ANNEX
Table 1
Section | Field | Format | |
1 | Parties to the derivative | Reporting timestamp | ISO 8601 date in the Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ |
2 | Parties to the derivative | Report submitting entity ID | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
3 | Parties to the derivative | Entity responsible for reporting | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System. |
4 | Parties to the derivative | Counterparty 1 (Reporting counterparty) | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System. |
5 | Parties to the derivative | Nature of counterparty 1 | F = Financial Counterparty N = Non-Financial Counterparty C = Central Counterparty O = Other |
6 | Parties to the derivative | Corporate sector of counterparty 1 | Taxonomy for Financial Counterparties: ‘INVF’ - Investment firm authorised in accordance with Directive 2014/65/EU of the European Parliament and of the Council (1); ‘CDTI’ - Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council (2); ‘INUN’ - an insurance undertaking or reinsurance undertaking authorised in accordance with Directive 2009/138/EC of the European Parliament and of the Council (3); ‘UCIT’ - a UCITS and, where relevant, its management company, authorised in accordance with Directive 2009/65/EC of the European Parliament and of the Council (4), unless that UCITS is set up exclusively for the purpose of serving one or more employee share purchase plans; ‘ORPI’ - an institution for occupational retirement provision (IORP), as defined in point (1) of Article 6 of Directive (EU) 2016/2341 of the European Parliament and of the Council (5); ‘AIFD’ - an alternative investment fund (AIF), as defined in point (a) of Article 4(1) of Directive 2011/61/EU of the European Parliament and of the Council (6), which is either established in the Union or managed by an alternative investment fund manager (AIFM) authorised or registered in accordance with that Directive, unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans, or unless that AIF is a securitisation special purpose entity as referred to in point (g) of Article 2(3) of Directive 2011/61/EU, and, where relevant, its AIFM established in the Union; ‘CSDS’ - a central securities depository authorised in accordance with Regulation (EU) No 909/2014 of the European Parliament and of the Council (7); Taxonomy for Non-Financial Counterparties. The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council (8): ‘A’ - Agriculture, forestry and fishing; ‘B’ - Mining and quarrying; ‘C’ - Manufacturing; ‘D’ - Electricity, gas, steam and air conditioning supply; ‘E’ - Water supply, sewerage, waste management and remediation activities; ‘F’ - Construction; ‘G’ - Wholesale and retail trade, repair of motor vehicles and motorcycles; ‘H’ - Transportation and storage; ‘I’ - Accommodation and food service activities; ‘J’ - Information and communication; ‘K’ - Financial and insurance activities; ‘L’ - Real estate activities; ‘M’ - Professional, scientific and technical activities; ‘N’ - Administrative and support service activities; ‘O’ - Public administration and defence; compulsory social security; ‘P’ - Education; ‘Q’ - Human health and social work activities; ‘R’ - Arts, entertainment and recreation; ‘S’ - Other service activities; ‘T’ - Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use; ‘U’ - 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. Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012 (9). |
7 | Parties to the derivative | Clearing threshold of counterparty 1 | Boolean value: TRUE = Above the threshold FALSE = Below the threshold |
8 | Parties to the derivative | Counterparty 2 identifier type | Boolean value: TRUE FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the Statement from the Regulatory Oversight Committee on Individuals Acting in a Business Capacity, from 20 September 2015(the ‘ROC Statement’). |
9 | Parties to the derivative | Counterparty 2 | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement. The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose. |
10 | Parties to the derivative | Country of counterparty 2 | ISO 3166 Country Code - 2 character country code |
11 | Parties to the derivative | Nature of counterparty 2 | F = Financial Counterparty N = Non-Financial Counterparty C = Central Counterparty O = Other |
