CELEX: 32017R0105
Language: en
Date: 2016-10-19 00:00:00
Title: Commission Implementing Regulation (EU) 2017/105 of 19 October 2016 amending Implementing Regulation (EU) No 1247/2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories (Text with EEA relevance. )

21.1.2017   
               
               
                  EN
               
               
                  Official Journal of the European Union
               
               
                  L 17/17
               
            COMMISSION IMPLEMENTING REGULATION (EU) 2017/105
      of 19 October 2016
      amending Implementing Regulation (EU) No 1247/2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories
      (Text with EEA relevance)
      THE EUROPEAN COMMISSION,
      Having regard to the Treaty on the Functioning of the European Union,
      Having regard to Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (1) and in particular Article 9(6) thereof,
      Whereas:
      
                  (1)
               
               
                  Commission Implementing Regulation (EU) No 1247/2012 (2) provides for the use of interim entity identifiers where a legal entity identifier is not available. An infrastructure enabling the attribution of legal entity identifiers to entities has recently become available, and market participants have become familiar with the use of such legal entity identifiers. Therefore, legal entity identifiers should now be the only means allowed for the purpose of identification of legal entities.
               
            
                  (2)
               
               
                  Determining whether the reporting counterparty is a buyer or a seller in a contract is particularly complex in the case of swap derivative contracts as such contracts involve the exchange of financial instruments between the parties. Therefore, specific rules should be established in order to ensure the accurate and consistent determination of who are the buyers and who are the sellers in swap derivative contracts.
               
            
                  (3)
               
               
                  In order to determine the real exposures of counterparties, competent authorities require complete and accurate information on the collateral exchanged between those counterparties. Accordingly, specific rules ensuring a consistent approach with regard to the reporting of collateralisation for a given derivative contract or portfolio should be determined.
               
            
                  (4)
               
               
                  The accurate classification and precise identification of derivatives is essential for the efficient use of data and for the meaningful aggregation of data across trade repositories, and therefore contributes to the objectives of the Financial Stability Board set out in the Feasibility Study on Aggregation of OTC Derivatives Trade Repository Data (3) published on 19 September 2014. Reporting requirements relating to the classification and identification of derivatives should therefore be amended so that this information is available in its entirety to competent authorities.
               
            
                  (5)
               
               
                  In order to accommodate for the reporting of new types of derivatives contracts which have become available and are traded on a frequent basis by virtue of financial innovation, swaptions and spreadbets should be added to the list of classes of derivative contracts. More broadly, in view of ongoing financial innovation giving rise to new types of derivative contracts, it is important to ensure that any new types of derivatives contracts that do not fall within an existing classification can nevertheless be reported. Therefore, it is appropriate to maintain the category ‘other’ in the classification of types of derivatives contracts.
               
            
                  (6)
               
               
                  Where two counterparties cannot agree on which of them should generate a unique trade identifier within the reporting timeline provided, the correct identification and association of the two reports pertaining to the same transaction may not be possible. It is therefore necessary to establish criteria for the generation of unique trade identifiers so as to avoid counting the same transaction twice.
               
            
                  (7)
               
               
                  Counterparties may face significant difficulty in obtaining all of the relevant information with regard to trades that were terminated before the commencement date for reporting. Given the resulting complexity of reporting terminated trades and the fact that such trades do not increase systemic risk, the period for reporting terminated trades should be extended from 3 years to 5 years from the commencement date for reporting.
               
            
                  (8)
               
               
                  In order to ensure full harmonisation of the data reported to trade repositories and therefore enable its consistent interpretation and aggregation, the standards and formats to be used in trade reports should be clarified. It is also appropriate to amend the reporting requirements with respect to data formats. Counterparties and trade repositories should therefore be granted sufficient time to take all necessary action to comply with the amended requirements.
               
            
                  (9)
               
               
                  Implementing Regulation (EU) No 1247/2012 should therefore be amended accordingly.
               
            
                  (10)
               
               
                  This Regulation is based on draft implementing technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission.
               
            
                  (11)
               
               
                  In accordance with Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (4), ESMA has conducted open public consultations on such draft implementing technical standards, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group referred to in Article 37 of that Regulation,
               
            HAS ADOPTED THIS REGULATION:
      Article 1
      Implementing Regulation (EU) No 1247/2012 is amended as follows:
      
                  (1)
               
               
                  Article 3 is replaced by the following:
                  ‘Article 3
                  Identification of counterparties and other entities
                  A report shall use a legal entity identifier to identify:
                  
                              (a)
                           
                           
                              a beneficiary which is a legal entity;
                           
                        
                              (b)
                           
                           
                              a broking entity;
                           
                        
                              (c)
                           
                           
                              a CCP;
                           
                        
                              (d)
                           
                           
                              a clearing member;
                           
                        
                              (e)
                           
                           
                              a counterparty which is a legal entity;
                           
                        
                              (f)
                           
                           
                              a submitting entity.’;
                           
                        
            
                  (2)
               
