Commission Implementing Regulation (EU) 2019/363 of 13 December 2018 laying down implementing technical standards with regard to the format and frequency of reports on the details of securities financing transactions (SFTs) to trade repositories in accordance with Regulation (EU) 2015/2365 of the European Parliament and of the Council and amending Commission Implementing Regulation (EU) No 1247/2012 with regard to the use of reporting codes in the reporting of derivative contracts (Text with EEA relevance.)
Date: 2018-12-13
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: archives, coding, exchange of information, financial derivative, financial legislation, financial transaction, information storage, securities, technical standard, trade information




L_2019081EN.01008501.xml










22.3.2019   


EN


Official Journal of the European Union


L 81/85








            COMMISSION IMPLEMENTING REGULATION (EU) 2019/363
of 13 December 2018
         
laying down implementing technical standards with regard to the format and frequency of reports on the details of securities financing transactions (SFTs) to trade repositories in accordance with Regulation (EU) 2015/2365 of the European Parliament and of the Council and amending Commission Implementing Regulation (EU) No 1247/2012 with regard to the use of reporting codes in the reporting of derivative contracts
(Text with EEA relevance)


THE EUROPEAN COMMISSION,

Having regard to Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (1), and in particular Article 4(10) thereof,


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 (2) and in particular Article 9(6) thereof,

Whereas:







(1)


The details reported by securities financing transaction (‘SFT’) counterparties to trade repositories or the European Securities and Markets Authority (‘ESMA’) should be submitted in a harmonised format in order to facilitate data collection, aggregation and comparison across trade repositories. To minimise costs for the reporting counterparties, the reporting format for SFTs should be consistent, to the extent feasible, with that prescribed for the reporting of derivatives contracts under Article 9 of Regulation (EU) No 648/2012 of the European Parliament and of the Council. This Regulation therefore prescribes the format for each of the fields to be reported and standardises a report by reference to an ISO standard that is widely used in the financial industry.












(2)


The global legal entity identifier (‘LEI’) system has now been fully implemented and each counterparty to an SFT should therefore only use that system to identify a legal entity in a report. For the counterparty's use of the LEI system to be effective, that counterparty should ensure that the reference data related to its LEI are renewed in accordance with the terms of an accredited LEI issuer (Local Operating Unit). An extension of the global LEI system to identify branches of legal entities is currently being developed. Until such time as that extension is finalised and considered suitable for the purposes of reporting SFTs, and this Regulation is amended accordingly, the ISO code of the country where the branch is located should be used to identify that branch where an SFT is concluded through a branch office of a counterparty.












(3)


A global unique trader identifier (‘UTI’) system for identifying SFTs is also being developed. Until such time as that global UTI system is finalised and considered suitable for the purposes of reporting SFTs, and this Regulation is amended accordingly, a UTI agreed by the counterparties should be used to identify a SFT.












(4)


Article 4a of Commission Implementing Regulation (EU) No 1247/2012 (3) contains a procedure to determine the entity responsible for generating a UTI in respect of the reporting of derivatives contracts for those situations where counterparties fail to agree on the entity responsible for generating the UTI. To ensure consistency between the reporting of derivatives contracts and of SFTs, a similar procedure should be set up for counterparties reporting SFTs.












(5)


Currently, there is no common market practice for determining the counterparty side in an SFT. Therefore, specific rules should be established to ensure the accurate and consistent identification of the collateral provider and of the collateral taker in an SFT.












(6)


A number of reports may be submitted for a single SFT, for example if successive modifications are made to that SFT. In order to ensure that each report relating to an SFT, and each SFT as a whole, is properly understood, reports should be submitted in the chronological sequence in which the reported events occurred.












(7)


To lessen the burden of reporting the modification of certain values, and in particular the details of collateral value, of margin posted or received and of collateral reuse, those details should be reported as they stand at the end of each day only if they vary from previously reported details.












(8)


The details of an outstanding margin loan should be reported as they stand at the end of each day, where there is a net cash debit in base currency or where a counterparty's short market value is positive.












(9)


The market value of securities lent or borrowed should be reported as it stands at the end of each day. Similarly, when the counterparties report the market value of collateral, they should do so as it stands at the end of each day.












(10)


This Regulation is based on the draft implementing technical standards submitted by ESMA to the Commission, pursuant to the procedure in Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority) (4).












(11)


ESMA has conducted open public consultations on these draft implementing technical standards, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010,












(12)


As it is the case for the reporting of SFTs, certain identifiers and codes to be used for the reporting of derivative contracts are still being developed. Until such time as those identifiers and codes are available, considered suitable for the purposes of reporting and Implementing Regulation (EU) No 1247/2012 has been amended accordingly, that Regulation provides for the use of an ISO 10692 CFI code to classify derivatives for which an ISO 6166 ISIN code or an AII code are not available, and for the use of a unique trade identifier agreed by the counterparties to identify a derivative report. To ensure legal certainty as regards the appropriate procedure to amend the requirements applicable to the reporting of derivatives contracts, and the required degree of consistency between the reporting of derivatives and of SFTs, Implementing Regulation (EU) No 1247/2012 should only refer to the requirements currently applicable to that reporting.












(13)


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





HAS ADOPTED THIS REGULATION:



Article 1

Data standards and formats for SFT reports

The details of an SFT in a report to be submitted pursuant to Article 4(1) of Regulation (EU) 2015/2365 shall be provided in accordance with the standards and formats specified in Tables 1 to 5 of Annex I. That report shall be provided in a common electronic and machine-readable form and in a common XML template in accordance with the ISO 20022 methodology.


Article 2

Identification of counterparties and other entities


1.   The report referred to in Article 1 shall use an ISO 17442 legal entity identifier (‘LEI’) code to identify the following:






(a)


a beneficiary which is a legal entity;










(b)


a broking entity;










(c)


a central counterparty (‘CCP’) authorised in accordance with Regulation (EU) No 648/2012;










(d)


a clearing member;










(e)


an agent lender;










(f)


a central securities depository (‘CSD’) participant;










(g)


a counterparty which is a legal entity;










(h)


a tri-party agent;










(i)


a report submitting entity;










(j)


an issuer of a security which was lent, borrowed or provided as collateral in a SFT.






2.   A counterparty to an SFT shall ensure that the reference data related to its ISO 17442 LEI code is renewed in accordance with the terms of any of the accredited Local Operating Units of the Global LEI System.


3.   Where an SFT is concluded through a branch of a counterparty, the report referred to in Article 1 shall use the code specified in Field 7 and in Field 8 of Table 1 of Annex I to identify that branch of a counterparty.



Article 3

Unique Trade Identifier


1.   A report shall be identified through a unique trade identifier (‘UTI’) agreed by the counterparties in accordance with the format specified in Field 1 of Table 2 of Annex I.


2.   Where counterparties fail to agree on the entity responsible for generating UTI to be assigned to the report, the counterparties shall determine the entity responsible for generating a UTI in accordance with the following:






(a)


for centrally-executed and cleared SFTs, the UTI shall be generated at the point of clearing by the CCP for the clearing member. Another UTI shall be generated by the clearing member for its counterparty;










(b)


for centrally-executed but not centrally-cleared SFTs, the UTI shall be generated by the trading venue of execution for its member;










(c)


for centrally-confirmed and cleared SFTs, the UTI shall be generated by the CCP for the clearing member at the point of clearing. Another UTI shall be generated by the clearing member for its counterparty;










(d)


for SFTs that were centrally-confirmed by electronic means but were not centrally-cleared, the UTI shall be generated by the trade confirmation platform at the point of confirmation;










(e)


for all SFTs other than those referred to in points (a) to (d), the following shall apply:






(i)


where financial counterparties conclude an SFT with non-financial counterparties, the financial counterparties shall generate the UTI;










(ii)


for all securities lending or borrowing transactions other than those referred to in point (i), the collateral provider as referred to in Article 4 shall generate the UTI;










(iii)


for all SFTs other than those referred to in points (i) and (ii), the collateral taker as referred to in Article 4 shall generate the UTI.










