Section Field Details to be reported

1 Section 2a - Identifiers and links UTI Unique Trade Identifier as referred to in Article 7 of Implementing Regulation (EU) 2022/1860.

2 Section 2a - Identifiers and links Report tracking number Where a derivative was executed on a trading venue, a number generated by the trading venue and unique to that execution.

3 Section 2a - Identifiers and links Prior UTI (for one-to-one and one-to-many relations between transactions) UTI assigned to the predecessor transaction that has given rise to the reported transaction due to a lifecycle event, in a one-to-one relation between transactions (e.g. in the case of a novation, when a transaction is terminated, and a new transaction is generated) or in a one-to-many relation between transactions (e.g. in clearing or if a transaction is split into several different transactions). This data element is not applicable when reporting many-to-one and many-to-many relations between transactions (e.g. in the case of a compression).

4 Section 2a - Identifiers and links Subsequent position UTI The UTI of the position in which a derivative is included. This field is applicable only for the reports related to the termination of a derivative due to its inclusion in a position.

5 Section 2a - Identifiers and links Post Trade Risk Reduction (PTRR) ID Identifier generated by the PTRR service provider or CCP providing the PTRR service in order to connect all derivatives entering into a given PTRR event and resulting from that PTRR event.

6 Section 2a - Identifiers and links Package identifier Identifier (determined by counterparty 1) in order to connect derivatives in the same package in accordance with Article 1(3), third subparagraph, of this Regulation. A package may include reportable and non-reportable transactions.

7 Section 2b – Contract information International Securities Identification Number (ISIN) ISIN identifying the product if that product is admitted to trading or traded on a regulated market, MTF, OTF or systematic internaliser.

8 Section 2b – Contract information Unique product identifier (UPI) UPI identifying the product.

9 Section 2b – Contract information Product classification Classification of Financial Instrument (CFI) code pertaining to the instrument.

10 Section 2b – Contract information Contract type Each reported contract shall be classified according to its type.

11 Section 2b – Contract information Asset class Each reported contract shall be classified according to the asset class it is based on.

12 Section 2b – Contract information Derivative based on crypto-assets Indicator whether the derivative is based on crypto-assets.

13 Section 2b – Contract information Underlying identification type The type of relevant underlying identifier.

14 Section 2b – Contract information Underlying identification The direct underlying shall be identified by using a unique identification for this underlying based on its type. For Credit Default Swaps, the ISIN of the reference obligation should be provided.

15 Section 2b – Contract information Indicator of the underlying index An indication of the underlying index, where available.

16 Section 2b – Contract information Name of the underlying index The full name of the underlying index as assigned by the index provider.

17 Section 2b – Contract information Custom basket code If the derivative transaction is based on a custom basket, unique code assigned by the structurer of the custom basket to link its constituents.

18 Section 2b – Contract information Identifier of the basket’s constituents In case of custom baskets composed, among others, of financial instruments traded in a trading venue, only financial instruments traded in a trading venue shall be specified.

19 Section 2b – Contract information Settlement currency 1 Currency for the cash settlement of the transaction when applicable. For multicurrency products that do not net, the settlement currency of the leg 1. This data element is not applicable for physically settled products (e.g. physically settled swaptions).

20 Section 2b – Contract information Settlement currency 2 Currency for the cash settlement of the transaction when applicable. For multicurrency products that do not net, the settlement currency of the leg 2. This data element is not applicable for physically settled products (e.g. physically settled swaptions).

21 Section 2c – Valuation Valuation amount Mark-to-market valuation of the contract, or mark-to-model valuation as referred to in Article 4 of this Regulation. The CCP’s valuation to be used for a cleared trade.

22 Section 2c – Valuation Valuation currency Currency in which the valuation amount is denominated.

23 Section 2c – Valuation Valuation timestamp Date and time of the last valuation marked to market, provided by the CCP or calculated using the current or last available market price of the inputs.

24 Section 2c – Valuation Valuation method Source and method used for the valuation of the transaction by counterparty 1. If at least one valuation input is used that is classified as mark-to-model, then the whole valuation is classified as mark-to-model. If only inputs are used that are classified as mark-to-market, then the whole valuation is classified as mark-to-market.

