Field Details to be reported Applicable types of derivative contracts

Section 2a — Contract type All contracts

1 Contract type Each reported contract shall be classified according to its type.

2 Asset class Each reported contract shall be classified according to the asset class it is based on.

Section 2b — Contract information All contracts

3 Product classification type The type of relevant product classification.

4 Product classification For products identified through International Securities Identification Number (ISIN) or Alternative Instrument Identifier (AII), Classification of Financial Instruments (CFI) code shall be specified. For products for which ISIN or AII are not available, endorsed Unique Product Identifier (UPI) shall be specified. Until UPI is endorsed those products shall be classified with CFI code.

5 Product identification type The type of relevant product identification.

6 Product identification The product shall be identified through ISIN or AII. AII shall be used if a product is traded in a trading venue classified as AII in the register published on ESMA's website and set up on the basis of information provided by competent authorities pursuant to Article 13(2) of Commission Regulation (EC) No 1287/2006 (2). AII shall only be used until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014 of the European Parliament and of the Council (3).

7 Underlying identification type The type of relevant underlying identifier.

8 Underlying identification The direct underlying shall be identified by using a unique identification for this underlying based on its type. AII shall only be used until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014. For Credit Default Swaps, the ISIN of the reference obligation should be provided. In case of baskets composed, among others, of financial instruments traded in a trading venue, only financial instruments traded in a trading venue shall be specified.

9 Notional currency 1 The currency of the notional amount. In the case of an interest rate or currency derivative contract, this will be the notional currency of leg 1.

10 Notional currency 2 The other currency of the notional amount. In the case of an interest rate or currency derivative contract, this will be the notional currency of leg 2.

11 Deliverable currency The currency to be delivered.

Section 2c — Details on the transaction All contracts

12 Trade ID Until global UTI is available, a Unique Trade ID agreed with the other counterparty.

13 Report tracking number A unique number for the group of reports which relate to the same execution of a derivative contract.

14 Complex trade component ID Identifier, internal to the reporting firm, to identify and link all the reports related to the same derivative contract composed of a combination of derivative contracts. The code must be unique at the level of the counterparty to the group of transaction reports resulting from the derivative contract. Field applicable only where a firm executes a derivative contract composed of two or more derivative contracts and where this contract cannot be adequately reported in a single report.

15 Venue of execution The venue of execution of the derivative contract shall be identified by a unique code for this venue. Where a contract was concluded OTC and the respective instrument is admitted to trading or traded on a trading venue, MIC code “XOFF” shall be used. Where a contract was concluded OTC and the respective instrument is not admitted to trading or traded on a trading venue, MIC code “XXXX” shall be used.

16 Compression Identify whether the contract results from a compression operation as defined in Article 2(1)(47) of Regulation (EU) No 600/2014.

17 Price/rate The price per derivative excluding, where applicable, commission and accrued interest.

18 Price notation The manner in which the price is expressed.

19 Currency of price The currency in which the Price/rate is denominated.

20 Notional The reference amount from which contractual payments are determined. In case of partial terminations, amortisations and in case of contracts where the notional, due to the characteristics of the contract, varies over time, it shall reflect the remaining notional after the change took place.

21 Price multiplier The number of units of the financial instrument which are contained in a trading lot; for example, the number of derivatives represented by the contract.

22 Quantity Number of contracts included in the report. For spread bets, the quantity shall be the monetary value wagered per point movement in the direct underlying financial instrument.

23 Up-front payment Amount of any up-front payment the reporting counterparty made or received.

24 Delivery type Indicates whether the contract is settled physically or in cash.

25 Execution timestamp Date and time when the contract was executed.

26 Effective date Date when obligations under the contract come into effect.

27 Maturity date Original date of expiry of the reported contract. An early termination shall not be reported in this field.

28 Termination date Termination date in the case of an early termination of the reported contract.

29 Settlement date Date of settlement of the underlying. If more than one, further fields may be used.

30 Master Agreement type Reference to any master agreement, if existent (e.g. ISDA Master Agreement; Master Power Purchase and Sale Agreement; International ForEx Master Agreement; European Master Agreement or any local Master Agreements).

