# Commission Implementing Regulation (EU) No 1247/2012 of 19 December 2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories (Text with EEA relevance)

EU Regulation No 1247/2012 · adopted 19 December 2012

Commission Implementing Regulation (EU) No 1247/2012 of 19 December 2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories (Text with EEA relevance)

## Introductory text

Commission Implementing Regulation (EU) No 1247/2012
of 19 December 2012
laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to the opinion of the European Central Bank,
Having regard to 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 and in particular Article 9(6) thereof,
Whereas:
(1)
To avoid inconsistencies, all data sent to trade repositories under Article 9 of Regulation (EU) No 648/2012 should follow the same rules, standards and formats for all trade repositories, all counterparties and all types of derivatives. A unique data set should therefore be used for describing a derivatives trade.
(2)
Since OTC derivatives are typically neither uniquely identifiable by existing codes which are widely used in financial markets, such as the International Securities Identification Numbers (ISIN), nor describable by using the ISO Classification of Financial Instruments (CFI) code, a new and universal method of identification has to be developed. If a unique product identifier is available and follows the principles of uniqueness, neutrality, reliability, open source, scalability, accessibility, has a reasonable cost basis, is offered under an appropriate governance framework and is adopted for use in the Union, it should be used. If a unique product identifier meeting these requirements is not available, an interim taxonomy should be used.
(3)
The underlying should be identified by using a single identifier, however there is currently no market wide standardised code to identify the underlying within a basket. Counterparties should therefore be required to indicate at least that the underlying is a basket and use ISINs for standardised indices where possible.
(4)
To ensure consistency, all parties to a derivatives contract should be identified by a unique code. A global legal entity identifier or an interim entity identifier, to be defined under a governance framework which is compatible with the FSB recommendations on data requirements and is adopted for use in the Union, should be used to identify all financial and non-financial counterparties, brokers, central counterparties, and beneficiaries once available, in particular to ensure consistency with the Committee on Payment and Settlement Systems (CPSS) and International Organisation of Securities Commissions (IOSCO) report on OTC Derivatives Data Reporting and Aggregation Requirements that describes legal entity identifiers as a tool for data aggregation. In the case of agency trades, the beneficiaries should be identified as the individual or entity on whose behalf the contract was concluded.
(5)
The approach used in third countries and also taken by trade repositories themselves as they start their businesses should be taken into account. Therefore, to ensure a cost-effective solution for counterparties and to mitigate operational risk for trade repositories, the reporting start date should include phase-in dates for different derivative classes, beginning with the most standardised classes and subsequently extending to the other classes. The derivative contracts which were entered into before, on or after the date of entry into force of Regulation (EU) No 648/2012, that are not outstanding on or after the reporting start date, are not of major relevance for regulatory purposes. They must however be reported under Article 9(1)(a) of Regulation (EU) No 648/2012. To ensure an efficient and proportionate reporting regime in those cases and taking into account the difficulties in reconstructing data of terminated contracts, a longer deadline should be provided for such reporting.
(6)
This Regulation is based on draft implementing technical standards submitted by the European Securities and Markets Authority (hereinafter ESMA) to the Commission.
(7)
In accordance with Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority) ESMA has conducted open public consultations on such draft implementing technical standards, analysed the potential related costs and benefits and requested the opinion of the ESMA Securities and Markets Stakeholder Group established in accordance with Article 37 of that Regulation,
HAS ADOPTED THIS REGULATION:

## 1 Format of derivative contract reports

The information contained in a report under Article 9 of Regulation (EU) No 648/2012 shall be provided in the format specified in the Annex to this Regulation.

