Commission Implementing Regulation (EU) 2017/105 of 26 October 2016 amending Implementing Regulation (EU) No 1247/2012 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 2017/105 · Adopted 19 October 2016 · Extends to United Kingdom

X1Commission Implementing Regulation (EU) 2017/105

of 26 October 2016

amending Implementing Regulation (EU) No 1247/2012 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 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^f1 and in particular Article 9(6) thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) No 1247/2012^f2 provides for the use of interim entity identifiers where a legal entity identifier is not available. An infrastructure enabling the attribution of legal entity identifiers to entities has recently become available, and market participants have become familiar with the use of such legal entity identifiers. Therefore, legal entity identifiers should now be the only means allowed for the purpose of identification of legal entities.

(2)

Determining whether the reporting counterparty is a buyer or a seller in a contract is particularly complex in the case of swap derivative contracts as such contracts involve the exchange of financial instruments between the parties. Therefore, specific rules should be established in order to ensure the accurate and consistent determination of who are the buyers and who are the sellers in swap derivative contracts.

(3)

In order to determine the real exposures of counterparties, competent authorities require complete and accurate information on the collateral exchanged between those counterparties. Accordingly, specific rules ensuring a consistent approach with regard to the reporting of collateralisation for a given derivative contract or portfolio should be determined.

(4)

The accurate classification and precise identification of derivatives is essential for the efficient use of data and for the meaningful aggregation of data across trade repositories, and therefore contributes to the objectives of the Financial Stability Board set out in the Feasibility Study on Aggregation of OTC Derivatives Trade Repository Data^f3 published on 19 September 2014. Reporting requirements relating to the classification and identification of derivatives should therefore be amended so that this information is available in its entirety to competent authorities.

(5)

In order to accommodate for the reporting of new types of derivatives contracts which have become available and are traded on a frequent basis by virtue of financial innovation, swaptions and spreadbets should be added to the list of classes of derivative contracts. More broadly, in view of ongoing financial innovation giving rise to new types of derivative contracts, it is important to ensure that any new types of derivatives contracts that do not fall within an existing classification can nevertheless be reported. Therefore, it is appropriate to maintain the category ‘other’ in the classification of types of derivatives contracts.

(6)

Where two counterparties cannot agree on which of them should generate a unique trade identifier within the reporting timeline provided, the correct identification and association of the two reports pertaining to the same transaction may not be possible. It is therefore necessary to establish criteria for the generation of unique trade identifiers so as to avoid counting the same transaction twice.

(7)

Counterparties may face significant difficulty in obtaining all of the relevant information with regard to trades that were terminated before the commencement date for reporting. Given the resulting complexity of reporting terminated trades and the fact that such trades do not increase systemic risk, the period for reporting terminated trades should be extended from 3 years to 5 years from the commencement date for reporting.

(8)

In order to ensure full harmonisation of the data reported to trade repositories and therefore enable its consistent interpretation and aggregation, the standards and formats to be used in trade reports should be clarified. It is also appropriate to amend the reporting requirements with respect to data formats. Counterparties and trade repositories should therefore be granted sufficient time to take all necessary action to comply with the amended requirements.

(9)

Implementing Regulation (EU) No 1247/2012 should therefore be amended accordingly.

(10)

This Regulation is based on draft implementing technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission.

(11)

In accordance with Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council^f4, 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 Securities and Markets Stakeholder Group referred to in Article 37 of that Regulation,

HAS ADOPTED THIS REGULATION:

Annotations to the whole text

Modifications

C1: Regulation: power to modify conferred (11.7.2023) by Financial Services and Markets Act 2023 (c. 29), ss. 3, 86(3), Sch. 1 Pts. 1, 3; S.I. 2023/779, reg. 2(d)

Editorial notes

X1: Substituted by Corrigendum to Commission Implementing Regulation (EU) 2017/105 of 19 October 2016 amending Implementing Regulation (EU) No 1247/2012 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 (Official Journal of the European Union L 17 of 21 January 2017).