3.   The counterparty generating the UTI shall communicate that UTI to the other counterparty in a timely manner so that the latter is able to meet its reporting obligation.



Article 4

Counterparty side


1.   The counterparty side to the SFT referred to in Field 9 of Table 1 of Annex I shall be identified in accordance with paragraphs 2 to 4.


2.   In the case of repurchase transactions, buy-sell back transactions and sell-buy back transactions, the counterparty that buys securities, commodities, or guaranteed rights relating to title to securities or commodities in the opening or spot leg of the trade and agrees to sell them at a specified price on a future date in the closing or forward leg of the trade, shall be identified as the collateral taker in Field 9 of Table 1 of Annex I. The counterparty that sells those securities, commodities, or guaranteed rights shall be identified as the collateral provider in Field 9 of Table 1 of Annex I.


3.   In the case of securities or commodities borrowing transactions and securities or commodities lending transactions, the counterparty that lends the securities or commodities on condition that the borrower will return equivalent securities or commodities on a future date or at the request of the transferor, shall be identified as the collateral taker in Field 9 of Table 1 of Annex I. The counterparty that borrows those securities or commodities shall be identified as the collateral provider in Field 9 of Table 1 of Annex I.


4.   In the case of margin lending transactions, the borrower, that is the counterparty to which credit is extended in exchange for collateral, shall be identified as the collateral provider in Field 9 of Table 1 of Annex I. The lender, that is the counterparty that provides the credit in exchange for collateral, shall be identified as the collateral taker in Field 9 of Table 1 of Annex I.



Article 5

Frequency of SFT reports


1.   All reports of the details of an SFT specified under Article 1(2) of Commission Delegated Regulation (EU) 2019/356 (5) be provided in the chronological order in which the reported events occurred.


2.   A counterparty to a margin lending transaction shall report the details of the outstanding margin loan as they stand at the end of each day, where there is a net cash debit in base currency or where a counterparty's short market value is positive.


3.   A counterparty to an outstanding SFT shall report any modification of the details relating to the collateral data in Fields 75 to 94 of Table 2 of Annex I with action type ‘Collateral update’. The counterparty shall report those modified details as they stand at the end of each day until it reports the termination of the SFT, or it reports the SFT with action type ‘Error’, or until the SFT reaches its maturity date, whichever is the earlier.


4.   A counterparty to an outstanding SFT shall report any modification of the end-of-day market value of the securities lent or borrowed in Field 57 of Table 2 of Annex I with action type ‘Valuation update’. The counterparty shall report that modified market value as it stands at the end of each day until it reports the termination of the SFT, or it reports the SFT with action type ‘Error’, or until the SFT reaches its maturity date.


5.   A counterparty shall report any modification of the total amount of margin posted or received for all cleared SFTs as it stands at the end of the day in Fields 8 to 19 of Table 3 of Annex I with action type ‘Margin update’ after it has first reported the total amount of margin posted or received with action type ‘New’.


6.   A counterparty shall report any modification of the value of reused collateral, reinvested cash and the funding sources with action type ‘Reuse update’ as it stands at the end of the day in Fields 8 to 14 of Table 4 of Annex I after it has reported the relevant values with action type ‘New’.



Article 6

Amendments to Implementing Regulation (EU) No 1247/2012

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






(1)


Article 4 is amended as follows:






(a)


paragraph 7 is replaced by the following:
‘The derivative shall be classified in Field 4 of Table 2 of the Annex using an ISO 10692 Classification of Financial Instrument (CFI) code.’;










(b)


paragraphs 8 and 9 are deleted.














(2)


In Article 4a, paragraph 1 is replaced by the following:

‘1.   A report shall be identified through a unique trade identifier agreed by the counterparties.’;











(3)


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






Article 7

Entry into force

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




This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 13 December 2018.


For the Commission


The President

Jean-Claude JUNCKER
            





(1)  
            OJ L 337, 23.12.2015, p. 1.

(2)  
            OJ L 201, 27.7.2012, p. 1.

(3)  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).

(4)  
            OJ L 331, 15.12.2010, p. 84.

(5)  Commission Delegated Regulation (EU) 2019/356 of 13 December 2018 supplementing Regulation (EU) 2015/2365 of the European Parliament and of the Council with regard to regulatory technical standards specifying the details of securities financing transactions (SFTs) to be reported to trade repositories (See page 1 of this Official Journal).




ANNEX I

Formats to be used for reports on the details of securities financing transactions, as referred to in Article 4(1) and (5) of Regulation (EU) 2015/2365


Table 1


Counterparty Data








No


Field


Format




1


Reporting timestamp


ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ




2


Report submitting entity


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




3


Reporting counterparty


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




4


Nature of the reporting counterparty


‘F’ - Financial counterparty
‘N’ - Non-financial counterparty




5


Sector of the reporting counterparty


Taxonomy for Financial Counterparties:
‘CDTI’ - Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council (1) or Council Regulation (EU) No 1024/2013 (2) or a third-country entity which would require authorisation or registration in accordance with that legislative act
‘INVF’ - Investment firm authorized in accordance with Directive 2014/65/EU of the European Parliament and of the Council (3) or a third-country entity which would require authorisation or registration in accordance with that legislative act
‘INUN’ - Insurance undertaking authorized in accordance with Directive 2009/138/EC of the European Parliament and of the Council (4) (Solvency II) or a third-country entity which would require authorisation or registration in accordance with that legislative act
‘AIFD’ - AIF managed by AIFMs authorized or registered in accordance with Directive 2011/61/EU of the European Parliament and of the Council (5) or a third-country entity which would require authorisation or registration in accordance with that legislative act
‘ORPI’ - Institution for occupational retirement provision authorized or registered in accordance with Directive 2003/41/EC of the European Parliament and of the Council (6) or a third-country entity which would require authorisation or registration in accordance with that legislative act
‘CCPS’ - Central counterparty authorized in accordance with Regulation (EU) No 648/2012 of the European Parliament and of the Council (7) or a third-country entity which would require authorisation or registration in accordance with that legislative act
‘REIN’ - Reinsurance undertaking authorized in accordance with Solvency II or a third-country entity which would require authorisation or registration in accordance with that legislative act
‘CSDS’ - Central securities depository authorized in accordance with Regulation (EU) No 909/2014 of the European Parliament and of the Council (8) or a third-country entity which would require authorisation or registration in accordance with that legislative act
‘UCIT’ - UCITS and its management company, authorized in accordance with Directive 2009/65/EC of the European Parliament and of the Council (9) or a third-country entity which would require authorisation or registration in accordance with that legislative act
Taxonomy for Non-Financial Counterparties. The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council (10)

‘A’ - Agriculture, forestry and fishing
‘B’ - Mining and quarrying
‘C’ - Manufacturing
‘D’ - Electricity, gas, steam and air conditioning supply
‘E’ - Water supply, sewerage, waste management and remediation activities
‘F’ - Construction
‘G’ - Wholesale and retail trade, repair of motor vehicles and motorcycles
‘H’ - Transportation and storage
‘I’ - Accommodation and food service activities
‘J’ - Information and communication
‘K’ - Financial and insurance activities
‘L’ - Real estate activities
‘M’ - Professional, scientific and technical activities
‘N’ - Administrative and support service activities
‘O’ - Public administration and defence; compulsory social security
‘P’ - Education
‘Q’ - Human health and social work activities
‘R’ - Arts, entertainment and recreation
‘S’ - Other service activities
‘T’ - Activities of households as employers; undifferentiated goods – and services –producing activities of households for own use
‘U’ - Activities of extraterritorial organizations and bodies




6


Additional sector classification


‘ETFT’ - ETF
‘MMFT’ - MMF
‘REIT’ - REIT
‘OTHR’ – Other




7


Branch of the reporting counterparty


ISO 3166-1 alpha-2 country code 2 alphabetic characters.