## 2 Frequency of derivative contract reports

Where provided for in Article 11(2) of Regulation (EU) No 648/2012, mark to market or mark to model valuations of contracts reported to a trade repository shall be done on a daily basis. Any other reporting elements as provided for in the Annex to this Regulation and the Annex to the delegated act with regard to regulatory technical standards specifying the minimum details of the data to be reported to trade repositories pursuant to Article 9(5) of Regulation (EU) No 648/2012 shall be reported as they occur and taking into account the time limit foreseen under Article 9 of Regulation (EU) No 648/2012, notably as regards the conclusion, modification or termination of a contract.

## 3 Identification of counterparties and other entities

A report shall use a legal entity identifier to identify:
(a) a beneficiary which is a legal entity;
(b) a broking entity;
(c) a CCP;
(d) a clearing member;
(e) a counterparty which is a legal entity;
(f) a submitting entity.

## 3a Counterparty side

1. The counterparty side to the derivative contract referred to in field 14 of Table 1 of the Annex shall be determined in accordance with paragraphs 2 to 10.
2. In the case of options and swaptions, the counterparty that holds the right to exercise the option shall be identified as the buyer and the counterparty that sells the option and receives a premium shall be identified as the seller.
3. In the case of futures and forwards other than futures and forwards relating to currencies, the counterparty buying the instrument shall be identified as the buyer and the counterparty selling the instrument shall be identified as the seller.
4. In the case of swaps related to securities, the counterparty that bears the risk of price movement of the underlying security and receives the security amount shall be identified as the buyer and the counterparty that pays the security amount shall be identified as the seller.
5. In the case of swaps related to interest rates or inflation indices, the counterparty paying the fixed rate shall be identified as the buyer and the counterparty receiving the fixed rate shall be identified as the seller. In the case of basis swaps, the counterparty that pays the spread shall be identified as the buyer and the counterparty that receives the spread shall be identified as the seller.
6. In the case of cross-currency swaps and swaps and forwards related to currencies, the counterparty receiving the currency which appears first when sorted alphabetically by International Organization for Standardization (ISO 4217) standard shall be identified as the buyer and the counterparty delivering that currency shall be identified as the seller.
7. In the case of swaps related to dividends, the counterparty receiving the equivalent actual dividend payments shall be identified as the buyer and the counterparty paying the dividend and receiving the fixed rate shall be identified as the seller.
8. With the exception of options and swaptions, in the case of derivative instruments for the transfer of credit risk, the counterparty buying the protection shall be identified as the buyer and the counterparty selling the protection shall be identified as the seller.
9. In the case of derivative contracts relating to commodities, the counterparty that receives the commodity specified in the report shall be identified as the buyer and the counterparty that delivers the commodity shall be identified as the seller.
10. In the case of forward-rate agreements, the counterparty paying the fixed rate shall be identified as the buyer and the counterparty receiving the fixed rate shall be identified as the seller.

## 3b Collateralisation

1. The type of collateralisation of the derivative contract referred to in Field 21 of Table 1 of the Annex shall be identified by the reporting counterparty in accordance with paragraphs 2 to 5.
2. Where no collateral agreement exists between the counterparties or where the collateral agreement between the counterparties stipulates that the reporting counterparty does not post neither initial margin nor variation margin with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as uncollateralised;
3. Where the collateral agreement between the counterparties stipulates that the reporting counterparty only posts regularly variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as partially collateralised;
4. Where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margins and that the other counterparty either posts only variation margins or does not post any margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as one-way collateralised;
5. Where the collateral agreement between the counterparties stipulates that both counterparties post initial margin and regularly post variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as fully collateralised.

