Details to be reported to trade repositories
Table 1 Counterparty Data
| Field | Details to be reported | |
|---|---|---|
| Parties to the contract | ||
| 1 | Reporting timestamp | Date and time of reporting to the trade repository. |
| 2 | Counterparty ID | Unique code identifying the reporting counterparty. In case of an individual, a client code shall be used.
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| 3 | ID of the other counterparty | Unique code identifying the other counterparty of the contract. This field shall be filled from the perspective of the reporting counterparty. In case of an individual, a client code shall be used. |
| 4 | Name of the counterparty | Corporate name of the reporting counterparty. This field can be left blank in case the counterparty ID already contains this information.
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| 5 | Domicile of the counterparty | Information on the registered office, consisting of full address, city and country of the reporting counterparty. This field can be left blank in case the counterparty ID already contains this information.
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| 6 | Corporate sector of the counterparty | Nature of the reporting counterparty's company activities (bank, insurance company, etc.). This field can be left blank in case the counterparty ID already contains this information.
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| 7 | Financial or non-financial nature of the counterparty | Indicate if the reporting counterparty is a financial or non-financial counterparty in accordance with points 8 and 9 of Article 2 of Regulation (EU) No 648/2012. |
| 8 | Broker ID | In case a broker acts as intermediary for the reporting counterparty without becoming a counterparty, the reporting counterparty shall identify this broker by a unique code. In case of an individual, a client code shall be used. |
| 9 | Reporting entity ID | In case the reporting counterparty has delegated the submission of the report to a third party or to the other counterparty, this entity has to be identified in this field by a unique code. Otherwise this field shall be left blank. In case of an individual, a client code shall be used, as assigned by the legal entity used by the individual counterparty to execute the trade.
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| 10 | Clearing member ID | In case the reporting counterparty is not a clearing member, its clearing member shall be identified in this field by a unique code. In case of an individual, a client code, as assigned by the CCP, shall be used. |
| 11 | Beneficiary ID | The party subject to the rights and obligations arising from the contract. Where the transaction is executed via a structure, such as a trust or fund, representing a number of beneficiaries, the beneficiary should be identified as that structure. If the beneficiary of the contract is not a counterparty to this contract, the reporting counterparty has to identify this beneficiary by a unique code or, in case of individuals, by a client code as assigned by the legal entity used by the individual. |
| 12 | Trading capacity | Identifies whether the reporting counterparty has concluded the contract as principal on own account (on own behalf or behalf of a client) or as agent for the account of and on behalf of a client. |
| 13 | Counterparty side | Identifies whether the contract was a buy or a sell. In the case of an interest rate derivative contract, the buy side will represent the payer of leg 1 and the sell side will be the payer of leg 2. |
| 14 | Contract with non-EEA counterparty | Indicates whether the other counterparty is domiciled outside the EEA. |
| 15 | Directly linked to commercial activity or treasury financing | Information on whether the contract is objectively measurable as directly linked to the reporting counterparty's commercial or treasury financing activity, as referred to in Article 10(3) of Regulation (EU) No 648/2012. This field shall be left blank in case the reporting counterparty is a financial counterparty, as referred to in point 8 of Article 2 Regulation (EU) No 648/2012.
