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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.

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ANNEX IV Reference data to be provided for the purpose of transparency calculations

Table 1 Symbol table for Table 2

SYMBOL

DATA TYPE

DEFINITION

{ALPHANUM-n}

Up to n alphanumerical characters

Free text field.

{DECIMAL-n/m}

Decimal number of up to n digits in total of which up to m digits can be fraction digits

Numerical field for both positive and negative values:

  • decimal separator is "." (full stop);

  • the number may be prefixed with "-" (minus) to indicate negative numbers.

Where applicable, values shall be rounded and not truncated.

{COUNTRYCODE_2}

2 alphanumerical characters

2 letter country code, as defined by ISO 3166-1 alpha-2 country code

{CURRENCYCODE_3}

3 alphanumerical characters

3 letter currency code, as defined by ISO 4217 currency codes

{DATEFORMAT}

ISO 8601 date format

Dates should be formatted by the following format:YYYY-MM-DD.

{ISIN}

12 alphanumerical characters

ISIN code, as defined in ISO 6166

{LEI}

20 alphanumerical characters

Legal entity identifier as defined in ISO 17442

{MIC}

4 alphanumerical characters

Market identifier as defined in ISO 10383

{INDEX}

4 alphabetic characters

"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

Table 2 Details of the reference data to be provided for the purpose of transparency calculations

#

FIELD

DETAILS TO BE REPORTED

FORMAT FOR REPORTING

1

Instrument identification code

Code used to identify the financial instrument

{ISIN}

2

Instrument full name

Full name of the financial instrument

{ALPHANUM-350}

3

MiFIR identifier

Identification of non-equity financial instruments:

Securitised derivatives as defined in Table 4.1 in Section 4 of Annex III

Structured Finance Products (SFPs) as defined in Article 2(1)(28) of Regulation (EU) No 600/2014

Bonds (for all bonds except ETCs and ETNs) as defined in Article (2)(1)(24)(b) of Regulation 600/2014/EU

ETCs as defined in Article (2)(1)(24)(b) of Regulation 600/2014/EU and further specified in Table 2.4 of Section 2 of Annex III

ETNs as defined in Article (2)(1)(24)(b) of Regulation 600/2014/EU and further specified in Table 2.4 of Section 2 of Annex III

Emission allowances as defined in Table 12.1 of Section 12 of Annex III

Derivative as defined in paragraphs 4 to 10 of Part 1 of Schedule 2 to the Regulated Activities Order

Non-equity financial instruments:

"SDRV" — Securitised derivatives

"SFPS" — Structured Finance Products (SFPs)

"BOND" — Bonds

"ETCS" — ETCs

"ETNS" — ETNs

"EMAL" — Emission Allowances

"DERV" — Derivative

4

Asset class of the underlying

To be populated when the MiFIR identifier is a securitised derivative or a derivative.

"INTR" — Interest rate

"EQUI" — Equity

"COMM" — Commodity

"CRDT" — Credit

"CURR" — Currency

"EMAL" — Emission Allowances

5

Contract type

To be populated when the MiFIR identifier is a derivative.

"OPTN" — Options

"FUTR" — Futures

"FRAS" — Forward Rate Agreement (FRA)

"FORW" — Forwards

"SWAP" — Swaps

"PSWP" — Portfolio Swaps

"SWPT" — Swaptions

"FONS" — Futures on a swap

"FWOS" — Forwards on a swap

"FFAS" — Forward Freight Agreements (FFAs)

"SPDB" — Spread betting

"CFDS" — CFD

"OTHR" — Other

6

Reporting day

Day for which the reference data is provided

{DATEFORMAT}

7

Trading venue

Segment MIC for the trading venue, where available, otherwise operational MIC.

{MIC}

8

Maturity

Maturity of the financial instrument. Field applicable for the asset classes of bonds, interest rate derivatives, equity derivatives, commodity derivatives, foreign exchange derivatives, credit derivatives C10 derivatives and derivatives on emission allowances.

{DATEFORMAT}

Bonds (all bond types except ETCs and ETNs) related fields

9

Bond type

Bond type as specified in Table 2.2 of Section 2 of Annex III. To be populated only when the MiFIR identifier is equal to bonds.

"EUSB" — Sovereign Bond

"OEPB" — Other Public Bond

"CVTB" — Convertible Bond

"CVDB" — Covered Bond

"CRPB" — Corporate Bond

"OTHR" — Other

10

Issuance date

Date on which a bond is issued and begins to accrue interest.