12 | Parties to the derivative | Corporate sector of counterparty 2 | Taxonomy for Financial Counterparties: ‘INVF’ - Investment firm authorised in accordance with Directive 2014/65/EU; ‘CDTI’ - Credit institution authorised in accordance with Directive 2013/36/EU; ‘INUN’ - an insurance undertaking or reinsurance undertaking authorised in accordance with Directive 2009/138/EC; ‘UCIT’ - a UCITS and, where relevant, its management company, authorised in accordance with Directive 2009/65/EC, unless that UCITS is set up exclusively for the purpose of serving one or more employee share purchase plans; ‘ORPI’ - an institution for occupational retirement provision (IORP), as defined in point (1) of Article 6 of Directive (EU) 2016/2341; ‘AIFD’ - an alternative investment fund (AIF), as defined in point (a) of Article 4(1) of Directive 2011/61/EU, which is either established in the Union or managed by an alternative investment fund manager (AIFM) authorised or registered in accordance with that Directive, unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans, or unless that AIF is a securitisation special purpose entity as referred to in point (g) of Article 2(3) of Directive 2011/61/EU, and, where relevant, its AIFM established in the Union; ‘CSDS’ - a central securities depository authorised in accordance with Regulation (EU) No 909/2014; Taxonomy for Non-Financial Counterparties. The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006: ‘A’ - Agriculture, forestry and fishing; ‘B’ - Mining and quarrying; ‘C’ - Manufacturing; ‘D’ - Electricity, gas, steam and air conditioning supply; ‘E’ - Water supply, sewerage, waste management and remediation activities; ‘F’ - Construction; ‘G’ - Wholesale and retail trade, repair of motor vehicles and motorcycles; ‘H’ - Transportation and storage; ‘I’ - Accommodation and food service activities; ‘J’ - Information and communication; ‘K’ - Financial and insurance activities; ‘L’ - Real estate activities; ‘M’ - Professional, scientific and technical activities; ‘N’ - Administrative and support service activities; ‘O’ - Public administration and defence; compulsory social security; ‘P’ - Education; ‘Q’ - Human health and social work activities; ‘R’ - Arts, entertainment and recreation; ‘S’ - Other service activities; ‘T’ - Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use; ‘U’ - 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. Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012. |
13 | Parties to the derivative | Clearing threshold of counterparty 2 | Boolean value: TRUE = Above the threshold FALSE = Below the threshold |
14 | Parties to the derivative | Reporting obligation of counterparty 2 | Boolean value: TRUE, if counterparty 2 has the reporting obligation FALSE, if counterparty 2 does not have the reporting obligation |
15 | Parties to the derivative | Broker ID | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
16 | Parties to the derivative | Clearing member | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
17 | Parties to the derivative | Direction | 4 alphabetic characters: BYER = buyer SLLR = seller Populated in accordance with Article 4 of this Regulation |
18 | Parties to the derivative | Direction of leg 1 | 4 alphabetic characters: MAKE = payer TAKE = receiver Populated in accordance with Article 4 of this Regulation |
19 | Parties to the derivative | Direction of leg 2 | 4 alphabetic characters: MAKE = payer TAKE = receiver Populated in accordance with Article 4 of this Regulation |
20 | Parties to the derivative | Directly linked to commercial activity or treasury financing | Boolean value: TRUE = Yes FALSE= No |
Table 2
Section | Field | Format | |
1 | Section 2a - Identifiers and links | UTI | ISO 23897 UTI. Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed |
2 | Section 2a - Identifiers and links | Report tracking number | An alphanumeric field up to 52 characters |
3 | Section 2a - Identifiers and links | Prior UTI (for one-to-one and one-to-many relations between transactions) | Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed |
4 | Section 2a - Identifiers and links | Subsequent position UTI | Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed |
5 | Section 2a - Identifiers and links | Post Trade Risk Reduction (PTRR) ID | Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed. The first 20 characters represent the LEI of the compression provider |
6 | Section 2a - Identifiers and links | Package identifier | Up to 35 alphanumeric characters. |
7 | Section 2b – Contract information | International Securities Identification Number (ISIN) | ISO 6166 ISIN, 12 character alphanumeric code |
8 | Section 2b – Contract information | Unique product identifier (UPI) | ISO 4914 UPI, 12 character alphanumeric code |
9 | Section 2b – Contract information | Product classification | ISO 10962 CFI, 6 characters alphabetic code |
10 | Section 2b – Contract information | Contract type | CFDS = Financial contracts for difference FRAS = Forward rate agreements FUTR = Futures FORW = Forwards OPTN = Option SPDB = Spreadbet SWAP = Swap SWPT = Swaption OTHR = Other |
11 | Section 2b – Contract information | Asset class | COMM = Commodity and emission allowances CRDT = Credit CURR = Currency EQUI = Equity INTR = Interest Rate |
12 | Section 2b – Contract information | Derivative based on crypto-assets | Boolean value: TRUE - for derivatives based on crypto-assets FALSE - for other derivatives |