8


Branch of the other counterparty


ISO 3166-1 alpha-2 country code 2 alphabetic characters.




9


Counterparty side


‘TAKE’ - Collateral taker
‘GIVE’ - Collateral provider




10


Entity responsible for the report


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




11


Other counterparty


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.
Client code (up to 50 alphanumeric characters).




12


Country of the other Counterparty


ISO 3166-1 alpha-2 country code 2 alphabetic characters.




13


Beneficiary


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.
Client code (up to 50 alphanumeric characters).




14


Tri-party agent


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




15


Broker


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




16


Clearing member


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




17


Central Securities Depository (‘CSD’) participant or indirect participant


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




18


Agent lender


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.








Table 2


Loan and Collateral Data








No


Field


Format




1


Unique Trade Identifier (UTI)


Up to 52 alphanumeric character code including four special characters:
Only upper-case alphabetic characters A–Z and the digits 0–9, inclusive in both cases, are allowed.




2


Report tracking number


Up to 52 alphanumeric character code including four special characters:
Only upper-case alphabetic characters A–Z and the digits 0–9, inclusive in both cases, are allowed.




3


Event date


ISO 8601 date in the format YYYY-MM-DD




4


Type of SFT


‘SLEB’ - securities or commodities lending or securities or commodities borrowing
‘SBSC’ - buy-sell back transaction or sell-buy back transaction
‘REPO’ - repurchase transaction
‘MGLD’ - margin lending transaction




5


Cleared


‘true’
‘false’




6


Clearing timestamp


ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ




7


CCP


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




8


Trading venue


ISO 10383 Market Identifier Code (MIC), 4 alphanumeric characters.
Where segmental MICs exist for a trading venue, the segmental MIC shall be used.




9


Master agreement type


‘MRAA’ - MRA
‘GMRA’ – GMRA
‘MSLA’ - MSLA
‘GMSL’ - GMSLA
‘ISDA’ - ISDA
‘DERP’ - Deutscher Rahmenvertrag für Wertpapierpensionsgeschäfte
‘CNBR’ - China Bond Repurchase Master Agreement,
‘KRRA’ - Korea Financial Investment Association (KOFIA) Standard Repurchase Agreement
‘CARA’ - Investment Industry Regulatory Organization of Canada (IIROC) Repurchase/Reverse Repurchase Transaction Agreement
‘FRFB’ - Convention-Cadre Relative aux Operations de Pensions Livrees,
‘CHRA’ -Swiss Master Repurchase Agreement
‘DEMA’ - German Master Agreement
‘JPBR’ - Japanese Master Agreement on the Transaction with Repurchase Agreement of the Bonds
‘ESRA’ - Contrato Marco de compraventa y Reporto de valores
‘OSLA’ - Overseas Securities Lending Agreement (OSLA)
‘MEFI’ - Master Equity and Fixed Interest Stock Lending Agreement (MEFISLA)
‘GESL’ - Gilt Edged Stock Lending Agreement (GESLA)
‘KRSL’ - Korean Securities Lending Agreement (KOSLA)
‘DERD’ - Deutscher Rahmenvertrag für Wertpapierdarlehen
‘AUSL’ - Australian Masters Securities Lending Agreement (AMSLA)
‘JPBL’ - Japanese Master Agreement on Lending Transaction of Bonds
‘JPSL’ - Japanese Master Agreement on the Borrowing and Lending Transactions of Share Certificates
‘BIAG’ - bilateral agreement
‘CSDA’ - CSD bilateral agreement
Or ‘OTHR’ if the master agreement type is not included in the above list




10


Other master agreement type


Up to 50 alphanumeric characters.




11


Master agreement version


ISO 8601 date in the format YYYY




12


Execution timestamp


ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ




13


Value date (Start date)


ISO 8601 date in the format YYYY-MM-DD




14


Maturity date (End date)


ISO 8601 date in the format YYYY-MM-DD




15


Termination date


ISO 8601 date in the format YYYY-MM-DD




16


Minimum notice period


Integer field up to 3 digits.




17


Earliest call-back date


ISO 8601 date in the format YYYY-MM-DD




18


General collateral Indicator


‘SPEC’ - specific collateral
‘GENE’ - general collateral




19


Delivery By Value (‘DBV’) indicator


‘true’
‘false’




20


Method used to provide collateral


‘TTCA’- title transfer collateral arrangement
‘SICA’- securities financial collateral arrangement
‘SIUR’- securities financial collateral arrangement with the right of use




21


Open term


‘true’
‘false’




22


Termination optionality


‘EGRN’ - evergreen
‘ETSB’ - extendable
‘NOAP’ - non applicable




In the case of margin lending, the attributes listed in fields 23-34 shall be repeated and completed for each currency used in the margin loan.




23


Fixed rate


Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as ‘100’.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




24


Day count convention


The code representing day count convention:
‘A001’ - IC30360ISDAor30360AmericanBasicRule
‘A002’ - IC30365
‘A003’ - IC30Actual
‘A004’ - Actual360
‘A005’ - Actual365Fixed
‘A006’ - ActualActualICMA
‘A007’ - IC30E360orEuroBondBasismodel1
‘A008’ - ActualActualISDA
‘A009’ - Actual365LorActuActubasisRule
‘A010’ - ActualActualAFB
‘A011’ - IC30360ICMAor30360basicrule
‘A012’ - IC30E2360orEurobondbasismodel2
‘A013’ - IC30E3360orEurobondbasismodel3
‘A014’ - Actual365NL
Or up to 35 alphanumeric characters if the day count convention is not included in the above list.




25


Floating rate


The code representing 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 alphanumeric characters if the reference rate is not included in the above list.




26


Floating rate reference period — time period


Time period describing reference period, whereby the following abbreviations apply:
‘YEAR’ - Year
‘MNTH’ - Month
‘WEEK’ - Week
‘DAYS’ - Day




27


Floating rate reference period — multiplier


Integer multiplier of the time period describing reference period of the floating rate.
Up to 3 numeric characters.




28


Floating rate payment frequency — time period


Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
‘YEAR’ - Year
‘MNTH’ - Month
‘WEEK’ - Week
‘DAYS’ - Day




29


Floating rate payment frequency — multiplier


Integer multiplier of the time period describing how often the counterparties exchange payments.
Up to 3 numeric characters.




30


Floating rate reset frequency — time period


Time period describing how often the counterparties reset the floating repo rate, whereby the following abbreviations apply:
‘YEAR’ - Year
‘MNTH’ - Month
‘WEEK’ - Week
‘DAYS’ - Day




31


Floating rate reset frequency — multiplier


Integer multiplier of the time period describing how often the counterparties reset the floating repo rate.
Up to 3 numeric characters.




32


Spread


Up to 5 numeric characters.




33


Margin lending currency amount


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




34


Margin lending currency


ISO 4217 Currency Code, 3 alphabetic characters.




Fields 35-36 shall be repeated and completed for each floating rate adjustment.




35


Adjusted rate


Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as ‘100’.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




36


Rate date


ISO 8601 date in the format YYYY-MM-DD




37


Principal amount on the value date


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




38


Principal amount on the maturity date


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




39


Principal amount currency


ISO 4217 Currency Code, 3 alphabetic characters.




40


Type of asset


‘SECU’ - Securities
‘COMM’ - Commodities




41


Security identifier


ISO 6166 ISIN 12 character alphanumeric code.




42


Classification of a security


ISO 10692 CFI, 6 characters alphabetical code.