{DATEFORMAT}

Emission Allowances related fields

The fields in this section should only be populated for emission allowances as defined in Table 12.1 of Section 12 of Annex III

11

Emissions Allowances sub type

Emissions Allowances

"CERE" — CER

"ERUE" — ERU

"EUAE" — EUA

"EUAA" — EUAA

Derivatives related fields

Commodity derivatives and C10 derivatives

12

Specification of the size related to the freight sub-type

To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight.

{ALPHANUM-25}

13

Specific route or time charter average

To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to freight.

{ALPHANUM-25}

14

Delivery/cash settlement location

To be populated when the base product specified in field 35 in Table 2 of the Annex in Delegated Regulation (EU) 2017/585 is equal to energy.

{ALPHANUM-25}

15

Notional currency

Currency in which the notional is denominated.

{CURRENCYCODE_3}

Interest rate derivatives

The fields in this section should only be populated for interest rate derivatives as defined in Table 5.1 of Section 5 of Annex III

16

Underlying type

To be populated for contract type different from swaps, swaptions, futures on a swap and forwards on a swap with one of the following alternatives

To be populated for the contract types of swaps, swaptions, futures on a swap and forwards on a swap with regard to the underlying swap with one of the following alternatives

"BOND" — Bond

"BNDF" — Bond Futures

"INTR" — Interest rate

"IFUT" — Interest rate Futures-FRA

"FFMC" — FLOAT TO FLOAT MULTI-CURRENCY SWAPS

"XFMC" — FIXED TO FLOAT MULTI-CURRENCY SWAPS

"XXMC" — FIXED TO FIXED MULTI-CURRENCY SWAPS

"OSMC" — OIS MULTI-CURRENCY SWAPS

"IFMC" — INFLATION MULTI-CURRENCY SWAPS

"FFSC" — FLOAT TO FLOAT SINGLE-CURRENCY SWAPS

"XFSC" — FIXED TO FLOAT SINGLE-CURRENCY SWAPS

"XXSC" — FIXED TO FIXED SINGLE-CURRENCY SWAPS

"OSSC" — OIS SINGLE-CURRENCY SWAPS

"IFSC" — INFLATION SINGLE-CURRENCY SWAPS

17

Issuer of the underlying bond

To be populated when the underlying type is a bond or a bond future with the legal entity identifier code (LEI) of the issuer of the direct or ultimate underlying bond.

{LEI}

18

Maturity date of the underlying bond

To be populated with the date of maturity of the underlying bond.

The field applies to debt instruments with defined maturity.

{DATEFORMAT}

19

Issuance date of the underlying bond

To be populated with the issuance date of the underlying bond

{DATEFORMAT}

20

Notional currency of the swaption

To be populated for swaptions.

{CURRENCYCODE_3}

21

Maturity of the underlying swap

To be populated for swaptions, futures on swaps and forwards on a swap only.

{DATEFORMAT}

22

Inflation index ISIN code

In case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap; whenever the inflation index has an ISIN, the field has to be populated with the ISIN code for that index.

{ISIN}

23

Inflation index name

To be populated with standardised name of the index in case of swaptions on one of the following underlying swap types: inflation single currency swap, futures/forwards on inflation single currency swap, inflation multi-currency swap, futures/forwards on inflation multi-currency swap.

{ALPHANUM-25}

24

Reference rate

Name of the reference rate.

{INDEX}

or

{ALPHANUM-25}- if the reference rate is not included in the {INDEX} list

25

IR Term of contract

This field states the term of the contract. The term shall be expressed in days, weeks, months or years.

{INTEGER-3}+"DAYS" — days

{INTEGER-3}+"WEEK" — weeks

{INTEGER-3}+"MNTH" — months

{INTEGER-3}+"YEAR" — years

Foreign exchange derivatives

The fields in this section should only be populated for foreign exchange derivatives as defined in Table 8.1 of Section 8 of Annex III

26

Contract sub-type

To be populated so as to differentiate deliverable and non-deliverable forwards, options and swaps as defined in Table 8.1 of Section 8 of Annex III.

"DLVB" — Deliverable

"NDLV" — Non-deliverable

Equity derivatives

The fields should only be populated for equity derivatives as defined in Table 6.1 of Section 6 of Annex III

27

Underlying type

To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is neither swaps nor portfolio swaps.