## 4 Specification, identification, and classification of derivatives

1. A report shall specify a derivative on the basis of contract type and asset class in accordance with paragraphs 2 and 3.
2. The derivative shall be specified in Field 1 of Table 2 of the Annex as one of the following contract types:
(a) financial contract for difference;
(b) forward rate agreement;
(c) forward;
(d) future;
(e) option;
(f) spreadbet;
(g) swap;
(h) swaption;
(i) other.
3. The derivative shall be specified in Field 2 of Table 2 of the Annex as one of the following asset classes:
(a) commodities and emission allowances;
(b) credit;
(c) currency;
(d) equity;
(e) interest rate.
4. Where derivatives do not fall within one of the asset classes specified in paragraph 3, the counterparties shall specify in the report the asset class most closely resembling the derivative. Both counterparties shall specify the same asset class.
5. The derivative shall be identified in Field 6 of Table 2 of the Annex using the following, where available:
(a) an ISO 6166 International Securities Identification Number (ISIN) code or an Alternative Instrument Identifier code (AII), as applicable, 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 ;
(b) an ISIN from the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014.
Where an AII code is used, the complete AII code shall be used.
6. The complete AII code referred to in paragraph 5 shall be the result of the concatenation of the following six elements:
(a) ISO 10383 Market Identifier Code (MIC) of the trading venue where the derivative is traded, specified using 4 alphanumeric characters;
(b) code, which is assigned by the trading venue, uniquely associated with a particular underlying instrument and settlement type and other characteristics of the contract, specified using up to 12 alphanumeric characters;
(c) single character identifying whether the instrument is an option or a future, specified as ‘ O ’ where it is an option and as ‘ F ’ where it is a future;
(d) single character identifying whether the option is a put or a call, specified as ‘ P ’ where it is a put option and as ‘ C ’ where it is a call option; where the instrument has been identified as a future in accordance with point (c), it shall be specified as ‘ F ’ ;
(e) exercise date or maturity date of a derivative contract specified in ISO 8601 YYYY-MM-DD standard;
(f) the strike price of an option, specified using up to 19 digits including up to five decimals without any leading or trailing zeros. A decimal point shall be used as the decimal separator. Negative values are not allowed. Where the instrument is a future, the strike price shall be populated with zero.
7. The derivative shall be classified in Field 4 of Table 2 of the Annex using an ISO 10692 Classification of Financial Instrument (CFI) code.
8. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

## 4a Unique Trade Identifier

1 . A report shall be identified through a unique trade identifier agreed by the counterparties.
2. Where counterparties fail to agree on the entity responsible for generating the unique trade identifier to be assigned to the report, the counterparties shall determine the entity responsible for generating a unique trade identifier in accordance with the following:
(a) for centrally-executed and cleared trades, the unique trade identifier shall be generated at the point of clearing by the central counterparty (CCP) for the clearing member. Another unique trade identifier shall be generated by the clearing member for its counterparty;
(b) for centrally-executed but not centrally-cleared trades, the unique trade identifier shall be generated by the trading venue of execution for its member;
(c) for centrally-confirmed and cleared trades, the unique trade identifier shall be generated at the point of clearing by the CCP for the clearing member. Another unique trade identifier shall be generated by the clearing member for its counterparty;
(d) for trades that were centrally-confirmed by electronic means but were not centrally-cleared, the unique trade identifier shall be generated by the trade confirmation platform at the point of confirmation;
(e) for all trades other than those referred to in points (a) to (d), the following shall apply:
(i) where financial counterparties trade with non-financial counterparties, the financial counterparties shall generate the unique trade identifier;
(ii) where non-financial counterparties above the clearing threshold trade with non-financial counterparties below the clearing threshold, those non-financial counterparties above the clearing threshold shall generate the unique trade identifier;
(iii) for all trades other than those referred to in points (i) and (ii), the seller shall generate the unique trade identifier.
3. The counterparty generating the unique trade identifier shall communicate that unique trade identifier to the other counterparty in a timely manner so that the latter is able to meet its reporting obligation.

## 4b Venue of execution

The venue of execution of the derivative contract shall be identified in Field 15 of Table 2 of the Annex as follows:
(a) until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014:
(i) for a venue of execution inside the Union, the ISO 10383 Market Identifier Code (MIC) published on ESMA's website in the register set up on the basis of information provided by competent authorities pursuant to Article 13(2) of Commission Regulation (EC) No 1287/2006 ;
(ii) for a venue of execution outside the Union, the ISO 10383 MIC included in the list of MIC codes maintained and updated by ISO and published at ISO web site;
(b) from the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014, the ISO 10383 MIC.