25 Section 2c – Valuation Delta The ratio of the change in the price of a derivative transaction to the change in the price of the underlying. This field is applicable only to options and swaptions. Updated delta shall be reported on a daily basis by financial counterparties and non-financial counterparties as referred to in Article 10 of Regulation (EU) No 648/2012.

26 Section 2d - Collateral Collateral portfolio indicator Indicator of whether the collateralisation was performed on a portfolio basis. By ‘on a portfolio basis’, it is meant a set of transactions that are margined together (either on a net or a gross basis) contrary to the scenario where the margin is calculated and posted for each individual transaction separately.

27 Section 2d - Collateral Collateral portfolio code If collateral is reported on a portfolio basis, unique code assigned by counterparty 1 to the portfolio. This data element is not applicable if the collateralisation was performed on a transaction level basis, or if there is no collateral agreement or if no collateral is posted or received.

28 Section 2e - Risk mitigation / Reporting Confirmation timestamp Date and time of the confirmation, as set out in Article 12 of Commission Delegated Regulation (EU) No 149/2013 (3). Applicable only to OTC derivative contracts not cleared by a CCP.

29 Section 2e - Risk mitigation / Reporting Confirmed For new reportable transactions, whether the legally binding terms of an OTC derivatives contract were documented and agreed upon (confirmed) or not (unconfirmed). If documented and agreed, whether such confirmation was done: — via a shared confirmation facility or platform, or a private or bilateral electronic system (electronic); — via a human-readable written document, such as fax, paper or manually processed e-mails (non-electronic). Applicable only to OTC derivative contracts not cleared by a CCP.

30 Section 2f - Clearing 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. Applicable only to OTC derivative contracts.

31 Section 2f - Clearing Cleared Indicator of whether the derivative has been cleared by a CCP.

32 Section 2f - Clearing Clearing timestamp Time and date when clearing took place. Applicable only to derivatives cleared by a CCP.

33 Section 2f - Clearing Central counterparty Identifier of the CCP that cleared the transaction. This data element is not applicable if the value of the data element ‘Cleared’ is ‘N’ (‘No, not centrally cleared’).

34 Section 2g - Details on the transaction Master Agreement type Reference to the master agreement type under which the counterparties concluded a derivative.

35 Section 2g - Details on the transaction Other master agreement type Name of the master agreement. This field shall only be completed where ‘OTHR’ is reported in field 34 in this table.

36 Section 2g - Details on the transaction Master Agreement version Reference to the year of the master agreement relevant to the reported trade, if applicable.

37 Section 2g - Details on the transaction Intragroup Indicates whether the contract was entered into as an intragroup transaction, as defined in Article 3 of Regulation (EU) No 648/2012.

38 Section 2g - Details on the transaction PTRR Identify whether the contract results from a PTRR operation.

39 Section 2g - Details on the transaction Type of PTRR technique Indicator of a type of a PTRR operation for the purpose of reporting under Regulation (EU) No 648/2012. Portfolio Compression without a third-party service provider: An arrangement to reduce risk in existing portfolios of trades using non-price forming trades mainly to reduce notional amount outstanding, the number of transactions or otherwise harmonise the terms, by wholly or partially terminating trades and commonly to replacing the terminated derivatives with new replacement trades. Portfolio Compression with a third-party service provider or CCP: A PTRR service provided by a service provider or CCP to reduce risk in existing portfolios of trades using non-price forming trades mainly to reduce notional amount outstanding, the number of transactions or otherwise harmonise the terms, by wholly or partially terminating trades and commonly to replacing the terminated derivatives with new replacement trades. Portfolio Rebalancing/Margin management: A PTRR service provided by a service provider to reduce risk in an existing portfolio of trades by adding new non-price forming trades and where no existing trades in the portfolio are terminated or replaced and the notional is increased rather than decreased. Other Portfolio PTRR services: A PTRR service provided by a service provider to reduce risk in existing portfolios of trades using non-price forming trades and where such service does not qualify as Portfolio Compression or Portfolio Rebalancing.