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| 16 | Clearing threshold | Information on whether the reporting counterparty is above the clearing threshold as referred to in Article 10(2) of Regulation (EU) No 648/2012. This field shall be left blank in case the reporting counterparty is a financial counterparty, as referred to in point 8 of Article 2 Regulation (EU) No 648/2012. |
| 17 | Mark to market value of contract | Mark to market valuation of the contract, or mark to model valuation where applicable under Article 11(2) of Regulation (EU) No 648/2012. |
| 18 | Currency of mark to market value of the contract | The currency used for the mark to market valuation of the contract, or mark to model valuation where applicable under Article 11(2) of Regulation (EU) No 648/2012. |
| 19 | Valuation date | Date of the last mark to market or mark to model valuation. |
| 20 | Valuation time | Time of the last mark to market or mark to model valuation. |
| 21 | Valuation type | Indicate whether valuation was performed mark to market or mark to model. |
| 22 | Collateralisation | Whether collateralisation was performed. |
| 23 | Collateral portfolio | Whether the collateralisation was performed on a portfolio basis. Portfolio means the collateral calculated on the basis of net positions resulting from a set of contracts, rather than per trade. |
| 24 | Collateral portfolio code | If collateral is reported on a portfolio basis, the portfolio should be identified by a unique code determined by the reporting counterparty. |
| 25 | Value of the collateral | Value of the collateral posted by the reporting counterparty to the other counterparty. Where collateral is posted on a portfolio basis, this field should include the value of all collateral posted for the portfolio. |
| 26 | Currency of the collateral value | Specify the value of the collateral for field 25. |
Table 2 Common Data
| Field | Details to be reported | Applicable types of derivative contract | |
|---|---|---|---|
| Contract type | All contracts | ||
| 1 | Taxonomy used | The contract shall be identified by using a product identifier. | |
| 2 | Product ID 1 | The contract shall be identified by using a product identifier. | |
| 3 | Product ID 2 | The contract shall be identified by using a product identifier. | |
| 4 | Underlying | The underlying shall be identified by using a unique identifier for this underlying. In case of baskets or indices, an indication for this basket or index shall be used where a unique identifier does not exist. | |
| 5 | Notional currency 1 | The currency of the notional amount. In the case of an interest rate derivative contract, this will be the notional currency of leg 1. | |
| 6 | Product identification | The product shall be identified through ISIN or AII. AII shall be used if a product is traded in a trading venue classified as AII in the register published on ESMA's website and set up on the basis of information provided by competent authorities pursuant to Article 13(2) of Commission Regulation (EC) No 1287/2006 as it had effect in EU law before IP completion day. AII shall only be used until 3 January 2018. | |
| 7 | Underlying identification type | The currency to be delivered.The type of relevant underlying identifier. | |
| Details on the transaction | All contracts | ||
| 8 | Underlying identification | A Unique Trade ID agreed at the European level, which is provided by the reporting counterparty. If there is no unique trade ID in place, a unique code should be generated and agreed with the other counterparty. The direct underlying shall be identified by using a unique identification for this underlying based on its type. AII shall only be used until 3 January 2018. For Credit Default Swaps, the ISIN of the reference obligation should be provided. In case of baskets composed, among others, of financial instruments traded in a trading venue, only financial instruments traded in a trading venue shall be specified. | |
| 9 | Transaction reference number | A unique identification number for the transaction provided by the reporting entity or a third party reporting on its behalf. | |
| 10 | Venue of execution | The venue of execution shall be identified by a unique code for this venue. In case of a contract concluded OTC, it has to be identified whether the respective instrument is admitted to trading but traded OTC or not admitted to trading and traded OTC. | |
| 11 | Compression | Identify whether the contract results from a compression exercise. | |
| 12 | Price/rate | The price per derivative excluding, where applicable, commission and accrued interest. | |
| 13 | Price notation | The manner in which the price is expressed. | |
| 14 | Notional amount | Original value of the contract. | |
| 15 | Price multiplier | The number of units of the financial instrument which are contained in a trading lot; for example, the number of derivatives represented by one contract. | |
| 16 | Quantity | Number of contracts included in the report, where more than one derivative contract is reported. | |
| 17 | Up-front payment | Amount of any up-front payment the reporting counterparty made or received. | |
| 18 | Delivery type | Indicates whether the contract is settled physically or in cash. | |
| 19 | Execution timestamp | As defined in Article 1(2). | |
| 20 | Effective date | Date when obligations under the contract come into effect. | |
| 21 | Maturity date | Original date of expiry of the reported contract. An early termination shall not be reported in this field. | |
| 22 | Termination date | Termination date of the reported contract. If not different from maturity date, this field shall be left blank. | |
| 23 | Date of Settlement | Date of settlement of the underlying. If more than one, further fields may be used (e.g. 23A, 23B, 23C, etc.). | |
