual agreement It shall be expressed as a price of base currency in the quoted currency. |
4464 | Exchange rate basis | Quote base for exchange rate. |
| Section 2h — Commodities and emission allowances | | Commodity and emission allowance derivatives
| General | |
| Energy | Information to be reported according to Regulation (EU) No 1227/2011, if applicable. |
49 | Load type | Repeatable section of fields 50-54 to identify the product delivery profile which correspond to the delivery periods of a day. |
| Section 2h — Options | If a UPI is reported and contains all the information below, this is not required to be reported. | Contracts that contain an option
58 | Action type | Whether the report contains: |
59 | Details of action type | Where field 58 is reported as ‘other’ the details of such amendment should be specified here. |
(1) See page 11 of this Official Journal.
(2) OJ L 326, 8.12.2011, p. 1.
4565 | Commodity base | Indicates the type of commodity underlying the contract. |
4666 | Commodity details | Details of the particular commodity beyond field 45.65. |
| Energy | Fields 67-77 apply only to derivative contracts related to natural gas and electricity delivered in the Union. |
4767 | Delivery point or zone | Delivery point(s) of market area(s). |
4868 | Interconnection Point | Identification of the border(s) or border point(s)Point(s) of a transportation contract. |
5269 | ContractLoad capacitytype | QuantityIdentification perof the delivery time interval.profile. |
| Repeatable section of fields 70-77 | |
70 | Load delivery intervals | The time interval for each block or shape. |
5071 | Delivery start date and time | Start date and time of delivery. |
5172 | Delivery end date and time | End date and time of delivery. |
73 | Duration | The duration of the delivery period. |
74 | Days of the week | The days of the week of the delivery. |
75 | Delivery capacity | Delivery capacity for each delivery interval specified in field 70. |
5376 | Quantity Unit | Daily or hourly quantity in MWh or kWh/d which corresponds to the underlying commodity. |
5477 | Price/time interval quantities | If applicable, price per quantity per delivery time interval quantities.interval. |
| Section 2i — Modifications to the reportOptions | | AllContracts contractsthat contain an option
78 | Option type | Indication as to whether the derivative contract is a call (right to purchase a specific underlying asset) or a put (right to sell a specific underlying asset) or whether it cannot be determined whether it is a call or a put at the time of execution of the derivative contract. — In case of swaptions it shall be: — ‘Put’, in case of receiver swaption, in which the buyer has the right to enter into a swap as a fixed-rate receiver, — ‘Call’, in case of payer swaption, in which the buyer has the right to enter into a swap as a fixed-rate payer. — In case of Caps and Floors it shall be: — ‘Put’, in case of a Floor, — ‘Call’, in case of a Cap. |
5679 | Option exercise style (exercise) | Indicates whether the option may be exercised only at a fixed date (European, and Asian style), a series of pre-specified dates (Bermudan) or at any time during the life of the contract (American style). |
5780 | Strike price (cap/floor rate) | The strike price of the option. |
81 | Strike price notation | The manner in which the strike price is expressed. |
82 | Maturity date of the underlying | In case of swaptions, maturity date of the underlying swap. |
| Section 2j — Credit derivatives | |
83 | Seniority | Information on the seniority in case of contract on index or on a single name entity. |
84 | Reference entity | Identification of the underlying reference entity. |
85 | Frequency of payment | The frequency of payment of the interest rate or coupon. |
86 | The calculation basis | The calculation basis of the interest rate. |
87 | Series | The series number of the composition of the index if applicable. |
88 | Version | A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index. |
89 | Index factor | The factor to apply to the Notional (Field 20) to adjust it to all the previous credit events in that Index series. The figure varies between 0 and 100. |
5590 | Option typeTranche | IndicatesIndication whether thea derivative contract is a call or a put.tranched. |
91 | Attachment point | The point at which losses in the pool will attach to a particular tranche. |
92 | Detachement point | The point beyond which losses do not affect the particular tranche. |
| Section 2k — Modifications to the contract | |
93 | Action type | Whether the report contains: — a derivative contract for the first time, in which case it will be identified as ‘new’, — a modification to the terms or details of a previously reported derivative contract, but not a correction of a report, in which case it will be identified as ‘modify’. This includes an update to a previous report that is showing a position in order to reflect new trades included in that position, — a cancellation of a wrongly submitted entire report in case the contract never came into existence or was not subject to Regulation (EU) No 648/2012 reporting requirements but was reported to a trade repository by mistake, in which case, it will be identified as ‘error’, — an early termination of an existing contract, in which case it will be identified as ‘early termination’, — a previously submitted report contains erroneous data fields, in which case the report correcting the erroneous data fields of the previous report shall be identified as ‘correction’, — a compression of the reported contract, in which case it will be identified as ‘compression’, — an update of a contract valuation or collateral, in which case it will be identified as ‘valuation update’; — a derivative contract that is to be reported as a new trade and also included in a separate position report on the same day, in which case it will be identified as a ‘position component’. This value will be equivalent to reporting a new trade followed by an update to that report showing it as compressed. |
94 | Level | Indication whether the report is done at trade or position level. Position level report can be used only as a supplement to trade level reporting to report post-trade events and only if the individual trades in fungible products have been replaced by the position. |
(1) Commission Regulation (EC) No 1287/2006 of 10 August 2006 implementing Directive 2004/39/EC of the European Parliament and of the Council as regards record-keeping obligations for investment firms, transaction reporting, market transparency, admission of financial instruments to trading, and defined terms for the purposes of that Directive (OJ L 241, 2.9.2006, p. 1). (2) Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 (OJ L 173, 12.6.2014, p. 84). (3) Commission Delegated Regulation (EU) No 149/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on indirect clearing arrangements, the clearing obligation, the public register, access to a trading venue, non-financial counterparties, and risk mitigation techniques for OTC derivatives contracts not cleared by a CCP (OJ L OJ L 52, 23.2.2013, p. 11).