40 Section 2g - Details on the transaction PTRR service provider LEI identifying the PTRR service provider.

41 Section 2g - Details on the transaction Venue of execution Identification of the venue where the transaction was executed. Use the ISO 10383 segment MIC for transactions executed on a trading venue, Systematic Internaliser (‘SI’) or organised trading platform outside the Union. Where the segment MIC does not exist, use the operating MIC. Use MIC code ‘XOFF’ for financial instruments admitted to trading, or traded on a trading venue or for which a request for admission was made, where the transaction on that financial instrument is not executed on a trading venue, SI or organised trading platform outside the Union, or where a counterparty does not know it is trading with a counterparty 2 acting as an SI. Use MIC code ‘XXXX’ for financial instruments that are not admitted to trading or traded on a trading venue or for which no request for admission has been made and that are not traded on an organised trading platform outside the Union.

42 Section 2c - Details on the transaction Execution timestamp Date and time a transaction was originally executed, resulting in the generation of a new UTI. This data element remains unchanged throughout the life of the UTI. For position level reporting it should refer to the time when position was opened for the first time.

43 Section 2c - Details on the transaction Effective date Unadjusted date at which obligations under the OTC derivative transaction come into effect, as included in the confirmation. If the effective date is not specified as part of the terms of the contract, the counterparties shall report in this field the date of execution of the derivative.

44 Section 2c - Details on the transaction Expiration date Unadjusted date at which obligations under the derivative transaction stop being effective, as included in the confirmation. Early termination does not affect this data element.

45 Section 2c - Details on the transaction Early termination date Effective date of the early termination (expiry) of the reported transaction. This data element is applicable if the termination of the transaction occurs prior to its maturity due to an ex-interim decision of a counterparty (or counterparties).

46 Section 2c - Details on the transaction Final contractual settlement date Unadjusted date as per the contract, by which all transfer of cash or assets should take place and the counterparties should no longer have any outstanding obligations to each other under that contract. For products that may not have a final contractual settlement date (e.g. American options), this data element reflects the date by which the transfer of cash or asset would take place if termination were to occur on the expiration date.

47 Section 2c - Details on the transaction Delivery type Indicates whether the contract is settled physically or in cash.

48 Section 2g - Details on the transaction Price Price specified in the derivative transaction. It does not include fees, taxes or commissions. Where the price is not known when a new transaction is reported, the price is updated as it becomes available. For transactions that are part of a package, this data element contains the price of the component transaction where applicable.

49 Section 2g - Details on the transaction Price currency Currency in which the price is denominated. Price currency is only applicable if price is expressed as monetary value.

Fields 50 to 52 are repeatable and shall be populated in the case of derivatives involving price schedules.

50 Section 2g - Details on the transaction Unadjusted effective date of the price Unadjusted effective date of the price.

51 Section 2g - Details on the transaction Unadjusted end date of the price Unadjusted end date of the price (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

52 Section 2g - Details on the transaction Price in effect between the unadjusted effective date and the end date Price in effect between the unadjusted effective date and inclusive of the unadjusted end date.

53 Section 2g - Details on the transaction Package transaction price Traded price of the entire package in which the reported derivative transaction is a component. This data element is not applicable if — no package is involved, or — package transaction spread is used. Prices and related data elements of the transactions (Price currency) that represent individual components of the package are reported when available. The package transaction price may not be known when a new transaction is reported but may be updated later.

54 Section 2g - Details on the transaction Package transaction price currency Currency in which the package transaction price is denominated. This data element is not applicable if — no package is involved, or — package transaction spread is used, or — package transaction price is expressed as percentage.

55 Section 2g - Details on the transaction Notional amount of leg 1 Notional amount of leg 1 as referred to in Article 5 of this Regulation.

56 Section 2g - Details on the transaction Notional currency 1 Where applicable: the currency in which the notional amount of leg 1 is denominated.

Fields 57 to 59 are repeatable and shall be populated in the case of derivatives involving notional amount schedules

57 Section 2g - Details on the transaction Effective date of the notional amount of leg 1 Unadjusted date on which the associated notional amount of leg 1 becomes effective.