Where a commodity was lent or borrowed, the classification of that commodity shall be specified in fields 43, 44 and 45.




43


Base product


Only values in the ‘Base product’ column of the classification of commodities derivatives table are allowed.




44


Sub — product


Only values in the ‘Sub — product’ column of the classification of commodities derivatives table are allowed.




45


Further sub — product


Only values in the ‘Further sub — product’ of the classification of commodities derivatives table are allowed.




46


Quantity or nominal amount


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




47


Unit of measure


‘KILO’ - Kilogram, ‘PIEC’ - Piece, ‘TONS’ - Ton, ‘METR’ - Metre, ‘INCH’ - Inch, ‘YARD’ - Yard, ‘GBGA’ - GBGallon, ‘GRAM’ - Gram, ‘CMET’ - Centimetre, ‘SMET’ - SquareMetre, ‘FOOT’ - Foot, ‘MILE’ - Mile, ‘SQIN’ - SquareInch, ‘SQFO’ - SquareFoot, ‘SQMI’ - SquareMile, ‘GBOU’ - GBOunce, ‘USOU’ - USOunce, ‘GBPI’ - GBPint, ‘USPI’ - USPint, ‘GBQA’ - GBQuart, ‘USQA’ - USQuart, ‘USGA’ - USGallon, ‘MMET’ - Millimetre, ‘KMET’ - Kilometre, ‘SQYA’ - SquareYard, ‘ACRE’ - Acre, ‘ARES’ - Are, ‘SMIL’ - SquareMillimetre, ‘SCMT’ - SquareCentimetre, ‘HECT’ - Hectare, ‘SQKI’ - SquareKilometre, ‘MILI’ - MilliLitre, ‘CELI’ - Centilitre, ‘LITR’ - Litre, ‘PUND’ - Pound, ‘ALOW’ - Allowances, ‘ACCY’ - AmountOfCurrency, ‘BARL’ - Barrels, ‘BCUF’ - BillionCubicFeet, ‘BDFT’ - BoardFeet, ‘BUSL’ - Bushels, ‘CEER’ - CertifiedEmissionsReduction, ‘CLRT’ - ClimateReserveTonnes, ‘CBME’ - CubicMeters, ‘DAYS’ - Days, ‘DMET’ - DryMetricTons, ‘ENVC’ - EnvironmentalCredit, ‘ENVO’ - EnvironmentalOffset, ‘HUWG’ - Hundredweight, ‘KWDC’ - KilowattDayCapacity, ‘KWHO’ - KilowattHours, ‘KWHC’ - KilowattHoursCapacity, ‘KMOC’ - KilowattMinuteCapacity, ‘KWMC’ - KilowattMonthCapacity, ‘KWYC’ - KilowattYearCapacity, ‘MWDC’ - MegawattDayCapacity, ‘MWHO’ - MegawattHours, ‘MWHC’ - MegawattHoursCapacity, ‘MWMC’ - MegawattMinuteCapacity, ‘MMOC’ - MegawattMonthCapacity, ‘MWYC’ - MegawattYearCapacity, ‘TONE’ - MetricTons, ‘MIBA’ - MillionBarrels, ‘MBTU’ - OneMillionBTU, ‘OZTR’ - TroyOunces, ‘UCWT’ - USHundredweight, ‘IPNT’ - IndexPoint, ‘PWRD’ - PrincipalWithRelationToDebtInstrument, ‘DGEU’ - DieselGallonEquivalent, ‘GGEU’ - GasolineGallonEquivalent, ‘TOCD’ - TonsOfCarbonDioxide.




48


Currency of nominal amount


ISO 4217 Currency Code, 3 alphabetic characters.




49


Security or commodity price


Up to 18 numeric characters including up to 5 decimals in case the price is expressed units.
Up to 11 numeric characters including up to 10 decimals in case the price is expressed as percentage or yield.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




50


Price currency


ISO 4217 Currency Code, 3 alphabetic characters.




51


Security quality


‘INVG’ - Investment grade
‘NIVG’ - Non-investment grade
‘NOTR’ - Non-rated
‘NOAP’ - Not applicable




52


Maturity of the security


ISO 8601 date in the format YYYY-MM-DD




53


Jurisdiction of the issuer


ISO 3166-1 alpha-2 country code, 2 alphabetic characters.




54


LEI of the issuer


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




55


Security type


‘GOVS’ - Government securities
‘SUNS’ - Supra-nationals and agencies securities
‘FIDE’ - Debt securities (including covered bonds) issued by banks and other financial institutions
‘NFID’ - Corporate debt securities (including covered bonds) issued by non-financial institutions
‘SEPR’ - Securitized products (including CDO, CMBS, ABCP)
‘MEQU’ - Main index equities (including convertible bonds)
‘OEQU’ - Other equities (including convertible bonds)
‘OTHR’- Other assets (including shares in mutual funds)




56


Loan value


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




57


Market value


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




58


Fixed rebate rate


Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as ‘100’.
The negative symbol, if populated, shall not be counted as a numerical character.




59


Floating rebate rate


The code representing 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 alphanumeric characters if the reference rate is not included in the above list




60


Floating rebate rate reference period — time period


Time period describing reference period, whereby the following abbreviations apply:
‘YEAR’ - Year
‘MNTH’ - Month
‘WEEK’ - Week
‘DAYS’ - Day




61


Floating rebate rate reference period — multiplier


Integer multiplier of the time period describing reference period of the floating rebate rate.
Up to 3 numeric characters.




62


Floating rebate rate payment frequency — time period


Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
‘YEAR’ - Year
‘MNTH’ - Month
‘WEEK’ - Week
‘DAYS’ - Day




63


Floating rebate rate payment frequency — multiplier


Integer multiplier of the time period describing how often the counterparties exchange payments.
Up to 3 numeric characters.




64


Floating rebate rate reset frequency — time period


Time period describing how often the counterparties reset the floating rebate rate, whereby the following abbreviations apply:
‘YEAR’ - Year
‘MNTH’ - Month
‘WEEK’ - Week
‘DAYS’ - Day




65


Floating rebate rate reset frequency — multiplier


Integer multiplier of the time period describing how often the counterparties reset the floating rebate rate.
Up to 3 numeric characters.




66


Spread of the rebate rate


Up to 5 numeric characters.




67


Lending fee


Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as ‘100’.




68


Exclusive arrangements


‘true’
‘false’




69


Outstanding margin loan


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




70


Base currency of outstanding margin loan


ISO 4217 Currency Code, 3 alphabetic characters.




71


Short market value


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




Collateral data




72


Uncollateralised Securities Lending (‘SL’) flag


‘true’
‘false’




73


Collateralisation of net exposure


‘true’
‘false’




74


Value date of the collateral


ISO 8601 date in the format YYYY-MM-DD




Where specific collateral was used, fields 75 to 94 shall be repeated and completed for each component of collateral, where applicable.




75


Type of collateral component


‘SECU’ - Securities
‘COMM’ - Commodities (only for repos, securities and commodities lending and borrowing and buy-sell backs)
‘CASH’ - Cash




Where cash was used as collateral, this shall be specified in fields 76 and 77.




76


Cash collateral amount


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




77


Cash collateral currency


ISO 4217 Currency Code, 3 alphabetic characters.




78


Identification of a security used as collateral


ISO 6166 ISIN 12 character alphanumeric code.




79


Classification of a security used as collateral


ISO 10692 CFI, 6 characters alphabetical code.




Where a commodity was used as collateral, the classification of that commodity shall be specified in fields 80, 81 and 82.




80


Base product


Only values in the ‘Base product’ column of the classification of commodities derivatives table are allowed.




81


Sub — product


Only values in the ‘Sub — product’ column of the classification of commodities derivatives table are allowed.




82


Further sub — product


Only values in the ‘Further sub — product’ of the classification of commodities derivatives table are allowed.