Footnotes

f1: OJ L 201, 27.7.2012, p. 1.
f2: 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 (OJ L 352, 21.12.2012, p. 20).
f3: http://www.fsb.org/wp-content/uploads/r_140919.pdf
f4: 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), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).

1Article 1
2Article 2
Signature
Annex Annex

1

Implementing Regulation (EU) No 1247/2012 is amended as follows:

(1)
Article 3 is replaced by the following:
‘Identification of counterparties and other entities
Article 3
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.’;
(2)

the following Articles 3a and 3b are inserted:

‘Counterparty side

Article 3a

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.

Collateralisation

Article 3b

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’;
(3)

Article 4 is replaced by the following:

‘Specification, identification, and classification of derivatives

Article 4

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^f1;

(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 for products identified through an ISO 6166 ISIN code or an AII code.

8.

Derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified by means of a designated code. That code shall be:

(a)

unique;

(b)

neutral;

(c)

reliable;

(d)

open source;

(e)

scalable;

(f)

accessible;

(g)

available at a reasonable cost basis;

(h)

subject to an appropriate governance framework.

9.

Until the code referred to in paragraph 8 is endorsed by ESMA, derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified using an ISO 10692 CFI code.’;
(4)
the following Articles 4a and 4b are inserted:
‘Unique Trade Identifier
Article 4a
1.

A report shall be identified through either a global unique trade identifier endorsed by ESMA or, in the absence thereof, 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.
Venue of execution
Article 4b
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^f2;

(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)

in Article 5, paragraph 4 is replaced by the following:

‘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.’;
(6)

the Annex is replaced by the text set out in the Annex to this Regulation.

2

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

It shall apply from 1 November 2017, with the exception of Article 1(5), which shall apply from the date of entry into force.

Signature

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

‘ANNEX

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^f1

C = Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council^f2

F = Investment firm authorised in accordance with Directive 2004/39/EC of the European Parliament and of the Council^f3

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^f4

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^f5

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^f6

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^f7

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

U = UPI

4 Product classification
ISO 10692 CFI, 6 characters alphabetical code

Endorsed UPI

5 Product identification type
Specify the applicable identification:

I = ISIN

A = AII

6 Product identification
For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code

For product identifier type A: Complete AII code in accordance with Article 4(8)

7 Underlying identification type
I = ISIN

A = AII

U = UPI

B = Basket

X = Index

8 Underlying identification
For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code

For underlying identification type A: complete AII code in accordance with Article 4(8)

For underlying identification type U: UPI

For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code in accordance with Article 4(8). Identifiers of individual components shall be separated with a dash “-”.

For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider

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
Until global UTI is available, up to 52 alphanumerical character code including four special characters:“. - _.”

Special characters are not allowed at the beginning and at the end of the code. No space allowed.

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

’

	Field	Format
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).
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^f1 C = Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council^f2 F = Investment firm authorised in accordance with Directive 2004/39/EC of the European Parliament and of the Council^f3 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^f4 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^f5 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^f6 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^f7 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

	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 U = UPI
4	Product classification	ISO 10692 CFI, 6 characters alphabetical code Endorsed UPI
5	Product identification type	Specify the applicable identification: I = ISIN A = AII
6	Product identification	For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code For product identifier type A: Complete AII code in accordance with Article 4(8)
7	Underlying identification type	I = ISIN A = AII U = UPI B = Basket X = Index
8	Underlying identification	For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code For underlying identification type A: complete AII code in accordance with Article 4(8) For underlying identification type U: UPI For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code in accordance with Article 4(8). Identifiers of individual components shall be separated with a dash “-”. For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider
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	Until global UTI is available, up to 52 alphanumerical character code including four special characters:“. - _.” Special characters are not allowed at the beginning and at the end of the code. No space allowed.
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

Annotations to the whole text

Modifications

Editorial notes

Footnotes

Contents

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