31 Master Agreement version Reference to the year of the master agreement version used for the reported trade, if applicable (e.g. 1992, 2002, etc.).

Section 2d — Risk mitigation/Reporting All contracts

32 Confirmation timestamp Date and time of the confirmation, as set out in Article 12 of Commission Delegated Regulation (EU) No 149/2013 (4).

33 Confirmation means Whether the contract was electronically confirmed, non-electronically confirmed or remains unconfirmed.

Section 2e — Clearing All contracts

34 Clearing obligation Indicates, whether the reported contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation and both counterparties to the contract are subject to the clearing obligation under Regulation (EU) No 648/2012, as of the time of execution of the contract.

35 Cleared Indicates, whether clearing has taken place.

36 Clearing timestamp Time and date when clearing took place.

37 CCP In the case of a contract that has been cleared, the unique code for the CCP that has cleared the contract.

38 Intragroup Indicates whether the contract was entered into as an intragroup transaction, defined in Article 3 of Regulation (EU) No 648/2012.

Section 2f — Interest Rates Interest rate derivatives

39 Fixed rate of leg 1 An indication of the fixed rate leg 1 used, if applicable.

40 Fixed rate of leg 2 An indication of the fixed rate leg 2 used, if applicable.

41 Fixed rate day count leg 1 The actual number of days in the relevant fixed rate leg 1 payer calculation period, if applicable.

42 Fixed rate day count leg 2 The actual number of days in the relevant fixed rate leg 2 payer calculation period, if applicable.

43 Fixed rate payment frequency leg 1 — time period Time period describing frequency of payments for the fixed rate leg 1, if applicable.

44 Fixed rate payment frequency leg 1 — multiplier Multiplier of the time period describing frequency of payments for the fixed rate leg 1, if applicable.

45 Fixed rate payment frequency leg 2 — time period Time period describing frequency of payments for the fixed rate leg 2, if applicable.

46 Fixed rate payment frequency leg 2 — multiplier Multiplier of the time period describing frequency of payments for the fixed rate leg 2, if applicable.

47 Floating rate payment frequency leg 1 — time period Time period describing frequency of payments for the floating rate leg 1, if applicable.

48 Floating rate payment frequency leg 1 — multiplier Multiplier of the time period describing frequency of payments for the floating rate leg 1, if applicable.

49 Floating rate payment frequency leg 2 — time period Time period describing frequency of payments for the floating rate leg 2, if applicable.

50 Floating rate payment frequency leg 2 — multiplier Multiplier of the time period describing frequency of payments for the floating rate leg 2, if applicable.

51 Floating rate reset frequency leg 1 — time period Time period describing frequency of floating rate leg 1 resets, if applicable.

52 Floating rate reset frequency leg 1 — multiplier Multiplier of the time period describing frequency of floating rate leg 1 resets, if applicable.

53 Floating rate reset frequency leg 2 — time period Time period of frequency of floating rate leg 2 resets, if applicable.

54 Floating rate reset frequency leg 2 — multiplier Multiplier of the time period describing frequency of floating rate leg 2 resets, if applicable.

55 Floating rate of leg 1 An indication of the interest rates used which are reset at predetermined intervals by reference to a market reference rate, if applicable.

56 Floating rate reference period leg 1 — time period Time period describing the reference period for the floating rate of leg 1.

57 Floating rate reference period leg 1 — multiplier Multiplier of the time period describing the reference period for the floating rate of leg 1.

58 Floating rate of leg 2 An indication of the interest rates used which are reset at predetermined intervals by reference to a market reference rate, if applicable.

59 Floating rate reference period leg 2 — time period Time period describing the reference period for the floating rate of leg 2.

60 Floating rate reference period leg 2 — multiplier Multiplier of the time period describing the reference period for the floating rate of leg 2.

Section 2g — Foreign Exchange Currency derivatives

61 Delivery currency 2 The cross currency, if different from the currency of delivery.

62 Exchange rate 1 The exchange rate as of the date and time when the contract was concluded. It shall be expressed as a price of base currency in the quoted currency.