83


Collateral quantity or nominal amount


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




84


Collateral unit of measure


‘KILO’ - Kilogram, ‘PIEC’ - Piece, ‘TONS’ - Ton, ‘METR’ - Metre, ‘INCH’ - Inch, ‘YARD’ - Yard, ‘GBGA’ - GBGallon, ‘GRAM’ - Gram, ‘CMET’ - Centimetre, ‘SMET’ - SquareMetre, ‘FOOT’ - Foot, ‘MILE’ - Mile, ‘SQIN’ - SquareInch, ‘SQFO’ - SquareFoot, ‘SQMI’ - SquareMile, ‘GBOU’ - GBOunce, ‘USOU’ - USOunce, ‘GBPI’ - GBPint, ‘USPI’ - USPint, ‘GBQA’ - GBQuart, ‘USQA’ - USQuart, ‘USGA’ - USGallon, ‘MMET’ - Millimetre, ‘KMET’ - Kilometre, ‘SQYA’ - SquareYard, ‘ACRE’ - Acre, ‘ARES’ - Are, ‘SMIL’ - SquareMillimetre, ‘SCMT’ - SquareCentimetre, ‘HECT’ - Hectare, ‘SQKI’ - SquareKilometre, ‘MILI’ - MilliLitre, ‘CELI’ - Centilitre, ‘LITR’ - Litre, ‘PUND’ - Pound, ‘ALOW’ - Allowances, ‘ACCY’ - AmountOfCurrency, ‘BARL’ - Barrels, ‘BCUF’ - BillionCubicFeet, ‘BDFT’ - BoardFeet, ‘BUSL’ - Bushels, ‘CEER’ - CertifiedEmissionsReduction, ‘CLRT’ - ClimateReserveTonnes, ‘CBME’ - CubicMeters, ‘DAYS’ - Days, ‘DMET’ - DryMetricTons, ‘ENVC’ - EnvironmentalCredit, ‘ENVO’ - EnvironmentalOffset, ‘HUWG’ - Hundredweight, ‘KWDC’ - KilowattDayCapacity, ‘KWHO’ - KilowattHours, ‘KWHC’ - KilowattHoursCapacity, ‘KMOC’ - KilowattMinuteCapacity, ‘KWMC’ - KilowattMonthCapacity, ‘KWYC’ - KilowattYearCapacity, ‘MWDC’ - MegawattDayCapacity, ‘MWHO’ - MegawattHours, ‘MWHC’ - MegawattHoursCapacity, ‘MWMC’ - MegawattMinuteCapacity, ‘MMOC’ - MegawattMonthCapacity, ‘MWYC’ - MegawattYearCapacity, ‘TONE’ - MetricTons, ‘MIBA’ - MillionBarrels, ‘MBTU’ - OneMillionBTU, ‘OZTR’ - TroyOunces, ‘UCWT’ - USHundredweight, ‘IPNT’ - IndexPoint, ‘PWRD’ - PrincipalWithRelationToDebtInstrument, ‘DGEU’ - DieselGallonEquivalent, ‘GGEU’ - GasolineGallonEquivalent, ‘TOCD’ - TonsOfCarbonDioxide.




85


Currency of collateral nominal amount


ISO 4217 Currency Code, 3 alphabetic characters.




86


Price currency


ISO 4217 Currency Code, 3 alphabetic characters.




87


Price per unit


Up to 18 numeric characters including up to 5 decimals in case the price is expressed in units.
Up to 11 numeric characters including up to 10 decimals in case the price is expressed as percentage or yield.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




88


Collateral market value


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




89


Haircut or margin


Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as ‘100’.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




90


Collateral quality


‘INVG’ - Investment grade
‘NIVG’ - Non-investment grade
‘NOTR’ - Non-rated
‘NOAP’ - Not applicable




91


Maturity date of the security


ISO 8601 date in the format YYYY-MM-DD




92


Jurisdiction of the issuer


ISO 3166-1 alpha-2 country code, 2 alphabetic characters.




93


LEI of the issuer


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




94


Collateral type


‘GOVS’ - Government securities
‘SUNS’ - Supra-nationals and agencies securities
‘FIDE’ - Debt securities (including covered bonds) issued by banks and other financial institutions
‘NFID’ - Corporate debt securities (including covered bonds) issued by non-financial institutions
‘SEPR’ - Securitized products (including CDO, CMBS, ABCP)
‘MEQU’ - Main index equities (including convertible bonds)
‘OEQU’ - Other equities (including convertible bonds)
‘OTHR’- Other assets (including shares in mutual funds)




95


Availability for collateral reuse


‘true’
‘false’




Field 96 shall be specified in the case where a collateral basket was used. The detailed allocation of collateral for SFTs transacted against a collateral pool shall be specified in fields 75 to 94 when available.




96


Collateral basket identifier


ISO 6166 ISIN 12 character alphanumeric code, or
‘NTAV’




97


Portfolio code


52 alphanumeric character code including four special characters:
.- _.
Special characters are not allowed at the beginning and at the end of the code. No space allowed.




98


Action type


‘NEWT’ - New
‘MODI’ - Modification
‘VALU’ - Valuation
‘COLU’ - Collateral update
‘EROR’ - Error
‘CORR’ - Correction
‘ETRM’ - Termination/Early Termination
‘POSC’ - Position component




99


Level


‘TCTN’ - Transaction
‘PSTN’ - Position








Table 3


Margin Data








No


Field


Format




1


Reporting timestamp


ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ




2


Event date


ISO 8601 date in the format YYYY-MM-DD




3


Report submitting entity


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




4


Reporting Counterparty


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




5


Entity responsible for the report


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




6


Other counterparty


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




7


Portfolio code


52 alphanumeric character code including four special characters:
.- _.
Special characters are not allowed at the beginning and at the end of the code. No space allowed.




8


Initial margin posted


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




9


Currency of the initial margin posted


ISO 4217 Currency Code, 3 alphabetic characters.




10


Variation margin posted


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




11


Currency of the variation margin posted


ISO 4217 Currency Code, 3 alphabetic characters.




12


Initial margin received


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




13


Currency of the initial margin received


ISO 4217 Currency Code, 3 alphabetic characters.




14


Variation margin received


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




15


Currency of the variation margin received


ISO 4217 Currency Code, 3 alphabetic characters.




16


Excess collateral posted


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




17


Currency of the excess collateral posted


ISO 4217 Currency Code, 3 alphabetic characters.




18


Excess collateral received


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




19


Currency of the excess collateral received


ISO 4217 Currency Code, 3 alphabetic characters.




20


Action type


‘NEWT’ - New
‘MARU’ - Margin update
‘EROR’ - Error
‘CORR’ - Correction








Table 4


Re-use, Cash Reinvestment and Funding Sources Data








No


Field


Format




1


Reporting timestamp


ISO 8601 date in the format and UTC time format, i.e. YYYY-MM-DDThh:mm:ssZ




2


Event date


ISO 8601 date in the format YYYY-MM-DD




3


Report submitting entity


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




4


Reporting counterparty


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




5


Entity responsible for the report


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code.




Field 6 shall be repeated and completed for each collateral component.




6


Type of collateral component


‘SECU’ - Securities
‘CASH’ - Cash




Fields 7, 8, 9 and 10 shall be repeated and completed for each security.




7


Collateral component


ISO 6166 ISIN 12 character alphanumeric code.




8


Value of reused collateral


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




9


Estimated reuse of collateral


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




10


Reused collateral currency


ISO 4217 Currency Code, 3 alphabetic characters.




11


Reinvestment Rate


Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as ‘100’.




Fields 12, 13 and 14 shall be repeated and completed for each investment where cash collateral has been re-invested and in respect of each currency.