58 Section 2g - Details on the transaction End date of the notional amount of leg 1 Unadjusted end date of the notional amount of leg 1 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

59 Section 2g - Details on the transaction Notional amount in effect on associated effective date of leg 1 Notional amount of leg 1 which becomes effective on the associated unadjusted effective date.

60 Section 2g - Details on the transaction Total notional quantity of leg 1 Aggregate Notional quantity of the underlying asset of leg 1 for the term of the transaction. Where the total notional quantity is not known when a new transaction is reported, the total notional quantity is updated as it becomes available.

Fields 61 to 63 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules

61 Section 2g - Details on the transaction Effective date of the notional quantity of leg 1 Unadjusted date on which the associated notional quantity of leg 1 becomes effective

62 Section 2g - Details on the transaction End date of the notional quantity of leg 1 Unadjusted end date of the notional quantity of leg 1 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

63 Section 2g - Details on the transaction Notional quantity in effect on associated effective date of leg 1 Notional quantity of leg 1 which becomes effective on the associated unadjusted effective date.

64 Section 2g - Details on the transaction Notional amount of leg 2 Where applicable, notional amount of leg 2 as referred to in Article 5 of this Regulation.

65 Section 2g - Details on the transaction Notional currency 2 Where applicable: the currency in which the notional amount of leg 2 is denominated.

Fields 66 to 68 are repeatable and shall be populated in the case of derivatives involving notional amount schedules

66 Section 2g - Details on the transaction Effective date of the notional amount of leg 2 Unadjusted date on which the associated notional amount of leg 2 becomes effective.

67 Section 2g - Details on the transaction End date of the notional amount of leg 2 Unadjusted end date of the notional amount of leg 2 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

68 Section 2g - Details on the transaction Notional amount in effect on associated effective date of leg 2 Notional amount of leg 2 which becomes effective on the associated unadjusted effective date.

69 Section 2g - Details on the transaction Total notional quantity of leg 2 Aggregate Notional quantity of the underlying asset of leg 2 for the term of the transaction. Where the total notional quantity is not known when a new transaction is reported, the total notional quantity is updated as it becomes available.

Fields 70 to 72 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules

70 Section 2g - Details on the transaction Effective date of the notional quantity of leg 2 Unadjusted date on which the associated notional quantity of leg 2 becomes effective.

71 Section 2g - Details on the transaction End date of the notional quantity of leg 2 Unadjusted end date of the notional quantity of leg 2 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

72 Section 2g - Details on the transaction Notional quantity in effect on associated effective date of leg 2 Notional quantity of leg 2 which becomes effective on the associated unadjusted effective date.

Section of fields 73 to 78 is repeatable

73 Section 2g - Details on the transaction Other payment type Type of Other payment amount. Option premium payment is not included as a payment type as premiums for option are reported using the option premium dedicated data element.

74 Section 2g - Details on the transaction Other payment amount Payment amounts with corresponding payment types to accommodate requirements of transaction descriptions from different asset classes.

75 Section 2g - Details on the transaction Other payment currency Currency in which Other payment amount is denominated.

76 Section 2g - Details on the transaction Other payment date Unadjusted date on which the other payment amount is paid.

77 Section 2g - Details on the transaction Other payment payer Identifier of the payer of Other payment amount.

78 Section 2g - Details on the transaction Other payment receiver Identifier of the receiver of Other payment amount.

79 Section 2h - Interest Rates Fixed rate of leg 1 or coupon An indication of the fixed rate leg 1 or coupon used, where applicable.

80 Section 2h - Interest Rates Fixed rate or coupon day count convention leg 1 Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.

81 Section 2h - Interest Rates Fixed rate or coupon payment frequency period leg 1 Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the fixed rate of leg 1 or coupon.

82 Section 2h - Interest Rates Fixed rate or coupon payment frequency period multiplier leg 1 Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the fixed rate of leg 1 or coupon. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2. This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.

83 Section 2h - Interest Rates Identifier of the floating rate of leg 1 Where applicable: an identifier of the interest rates used which are reset at predetermined intervals by reference to a market reference rate.

