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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2021-01-01.

Article -1 Definitions

In this Regulation, ‘IP completion day’ has the meaning given in the European Union (Withdrawal) Act 2020.

Article 1 Format of derivative contract reports

The information contained in a report under Article 9 of Regulation (EU) No 648/2012 shall be provided in the format specified in the Annex to this Regulation.

Article 2 Frequency of derivative contract reports

Where provided for in Article 11(2) of Regulation (EU) No 648/2012, mark to market or mark to model valuations of contracts reported to a trade repository shall be done on a daily basis. Any other reporting elements as provided for in the Annex to this Regulation and the Annex to Regulation (EU) No 148/2013 shall be reported as they occur and taking into account the time limit foreseen under Article 9 of Regulation (EU) No 648/2012, notably as regards the conclusion, modification or termination of a contract.

Article 3 Identification of counterparties and other entities

A report shall use a legal entity identifier to identify:

  1. (a)

    a beneficiary which is a legal entity;

  2. (b)

    a broking entity;

  3. (c)

    a CCP;

  4. (d)

    a clearing member;

  5. (e)

    a counterparty which is a legal entity;

  6. (f)

    a submitting entity.

Article 3a Counterparty side

  1. (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. (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. (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. (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. (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. (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. (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. (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. (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. (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 4 Specification, identification, and classification of derivatives

  1. (1)

    A report shall specify a derivative on the basis of contract type and asset class in accordance with paragraphs 2 and 3.

  2. (2)

    The derivative shall be specified in Field 1 of Table 2 of the Annex as one of the following contract types:

    1. (a)

      financial contract for difference;

    2. (b)

      forward rate agreement;

    3. (c)

      forward;

    4. (d)

      future;

    5. (e)

      option;

    6. (f)

      spreadbet;

    7. (g)

      swap;

    8. (h)

      swaption;

    9. (i)

      other.

  3. (3)

    The derivative shall be specified in Field 2 of Table 2 of the Annex as one of the following asset classes:

    1. (a)

      commodities and emission allowances;

    2. (b)

      credit;

    3. (c)

      currency;

    4. (d)

      equity;

    5. (e)

      interest rate.

  4. (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. (5)

    The derivative shall be identified in Field 6 of Table 2 of the Annex using the following, where available:

    1. (a)

      an ISO 6166 International Securities Identification Number (ISIN) code or an Alternative Instrument Identifier code (AII), as applicable, until 3 January 2018;

    2. (b)

      an ISIN from 3 January 2018.

    Where an AII code is used, the complete AII code shall be used.

  6. (6)

    The complete AII code referred to in paragraph 5 shall be the result of the concatenation of the following six elements:

    1. (a)

      ISO 10383 Market Identifier Code (MIC) of the trading venue where the derivative is traded, specified using 4 alphanumeric characters;

    2. (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;

    3. (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;

    4. (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";

    5. (e)

      exercise date or maturity date of a derivative contract specified in ISO 8601 YYYY-MM-DD standard;

    6. (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. (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.

Article 4a Unique Trade Identifier

  1. (1)

    A report shall be identified through a unique trade identifier agreed by the counterparties.

  2. (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:

    1. (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;

    2. (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;

    3. (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;

    4. (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;

    5. (e)

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

      1. (i)

        where financial counterparties trade with non-financial counterparties, the financial counterparties shall generate the unique trade identifier;

      2. (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;

      3. (iii)

        for all trades other than those referred to in points (i) and (ii), the seller shall generate the unique trade identifier.

  3. (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 using the ISO 10383 Market Identifier Code (MIC).

Article 5 Reporting start date

  1. (1)

    Derivative contracts shall be reported:

    1. (a)

      Within six months of the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018, where a trade repository for that particular derivative class has been registered under Article 55 of Regulation (EU) No 648/2012 before the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018;

    2. (b)

      90 days after the registration of a trade repository for a particular derivative class under Article 55 of Regulation (EU) No 648/2012, where there is no trade repository registered for that particular derivative class before or on the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018, but in any event no earlier than six months after the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018;

    3. (c)

      Within six months of the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018, where there is no trade repository registered for that particular derivative class under Article 55 of Regulation (EU) No 648/2012 six months after the date of entry into force of Decision of the EEA Joint Committee No 112/2018 of 31 May 2018.