12


Type of re-invested cash investment


‘MMFT’ - registered money market fund
‘OCMP’ - any other commingled pool
‘REPM’ - the repo market
‘SDPU’ - direct purchase of securities
‘OTHR’ - other




13


Re-invested cash amount


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot.




14


Re-invested cash currency


ISO 4217 Currency Code, 3 alphabetic characters.




In the case of margin lending transactions, the counterparty shall repeat and complete fields 15, 16 and 17 for each funding source and shall provide the information in these fields at entity level.




15


Funding sources


‘REPO’ - repos or BSB
‘SECL’ - cash collateral from securities lending
‘FREE’ - free credits
‘CSHS’ - proceeds from customer short sales
‘BSHS’ - proceeds from broker short sales
‘UBOR’ - unsecured borrowing
‘OTHR’ - other




16


Market value of the funding sources


Up to 18 numeric characters including up to 5 decimals.
The decimal mark is not counted as a numeric character.
If not possible, pro rata amount.




17


Funding sources currency


ISO 4217 Currency Code, 3 alphabetic characters.




18


Action type


‘NEWT’ - New
‘REUU’ - reuse update
‘EROR’ - Error
‘CORR’ - Correction








Table 5


Classification of commodities








Base product


Sub — product


Further sub — product




‘AGRI’ - Agricultural


‘GROS’ - Grains Oil Seeds


‘FWHT’ - Feed Wheat
‘SOYB’ - Soybeans
‘CORN’ - Maize
‘RPSD’ – Rapeseed
‘RICE’ - Rice
‘OTHR’ - Other




‘SOFT’ - Softs


‘CCOA’ - Cocoa
‘ROBU’ - Robusta Coffee
‘WHSG’ - White Sugar
‘BRWN’ - Raw Sugar
‘OTHR’ - Other




‘POTA’- Potato


 




‘OOLI’- Olive oil


‘LAMP’ – ‘Lampante’
‘OTHR’ - Other




‘DIRY’- Dairy


 




‘FRST’ - Forestry


 




‘SEAF’ - Seafood


 




‘LSTK’ - Livestock


 




‘GRIN’ - Grain


‘MWHT’ - Milling Wheat
‘OTHR’ - Other




‘OTHR’ - Other


 




‘NRGY’ – ‘Energy


‘ELEC’ -Electricity


‘BSLD’ - Base load
‘FITR’ - Financial Transmission Rights
‘PKLD’ - Peak load
‘OFFP’ - Off-peak
‘OTHR’ - Other




‘NGAS’ - Natural Gas


‘GASP’ - GASPOOL
‘LNGG’ - LNG
‘NBPG’ - NBP
‘NCGG’ - NCG
‘TTFG’ – TTF
‘OTHR’ - Other




‘OILP’ -Oil


‘BAKK’ - Bakken
‘BDSL’ - Biodiesel
‘BRNT’ - Brent
‘BRNX’ - Brent NX
‘CNDA’ - Canadian
‘COND’ - Condensate
‘DSEL’ - Diesel
‘DUBA’ - Dubai
‘ESPO’ - ESPO
‘ETHA’ - Ethanol
‘FUEL’ - Fuel
‘FOIL’ - Fuel Oil
‘GOIL’ - Gasoil
‘GSLN’ - Gasoline
‘HEAT’ - Heating Oil
‘JTFL’ - Jet Fuel
‘KERO’ - Kerosene
‘LLSO’ - Light Louisiana Sweet (LLS)
‘MARS’ - Mars
‘NAPH’ - Naptha
‘NGLO’ - NGL
‘TAPI’ - Tapis
‘URAL’ - Urals
‘WTIO’ – WTI
‘OTHR’ - Other




‘COAL’- Coal
‘INRG’ - Inter Energy
‘RNNG’ - Renewable energy
‘LGHT’ - Light ends
‘DIST’ – Distillates
‘OTHR’ - Other


 




‘ENVR’ - Environmental


‘EMIS’ - Emissions


‘CERE’ - CER
‘ERUE’ - ERU
‘EUAE’ - EUA
‘EUAA’ – EUAA
‘OTHR’-Other




‘WTHR’ - Weather
‘CRBR’ - Carbon related’
‘OTHR’ - Other


 




‘FRGT’ -‘Freight’


‘WETF’ - Wet


‘TNKR’ –Tankers
‘OTHR’ - Other




‘DRYF’ - Dry


‘DBCR’ - Dry bulk carriers
‘OTHR’ - Other




‘CSHP’ - Containerships


 




‘OTHR’ - Other


 




‘FRTL’ -‘Fertilizer’


‘AMMO’ - Ammonia
‘DAPH’ - DAP (Diammonium Phosphate)
‘PTSH’ - Potash
‘SLPH’ - Sulphur
‘UREA’ - Urea
‘UAAN’ - UAN (urea and ammonium nitrate)
‘OTHR’ - Other


 




‘INDP’ - Industrial products’


‘CSTR’ - Construction
‘MFTG’ - Manufacturing


 




‘METL’ - Metals’


‘NPRM’ - Non Precious


‘ALUM’ - Aluminium
‘ALUA’ - Aluminium Alloy
‘CBLT’ - Cobalt
‘COPR’ - Copper
‘IRON’ - Iron ore
‘LEAD’ - Lead
‘MOLY’ - Molybdenum
‘NASC’ - NASAAC
‘NICK’ - Nickel
‘STEL’ - Steel
‘TINN’ - Tin
‘ZINC’ - Zinc
‘OTHR’ - Other




‘PRME’ - Precious


‘GOLD’ - Gold
‘SLVR’ - Silver
‘PTNM’ - Platinum
‘PLDM’ - Palladium
‘OTHR’ - Other




‘MCEX’ - Multi Commodity Exotic’


 


 




‘PAPR’ - Paper’


‘CBRD’ - Containerboard
‘NSPT’ - Newsprint
‘PULP’ - Pulp
‘RCVP’ - Recovered paper
‘OTHR’ - Other


 




‘POLY’ - Polypropylene’


‘PLST’ – Plastic
‘OTHR’ - Other


 




‘INFL’ - Inflation’


 


 




‘OEST’ - Official economic statistics’


 


 




‘OTHC’ - Other C10 ‘as defined in Table 10.1 Section 10 of Annex III to Commission Delegated Regulation (EU) 2017/583 (11)



 


 




‘OTHR’ - Other


 


 






(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 (OJ L 176, 27.6.2013, p. 338).

(2)  Council Regulation (EU) No 1024/2013 of 15 October 2013 conferring specific tasks on the European Central Bank concerning policies relating to the prudential supervision of credit institutions (OJ L 287, 29.10.2013, p. 63).

(3)  Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments (OJ L 173, 12.6.2014, p. 349).

(4)  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).

(5)  Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers (OJ L 174, 1.7.2011, p. 1).

(6)  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).

(7)  Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).

(8)  Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories (OJ L 257, 28.8.2014, p. 1).

(9)  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)

(10)  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 (OJ L 393, 30.12.2006, p. 1).

(11)  Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (OJ L 87, 31.3.2017, p. 229)





ANNEX II
The Annex to Implementing Regulation (EU) No 1247/2012 is replaced by the text below.



‘ANNEX

Table 1


Counterparty Data








 


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 (1)

C = Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council (2)

F = Investment firm authorised in accordance with Directive 2004/39/EC of the European Parliament and of the Council (3)

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 (4)

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 (5)

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 (6)

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 (7)

1 = Agriculture, forestry and fishing
2 = Mining and quarrying
3 = Manufacturing
4 = Electricity, gas, steam and air conditioning supply
5 = Water supply, sewerage, waste management and remediation activities
6 = Construction
7 = Wholesale and retail trade, repair of motor vehicles and motorcycles
8 = Transportation and storage
9 = Accommodation and food service activities
10 = Information and communication
11 = Financial and insurance activities
12 = Real estate activities
13 = Professional, scientific and technical activities
14 = Administrative and support service activities
15 = Public administration and defence; compulsory social security
16 = Education
17 = Human health and social work activities
18 = Arts, entertainment and recreation
19 = Other service activities
20 = Activities of households as employers; undifferentiated goods – and services –producing activities of households for own use
21 = Activities of extraterritorial organisations and bodies
Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities, separating them with a ‘-’.
Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012.