               
                  the following Articles 3a and 3b are inserted:
                  ‘Article 3a
                  Counterparty side
                  1.   The counterparty side to the derivative contract referred to in field 14 of Table 1 of the Annex shall be determined in accordance with paragraphs 2 to 10.
                  2.   In the case of options and swaptions, the counterparty that holds the right to exercise the option shall be identified as the buyer and the counterparty that sells the option and receives a premium shall be identified as the seller.
                  3.   In the case of futures and forwards other than futures and forwards relating to currencies, the counterparty buying the instrument shall be identified as the buyer and the counterparty selling the instrument shall be identified as the seller.
                  4.   In the case of swaps related to securities, the counterparty that bears the risk of price movement of the underlying security and receives the security amount shall be identified as the buyer and the counterparty that pays the security amount shall be identified as the seller.
                  5.   In the case of swaps related to interest rates or inflation indices, the counterparty paying the fixed rate shall be identified as the buyer and the counterparty receiving the fixed rate shall be identified as the seller. In the case of basis swaps, the counterparty that pays the spread shall be identified as the buyer and the counterparty that receives the spread shall be identified as the seller.
                  6.   In the case of cross-currency swaps and swaps and forwards related to currencies, the counterparty receiving the currency which appears first when sorted alphabetically by International Organization for Standardization (ISO 4217) standard shall be identified as the buyer and the counterparty delivering that currency shall be identified as the seller.
                  7.   In the case of swaps related to dividends, the counterparty receiving the equivalent actual dividend payments shall be identified as the buyer and the counterparty paying the dividend and receiving the fixed rate shall be identified as the seller.
                  8.   With the exception of options and swaptions, in the case of derivative instruments for the transfer of credit risk, the counterparty buying the protection shall be identified as the buyer and the counterparty selling the protection shall be identified as the seller.
                  9.   In the case of derivative contracts relating to commodities, the counterparty that receives the commodity specified in the report shall be identified as the buyer and the counterparty that delivers the commodity shall be identified as the seller.
                  10.   In the case of forward-rate agreements, the counterparty paying the fixed rate shall be identified as the buyer and the counterparty receiving the fixed rate shall be identified as the seller.
                  Article 3b
                  Collateralisation
                  1.   The type of collateralisation of the derivative contract referred to in Field 21 of Table 1 of the Annex shall be identified by the reporting counterparty in accordance with paragraphs 2 to 5.
                  2.   Where no collateral agreement exists between the counterparties or where the collateral agreement between the counterparties stipulates that the reporting counterparty does not post neither initial margin nor variation margin with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as uncollateralised;
                  3.   Where the collateral agreement between the counterparties stipulates that the reporting counterparty only posts regularly variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as partially collateralised;
                  4.   Where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margins and that the other counterparty either posts only variation margins or does not post any margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as one-way collateralised;
                  5.   Where the collateral agreement between the counterparties stipulates that both counterparties post initial margin and regularly post variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as fully collateralised’;
               
            
                  (3)
               
               
                  Article 4 is replaced by the following:
                  ‘Article 4
                  Specification, identification, and classification of derivatives
                  1.   A report shall specify a derivative on the basis of contract type and asset class in accordance with paragraphs 2 and 3.
                  2.   The derivative shall be specified in Field 1 of Table 2 of the Annex as one of the following contract types:
                  
                              (a)
                           
                           
                              financial contract for difference;
                           
                        
                              (b)
                           
                           
                              forward rate agreement;
                           
                        
                              (c)
                           
                           
                              forward;
                           
                        
                              (d)
                           
                           
                              future;
                           
                        
                              (e)
                           
                           
                              option;
                           
                        
                              (f)
                           
                           
                              spreadbet;
                           
                        
                              (g)
                           
                           
                              swap;
                           
                        
                              (h)
                           
                           
                              swaption;
                           
                        
                              (i)
                           
                           
                              other.
                           
                        3.   The derivative shall be specified in Field 2 of Table 2 of the Annex as one of the following asset classes:
                  
                              (a)
                           
                           
                              commodities and emission allowances;
                           
                        
                              (b)
                           
                           
                              credit;
                           
                        
                              (c)
                           
                           
                              currency;
                           
                        
                              (d)
                           
                           
                              equity;
                           
                        
                              (e)
                           
                           
                              interest rate.
                           
                        4.   Where derivatives do not fall within one of the asset classes specified in paragraph 3, the counterparties shall specify in the report the asset class most closely resembling the derivative. Both counterparties shall specify the same asset class.
                  5.   The derivative shall be identified in Field 6 of Table 2 of the Annex using the following, where available:
                  
                              (a)
                           
                           
                              an ISO 6166 International Securities Identification Number (ISIN) code or an Alternative Instrument Identifier code (AII), as applicable, until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014 of the European Parliament and of the Council (*1);
                           
                        
                              (b)
                           
                           
                              an ISIN from the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014.
                           
                        Where an AII code is used, the complete AII code shall be used.
                  6.   The complete AII code referred to in paragraph 5 shall be the result of the concatenation of the following six elements:
                  
                              (a)
                           
                           
                              ISO 10383 Market Identifier Code (MIC) of the trading venue where the derivative is traded, specified using 4 alphanumeric characters;
                           
                        
                              (b)
                           
                           
                              Code, which is assigned by the trading venue, uniquely associated with a particular underlying instrument and settlement type and other characteristics of the contract, specified using up to 12 alphanumeric characters;
                           
                        
                              (c)
                           
                           
                              single character identifying whether the instrument is an option or a future, specified as “O” where it is an option and as “F” where it is a future;
                           
                        
                              (d)
                           
                           
                              single character identifying whether the option is a put or a call, specified as “P” where it is a put option and as “C” where it is a call option; where the instrument has been identified as a future in accordance with point (c), it shall be specified as “F”;
                           
                        
                              (e)
                           
                           
                              exercise date or maturity date of a derivative contract specified in ISO 8601 YYYY-MM-DD standard;
                           
                        
                              (f)
                           
                           
                              the strike price of an option, specified using up to 19 digits including up to five decimals without any leading or trailing zeros. A decimal point shall be used as the decimal separator. Negative values are not allowed. Where the instrument is a future, the strike price shall be populated with zero.
                           
