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:
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 |