7


Nature of the reporting counterparty


F = Financial Counterparty
N = Non-Financial Counterparty
C = Central Counterparty
O = Other




8


Broker ID


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.




9


Report submitting entity ID


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code)




10


Clearing member ID


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code




11


Type of ID of the Beneficiary


‘LEI’ for ISO 17442 Legal Entity Identifier (LEI)
‘CLC’ for Client code




12


Beneficiary ID


ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code or up to 50 alphanumerical character client code in the case where the client is not eligible for a Legal Entity Identifier




13


Trading capacity


P = Principal
A = Agent




14


Counterparty side


B = Buyer
S = Seller
Populated in accordance with Article 3a




15


Directly linked to commercial activity or treasury financing


Y = Yes
N = No




16


Clearing threshold


Y = Above the threshold
N = Below the threshold




17


Value of contract


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.




18


Currency of the value


ISO 4217 Currency Code, 3 alphabetical characters




19


Valuation timestamp


ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ




20


Valuation type


M = Mark-to-market
O = Mark-to-model
C = CCP's valuation.




21


Collateralisation


U = uncollateralised
PC = partially collateralised
OC = one way collateralised
FC = fully collateralised
Populated in accordance with Article 3b




22


Collateral portfolio


Y = Yes
N = No




23


Collateral portfolio code


Up to 52 alphanumerical characters including four special characters: ‘. - _.’
Special characters are not allowed at the beginning and at the end of the code. No space allowed.




24


Initial margin posted


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.




25


Currency of the initial margin posted


ISO 4217 Currency Code, 3 alphabetical characters




26


Variation margin posted


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.




27


Currency of the variation margins posted


ISO 4217 Currency Code, 3 alphabetical characters




28


Initial margin received


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.




29


Currency of the initial margin received


ISO 4217 Currency Code, 3 alphabetical characters




30


Variation margin received


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.




31


Currency of the variation margins received


ISO 4217 Currency Code, 3 alphabetical characters




32


Excess collateral posted


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.




33


Currency of the excess collateral posted


ISO 4217 Currency Code, 3 alphabetical characters




34


Excess collateral received


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.




35


Currency of the excess collateral received


ISO 4217 Currency Code, 3 alphabetical characters








Table 2


Common Data









 


Field


Format


Applicable types of derivative contracts






 


Section 2a – Contract type


 


All contracts




1


Contract type


CD = Financial contracts for difference
FR = Forward rate agreements
FU = Futures
FW = Forwards
OP = Option
SB = Spreadbet
SW = Swap
ST = Swaption
OT = Other


 




2


Asset class


CO = Commodity and emission allowances
CR = Credit
CU = Currency
EQ = Equity
IR = Interest Rate


 






 


Section 2b – Contract information


 


All contracts




3


Product classification type


C = CFI


 




4


Product classification


ISO 10692 CFI, 6 characters alphabetical code


 




5


Product identification type


Specify the applicable identification:
I = ISIN
A = AII


 




6


Product identification


For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code
For product identifier type A: Complete AII code


 




7


Underlying identification type


I = ISIN
A = AII
B = Basket
X = Index


 




8


Underlying identification


For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code
For underlying identification type A: complete AII code
For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code. Identifiers of individual components shall be separated with a dash ‘-’.
For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider


 




9


Notional currency 1


ISO 4217 Currency Code, 3 alphabetical characters


 




10


Notional currency 2


ISO 4217 Currency Code, 3 alphabetical characters


 




11


Deliverable currency


ISO 4217 Currency Code, 3 alphabetical characters


 






 


Section 2c – Details on the transaction


 


All contracts




12


Trade ID


Up to 52 alphanumerical character code including four special characters:‘. - _.’
Special characters are not allowed at the beginning and at the end of the code. No space allowed.


 




13


Report tracking number


An alphanumeric field up to 52 characters


 




14


Complex trade component ID


An alphanumeric field up to 35 characters


 




15


Venue of execution


ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters, in accordance with Article 4(b).


 




16


Compression


Y = contract results from compression
N = contract does not result from compression


 




17


Price/rate


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.
In case the price is reported in percent values, it should be expressed as percentage where 100 % is represented as ‘100’


 




18


Price notation


U = Units
P = Percentage
Y = Yield


 




19


Currency of price


ISO 4217 Currency Code, 3 alphabetic characters


 




20


Notional


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.


 




21


Price multiplier


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.


 




22


Quantity


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.


 




23


Up-front payment


Up to 20 numerical characters including decimals.
The negative symbol to be used to indicate that the payment was made, not received.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.


 




24


Delivery type


C = Cash
P = Physical
O = Optional for counterparty or when determined by a third party


 




25


Execution timestamp


ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ


 




26


Effective date


ISO 8601 date in the format YYYY-MM-DD


 




27


Maturity date


ISO 8601 date in the format YYYY-MM-DD


 




28


Termination date


ISO 8601 date in the format YYYY-MM-DD


 




29


Settlement date


ISO 8601 date in the format YYYY-MM-DD


 




30


Master Agreement type


Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any


 




31


Master Agreement version


ISO 8601 date in the format YYYY


 






 


Section 2d – Risk mitigation/Reporting


 


All contracts




32


Confirmation timestamp


ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ


 




33


Confirmation means


Y = Non-electronically confirmed
N = Non-confirmed
E = Electronically confirmed


 






 


Section 2e – Clearing


 


All contracts




34


Clearing obligation


Y = Yes
N = No


 




35


Cleared


Y = Yes
N = No


 




36


Clearing timestamp


ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ


 




37


CCP


ISO 17442 Legal Entity Identifier (LEI)
20 alphanumerical character code


 




38


Intragroup


Y = Yes
N = No


 






 


Section 2f – Interest Rates


 


Interest rate derivatives




39


Fixed rate of leg 1


Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘100’.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.


 




40


Fixed rate of leg 2


Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘100’.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.


 




41


Fixed rate day count leg 1


Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365


 




42


Fixed rate day count leg 2


Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365


 




43


Fixed rate payment frequency leg 1 –time period


Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
Y = Year
M = Month
W = Week
D = Day


 




44


Fixed rate payment frequency leg 1 – multiplier


Integer multiplier of the time period describing how often the counterparties exchange payments.
Up to 3 numerical characters.


 




45


Fixed rate payment frequency leg 2 – time period


Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
Y = Year
M = Month
W = Week
D = Day


 




46


Fixed rate payment frequency leg 2 – multiplier


Integer multiplier of the time period describing how often the counterparties exchange payments.
Up to 3 numerical characters.


 




47


Floating rate payment frequency leg 1 – time period


Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
Y = Year
M = Month
W = Week
D = Day


 




48


Floating rate payment frequency leg 1 – multiplier


Integer multiplier of the time period describing how often the counterparties exchange payments.
Up to 3 numerical characters.


 




49


Floating rate payment frequency leg 2 – time period


Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
Y = Year
M = Month
W = Week
D = Day


 




50


Floating rate payment frequency leg 2 – multiplier


Integer multiplier of the time period describing how often the counterparties exchange payments.
Up to 3 numerical characters.


 




51


Floating rate reset frequency leg 1 – time period


Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:
Y = Year
M = Month
W = Week
D = Day


 




52


Floating rate reset frequency leg 1 – multiplier


Integer multiplier of the time period describing how often the counterparties reset the floating rate.
Up to 3 numerical characters.