| 24 | Master Agreement type | Reference to the name of the relevant master agreement, if used for the reported contract (e.g. ISDA Master Agreement; Master Power Purchase and Sale Agreement; International ForEx Master Agreement; European Master Agreement or any local Master Agreements). | |
| 25 | Master Agreement version | Reference to the year of the master agreement version used for the reported trade, if applicable (e.g. 1992, 2002, etc.). | |
| Risk mitigation/Reporting | All contracts | ||
| 26 | Confirmation timestamp | Date and time of the confirmation, as defined under Commission Delegated Regulation (EU) No 149/2013 indicating time zone in which the confirmation has taken place. | |
| 27 | Confirmation means | Whether the contract was electronically confirmed, non-electronically confirmed or remains unconfirmed. | |
| Clearing | All contracts | ||
| 28 | Clearing obligation | Indicates, whether the reported contract is subject to the clearing obligation under Regulation (EU) No 648/2012. | |
| 29 | Cleared | Indicates, whether clearing has taken place. | |
| 30 | Clearing timestamp | Time and date when clearing took place. | |
| 31 | CCP | In case of a contract that has been cleared, the unique code for the CCP that has cleared the contract. | |
| 32 | Intragroup | Indicates whether the contract was entered into as an intragroup transaction, defined in Article 3 of Regulation (EU) No 648/2012. | |
| Interest Rates | If a UPI is reported and contains all the information below, this is not required to be reported. | Interest rate derivatives | |
| 33 | Fixed rate of leg 1 | An indication of the fixed rate leg 1 used, if applicable. | |
| 34 | Fixed rate of leg 2 | An indication of the fixed rate leg 2 used, if applicable. | |
| 35 | Fixed rate day count | The actual number of days in the relevant fixed rate payer calculation period, if applicable. | |
| 36 | Fixed leg payment frequency | Frequency of payments for the fixed rate leg, if applicable. | |
| 37 | Floating rate payment frequency | Frequency of payments for the floating rate leg, if applicable. | |
| 38 | Floating rate reset frequency | Frequency of floating rate leg resets, if applicable. | |
| 39 | Floating rate of leg 1 | An indication of the interest rates used which are reset at predetermined intervals by reference to a market reference rate, if applicable. | |
| 40 | Floating rate of leg 2 | An indication of the interest rates used which are reset at predetermined intervals by reference to a market reference rate, if applicable. | |
| Foreign Exchange | If a UPI is reported and contains all the information below, this is not required to be reported. | Currency derivatives | |
| 41 | Currency 2 | The cross currency, if different from the currency of delivery. | |
| 42 | Exchange rate 1 | The contractual rate of exchange of the currencies. | |
| 43 | Forward exchange rate | Forward exchange rate on value date. | |
| 44 | Exchange rate basis | Quote base for exchange rate. | |
| Commodities | If a UPI is reported and contains all the information below, this is not required to be reported unless to be reported according to Regulation (EU) No 1227/2011 of the European Parliament and of the Council. | Commodity derivatives | |
| General | |||
| 45 | Commodity base | Indicates the type of commodity underlying the contract. | |
| 46 | Commodity details | Details of the particular commodity beyond field 45. | |
| Energy | Information to be reported according to Regulation (EU) No 1227/2011, if applicable. | ||
| 47 | Delivery point or zone | Delivery point(s) of market area(s). | |
| 48 | Interconnection Point | Identification of the border(s) or border point(s) of a transportation contract. | |
| 49 | Load type | Repeatable section of fields 50-54 to identify the product delivery profile which correspond to the delivery periods of a day. | |
| 50 | Delivery start date and time | Start date and time of delivery. | |
| 51 | Delivery end date and time | End date and time of delivery. | |
| 52 | Contract capacity | Quantity per delivery time interval. | |
| 53 | Quantity Unit | Daily or hourly quantity in MWh or kWh/d which corresponds to the underlying commodity. | |
| 54 | Price/time interval quantities | If applicable, price per time interval quantities. | |
| Options | If a UPI is reported and contains all the information below, this is not required to be reported. | Contracts that contain an option | |
| 55 | Option type | Indicates whether the contract is a call or a put. | |
| 56 | Option style (exercise) | Indicates whether the option may be exercised only at a fixed date (European, and Asian style), a series of pre-specified dates (Bermudan) or at any time during the life of the contract (American style). | |
| 57 | Strike price (cap/floor rate) | The strike price of the option. | |
| Modifications to the report | All contracts | ||
| 58 | Action type | Whether the report contains: a derivative contract or post-trade event for the first time, in which case it will be identified as "new"; a modification of details of a previously reported derivative contract, in which case it will be identified as "modify"; a cancellation of a wrongly submitted report, in which case, it will be identified as "error"; a termination of an existing contract, in which case it will be identified as "cancel"; a compression of the reported contract, in which case it will be identified as "compression"; an update of a contract valuation, in which case it will be identified as "valuation update"; any other amendment to the report, in which case it will be identified as "other". | |
| 59 | Details of action type | Where field 58 is reported as "other" the details of such amendment should be specified here. |