13 | Section 2b – Contract information | Underlying identification type | 1 alphabetic character: I = ISIN B = Basket X = Index |
14 | Section 2b – Contract information | Underlying identification | For underlying identification type I: ISO 6166 ISIN, 12 character alphanumeric code For underlying identification type X: ISO 6166 ISIN if available, 12 character alphanumeric code |
15 | Section 2b – Contract information | Indicator of the underlying index | The indication of the floating rate index. 4 alphabetic characters: ESTR = €STR SONA = SONIA SOFR = SOFR 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 EFFR = Effective Federal Funds Rate OBFR = Overnight Bank Funding Rate CZNA = CZEONIA |
16 | Section 2b – Contract information | Name of the underlying index | Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index. |
17 | Section 2b – Contract information | Custom basket code | Up to 72 alphanumeric characters composed of LEI of the basket structurer followed by up to 52 alphanumeric characters. |
18 | Section 2b – Contract information | Identifier of the basket’s constituents | For underlying identification type B: All individual components identified through ISO 6166 ISIN |
19 | Section 2b – Contract information | Settlement currency 1 | ISO 4217 Currency Code, 3 alphabetic characters |
20 | Section 2b – Contract information | Settlement currency 2 | ISO 4217 Currency Code, 3 alphabetic characters |
21 | Section 2c – Valuation | Valuation amount | Positive and negative value, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
22 | Section 2c – Valuation | Valuation currency | ISO 4217 Currency Code, 3 alphabetic characters |
23 | Section 2c – Valuation | Valuation timestamp | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
24 | Section 2c – Valuation | Valuation method | 4 alphabetic characters: MTMA = Mark-to-market MTMO = Mark-to-model CCPV = CCP’s valuation. |
25 | Section 2c – Valuation | Delta | Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. Any value between -1 and 1 (including -1 and 1) is allowed. |
26 | Section 2d - Collateral | Collateral portfolio indicator | Boolean value: TRUE = collateralised on a portfolio basis FALSE = not part of a portfolio |
27 | Section 2d - Collateral | Collateral portfolio code | Up to 52 alphanumeric characters Special characters are not allowed |
28 | Section 2e - Risk mitigation / Reporting | Confirmation timestamp | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
29 | Section 2e - Risk mitigation / Reporting | Confirmed | 4 alphabetic characters: NCNF = unconfirmed ECNF = electronic YCNF = non-electronic |
30 | Section 2f - Clearing | Clearing obligation | TRUE = the contract belongs 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 FLSE = the contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation but one or both counterparties to the contract are not subject to the clearing obligation or value ‘UKWN’- the contract does not belong to a class of OTC derivatives that has been declared subject to the clearing obligation |
31 | Section 2f - Clearing | Cleared | 1 alphabetic character: Y= yes, centrally cleared, for beta and gamma transactions. N= no, not centrally cleared. |
32 | Section 2f - Clearing | Clearing timestamp | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
33 | Section 2f - Clearing | Central counterparty | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
34 | Section 2g - Details on the transaction | Master Agreement type | 4 alphabetic characters: ‘ISDA’ - ISDA ‘CDEA’ - FIA-ISDA Cleared Derivatives Execution Agreement ‘EUMA’ - European Master Agreement ‘FPCA’ - FOA Professional Client Agreement ‘FMAT’ - FBF Master Agreement relating to transactions on forward financial instruments ‘DERV’ - Deutscher Rahmenvertrag für Finanztermingeschäfte (DRV) ‘CMOP’ - Contrato Marco de Operaciones Financieras ‘CHMA’ - Swiss Master Agreement ‘IDMA’ - Islamic Derivative Master Agreement ‘EFMA’ - EFET Master Agreement ‘GMRA’ - GMRA ‘GMSL’ - GMSLA ‘BIAG’ - bilateral agreement Or ‘OTHR’ if the master agreement type is not included in the above list |
35 | Section 2g - Details on the transaction | Other master agreement type | Up to 50 alphanumeric characters. |
36 | Section 2g - Details on the transaction | Master Agreement version | ISO 8601 date in the format YYYY |
37 | Section 2g - Details on the transaction | Intragroup | Boolean value: TRUE = contract entered into as an intragroup transaction FALSE = contract not entered into as an intragroup transaction |
38 | Section 2g - Details on the transaction | PTRR | Boolean value: TRUE = contract results from a PTRR event FALSE = contract does not result from a PTRR event |
39 | Section 2g - Details on the transaction | Type of PTRR technique | 4 alphabetic characters: ‘PWOS’- Portfolio Compression without a third-party service provider ‘PWAS’ - Portfolio Compression with a third-party service provider or CCP ‘PRBM’ - Portfolio Rebalancing/Margin management OTHR - other |