"STIX" — Stock Index

"SHRS" — Share/Stock

"DIVI" — Dividend Index

"DVSE" — Stock dividend

"BSKT" — Basket of shares resulting from a corporate action

"ETFS" — ETFs

"VOLI" — Volatility Index

"OTHR" — Other (including depositary receipts, certificates and other equity like financial instrument)

To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a single name.

"SHRS" — Share/Stock

"DVSE" — Stock dividend

"ETFS" — ETFs

"OTHR" — Other (including depositary receipts, certificates and other equity like financial instrument)

To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is an index.

"STIX" — Stock Index

"DIVI" — Dividend Index

"VOLI" — Volatility Index

"OTHR" — Other

To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity, the sub-asset class is either swaps or portfolio swaps and the segmentation criterion 2 as defined in Table 6.1 of Section 6 of Annex III is a basket.

"BSKT" — Basket

28

Parameter

To be populated when the MiFIR identifier is a derivative, the asset class of the underlying is equity and the sub-asset class is one of the following: swaps, portfolio swaps.

"PRBP" — Price return basic performance parameter

"PRDV" — Parameter return dividend

"PRVA" — Parameter return variance

"PRVO" — Parameter return volatility

Contracts for difference (CFDs)

The fields should only be populated when the contract type is equal to contract for difference or spread betting

29

Underlying type

To be populated when the MiFIR identifier is a derivative and the contract type is equal to contract for difference or spread betting.

"CURR" — Currency

"EQUI" — Equity

"BOND" — Bonds

"FTEQ" — Futures on an equity

"OPEQ" — Options on an equity

"COMM" — Commodity

"EMAL" — Emission Allowances

"OTHR" — Other

30

Notional currency 1

Currency 1 of the underlying currency pair. This field is applicable when the underlying type is currency.

{CURRENCYCODE_3}

31

Notional currency 2

Currency 2 of the underlying currency pair. This field is applicable when the underlying type is currency.

{CURRENCYCODE_3}

Credit derivatives

32

ISIN code of the underlying credit default swap

To be populated for derivatives on a credit default swaps with the ISIN code of the underlying swap.

{ISIN}

33

Underlying Index code

To be populated for derivatives on a CDS index with the ISIN code of the index.

{ISIN}

34

Underlying Index name

To be populated for derivatives on a CDS index with the standardised name of the index.

{ALPHANUM-25}

35

Series

The series number of the composition of the index if applicable.To be populated for a CDS Index or a derivative on a CDS Index with the series of the CDS Index.

{DECIMAL-18/17}

36

Version

A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index.

To be populated for a CDS Index or a derivative on a CDS Index with the version of the CDS Index.

{DECIMAL-18/17}

37

Roll months

All months when the roll is expected as established by the index provider for a given year. Field should be repeated for each month in the roll.

To be populated for a CDS Index or a derivative on a CDS Index.

"01", "02", "03", "04", "05", "06", "07", "08", "09", "10", "11", "12"

38

Next roll date

To be populated in the case of a CDS Index or a derivative on a CDS Index with the next roll date of the index as established by the index provider.

{DATEFORMAT}

39

Issuer of sovereign and public type

To be populated when the reference entity of a single name CDS or a derivative on single name CDS is a sovereign issuer as defined in Table 9.1 Section 9 of Annex III.

"TRUE" — the reference entity is an issuer of sovereign and public type

"FALSE" — the reference entity is not an issuer of sovereign and public type

40

Reference obligation

To be populated for a derivative on a single name credit default swap with the ISIN of the reference obligation.

{ISIN}

41

Reference entity

To be populated with the reference entity of a single name CDS or a derivative on single name CDS.

{COUNTRYCODE_2}

or

ISO 3166-2 — 2 character country code followed by dash "-" and up to 3 alphanumeric character country subdivision code

or

{LEI}

42

Notional currency

Currency in which the notional is denominated.

{CURRENCYCODE_3}

Emission allowance derivatives

The fields in this section should only be populated for emission allowance derivatives as defined in Table 13.1 of Section 13 of Annex III

43

Emission Allowances derivative sub type

To be populated when variable #3 "MiFIR identifier" is "DERV"-derivative and variable #4 "asset class of the underlying" is "EMAL"-emission allowances.

"CERE" — CER

"ERUE" — ERU

"EUAE" — EUA

"EUAA" — EUAA

"OTHR" — Other