                        7.   The derivative shall be classified in Field 4 of Table 2 of the Annex using an ISO 10692 Classification of Financial Instrument (CFI) code for products identified through an ISO 6166 ISIN code or an AII code.
                  8.   Derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified by means of a designated code. That code shall be:
                  
                              (a)
                           
                           
                              unique;
                           
                        
                              (b)
                           
                           
                              neutral;
                           
                        
                              (c)
                           
                           
                              reliable;
                           
                        
                              (d)
                           
                           
                              open source;
                           
                        
                              (e)
                           
                           
                              scalable;
                           
                        
                              (f)
                           
                           
                              accessible;
                           
                        
                              (g)
                           
                           
                              available at a reasonable cost basis;
                           
                        
                              (h)
                           
                           
                              subject to an appropriate governance framework.
                           
                        9.   Until the code referred to in paragraph 8 is endorsed by ESMA, derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified using an ISO 10692 CFI code.
                  
                     (*1)  Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012 (OJ L 173, 12.6.2014, p. 84).’;"
						
               
            
                  (4)
               
               
                  the following Articles 4a and 4b are inserted:
                  ‘Article 4a
                  Unique Trade Identifier
                  1.   A report shall be identified through either a global unique trade identifier endorsed by ESMA or, in the absence thereof, a unique trade identifier agreed by the counterparties.
                  2.   Where counterparties fail to agree on the entity responsible for generating the unique trade identifier to be assigned to the report, the counterparties shall determine the entity responsible for generating a unique trade identifier in accordance with the following:
                  
                              (a)
                           
                           
                              for centrally-executed and cleared trades, the unique trade identifier shall be generated at the point of clearing by the central counterparty (CCP) for the clearing member. Another unique trade identifier shall be generated by the clearing member for its counterparty;
                           
                        
                              (b)
                           
                           
                              for centrally-executed but not centrally-cleared trades, the unique trade identifier shall be generated by the trading venue of execution for its member;
                           
                        
                              (c)
                           
                           
                              for centrally-confirmed and cleared trades, the unique trade identifier shall be generated at the point of clearing by the CCP for the clearing member. Another unique trade identifier shall be generated by the clearing member for its counterparty;
                           
                        
                              (d)
                           
                           
                              for trades that were centrally-confirmed by electronic means but were not centrally-cleared, the unique trade identifier shall be generated by the trade confirmation platform at the point of confirmation;
                           
                        
                              (e)
                           
                           
                              for all trades other than those referred to in points (a) to (d), the following shall apply:
                              
                                          (i)
                                       
                                       
                                          where financial counterparties trade with non-financial counterparties, the financial counterparties shall generate the unique trade identifier;
                                       
                                    
                                          (ii)
                                       
                                       
                                          where non-financial counterparties above the clearing threshold trade with non-financial counterparties below the clearing threshold, those non-financial counterparties above the clearing threshold shall generate the unique trade identifier;
                                       
                                    
                                          (iii)
                                       
                                       
                                          for all trades other than those referred to in points (i) and (ii), the seller shall generate the unique trade identifier.
                                       
                                    
                        3.   The counterparty generating the unique trade identifier shall communicate that unique trade identifier to the other counterparty in a timely manner so that the latter is able to meet its reporting obligation.
                  Article 4b
                  Venue of execution
                  The venue of execution of the derivative contract shall be identified in Field 15 of Table 2 of the Annex as follows:
                  
                              (a)
                           
                           
                              until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014:
                              
                                          (i)
                                       
                                       
                                          for a venue of execution inside the Union, the ISO 10383 Market Identifier Code (MIC) published on ESMA's website in the register set up on the basis of information provided by competent authorities pursuant to Article 13(2) of Commission Regulation (EC) No 1287/2006 (*2);
                                       
                                    
                                          (ii)
                                       
                                       
                                          for a venue of execution outside the Union, the ISO 10383 MIC included in the list of MIC codes maintained and updated by ISO and published at ISO web site;
                                       
                                    
                        
                              (b)
                           
                           
                              from the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014, the ISO 10383 MIC.
                           
                        
                     (*2)  Commission Regulation (EC) No 1287/2006 of 10 August 2006 implementing Directive 2004/39/EC of the European Parliament and of the Council as regards recordkeeping obligations for investment firms, transaction reporting, market transparency, admission of financial instruments to trading, and defined terms for the purposes of that Directive (OJ L 241, 2.9.2006, p. 1)’;"
						
               
            
                  (5)
               
               
                  in Article 5, paragraph 4 is replaced by the following:
                  ‘4.   The following derivative contracts which are not outstanding on the commencement date for reporting for a particular derivative class shall be reported to a trade repository within five years of that date:
                  
                              (a)
                           
                           
                              derivative contracts that were entered into before 16 August 2012 and were still outstanding on 16 August 2012;
                           
                        
                              (b)
                           
                           
                              derivative contracts that were entered into on or after 16 August 2012.’;
                           
                        
            
                  (6)
               
               
                  the Annex is replaced by the text set out in the Annex to this Regulation.
               
            Article 2
      This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
      It shall apply from 1 November 2017, with the exception of Article 1(5), which shall apply from the date of entry into force.
      
         This Regulation shall be binding in its entirety and directly applicable in all Member States.
         Done at Brussels, 19 October 2016.
         
            
               For the Commission
            
            
               The President
            
            Jean-Claude JUNCKER
         
      
      
         (1)  OJ L 201, 27.7.2012, p. 1.
      