84 Section 2h - Interest Rates Indicator of the floating rate of leg 1 An indication of the interest rate, where available.

85 Section 2h - Interest Rates Name of the floating rate of leg 1 The full name of the interest rate as assigned by the index provider.

86 Section 2h - Interest Rates Floating rate day count convention of leg 1 Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments for the floating rate of leg 1 are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.

87 Section 2h - Interest Rates Floating rate payment frequency period of leg 1 Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the floating rate of leg 1.

88 Section 2h - Interest Rates Floating rate payment frequency period multiplier of leg 1 Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the floating rate of leg 1. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2. This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.

89 Section 2h - Interest Rates Floating rate reference period of leg 1 – time period Time period describing the reference period for the floating rate of leg 1.

90 Section 2h - Interest Rates Floating rate reference period of leg 1 – multiplier Multiplier of the time period describing the reference period for the floating rate of leg 1.

91 Section 2h - Interest Rates Floating rate reset frequency period of leg 1 Where applicable: time unit associated with the frequency of payments resets, e.g. day, week, month, year or term of the stream for the floating rate of leg 1.

92 Section 2h - Interest Rates Floating rate reset frequency multiplier of leg 1 Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment resets dates occur for the floating rate of leg 1. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2. This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.

93 Section 2h - Interest Rates Spread of leg 1 An indication of the spread of leg 1, where applicable: for OTC derivative transactions with periodic payments (e.g. interest rate fixed/float swaps, interest rate basis swaps, commodity swaps), — spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s). — difference between the reference prices of the two floating leg indexes.

94 Section 2h - Interest Rates Spread currency of leg 1 Where applicable: currency in which the spread of leg 1 is denominated. This data element is only applicable if spread is expressed as monetary amount.

95 Section 2h - Interest Rates Fixed rate of leg 2 An indication of the fixed rate leg 2 used, where applicable.

96 Section 2h - Interest Rates Fixed rate day count convention leg 2 Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.

97 Section 2h - Interest Rates Fixed rate payment frequency period leg 2 Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the fixed rate of leg 2.

98 Section 2h - Interest Rates Fixed rate payment frequency period multiplier leg 2 Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the fixed rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2. This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.

99 Section 2h - Interest Rates Identifier of the floating rate of leg 2 Where applicable: an identifier of the interest rates used which are reset at predetermined intervals by reference to a market reference rate

100 Section 2h - Interest Rates Indicator of the floating rate of leg 2 An indication of the interest rate, where available.

101 Section 2h - Interest Rates Name of the floating rate of leg 2 The full name of the interest rate as assigned by the index provider.

102 Section 2h - Interest Rates Floating rate day count convention of leg 2 Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments for the floating rate of leg 2 are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.

103 Section 2h - Interest Rates Floating rate payment frequency period of leg 2 Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the floating rate of leg 2.

104 Section 2h - Interest Rates Floating rate payment frequency period multiplier of leg 2 Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the floating rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2. This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.

105 Section 2h - Interest Rates Floating rate reference period of leg 2 – time period Time period describing the reference period for the floating rate of leg 2.

106 Section 2h - Interest Rates Floating rate reference period of leg 2 – multiplier Multiplier of the time period describing the reference period for the floating rate of leg 2.

107 Section 2h - Interest Rates Floating rate reset frequency period of leg 2 Where applicable: time unit associated with the frequency of payments resets, e.g. day, week, month, year or term of the stream for the floating rate of leg 2.

108 Section 2h - Interest Rates Floating rate reset frequency multiplier of leg 2 Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment resets dates occur for the floating rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2. This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.

109 Section 2h - Interest Rates Spread of leg 2 An indication of the spread of leg 2, where applicable: for OTC derivative transactions with periodic payments (e.g. interest rate fixed or float swaps, interest rate basis swaps, commodity swaps), — spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s). — difference between the reference prices of the two floating leg indexes.

110 Section 2h - Interest Rates Spread currency of leg 2 Where applicable: currency in which the spread of leg 2 is denominated. This data element is only applicable if the spread is expressed as monetary amount.

