ANNEX
The minimum set of the information on financial contracts to be included in the detailed records
Field
Description of information to be maintained in detailed records of financial contracts
Section 1 — Parties to the financial contract
1
Record keeping timestamp
Date and time of record entry.
2
Type of ID of the reporting counterparty
Type of code used to identify the reporting counterparty.
3
Reporting Counterparty ID
Unique code (Legal Entity Identifier (LEI), where available) identifying the reporting counterparty.
4
Type of ID of the other counterparty
Type of code used to identify the other counterparty.
5
ID of the other counterparty
Unique code (LEI, where available) identifying the other counterparty of the financial contract. This field shall be filled from the perspective of the reporting counterparty. In the case of an individual, a client code shall be used in a consistent manner.
6
Name of the reporting counterparty
Corporate name of the reporting counterparty.
This field can be left blank where LEI is used to identify the reporting counterparty.
7
Domicile of the reporting counterparty
Information on the registered office, consisting of full address, city and country of the reporting counterparty.
This field can be left blank where LEI is used to identify the reporting counterparty.
8
Country of the other Counterparty
The country code of the country where the registered office of the other counterparty is located or, if the other counterparty is a natural person, of the country of residence.
9
Governing law
Identify the law governing the financial contract.
10
Contractual recognition — Write down and conversion powers (only for contracts governed by third country law subject to the requirement of the contractual term under the first subparagraph of Article 55(1) of Directive 2014/59/EU)
The contractual term required under Article 55(1) of Directive 2014/59/EU.
When such contractual term is included in a master agreement and applies to all trades governed by that master agreement, it can be recorded at the master agreement level.
11
Contractual recognition — Suspension of termination rights (only for contracts governed by third country law)
The contractual term by which the creditor or party to the agreement creating the liability recognises the power of the resolution authority of a Member State to suspend termination rights.
Where such contractual term is included in a master agreement and applies to all trades governed by that master agreement, it can be recorded at the master agreement level.
12
Contractual recognition — Resolution powers (only for contracts governed by third country law)
The contractual term, if any, by which the creditor or party to the agreement creating the liability recognises the power of a Member State resolution authority to apply resolution powers other than those identified in fields 10 and 11.
Where such contractual term is included in a master agreement and applies to all trades governed by that master agreement, it can be recorded at the master agreement level.
13
Core business lines
Identify which core business line or core business lines the financial contract relates to, if any.
14
Value of the contract
Mark-to-market valuation of the financial contract, or mark-to-model valuation used in application of Article 11(2) of Regulation (EU) No 648/2012 and reported in application of Article 9 of Regulation (EU) No 648/2012 and delegated and implementing regulations adopted thereunder. The CCP's valuation is to be used for a cleared trade.
15
Currency of the value
The currency used for the valuation of the financial contract.
16
Valuation timestamp
Date and time of the last valuation.
For mark-to-market valuation, the date and time of publishing of reference prices shall be reported.
17
Valuation type
Indicate whether valuation was performed mark-to-market or mark-to-model or provided by the CCP.
18
Collateralisation
Indicate whether a collateral agreement between the counterparties exists. Where the financial contract is covered by the reporting requirements under Article 9 of Regulation (EU) No 648/2012 and delegated and implementing regulations adopted thereunder, information on collateralisation shall be provided as required by those requirements.
19
Collateral portfolio
Indicate 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.
20
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.
21
Initial margin posted
Value of the initial margin posted by the reporting counterparty to the other counterparty.
Where the initial margin is posted on a portfolio basis, this field should include the overall values of the initial margin posted for the portfolio.
22
Currency of the initial margin posted
Specify the currency of the initial margin posted.
23
Variation margin posted
Value of the variation margin posted, including cash settled, by the reporting counterparty to the other counterparty.
Where the variation margin is posted on a portfolio basis, this field should include the overall value of the variation margin posted for the portfolio.
24
Currency of the variation margin posted
Specify the currency of the variation margin posted.
25
Initial margin received
Value of the initial margin received by the reporting counterparty from the other counterparty.
Where the initial margin is received on a portfolio basis, this field should include the overall value of the initial margin received for the portfolio.
26
Currency of the initial margin received
Specify the currency of the initial margin received.
27
Variation margin received
Value of the variation margin received, including cash settled, by the reporting counterparty from the other counterparty.
Where the variation margin is received on a portfolio basis, this field should include the overall value of the variation margin received for the portfolio.
28
Currency of the variation margin received
Specify the currency of the variation margin received
Section 2a — Financial contract type
29
Type of the financial contract
Classify the financial contract according to Article 2, paragraph 1, point 100 of Directive 2014/59/EU.
30
Financial contract ID
Unique trade ID where the financial contract is covered by the reporting requirements under Article 9 of Regulation (EU) No 648/2012 and delegated and implementing regulations adopted thereunder. For any other financial contract, ID assigned by the reporting counterparty.
Section 2b — Details on the transaction
31
Effective date
Date when obligations under the financial contract come into effect.
32
Maturity date
Original date of expiry of the reported financial contract. An early termination shall not be recorded in this field.
33
Termination date
Termination date in the case of an early termination of the reported financial contract.
If not different from maturity date, this field shall be left blank.
34
Termination right
Indicate whether the other counterparty's termination right under the reported financial contract is based on the insolvency or financial condition of the institution under resolution.
Where such contractual term is included in a master agreement and applies to all trades governed by that master agreement, it can be recorded at the master agreement level.
35
Master Agreement type
Reference to the name of the relevant master agreement, if used for the reported financial contract (e.g. ISDA Master Agreement; Master Power Purchase and Sale Agreement; International ForEx Master Agreement; European Master Agreement or any local master agreements).
36
Master Agreement version
Reference to the year of the master agreement version used for the reported trade, if applicable (e.g. 1992, 2002, etc.).
37
Netting agreement
If the financial contract is a part of a netting arrangement as defined in Article 2(1)(98) of Directive 2014/59/EU, a unique reference of the netting arrangement.
38
Type of liability/claim
Indicate whether liabilities arising from the financial contract are:
—
entirely excluded from bail-in pursuant to Article 44(2) of Directive 2014/59/EU;
—
partially excluded from bail-in pursuant to Article 44(2) of Directive 2014/59/EU;
—
not excluded from bail-in pursuant to Article 44(2) of Directive 2014/59/EU.
Section 2c — Clearing
39
Clearing obligation
Indicate whether the reported financial contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation and both counterparties to the contract are subject to the clearing obligation under Regulation (EU) No 648/2012, as of the time of execution of the financial contract.
40
Cleared
Indicate whether clearing has taken place.
41
Clearing timestamp
Time and date when clearing took place.
42
CCP
In the case of a financial contract that has been cleared, the unique code for the CCP that has cleared the financial contract.
43
Intragroup
Indicate whether the financial contract was entered into as an intragroup transaction, defined in Article 3 of Regulation (EU) No 648/2012.