         (2)  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).
      
         (3)  http://www.fsb.org/wp-content/uploads/r_140919.pdf
      
         (4)  Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
      
         ANNEX
         
            
               ‘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
                           U = UPI
                        
                        
                            
                        
                     
                           4
                        
                        
                           Product classification
                        
                        
                           ISO 10692 CFI, 6 characters alphabetical code
                           Endorsed UPI
                        
                        
                            
                        
                     
                           5
                        
                        
                           Product identification type
                        
                        
                           Specify the applicable identification:
                           
                                        
                                    
                                    
                                       I = ISIN
                                    
                                 
                                        
                                    
                                    
                                       A = AII
                                    
                                 
                        
                            
                        
                     
                           6
                        
                        
                           Product identification
                        
                        
                           For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code
                           For product identifier type A: Complete AII code in accordance with Article 4(8)
                        
                        
                            
                        
                     
                           7
                        
                        
                           Underlying identification type
                        
                        
                           I = ISIN
                           A = AII
                           U = UPI
                           B = Basket
                           X = Index
                        
                        
                            
                        
                     
                           8
                        
                        
                           Underlying identification
                        
                        
                           For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code
                           For underlying identification type A: complete AII code in accordance with Article 4(8)
                           For underlying identification type U: UPI
                           For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code in accordance with Article 4(8). Identifiers of individual components shall be separated with a dash “-”.
                           For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider
                        
                        
                            
                        
                     
                           9
                        
                        
                           Notional currency 1
                        
                        
                           ISO 4217 Currency Code, 3 alphabetical characters
                        
                        
                            
                        
                     
                           10
                        
                        
                           Notional currency 2
                        
                        
                           ISO 4217 Currency Code, 3 alphabetical characters
                        
                        
                            
                        
                     
                           11
                        
                        
                           Deliverable currency
                        
                        
                           ISO 4217 Currency Code, 3 alphabetical characters
                        
                        
                            
                        
                     
                            
                        
                        
                           
                              Section 2c — Details on the transaction
                           
                        
                        
                            
                        
                        
                           
                              All contracts
                           
                        
                     
                           12
                        
                        
                           Trade ID
                        
                        
                           Until global UTI is available, up to 52 alphanumerical character code including four special characters:“. - _.”
                           Special characters are not allowed at the beginning and at the end of the code. No space allowed.
                        
                        
                            
                        
                     
                           13
                        
                        
                           Report tracking number
                        
                        
                           An alphanumeric field up to 52 characters
                        
                        
                            
                        
                     
                           14
                        
                        
                           Complex trade component ID
                        
                        
                           An alphanumeric field up to 35 characters
                        
                        
                            
                        
                     
                           15
                        
                        
                           Venue of execution
                        
                        
                           ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters, in accordance with Article 4(b).
                        
                        
                            
                        
                     
                           16
                        
                        
                           Compression
                        
                        
                           Y = contract results from compression
                           N = contract does not result from compression
                        
                        
                            
                        
                     
                           17
                        
                        
                           Price/rate
                        
                        
                           Up to 20 numerical characters including decimals.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                           In case the price is reported in percent values, it should be expressed as percentage where 100 % is represented as “100”
                        
                        
                            
                        
                     
                           18
                        
                        
                           Price notation
                        
                        
                           U = Units
                           P = Percentage
                           Y = Yield
                        
                        
                            
                        
                     
                           19
                        
                        
                           Currency of price
                        
                        
                           ISO 4217 Currency Code, 3 alphabetic characters
                        
                        
                            
                        
                     
                           20
                        
                        
                           Notional
                        
                        
                           Up to 20 numerical characters including decimals.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                        
                        
                            
                        
                     
                           21
                        
                        
                           Price multiplier
                        
                        
                           Up to 20 numerical characters including decimals.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                        
                        
                            
                        
                     
                           22
                        
                        
                           Quantity
                        
                        
                           Up to 20 numerical characters including decimals.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                        
                        
                            
                        
                     
                           23
                        
                        
                           Up-front payment
                        
                        
                           Up to 20 numerical characters including decimals.
                           The negative symbol to be used to indicate that the payment was made, not received.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                        
                        
                            
                        
                     
                           24
                        
                        
                           Delivery type
                        
                        
                           C = Cash
                           P = Physical
                           O = Optional for counterparty or when determined by a third party
                        
                        
                            
                        
                     
                           25
                        
                        
                           Execution timestamp
                        
                        
                           ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
                        
                        
                            
                        
                     
                           26
                        
                        
                           Effective date
                        
                        
                           ISO 8601 date in the format YYYY-MM-DD
                        
                        
                            
                        
                     
                           27
                        
                        
                           Maturity date
                        
                        
                           ISO 8601 date in the format YYYY-MM-DD
                        
                        
                            
                        
                     
                           28
                        
                        
                           Termination date
                        
                        
                           ISO 8601 date in the format YYYY-MM-DD
                        
                        
                            
                        
                     
                           29
                        
                        
                           Settlement date
                        
                        
                           ISO 8601 date in the format YYYY-MM-DD
                        
                        
                            
                        
                     
                           30
                        
                        
                           Master Agreement type
                        
                        
                           Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any
                        
                        
                            
                        
                     
                           31
                        
                        
                           Master Agreement version
                        
                        
                           ISO 8601 date in the format YYYY
                        
                        
                            
                        
                     
                            
                        
                        
                           
                              Section 2d — Risk mitigation/Reporting
                           
                        
                        