## 5 Reporting start date

1. Credit derivative and interest rate derivative contracts shall be reported:
(a) by 1 July 2013, where a trade repository for that particular derivative class has been registered under Article 55 of Regulation (EU) No 648/2012 before 1 April 2013;
(b) 90 days after the registration of a trade repository for a particular derivative class under Article 55 of Regulation (EU) No 648/2012, where there is no trade repository registered for that particular derivative class before or on 1 April 2013,;
(c) by 1 July 2015, where there is no trade repository registered for that particular derivative class under Article 55 of Regulation (EU) No 648/2012 by 1 July 2015. The reporting obligation shall commence on this date and contracts shall be reported to ESMA in accordance with Article 9(3) of that Regulation until a trade repository is registered for that particular derivative class.
2. Derivative contracts not referred to in paragraph 1 shall be reported:
(a) by 1 January 2014, where a trade repository for that particular derivative class has been registered under Article 55 of Regulation (EU) No 648/2012 before 1 October 2013;
(b) 90 days after the registration of a trade repository for a particular derivative class under Article 55 of Regulation (EU) No 648/2012, where there is no trade repository registered for that particular derivative class before or on 1 October 2013;
(c) by 1 July 2015, where there is no trade repository registered for that particular derivative class under Article 55 of Regulation (EU) No 648/2012 by 1 July 2015. The reporting obligation shall commence on this date and contracts shall be reported to ESMA in accordance with Article 9(3) of that Regulation until a trade repository is registered for that particular derivative class.
3. Those derivative contracts which were outstanding on 16 August 2012 and are still outstanding on the reporting start date shall be reported to a trade repository within 90 days of the reporting start date for a particular derivative class.
4. The following derivative contracts which are not outstanding on the commencement date for reporting for a particular derivative class shall be reported to a trade repository within five years of that date:
(a) derivative contracts that were entered into before 16 August 2012 and were still outstanding on 16 August 2012 ;
(b) derivative contracts that were entered into on or after 16 August 2012 .
5. The reporting start date shall be extended by 180 days for the reporting of information referred to in Article 3 of the delegated act with regard to regulatory technical standards specifying the minimum details of the data to be reported to trade repositories pursuant to Article 9(5) of Regulation (EU) No 648/2012.

## 6 Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

## Signature

This Regulation shall be binding in its entirety and directly applicable in all Member States.