  2. (2)

    Derivative contracts not referred to in paragraph 1 shall be reported:

    1. (a)

      by 1 January 2014, where a trade repository for that particular derivative class has been registered under Article 55 of Regulation (EU) No 648/2012 before 1 October 2013;

    2. (b)

      90 days after the registration of a trade repository for a particular derivative class under Article 55 of Regulation (EU) No 648/2012, where there is no trade repository registered for that particular derivative class before or on 1 October 2013;

    3. (c)

      by 1 July 2015, where there is no trade repository registered for that particular derivative class under Article 55 of Regulation (EU) No 648/2012 by 1 July 2015.

  3. (3)

    Those derivative contracts which were outstanding on 16 August 2012 and are still outstanding on the reporting start date shall be reported to a trade repository within 90 days of the reporting start date for a particular derivative class.

  4. (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:

    1. (a)

      derivative contracts that were entered into before 16 August 2012 and were still outstanding on 16 August 2012;

    2. (b)

      derivative contracts that were entered into on or after 16 August 2012.

  5. (5)

    The reporting start date shall be extended by 180 days for the reporting of information referred to in Article 3 of Regulation (EU) No 148/2013.

Article 6 Entry into force

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

ANNEX Table 1 Counterparty Data Table 2 Common Data

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 counterparty

Taxonomy for Financial Counterparties:

C = Credit institution which is a CRR firm (within the definition in Article 4(1)(2A) of the Capital Requirements Regulation)

F = Investment firm within the meaning given in Article 2(1A) of the MIFIR which:

(i) has its registered office or head office in the United Kingdom;

(ii) has permission under Part 4A of the FSMA to carry on regulated activities relating to investment services and activities (as defined in Article 2(1)(2) of the MIFIR) in the United Kingdom;

(iii) would require authorisation under Directive 2014/65/EU (as it had effect immediately before IP completion day) if it had its registered office (or if it does not have a registered office, its head offices) in an EEA state; and

(iv) is not a firm which has permission under Part 4A of the FSMA to carry on regulated activities as an exempt investment firm, within the meaning of regulation 8 of the Financial Services and Markets Act 2000 (Markets in Financial Instruments) Regulations 2017;

I = Insurance undertaking as defined in section 417 of the FSMA

L = AIF (within the definition in regulation 3 of the Alternative Investment Fund Managers Regulations 2013) AIFMs (within the definition in regulation 4 of those Regulations) authorised or registered in accordance with those Regulations

O = Institution for occupational retirement provision within the meaning of section 1(1) of the Pension Schemes Act 1993

R = Reinsurance undertaking as defined in section 417 of the FSMA

U = UK UCITS (within the definition in section 237(3) of the FSMA) and its management company (within the definition in section 237(2) of the FSMA)

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 (as it had effect immediately before IP completion day)

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 contract

Section 2a - Contract type

All contracts

1

Contract type

CD = Financial contracts for difference

FR = Forward rate agreements

FU = Futures

FW = Forwards

OP = Option

SB = Spreadbet

SW = Swap

ST = Swaption

OT = Other

2

Asset class

CO = Commodity and emission allowances

CR = Credit

CU = Currency

EQ = Equity

IR = Interest Rate

Section 2b – Contract information

All contracts

3

Product classification type

C = CFI

4

Product classification

ISO 10692 CFI, 6 characters alphabetical code

5

Product identification type

Specify the applicable identification:

I = ISIN

A = AII

6

Product identification

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

For product identifier type A: Complete AII code

7

Underlying identification type

I = ISIN

A = AII

B = Basket

X = Index

8

Underlying identification

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

For underlying identification type A: complete AII code

For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code. Identifiers of individual components shall be separated with a dash ‘-’.

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

9

Notional currency 1

ISO 4217 Currency Code, 3 alphabetical characters

10

Notional currency 2

ISO 4217 Currency Code, 3 alphabetical characters

11

Deliverable currency

ISO 4217 Currency Code, 3 alphabetical characters

Section 2c – Details on the transaction

All contracts

12

Trade ID

Up to 52 alphanumerical character code including four special characters:‘. - _.’

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

13

Report tracking number

An alphanumeric field up to 52 characters

14

Complex trade component ID

An alphanumeric field up to 35 characters

15

Venue of execution

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

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