111 Section 2h - Interest Rates Package transaction spread Traded price of the entire package in which the reported derivative transaction is a component of a package transaction. Package transaction price when the price of the package is expressed as a spread, difference between two reference prices. This data element is not applicable if — no package is involved, or — package transaction price is used. Spread and related data elements of the transactions (spread currency) that represent individual components of the package are reported when available. Package transaction spread may not be known when a new transaction is reported but may be updated later.

112 Section 2h - Interest Rates Package transaction spread currency Currency in which the package transaction spread is denominated. This data element is not applicable if — no package is involved, or — package transaction price is used, or — package transaction spread is expressed as percentage or basis points.

113 Section 2i – Foreign Exchange Exchange rate 1 Exchange rate between the two different currencies specified in the derivative transaction agreed by the counterparties at the inception of the transaction, expressed as the rate of exchange from converting the unit currency into the quoted currency.

114 Section 2i – Foreign Exchange 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.

115 Section 2i – Foreign Exchange Exchange rate basis Currency pair and order in which the exchange rate is denominated, expressed as unit currency or quoted currency.

116 Section 2j - Commodities and emission allowances (General) Base product Base product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860.

117 Section 2j - Commodities and emission allowances (General) Sub-product Sub-product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860. This field requires a specific base product in field.

118 Section 2j - Commodities and emission allowances (General) Further sub-product Further sub product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860. This field requires a specific sub product in field.

119 Section 2k - Commodities and emission allowances (Energy) Delivery point or zone Delivery point(s) or market area(s).

120 Section 2k - Commodities and emission allowances (Energy) Interconnection Point Identification of the border(s) or border point(s) of a transportation contract.

121 Section 2k - Commodities and emission allowances (Energy) Load type Identification of the delivery profile.

Section of fields 122 to 131 is repeatable

122 Section 2k - Commodities and emission allowances (Energy) Delivery interval start time The start time of the delivery interval for each block or shape.

123 Section 2k - Commodities and emission allowances (Energy) Delivery interval end time The end time of the delivery interval for each block or shape.

124 Section 2k - Commodities and emission allowances (Energy) Delivery start date Start date of delivery.

125 Section 2k - Commodities and emission allowances (Energy) Delivery end date End date of delivery.

126 Section 2k - Commodities and emission allowances (Energy) Duration The duration of the delivery period.

127 Section 2k - Commodities and emission allowances (Energy) Days of the week The days of the week of the delivery.

128 Section 2k - Commodities and emission allowances (Energy) Delivery capacity The number of units included in the transaction for each delivery interval specified in fields 122 and 123.

129 Section 2k - Commodities and emission allowances (Energy) Quantity Unit The unit of measurement used.

130 Section 2k - Commodities and emission allowances (Energy) Price/time interval quantity If applicable, price per quantity per delivery time interval.

131 Section 2k - Commodities and emission allowances (Energy) Currency of the price/time interval quantity The currency in which the price per time interval quantity is expressed.

132 Section 2l - Options 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.

133 Section 2l - Options Option style Indicates whether the option may be exercised only at a fixed date (European), a series of pre-specified dates (Bermudan) or at any time during the life of the contract (American).

134 Section 2l - Options Strike price — For options other than FX options, swaptions and similar products, price at which the owner of an option can buy or sell the underlying asset of the option. — For foreign exchange options, exchange rate at which the option can be exercised, expressed as the rate of exchange from converting the unit currency into the quoted currency. In the example 0,9426 USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 = EUR 0,9426.Where the strike price is not known when a new transaction is reported, the strike price is updated as it becomes available. — For volatility and variance swaps and similar products the volatility strike price is reported in this data element.

Fields 135 to 137 are repeatable and shall be populated in the case of derivatives involving strike price schedules

135 Section 2l - Options Effective date of the strike price Unadjusted effective date of the strike price.

136 Section 2l - Options End date of the strike price Unadjusted end date of the strike price (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).

137 Section 2l - Options Strike price in effect on associated effective date Strike price in effect between the unadjusted effective date and unadjusted end date inclusive.