## 

Table 1
Counterparty Data
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 ).
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 ).
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 ).
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 ).
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 ).
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 ).
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 ).
Field
Format
Parties to the contract
1
Reporting timestamp
ISO 8601 date in the format and Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ
2
Reporting Counterparty ID
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.
3
Type of ID of the other Counterparty
‘ LEI ’ for ISO 17442 Legal Entity Identifier (LEI)
‘ CLC ’ for Client code
4
ID of the other Counterparty
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.
Client code (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
C = Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council
F = Investment firm authorised in accordance with Directive 2004/39/EC of the European Parliament and of the Council
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
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
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
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
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
Nature of the reporting counterparty
F = Financial Counterparty
N = Non-Financial Counterparty
C = Central Counterparty
O = Other
8
Broker ID
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.
9
Report submitting entity ID
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code)
10
Clearing member ID
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code
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
13
Trading capacity
P = Principal
A = Agent
14
Counterparty side
B = Buyer
S = Seller
Populated in accordance with Article 3a
15
Directly linked to commercial activity or treasury financing
Y = Yes
N = No
16
Clearing threshold
Y = 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 the value
ISO 4217 Currency Code, 3 alphabetical characters
19
Valuation timestamp
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
20
Valuation type
M = Mark-to-market
O = Mark-to-model
C = CCP's valuation.
21
Collateralisation
U = uncollateralised
PC = partially collateralised
OC = one way collateralised
FC = fully collateralised
Populated in accordance with Article 3b
22
Collateral portfolio
Y = 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.
25
Currency of the initial margin posted
ISO 4217 Currency Code, 3 alphabetical 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
Table 2
Common Data
Field
Format
Applicable types of derivative contracts
Section 2a – Contract type
All contracts
1
Contract type
CD = Financial 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 – Contract information
All contracts
3
Product classification type
C = CFI
4
Product classification
ISO 10692 CFI, 6 characters alphabetical code
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
7
Underlying identification type
I = ISIN
A = AII
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
For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code. 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
9
Notional currency 1
ISO 4217 Currency Code, 3 alphabetical characters
10
Notional currency 2
ISO 4217 Currency Code, 3 alphabetical characters
11
Deliverable currency
ISO 4217 Currency Code, 3 alphabetical characters
Section 2c – Details on the transaction
All contracts
12
Trade ID
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.
13
Report tracking number
An alphanumeric field up to 52 characters
14
Complex trade component ID
An alphanumeric field up to 35 characters
15
Venue of execution
ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters, in accordance with Article 4(b).
16
Compression
Y = contract results from compression
N = contract does not result from 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 ’
18
Price notation
U = Units
P = Percentage
Y = Yield
19
Currency of price
ISO 4217 Currency Code, 3 alphabetic 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.
24
Delivery type
C = Cash
P = Physical
O = Optional for counterparty or when determined by a third party
25
Execution timestamp
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
26
Effective date
ISO 8601 date in the format YYYY-MM-DD
27
Maturity date
ISO 8601 date in the format YYYY-MM-DD
28
Termination date
ISO 8601 date in the format YYYY-MM-DD
29
Settlement date
ISO 8601 date in the format YYYY-MM-DD
30
Master Agreement type
Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any
31
Master Agreement version
ISO 8601 date in the format YYYY
Section 2d – Risk mitigation/Reporting
All contracts
32
Confirmation timestamp
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
33
Confirmation means
Y = Non-electronically confirmed
N = Non-confirmed
E = Electronically confirmed
Section 2e – Clearing
All contracts
34
Clearing obligation
Y = Yes
N = No
35
Cleared
Y = Yes
N = No
36
Clearing timestamp
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
37
CCP
ISO 17442 Legal Entity Identifier (LEI)
20 alphanumerical character code
38
Intragroup
Y = Yes
N = No
Section 2f – 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
43
Fixed 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
44
Fixed rate payment frequency leg 1 – multiplier
Integer multiplier of the time period describing how often the counterparties exchange payments.
Up to 3 numerical characters.
45
Fixed 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
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
65
Commodity base
AG = Agricultural
EN = Energy
FR = Freights
ME = Metals
IN = Index
EV = Environmental
EX = Exotic
OT = Other
66
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
67
Delivery point or zone
EIC code, 16 character alphanumeric code
Repeatable field.
68
Interconnection Point
EIC code, 16 character alphanumeric code
69
Load type
BL = Base Load
PL = Peak Load
OP = Off-Peak
BH = Hour/Block Hours
SH = Shaped
GD = Gas Day
OT = Other
Repeatable section of fields 70 – 77
70
Load delivery intervals
hh:mmZ
71
Delivery start date and time
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
72
Delivery end date and time
ISO 8601 date in the UTC time 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 2i – 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
79
Option exercise style
A = American
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 2j – Credit derivatives
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
87
Series
Integer field up to 5 characters
88
Version
Integer field up to 5 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
93
Action type
N = New
M = Modify
E = Error
C = Early Termination
R = Correction
Z = Compression
V = Valuation update
P = Position component
94
Level
T = Trade
P = Position

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Source: https://www.legislation.gov.uk/eur/2012/1247 (the official version)
Page: https://openlegislation.uk/eu-regulation-2012-1247
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.