                            
                        
                        
                           
                              All contracts
                           
                        
                     
                           32
                        
                        
                           Confirmation timestamp
                        
                        
                           ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
                        
                        
                            
                        
                     
                           33
                        
                        
                           Confirmation means
                        
                        
                           Y = Non-electronically confirmed
                           N = Non-confirmed
                           E = Electronically confirmed
                        
                        
                            
                        
                     
                            
                        
                        
                           
                              Section 2e — Clearing
                           
                        
                        
                            
                        
                        
                           
                              All contracts
                           
                        
                     
                           34
                        
                        
                           Clearing obligation
                        
                        
                           Y = Yes
                           N = No
                        
                        
                            
                        
                     
                           35
                        
                        
                           Cleared
                        
                        
                           Y = Yes
                           N = No
                        
                        
                            
                        
                     
                           36
                        
                        
                           Clearing timestamp
                        
                        
                           ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
                        
                        
                            
                        
                     
                           37
                        
                        
                           CCP
                        
                        
                           ISO 17442 Legal Entity Identifier (LEI)
                           20 alphanumerical character code
                        
                        
                            
                        
                     
                           38
                        
                        
                           Intragroup
                        
                        
                           Y = Yes
                           N = No
                        
                        
                            
                        
                     
                            
                        
                        
                           
                              Section 2f — Interest Rates
                           
                        
                        
                            
                        
                        
                           
                              Interest rate derivatives
                           
                        
                     
                           39
                        
                        
                           Fixed rate of leg 1
                        
                        
                           Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as “100”.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                        
                        
                            
                        
                     
                           40
                        
                        
                           Fixed rate of leg 2
                        
                        
                           Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as “100”.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                        
                        
                            
                        
                     
                           41
                        
                        
                           Fixed rate day count leg 1
                        
                        
                           Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression “Actual”, e.g. 30/360 or Actual/365
                        
                        
                            
                        
                     
                           42
                        
                        
                           Fixed rate day count leg 2
                        
                        
                           Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression “Actual”, e.g. 30/360 or Actual/365
                        
                        
                            
                        
                     
                           43
                        
                        
                           Fixed rate payment frequency leg 1 –time period
                        
                        
                           Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
                           
                                        
                                    
                                    
                                       Y = Year
                                    
                                 
                                        
                                    
                                    
                                       M = Month
                                    
                                 
                                        
                                    
                                    
                                       W = Week
                                    
                                 
                                        
                                    
                                    
                                       D = Day
                                    
                                 
                        
                            
                        
                     
                           44
                        
                        
                           Fixed rate payment frequency leg 1 — multiplier
                        
                        
                           Integer multiplier of the time period describing how often the counterparties exchange payments.
                           Up to 3 numerical characters.
                        
                        
                            
                        
                     
                           45
                        
                        
                           Fixed rate payment frequency leg 2 — time period
                        
                        
                           Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
                           
                                        
                                    
                                    
                                       Y = Year
                                    
                                 
                                        
                                    
                                    
                                       M = Month
                                    
                                 
                                        
                                    
                                    
                                       W = Week
                                    
                                 
                                        
                                    
                                    
                                       D = Day
                                    
                                 
                        
                            
                        
                     
                           46
                        
                        
                           Fixed rate payment frequency leg 2 — multiplier
                        
                        
                           Integer multiplier of the time period describing how often the counterparties exchange payments.
                           Up to 3 numerical characters.
                        
                        
                            
                        
                     
                           47
                        
                        
                           Floating rate payment frequency leg 1 — time period
                        
                        
                           Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
                           
                                        
                                    
                                    
                                       Y = Year
                                    
                                 
                                        
                                    
                                    
                                       M = Month
                                    
                                 
                                        
                                    
                                    
                                       W = Week
                                    
                                 
                                        
                                    
                                    
                                       D = Day
                                    
                                 
                        
                            
                        
                     
                           48
                        
                        
                           Floating rate payment frequency leg 1 — multiplier
                        
                        
                           Integer multiplier of the time period describing how often the counterparties exchange payments.
                           Up to 3 numerical characters.
                        
                        
                            
                        
                     
                           49
                        
                        
                           Floating rate payment frequency leg 2 — time period
                        
                        
                           Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:
                           
                                        
                                    
                                    
                                       Y = Year
                                    
                                 
                                        
                                    
                                    
                                       M = Month
                                    
                                 
                                        
                                    
                                    
                                       W = Week
                                    
                                 
                                        
                                    
                                    
                                       D = Day
                                    
                                 
                        
                            
                        
                     
                           50
                        
                        
                           Floating rate payment frequency leg 2 — multiplier
                        
                        
                           Integer multiplier of the time period describing how often the counterparties exchange payments.
                           Up to 3 numerical characters.
                        
                        
                            
                        
                     
                           51
                        
                        
                           Floating rate reset frequency leg 1 — time period
                        
                        
                           Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:
                           
                                        
                                    
                                    
                                       Y = Year
                                    
                                 
                                        
                                    
                                    
                                       M = Month
                                    
                                 
                                        
                                    
                                    
                                       W = Week
                                    
                                 
                                        
                                    
                                    
                                       D = Day
                                    
                                 
                        
                            
                        
                     
                           52
                        
                        
                           Floating rate reset frequency leg 1 — multiplier
                        
                        
                           Integer multiplier of the time period describing how often the counterparties reset the floating rate.
                           Up to 3 numerical characters.
                        