138 Section 2l - Options Strike price currency/currency pair For equity options, commodity options, and similar products, currency in which the strike price is denominated. For foreign exchange options: Currency pair and order in which the strike price is expressed. It is expressed as unit currency per quoted currency.

139 Section 2l - Options Option premium amount For options and swaptions of all asset classes, monetary amount paid by the option buyer. This data element is not applicable if the instrument is not an option or does not embed any optionality.

140 Section 2l - Options Option premium currency For options and swaptions of all asset classes, currency in which the option premium amount is denominated. This data element is not applicable if the instrument is not an option or does not embed any optionality.

141 Section 2l - Options Option premium payment date Unadjusted date on which the option premium is paid.

142 Section 2i - Options Maturity date of the underlying In case of swaptions, maturity date of the underlying swap.

143 Section 2m – Credit derivatives Seniority Indicates the seniority of the debt security, or debt basket or index underlying a derivative.

144 Section 2m – Credit derivatives Reference entity Identification of the underlying reference entity.

145 Section 2m – Credit derivatives Series The series number of the composition of the index if applicable.

146 Section 2m – Credit derivatives 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.

147 Section 2m – Credit derivatives Index factor The factor to apply to the Notional (field 55 in this Table) to adjust it to all the previous credit events in that Index series.

148 Section 2m – Credit derivatives Tranche Indication whether a derivative contract is tranched.

149 Section 2m – Credit derivatives Credit Default Swap (CDS) index attachment point Defined lower point at which the level of losses in the underlying portfolio reduces the notional of a tranche. For example, the notional in a tranche with an attachment point of 3 % will be reduced after 3 % of losses in the portfolio have occurred. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket).

150 Section 2m – Credit derivatives CDS index detachment point Defined point beyond which losses in the underlying portfolio no longer reduce the notional of a tranche. For example, the notional in a tranche with an attachment point of 3 % and a detachment point of 6 % will be reduced after there have been 3 % of losses in the portfolio. 6 % losses in the portfolio deplete the notional of the tranche. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket).

151 Section 2n - Modifications to the derivative Action type — New: A report of a derivative, at a trade or position level, for the first time. — Modify: A modification to the terms or details of a previously reported derivative, at a trade or position level, but not a correction of a report. — Correct: A report correcting the erroneous data fields of a previously submitted report. — Terminate: A termination of an existing derivative, at a trade or position level. — Error: A cancellation of a wrongly submitted entire report in case the derivative, at a trade or position level, 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 or a cancellation of a duplicate report. — Revive: Re-opening of a derivative, at a trade or position level, that was cancelled with action type ‘Error’ or terminated by mistake. — Valuation: An update of a valuation of a derivative, at a trade or position level — Position component: A report of a new derivative that is included in a separate position report on the same day.

152 Section 2n - Modifications to the derivative Event type — Trade: Conclusion of a derivative or renegotiation of its terms that does not result in change of a counterparty — Step-in: An event, where part or entirety of the derivative is transferred to a counterparty 2 (and reported as a new derivative) and the existing derivative is either terminated or its notional is modified. — PTRR: Post-trade risk reduction exercise — Early termination: Termination of a derivative, at a trade or position level — Clearing: Clearing as defined in Article 2 point (3) of Regulation (EU) No 648/2012 — Exercise: The exercise of an option or a swaption by one counterparty of the transaction, fully or partially. — Allocation: Allocation event, where an existing derivative is allocated to different counterparties and reported as new derivatives with reduced notional amounts. — Credit event: Applies only to credit derivatives. A credit event that results in a modification of a derivative, at a trade or position level Corporate event: A corporate action on equity underlying that impacts the derivatives on that equity — Inclusion in position: Inclusion of CCP-cleared derivative or CFD into a position, where an existing derivative is terminated and either a new position is created or the notional of an existing position is modified. Update - Update of an outstanding derivative performed during the transition period in order to ensure its conformity with the amended reporting requirements

153 Section 2n - Modifications to the derivative Event date Date on which the reportable event relating to the derivative contract and captured by the report took place or, in case of a modification when the modification become effective.