 




53


Floating rate reset frequency leg 2 – time period


Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:
Y = Year
M = Month
W = Week
D = Day


 




54


Floating rate reset frequency leg 2 – multiplier


Integer multiplier of the time period describing how often the counterparties reset the floating rate.
Up to 3 numerical characters.


 




55


Floating rate of leg 1


The name of the floating rate index
‘EONA’ – EONIA
‘EONS’ – EONIA SWAP
‘EURI’ – EURIBOR
‘EUUS’ – EURODOLLAR
‘EUCH’ – EuroSwiss
‘GCFR’ – GCF REPO
‘ISDA’ – ISDAFIX
‘LIBI’ – LIBID
‘LIBO’ – LIBOR
‘MAAA’ – Muni AAA
‘PFAN’ – Pfandbriefe
‘TIBO’ – TIBOR
‘STBO’ – STIBOR
‘BBSW’ – BBSW
‘JIBA’ – JIBAR
‘BUBO’ – BUBOR
‘CDOR’ – CDOR
‘CIBO’ – CIBOR
‘MOSP’ – MOSPRIM
‘NIBO’ – NIBOR
‘PRBO’ – PRIBOR
‘TLBO’ – TELBOR
‘WIBO’ – WIBOR
‘TREA’ – Treasury
‘SWAP’ – SWAP
‘FUSW’ – Future SWAP
Or up to 25 alphanumerical characters if the reference rate is not included in the above list


 




56


Floating rate reference period leg 1 – time period


Time period describing reference period, whereby the following abbreviations apply:
Y = Year
M = Month
W = Week
D = Day


 




57


Floating rate reference period leg 1 – multiplier


Integer multiplier of the time period describing the reference period.
Up to 3 numerical characters.


 




58


Floating rate of leg 2


The name of the floating rate index
‘EONA’ – EONIA
‘EONS’ – EONIA SWAP
‘EURI’ – EURIBOR
‘EUUS’ – EURODOLLAR
‘EUCH’ – EuroSwiss
‘GCFR’ – GCF REPO
‘ISDA’ – ISDAFIX
‘LIBI’ – LIBID
‘LIBO’ – LIBOR
‘MAAA’ – Muni AAA
‘PFAN’ – Pfandbriefe
‘TIBO’ – TIBOR
‘STBO’ – STIBOR
‘BBSW’ – BBSW
‘JIBA’ – JIBAR
‘BUBO’ – BUBOR
‘CDOR’ – CDOR
‘CIBO’ – CIBOR
‘MOSP’ – MOSPRIM
‘NIBO’ – NIBOR
‘PRBO’ – PRIBOR
‘TLBO’ – TELBOR
‘WIBO’ – WIBOR
‘TREA’ – Treasury
‘SWAP’ – SWAP
‘FUSW’ – Future SWAP
Or up to 25 alphanumerical characters if the reference rate is not included in the above list


 




59


Floating rate reference period leg 2 – time period


Time period describing reference period, whereby the following abbreviations apply:
Y = Year
M = Month
W = Week
D = Day


 




60


Floating rate reference period leg 2 – multiplier


Integer multiplier of the time period describing the reference period.
Up to 3 numerical characters.


 






 


Section 2g – Foreign Exchange


 


Currency derivatives




61


Delivery currency 2


ISO 4217 Currency Code, 3 alphabetical character code


 




62


Exchange rate 1


Up to 10 numerical digits including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.


 




63


Forward exchange rate


Up to 10 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.


 




64


Exchange rate basis


Two ISO 4217 currency codes separated by ‘/’. First currency code shall indicate the base currency, and the second currency code shall indicate the quote currency.


 






 


Section 2h – Commodities and emission allowances


 


Commodity and emission allowance derivatives



 

General





65


Commodity base


AG = Agricultural
EN = Energy
FR = Freights
ME = Metals
IN = Index
EV = Environmental
EX = Exotic
OT = Other


 




66


Commodity details



Agricultural

GO = Grains oilseeds
DA = Dairy
LI = Livestock
FO = Forestry
SO = Softs
SF = Seafood
OT = Other

Energy

OI = Oil
NG = Natural gas
CO = Coal
EL = Electricity
IE = Inter-energy
OT = Other

Freights

DR = Dry
WT = Wet
OT = Other

Metals

PR = Precious
NP = Non-precious

Environmental

WE = Weather
EM = Emissions
OT = Other


 



 

Energy





67


Delivery point or zone


EIC code, 16 character alphanumeric code
Repeatable field.


 




68


Interconnection Point


EIC code, 16 character alphanumeric code


 




69


Load type


BL = Base Load
PL = Peak Load
OP = Off-Peak
BH = Hour/Block Hours
SH = Shaped
GD = Gas Day
OT = Other


 






 


Repeatable section of fields 70 – 77


 


 




70


Load delivery intervals


hh:mmZ


 




71


Delivery start date and time


ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ


 




72


Delivery end date and time


ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ


 




73


Duration


N = Minutes
H = Hour
D = Day
W = Week
M = Month
Q = Quarter
S = Season
Y = Annual
O = Other


 




74


Days of the week


WD = Weekdays
WN = Weekend
MO = Monday
TU = Tuesday
WE = Wednesday
TH = Thursday
FR = Friday
SA = Saturday
SU = Sunday
Multiple values separated by ‘/’ are permitted


 




75


Delivery capacity


Up to 20 numerical digits including decimals
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.


 




76


Quantity Unit


KW
KWh/h
KWh/d
MW
MWh/h
MWh/d
GW
GWh/h
GWh/d
Therm/d
KTherm/d
MTherm/d
cm/d
mcm/d


 




77


Price/time interval quantities


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.


 






 


Section 2i – Options


 


Contracts that contain an option




78


Option type


P = Put
C = Call
O = where it cannot be determined whether it is a call or a put


 




79


Option exercise style


A = American
B = Bermudan
E = European
S = Asian
More than one value is allowed


 




80


Strike price (cap/floor rate)


Up to 20 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numerical character.
Where the strike price is reported in percent values, it should be expressed as percentage where 100 % is represented as ‘100’


 




81


Strike price notation


U = Units
P = Percentage
Y = Yield


 




82


Maturity date of the underlying


ISO 8601 date in the format YYYY-MM-DD


 






 


Section 2j – Credit derivatives


 


 




83


Seniority


SNDB = Senior, such as Senior Unsecured Debt (Corporate/Financial), Foreign Currency Sovereign Debt (Government),
SBOD = Subordinated, such as Subordinated or Lower Tier 2 Debt (Banks), Junior Subordinated or Upper Tier 2 Debt (Banks),
OTHR = Other, such as Preference Shares or Tier 1 Capital (Banks) or other credit derivatives


 




84


Reference entity


ISO 3166 – 2 character country code
or
ISO 3166-2 – 2 character country code followed by dash ‘-’ and up to 3 alphanumeric character country subdivision code
or
ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code


 




85


Frequency of payment


MNTH = Monthly
QURT = Quarterly
MIAN = Semi-annually
YEAR = Yearly


 




86


The calculation basis


Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365


 




87


Series


Integer field up to 5 characters


 




88


Version


Integer field up to 5 characters


 




89


Index factor


Up to 10 numerical characters including decimals.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.


 




90


Tranche


T = Tranched
U = Untranched


 




91


Attachment point


Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.


 




92


Detachment point


Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.
The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.


 






 


Section 2k – Modifications to the contract


 


 




93


Action type


N = New
M = Modify
E = Error
C = Early Termination
R = Correction
Z = Compression
V = Valuation update
P = Position component


 




94


Level


T = Trade
P = Position


 






            ’
         


(1)  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).

(2)  Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).

(3)  Directive 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).

(4)  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).

(5)  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).

(6)  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).

(7)  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).