                        
                            
                        
                     
                           53
                        
                        
                           Floating rate reset frequency leg 2 — time period
                        
                        
                           Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:
                           
                                        
                                    
                                    
                                       Y = Year
                                    
                                 
                                        
                                    
                                    
                                       M = Month
                                    
                                 
                                        
                                    
                                    
                                       W = Week
                                    
                                 
                                        
                                    
                                    
                                       D = Day
                                    
                                 
                        
                            
                        
                     
                           54
                        
                        
                           Floating rate reset frequency leg 2 — multiplier
                        
                        
                           Integer multiplier of the time period describing how often the counterparties reset the floating rate.
                           Up to 3 numerical characters.
                        
                        
                            
                        
                     
                           55
                        
                        
                           Floating rate of leg 1
                        
                        
                           The name of the floating rate index
                           
                                        
                                    
                                    
                                       “EONA” — EONIA
                                    
                                 
                                        
                                    
                                    
                                       “EONS” — EONIA SWAP
                                    
                                 
                                        
                                    
                                    
                                       “EURI” — EURIBOR
                                    
                                 
                                        
                                    
                                    
                                       “EUUS” — EURODOLLAR
                                    
                                 
                                        
                                    
                                    
                                       “EUCH” — EuroSwiss
                                    
                                 
                                        
                                    
                                    
                                       “GCFR” — GCF REPO
                                    
                                 
                                        
                                    
                                    
                                       “ISDA” — ISDAFIX
                                    
                                 
                                        
                                    
                                    
                                       “LIBI” — LIBID
                                    
                                 
                                        
                                    
                                    
                                       “LIBO” — LIBOR
                                    
                                 
                                        
                                    
                                    
                                       “MAAA” — Muni AAA
                                    
                                 
                                        
                                    
                                    
                                       “PFAN” — Pfandbriefe
                                    
                                 
                                        
                                    
                                    
                                       “TIBO” — TIBOR
                                    
                                 
                                        
                                    
                                    
                                       “STBO” — STIBOR
                                    
                                 
                                        
                                    
                                    
                                       “BBSW” — BBSW
                                    
                                 
                                        
                                    
                                    
                                       “JIBA” — JIBAR
                                    
                                 
                                        
                                    
                                    
                                       “BUBO” — BUBOR
                                    
                                 
                                        
                                    
                                    
                                       “CDOR” — CDOR
                                    
                                 
                                        
                                    
                                    
                                       “CIBO” — CIBOR
                                    
                                 
                                        
                                    
                                    
                                       “MOSP” — MOSPRIM
                                    
                                 
                                        
                                    
                                    
                                       “NIBO” — NIBOR
                                    
                                 
                                        
                                    
                                    
                                       “PRBO” — PRIBOR
                                    
                                 
                                        
                                    
                                    
                                       “TLBO” — TELBOR
                                    
                                 
                                        
                                    
                                    
                                       “WIBO” — WIBOR
                                    
                                 
                                        
                                    
                                    
                                       “TREA” — Treasury
                                    
                                 
                                        
                                    
                                    
                                       “SWAP” — SWAP
                                    
                                 
                                        
                                    
                                    
                                       “FUSW” — Future SWAP
                                    
                                 Or up to 25 alphanumerical characters if the reference rate is not included in the above list
                        
                        
                            
                        
                     
                           56
                        
                        
                           Floating rate reference period leg 1 — time period
                        
                        
                           Time period describing reference period, whereby the following abbreviations apply:
                           
                                        
                                    
                                    
                                       Y = Year
                                    
                                 
                                        
                                    
                                    
                                       M = Month
                                    
                                 
                                        
                                    
                                    
                                       W = Week
                                    
                                 
                                        
                                    
                                    
                                       D = Day
                                    
                                 
                        
                            
                        
                     
                           57
                        
                        
                           Floating rate reference period leg 1 — multiplier
                        
                        
                           Integer multiplier of the time period describing the reference period.
                           Up to 3 numerical characters.
                        
                        
                            
                        
                     
                           58
                        
                        
                           Floating rate of leg 2
                        
                        
                           The name of the floating rate index
                           
                                        
                                    
                                    
                                       “EONA” — EONIA
                                    
                                 
                                        
                                    
                                    
                                       “EONS” — EONIA SWAP
                                    
                                 
                                        
                                    
                                    
                                       “EURI” — EURIBOR
                                    
                                 
                                        
                                    
                                    
                                       “EUUS” — EURODOLLAR
                                    
                                 
                                        
                                    
                                    
                                       “EUCH” — EuroSwiss
                                    
                                 
                                        
                                    
                                    
                                       “GCFR” — GCF REPO
                                    
                                 
                                        
                                    
                                    
                                       “ISDA” — ISDAFIX
                                    
                                 
                                        
                                    
                                    
                                       “LIBI” — LIBID
                                    
                                 
                                        
                                    
                                    
                                       “LIBO” — LIBOR
                                    
                                 
                                        
                                    
                                    
                                       “MAAA” — Muni AAA
                                    
                                 
                                        
                                    
                                    
                                       “PFAN” — Pfandbriefe
                                    
                                 
                                        
                                    
                                    
                                       “TIBO” — TIBOR
                                    
                                 
                                        
                                    
                                    
                                       “STBO” — STIBOR
                                    
                                 
                                        
                                    
                                    
                                       “BBSW” — BBSW
                                    
                                 
                                        
                                    
                                    
                                       “JIBA” — JIBAR
                                    
                                 
                                        
                                    
                                    
                                       “BUBO” — BUBOR
                                    
                                 
                                        
                                    
                                    
                                       “CDOR” — CDOR
                                    
                                 
                                        