40 | Section 2g - Details on the transaction | PTRR service provider | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
41 | Section 2g - Details on the transaction | Venue of execution | ISO 10383 Market Identifier Code (MIC), 4 alphanumeric characters |
42 | Section 2c - Details on the transaction | Execution timestamp | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
43 | Section 2c - Details on the transaction | Effective date | ISO 8601 date in the UTC format YYYY-MM-DD. |
44 | Section 2c - Details on the transaction | Expiration date | ISO 8601 date in the UTC format YYYY-MM-DD. |
45 | Section 2c - Details on the transaction | Early termination date | ISO 8601 date in the UTC format YYYY-MM-DD. |
46 | Section 2c - Details on the transaction | Final contractual settlement date | ISO 8601 date in the UTC format YYYY-MM-DD. |
47 | Section 2c - Details on the transaction | Delivery type | 4 alphabetic characters: CASH = Cash PHYS = Physical OPTL = Optional for counterparty or when determined by a third party |
48 | Section 2g - Details on the transaction | Price | If price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up. If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
49 | Section 2g - Details on the transaction | Price currency | ISO 4217 Currency Code, 3 alphabetic characters |
Fields 50-52 are repeatable and shall be populated in the case of derivatives involving price schedules | |||
50 | Section 2g - Details on the transaction | Unadjusted effective date of the price | ISO 8601 date in the UTC format YYYY-MM-DD. |
51 | Section 2g - Details on the transaction | Unadjusted end date of the price | ISO 8601 date in the UTC format YYYY-MM-DD. |
52 | Section 2g - Details on the transaction | Price in effect between the unadjusted effective date and the end date | If price is expressed as monetary value- any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up. If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
53 | Section 2g - Details on the transaction | Package transaction price | If package transaction price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up. If package transaction price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
54 | Section 2g - Details on the transaction | Package transaction price currency | ISO 4217 Currency Code, 3 alphabetic characters |
55 | Section 2g - Details on the transaction | Notional amount of leg 1 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
56 | Section 2g - Details on the transaction | Notional currency 1 | ISO 4217 Currency Code, 3 alphabetic characters |
Fields 57-59 are repeatable and shall be populated in the case of derivatives involving notional amount schedules | |||
57 | Section 2g - Details on the transaction | Effective date of the notional amount of leg 1 | ISO 8601 date in the UTC format YYYY-MM-DD |
58 | Section 2g - Details on the transaction | End date of the notional amount of leg 1 | ISO 8601 date in the UTC format YYYY-MM-DD |
59 | Section 2g - Details on the transaction | Notional amount in effect on associated effective date of leg 1 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
60 | Section 2g - Details on the transaction | Total notional quantity of leg 1 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
Fields 61-63 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules | |||
61 | Section 2g - Details on the transaction | Effective date of the notional quantity of leg 1 | ISO 8601 date in the UTC format YYYY-MM-DD |
62 | Section 2g - Details on the transaction | End date of the notional quantity of leg 1 | ISO 8601 date in the UTC format YYYY-MM-DD |
63 | Section 2g - Details on the transaction | Notional quantity in effect on associated effective date of leg 1 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
64 | Section 2g - Details on the transaction | Notional amount of leg 2 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
65 | Section 2g - Details on the transaction | Notional currency 2 | ISO 4217 Currency Code, 3 alphabetic characters |
Fields 66-68 are repeatable and shall be populated in the case of derivatives involving notional amount schedules | |||
66 | Section 2g - Details on the transaction | Effective date of the notional amount of leg 2 | ISO 8601 date in the UTC format YYYY-MM-DD |
67 | Section 2g - Details on the transaction | End date of the notional amount of leg 2 | ISO 8601 date in the UTC format YYYY-MM-DD |
68 | Section 2g - Details on the transaction | Notional amount in effect on associated effective date of leg 2 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
69 | Section 2g - Details on the transaction | Total notional quantity of leg 2 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
Fields 70-72 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules | |||
70 | Section 2g - Details on the transaction | Effective date of the notional quantity of leg 2 | ISO 8601 date in the UTC format YYYY-MM-DD |