63 Forward exchange rate Forward exchange rate as agreed between the counterparties in the contractual agreement It shall be expressed as a price of base currency in the quoted currency.

64 Exchange rate basis Quote base for exchange rate.

Section 2h — Commodities and emission allowances Commodity and emission allowance derivatives

General

65 Commodity base Indicates the type of commodity underlying the contract.

66 Commodity details Details of the particular commodity beyond field 65.

Energy Fields 67-77 apply only to derivative contracts related to natural gas and electricity delivered in the Union.

67 Delivery point or zone Delivery point(s) of market area(s).

68 Interconnection Point Identification of the border(s) or border Point(s) of a transportation contract.

69 Load type Identification of the delivery profile.

Repeatable section of fields 70-77

70 Load delivery intervals The time interval for each block or shape.

71 Delivery start date and time Start date and time of delivery.

72 Delivery end date and time End date and time of delivery.

73 Duration The duration of the delivery period.

74 Days of the week The days of the week of the delivery.

75 Delivery capacity Delivery capacity for each delivery interval specified in field 70.

76 Quantity Unit Daily or hourly quantity in MWh or kWh/d which corresponds to the underlying commodity.

77 Price/time interval quantities If applicable, price per quantity per delivery time interval.

Section 2i — Options Contracts that contain an option

78 Option type Indication as to whether the derivative contract is a call (right to purchase a specific underlying asset) or a put (right to sell a specific underlying asset) or whether it cannot be determined whether it is a call or a put at the time of execution of the derivative contract. — In case of swaptions it shall be: — “Put”, in case of receiver swaption, in which the buyer has the right to enter into a swap as a fixed-rate receiver, — “Call”, in case of payer swaption, in which the buyer has the right to enter into a swap as a fixed-rate payer. — In case of Caps and Floors it shall be: — “Put”, in case of a Floor, — “Call”, in case of a Cap.

79 Option exercise style Indicates whether the option may be exercised only at a fixed date (European, and Asian style), a series of pre-specified dates (Bermudan) or at any time during the life of the contract (American style).

80 Strike price (cap/floor rate) The strike price of the option.

81 Strike price notation The manner in which the strike price is expressed.

82 Maturity date of the underlying In case of swaptions, maturity date of the underlying swap.

Section 2j — Credit derivatives

83 Seniority Information on the seniority in case of contract on index or on a single name entity.

84 Reference entity Identification of the underlying reference entity.

85 Frequency of payment The frequency of payment of the interest rate or coupon.

86 The calculation basis The calculation basis of the interest rate.

87 Series The series number of the composition of the index if applicable.

88 Version A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index.

89 Index factor The factor to apply to the Notional (Field 20) to adjust it to all the previous credit events in that Index series. The figure varies between 0 and 100.

90 Tranche Indication whether a derivative contract is tranched.

91 Attachment point The point at which losses in the pool will attach to a particular tranche.

92 Detachement point The point beyond which losses do not affect the particular tranche.

Section 2k — Modifications to the contract

93 Action type Whether the report contains: — a derivative contract for the first time, in which case it will be identified as “new”, — a modification to the terms or details of a previously reported derivative contract, but not a correction of a report, in which case it will be identified as “modify”. This includes an update to a previous report that is showing a position in order to reflect new trades included in that position, — a cancellation of a wrongly submitted entire report in case the contract never came into existence or was not subject to Regulation (EU) No 648/2012 reporting requirements but was reported to a trade repository by mistake, in which case, it will be identified as “error”, — an early termination of an existing contract, in which case it will be identified as “early termination”, — a previously submitted report contains erroneous data fields, in which case the report correcting the erroneous data fields of the previous report shall be identified as “correction”, — a compression of the reported contract, in which case it will be identified as “compression”, — an update of a contract valuation or collateral, in which case it will be identified as “valuation update”; — a derivative contract that is to be reported as a new trade and also included in a separate position report on the same day, in which case it will be identified as a “position component”. This value will be equivalent to reporting a new trade followed by an update to that report showing it as compressed.