                                    
                                    
                                       “CIBO” — CIBOR
                                    
                                 
                                        
                                    
                                    
                                       “MOSP” — MOSPRIM
                                    
                                 
                                        
                                    
                                    
                                       “NIBO” — NIBOR
                                    
                                 
                                        
                                    
                                    
                                       “PRBO” — PRIBOR
                                    
                                 
                                        
                                    
                                    
                                       “TLBO” — TELBOR
                                    
                                 
                                        
                                    
                                    
                                       “WIBO” — WIBOR
                                    
                                 
                                        
                                    
                                    
                                       “TREA” — Treasury
                                    
                                 
                                        
                                    
                                    
                                       “SWAP” — SWAP
                                    
                                 
                                        
                                    
                                    
                                       “FUSW” — Future SWAP
                                    
                                 Or up to 25 alphanumerical characters if the reference rate is not included in the above list
                        
                        
                            
                        
                     
                           59
                        
                        
                           Floating rate reference period leg 2 — time period
                        
                        
                           Time period describing reference period, whereby the following abbreviations apply:
                           
                                        
                                    
                                    
                                       Y = Year
                                    
                                 
                                        
                                    
                                    
                                       M = Month
                                    
                                 
                                        
                                    
                                    
                                       W = Week
                                    
                                 
                                        
                                    
                                    
                                       D = Day
                                    
                                 
                        
                            
                        
                     
                           60
                        
                        
                           Floating rate reference period leg 2 — multiplier
                        
                        
                           Integer multiplier of the time period describing the reference period.
                           Up to 3 numerical characters.
                        
                        
                            
                        
                     
                            
                        
                        
                           
                              Section 2g — Foreign Exchange
                           
                        
                        
                            
                        
                        
                           
                              Currency derivatives
                           
                        
                     
                           61
                        
                        
                           Delivery currency 2
                        
                        
                           ISO 4217 Currency Code, 3 alphabetical character code
                        
                        
                            
                        
                     
                           62
                        
                        
                           Exchange rate 1
                        
                        
                           Up to 10 numerical digits including decimals.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                        
                        
                            
                        
                     
                           63
                        
                        
                           Forward exchange rate
                        
                        
                           Up to 10 numerical characters including decimals.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                        
                        
                            
                        
                     
                           64
                        
                        
                           Exchange rate basis
                        
                        
                           Two ISO 4217 currency codes separated by “/”. First currency code shall indicate the base currency, and the second currency code shall indicate the quote currency.
                        
                        
                            
                        
                     
                            
                        
                        
                           
                              Section 2h — Commodities and emission allowances
                           
                        
                        
                            
                        
                        
                           
                              Commodity and emission allowance derivatives
                           
                        
                      
                        
                           
                              General
                           
                        
                     
                           65
                        
                        
                           Commodity base
                        
                        
                           AG = Agricultural
                           EN = Energy
                           FR = Freights
                           ME = Metals
                           IN = Index
                           EV = Environmental
                           EX = Exotic
                           OT = Other
                        
                        
                            
                        
                     
                           66
                        
                        
                           Commodity details
                        
                        
                           Agricultural
                           
                                        
                                    
                                    
                                       GO = Grains oilseeds
                                    
                                 
                                        
                                    
                                    
                                       DA = Dairy
                                    
                                 
                                        
                                    
                                    
                                       LI = Livestock
                                    
                                 
                                        
                                    
                                    
                                       FO = Forestry
                                    
                                 
                                        
                                    
                                    
                                       SO = Softs
                                    
                                 
                                        
                                    
                                    
                                       SF = Seafood
                                    
                                 
                                        
                                    
                                    
                                       OT = Other
                                    
                                 Energy
                           
                                        
                                    
                                    
                                       OI = Oil
                                    
                                 
                                        
                                    
                                    
                                       NG = Natural gas
                                    
                                 
                                        
                                    
                                    
                                       CO = Coal
                                    
                                 
                                        
                                    
                                    
                                       EL = Electricity
                                    
                                 
                                        
                                    
                                    
                                       IE = Inter-energy
                                    
                                 
                                        
                                    
                                    
                                       OT = Other
                                    
                                 Freights
                           
                                        
                                    
                                    
                                       DR = Dry
                                    
                                 
                                        
                                    
                                    
                                       WT = Wet
                                    
                                 
                                        
                                    
                                    
                                       OT = Other
                                    
                                 Metals
                           
                                        
                                    
                                    
                                       PR = Precious
                                    
                                 
                                        
                                    
                                    
                                       NP = Non-precious
                                    
                                 Environmental
                           
                                        
                                    
                                    
                                       WE = Weather
                                    
                                 
                                        
                                    
                                    
                                       EM = Emissions
                                    
                                 
                                        
                                    
                                    
                                       OT = Other
                                    
                                 
                        
                            
                        
                      
                        
                           
                              Energy
                           
                        
                     
                           67
                        
                        
                           Delivery point or zone
                        
                        
                           EIC code, 16 character alphanumeric code
                           Repeatable field.
                        