71 | Section 2g - Details on the transaction | End date of the notional quantity of leg 2 | ISO 8601 date in the UTC format YYYY-MM-DD |
72 | Section 2g - Details on the transaction | Notional quantity in effect on associated effective date of leg 2 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
Section of fields 73-78 is repeatable | |||
73 | Section 2g - Details on the transaction | Other payment type | 4 alphabetic characters: UFRO= Upfront Payment, i.e. the initial payment made by one of the counterparties either to bring a transaction to fair value or for any other reason that may be the cause of an off-market transaction UWIN = Unwind or Full termination, i.e. the final settlement payment made when a transaction is unwound prior to its end date; Payments that may result due to full termination of derivative transaction(s) PEXH = Principal Exchange, i.e. Exchange of notional values for cross-currency swaps |
74 | Section 2g - Details on the transaction | Other payment amount | Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. Any value greater than or equal to zero is allowed. |
75 | Section 2g - Details on the transaction | Other payment currency | ISO 4217 Currency Code, 3 alphabetic characters |
76 | Section 2g - Details on the transaction | Other payment date | ISO 8601 date in the UTC format YYYY-MM-DD. |
77 | Section 2g - Details on the transaction | Other payment payer | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement. The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose. |
78 | Section 2g – Details on the transaction | Other payment receiver | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement. The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose. |
79 | Section 2h - Interest Rates | Fixed rate of leg 1 or coupon | Positive and negative values, up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numeric character. |
80 | Section 2h - Interest Rates | Fixed rate or coupon day count convention leg 1 | 4 alphanumeric characters: 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 A015 = ActualActualUltimo A016 = IC30EPlus360 A017 = Actual364 A018 = Business252 A019 = Actual360NL A020 = 1/1 NARR = Narrative |
81 | Section 2h - Interest Rates | Fixed rate or coupon payment frequency period leg 1 | 4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
82 | Section 2h - Interest Rates | Fixed rate or coupon payment frequency period multiplier leg 1 | Any integer value greater than or equal to zero, up to 3 numeric characters. |
83 | Section 2h - Interest Rates | Identifier of the floating rate of leg 1 | If the floating rate has an ISIN, the ISIN code for that rate. |
84 | Section 2h - Interest Rates | Indicator of the floating rate of leg 1 | The indication of the floating rate index. 4 alphabetic characters: ESTR = €STR SONA = SONIA SOFR = SOFR 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 EFFR = Effective Federal Funds Rate OBFR = Overnight Bank Funding Rate CZNA = CZEONIA |
85 | Section 2h - Interest Rates | Name of the floating rate of leg 1 | Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index. |
86 | Section 2h - Interest Rates | Floating rate day count convention of leg 1 | 4 alphanumeric characters: 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 A015 = ActualActualUltimo A016 = IC30EPlus360 A017 = Actual364 A018 = Business252 A019 = Actual360NL A020 = 1/1 NARR = Narrative |
87 | Section 2h - Interest Rates | Floating rate payment frequency period of leg 1 | 4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
88 | Section 2h - Interest Rates | Floating rate payment frequency period multiplier of leg 1 | Any integer value greater than or equal to zero, up to 3 numeric characters. |
89 | Section 2h - Interest Rates | Floating rate reference period of leg 1 – time period | 4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
90 | Section 2h - Interest Rates | Floating rate reference period of leg 1 – multiplier | Any integer value greater than or equal to zero, up to 3 numeric characters. |
91 | Section 2h - Interest Rates | Floating rate reset frequency period of leg 1 | 4 alphabetic characters: DAIL = daily WEEK = weekly MNTH = monthly YEAR = yearly ADHO = ad hoc which applies when payments are irregular EXPI = payment at term |
92 | Section 2h - Interest Rates | Floating rate reset frequency multiplier of leg 1 | Any integer value greater than or equal to zero, up to 3 numeric characters. |
93 | Section 2h - Interest Rates | Spread of leg 1 | If spread is expressed as monetary amount - any value up to 18 numeric characters including up to 13 decimal places. If spread is expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 instead of 2.57%). |
Table 3
Section | Field | Format | |
1 | Parties to the derivative | Reporting timestamp | ISO 8601 date in the Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ |
2 | Parties to the derivative | Report submitting entity ID | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. |
3 | Parties to the derivative | Entity responsible for reporting | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System. |
4 | Parties to the derivative | Counterparty 1 (Reporting counterparty) | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System. |
5 | Parties to the derivative | Counterparty 2 identifier type | Boolean value: TRUE FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement. |
6 | Parties to the derivative | Counterparty 2 | ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement. The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose. |
7 | Collateral | Collateral timestamp | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ |
8 | Collateral | Collateral portfolio indicator | Boolean value: TRUE = collateralised on a portfolio basis FALSE = not part of a portfolio |
9 | Collateral | Collateral portfolio code | Up to 52 alphanumeric characters Special characters are not allowed |
10 | Collateral | UTI | Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed |
11 | Collateral | Collateralisation category | 4 alphabetic characters: UNCL = uncollateralised PRC1= partially collateralised: counterparty 1 only PRC2= partially collateralised: counterparty 2 only PRCL= partially collateralised OWC1 = one way collateralised: counterparty 1 only OWC2 = one way collateralised: counterparty 2 only OWP1 = one way/partially collateralised: counterparty 1 OWP2 = one way/partially collateralised: counterparty 2 FLCL = fully collateralised Populated in accordance with Article 5 of this Regulation |
12 | Collateral | Initial margin posted by counterparty 1 (pre-haircut) | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
13 | Collateral | Initial margin posted by counterparty 1 (post-haircut) | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
14 | Collateral | Currency of the initial margin posted | ISO 4217 Currency Code, 3 alphabetic characters |
15 | Collateral | Variation margin posted by counterparty 1 (pre-haircut) | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
16 | Collateral | Variation margin posted by counterparty 1 (post-haircut) | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
17 | Collateral | Currency of the variation margins posted | ISO 4217 Currency Code, 3 alphabetic characters |
18 | Collateral | Excess collateral posted by counterparty 1 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
19 | Collateral | Currency of the excess collateral posted | ISO 4217 Currency Code, 3 alphabetic characters |
20 | Collateral | Initial margin collected by counterparty 1 (pre-haircut) | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
21 | Collateral | Initial margin collected by counterparty 1 (post-haircut) | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
22 | Collateral | Currency of initial margin collected | ISO 4217 Currency Code, 3 alphabetic characters |
23 | Collateral | Variation margin collected by counterparty 1 (pre-haircut) | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
24 | Collateral | Variation margin collected by counterparty 1 (post-haircut) | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
25 | Collateral | Currency of variation margin collected | ISO 4217 Currency Code, 3 alphabetic characters |
26 | Collateral | Excess collateral collected by counterparty 1 | Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up. The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot. |
27 | Collateral | Currency of excess collateral collected | ISO 4217 Currency Code, 3 alphabetic characters |
28 | Collateral | Action type | ‘MARU’ - Margin update ‘CORR’ - Correct |
29 | Collateral | Event date | ISO 8601 date in the UTC format YYYY-MM-DD. |
Table 4
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’ - Naphta ‘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’ -‘Fertiliser’ | ‘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 derivatives’ as defined in Table 10.1 of Annex III to Commission Delegated Regulation (EU) 2017/583 (10) | ||
‘OTHR’ - Other |
(1) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173 12.6.2014, p. 349).
(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 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).
(4) 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).
(5) Directive (EU) 2016/2341 of the European Parliament and of the Council of of 14 December 2016 on the activities and supervision of institutions for occupational retirement provision (IORPs) (OJ L 354, 23.12.2016, p. 37).
(6) 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).
(7) Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 (OJ L 257 28.8.2014, p. 1).
(8) 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).
(9) 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).
(10) Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (OJ L 87, 31.3.2017, p. 229).