                        
                            
                        
                     
                           68
                        
                        
                           Interconnection Point
                        
                        
                           EIC code, 16 character alphanumeric code
                        
                        
                            
                        
                     
                           69
                        
                        
                           Load type
                        
                        
                           BL = Base Load
                           PL = Peak Load
                           OP = Off-Peak
                           BH = Hour/Block Hours
                           SH = Shaped
                           GD = Gas Day
                           OT = Other
                        
                        
                            
                        
                      
                        
                           Repeatable section of fields 70 — 77
                        
                     
                           70
                        
                        
                           Load delivery intervals
                        
                        
                           hh:mmZ
                        
                        
                            
                        
                     
                           71
                        
                        
                           Delivery start date and time
                        
                        
                           ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
                        
                        
                            
                        
                     
                           72
                        
                        
                           Delivery end date and time
                        
                        
                           ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
                        
                        
                            
                        
                     
                           73
                        
                        
                           Duration
                        
                        
                           N = Minutes
                           H = Hour
                           D = Day
                           W = Week
                           M = Month
                           Q = Quarter
                           S = Season
                           Y = Annual
                           O = Other
                        
                        
                            
                        
                     
                           74
                        
                        
                           Days of the week
                        
                        
                           WD = Weekdays
                           WN = Weekend
                           MO = Monday
                           TU = Tuesday
                           WE = Wednesday
                           TH = Thursday
                           FR = Friday
                           SA = Saturday
                           SU = Sunday
                           Multiple values separated by “/” are permitted
                        
                        
                            
                        
                     
                           75
                        
                        
                           Delivery capacity
                        
                        
                           Up to 20 numerical digits including decimals
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                        
                        
                            
                        
                     
                           76
                        
                        
                           Quantity Unit
                        
                        
                           KW
                           KWh/h
                           KWh/d
                           MW
                           MWh/h
                           MWh/d
                           GW
                           GWh/h
                           GWh/d
                           Therm/d
                           KTherm/d
                           MTherm/d
                           cm/d
                           mcm/d
                        
                        
                            
                        
                     
                           77
                        
                        
                           Price/time interval quantities
                        
                        
                           Up to 20 numerical characters including decimals.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                        
                        
                            
                        
                     
                            
                        
                        
                           
                              Section 2i — Options
                           
                        
                        
                            
                        
                        
                           
                              Contracts that contain an option
                           
                        
                     
                           78
                        
                        
                           Option type
                        
                        
                           P = Put
                           C = Call
                           O = where it cannot be determined whether it is a call or a put
                        
                        
                            
                        
                     
                           79
                        
                        
                           Option exercise style
                        
                        
                           A = American
                           B = Bermudan
                           E = European
                           S = Asian
                           More than one value is allowed
                        
                        
                            
                        
                     
                           80
                        
                        
                           Strike price (cap/floor rate)
                        
                        
                           Up to 20 numerical characters including decimals.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                           The negative symbol, if populated, is not counted as a numerical character.
                           Where the strike price is reported in percent values, it should be expressed as percentage where 100 % is represented as “100”
                        
                        
                            
                        
                     
                           81
                        
                        
                           Strike price notation
                        
                        
                           U = Units
                           P = Percentage
                           Y = Yield
                        
                        
                            
                        
                     
                           82
                        
                        
                           Maturity date of the underlying
                        
                        
                           ISO 8601 date in the format YYYY-MM-DD
                        
                        
                            
                        
                     
                            
                        
                        
                           
                              Section 2j — Credit derivatives
                           
                        
                        
                            
                        
                        
                            
                        
                     
                           83
                        
                        
                           Seniority
                        
                        
                           SNDB = Senior, such as Senior Unsecured Debt (Corporate/Financial), Foreign Currency Sovereign Debt (Government),
                           SBOD = Subordinated, such as Subordinated or Lower Tier 2 Debt (Banks), Junior Subordinated or Upper Tier 2 Debt (Banks),
                           OTHR = Other, such as Preference Shares or Tier 1 Capital (Banks) or other credit derivatives
                        
                        
                            
                        
                     
                           84
                        
                        
                           Reference entity
                        
                        
                           ISO 3166 — 2 character country code
                           or
                           ISO 3166-2 — 2 character country code followed by dash “-” and up to 3 alphanumeric character country subdivision code
                           or
                           ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code
                        
                        
                            
                        
                     
                           85
                        
                        
                           Frequency of payment
                        
                        
                           MNTH = Monthly
                           QURT = Quarterly
                           MIAN = Semi-annually
                           YEAR = Yearly
                        
                        
                            
                        
                     
                           86
                        
                        
                           The calculation basis
                        
                        
                           Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression “Actual”, e.g. 30/360 or Actual/365
                        
                        
                            
                        
                     
                           87
                        
                        
                           Series
                        
                        
                           Integer field up to 5 characters
                        
                        
                            
                        
                     
                           88
                        
                        
                           Version
                        
                        
                           Integer field up to 5 characters
                        
                        
                            
                        
                     
                           89
                        
                        
                           Index factor
                        
                        
                           Up to 10 numerical characters including decimals.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                        
                        
                            
                        
                     
                           90
                        
                        
                           Tranche
                        
                        
                           T = Tranched
                           U = Untranched
                        
                        
                            
                        
                     
                           91
                        
                        
                           Attachment point
                        
                        
                           Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                        
                        
                            
                        
                     
                           92
                        
                        
                           Detachment point
                        
                        
                           Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.
                           The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot.
                        
                        
                            
                        
                     
                            
                        
                        
                           
                              Section 2k — Modifications to the contract
                           
                        
                        
                            
                        
                        
                            
                        
                     
                           93
                        
                        
                           Action type
                        
                        
                           N = New
                           M = Modify
                           E = Error
                           C = Early Termination
                           R = Correction
                           Z = Compression
                           V = Valuation update
                           P = Position component
                        
                        
                            
                        
                     
                           94
                        
                        
                           Level
                        
                        
                           T = Trade
                           P = Position’
                        
                        
                            
                        
                     
         
         
            (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).