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The details of a derivative contract to be reported pursuant to Article 9 of Regulation (EU) No 648/2012 shall be provided in accordance with the standards and formats laid down in Tables 1, 2 and 3 of the Annex to this Regulation and in a common electronic and machine-readable form and in a common XML template in accordance with the ISO 20022 methodology.
1. All reports of the details of a derivative specified in Article 1 of Commission Delegated Regulation (EU) 2022/1855 ( 6 ) shall be provided in the chronological order in which the events pertaining to the information to be reported have occurred.
2. A CCP, a financial counterparty or a non-financial counterparty as referred to in Article 10 of Regulation (EU) No 648/2012, which is a counterparty to a derivative, or the entity responsible for reporting, shall report any modification of the details relating to the collateral data in fields 1 to 29 in Table 3 of the Annex to Delegated Regulation (EU) 2022/1855 with action type ‘Margin update’, as those details stand at the end of each day, for that derivative when:
(a)
the derivative has not matured and has not been the subject of a report with the action type ‘Terminate’, ‘Error’ or ‘Position component’ as referred to in field 151 in Table 2 of the Annex; or
(b)
the derivative was subject to a report with action type ‘Revive’ not followed by another report with the action type ‘Terminate’ or ‘Error’ as referred to in field 151 in Table 2 of the Annex.
3. A counterparty to a derivative referred to in points (a) and (b) of paragraph 2 that is a CCP, a financial counterparty or a non-financial counterparty as referred to in Article 10 of Regulation (EU) No 648/2012 or the entity responsible for reporting shall report the end-of-day mark-to-market or mark-to-model valuation of the contract in fields 21 to 25 in Table 2 of the Annex to Delegated Regulation (EU) 2022/1855 with action type ‘Valuation update’, as it stands at the end of each day.
1. A report shall use an ISO 17442 Legal Entity Identifier (LEI) code to identify:
(a)
a broking entity;
(b)
a CCP;
(c)
a clearing member;
(d)
a counterparty which is a legal entity;
(e)
a report submitting entity;
(f)
an entity responsible for reporting;
(g)
a post-trade risk reduction service provider.
2. A counterparty 1 to a derivative as referred to in the field 4 in Table 1 of the Annex to Delegated Regulation (EU) 2022/1855 and the entity responsible for reporting shall ensure that the reference data related to its ISO 17442 LEI code is renewed in accordance with the terms of any of the accredited Local Operating Units of the Global LEI System when reporting the conclusion or modification of a derivative contract pursuant to the Article 9 of Regulation (EU) No 648/2012.
1. The counterparty side to the derivative contract referred to in fields 17 to 19 in Table 1 of the Annex shall be determined at the time of the conclusion of the derivative in accordance with paragraphs 2 to 14.
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. In the case of forwards related to currencies, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
4. In the case of swaps related to currencies where multiple exchanges of currencies take place, each counterparty for both legs of the trade shall be identified as either the payer or the receiver of the leg based on the exchange of currencies that takes place closest to the expiration date.
5. In the case of forwards other than forwards relating to currencies and in the case of futures, the counterparty buying the instrument shall be identified as the buyer and the counterparty selling the instrument shall be identified as the seller.
6. In the case of financial contracts for difference and spreadbets the counterparty which goes short on the contract shall be identified as the seller, and the counterparty going long on the contract shall be identified as the buyer.
7. In the case of swaps related to dividends, the counterparty receiving the equivalent dividend amount payments shall be identified as the buyer and the counterparty paying that equivalent dividend amount payments shall be identified as the seller.
8. In the case of swaps related to securities other than swaps related to dividends, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
9. In the case of swaps related to interest rates or inflation indices, including the cross-currency swaps, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
10. 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.
11. In the case of swaps related to commodities, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
12. In the case of forward-rate agreements, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.
13. In the case of derivatives related to variance, volatility and correlation, the counterparty profiting from an increase in the price of the underlying shall be identified as the buyer and the counterparty profiting from a decrease in the price of the underlying shall be identified as the seller.
Reporting counterparty shall identify the type of collateralisation of the derivative contract or a portfolio of derivatives referred to in field 11 in Table 3 of the Annex as follows:
(a)
as ‘uncollateralised’ where no collateral agreement exists between the counterparties or where the collateral agreement between the counterparties stipulates that the counterparties post neither initial margin nor variation margin with respect to the derivative or a portfolio of derivatives;
(b)
as ‘partially collateralised: counterparty 1 only’ where the collateral agreement between the counterparties stipulates that the reporting counterparty only posts regularly variation margins and that the other counterparty does not post any margin with respect to the derivative or a portfolio of derivatives;
(c)
as ‘partially collateralised: counterparty 2 only’ where the collateral agreement between the counterparties stipulates that the other counterparty only posts regularly variation margin and that the reporting counterparty does not post any margin with respect to the derivative or a portfolio of derivatives;
(d)
as ‘partially collateralised’ where the collateral agreement between the counterparties stipulates that both counterparties only post regularly variation margin with respect to the derivative or a portfolio of derivatives;
(e)
as ‘one-way collateralised: counterparty 1 only’ where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margins and that the other counterparty does not post any margins with respect to the derivative or a portfolio of derivatives;
(f)
as ‘one-way collateralised: counterparty 2 only’ where the collateral agreement between the counterparties stipulates that the other counterparty posts the initial margin and regularly posts variation margins and that the reporting counterparty does not post any margins with respect to the derivative or a portfolio of derivatives;
(g)
as ‘one-way/partially collateralised: counterparty 1’ where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margin and that the other counterparty regularly posts only variation margin with respect to the derivative or a portfolio of derivatives;
(h)
as ‘one-way/partially collateralised: counterparty 2’ where the collateral agreement between the counterparties stipulates that the other counterparty posts the initial margin and regularly posts variation margin and that the reporting counterparty regularly posts only variation margin with respect to the derivative or a portfolio of derivatives
(i)
as ‘fully collateralised’ where the collateral agreement between the counterparties stipulates that both counterparties post initial margin and regularly post variation margins with respect to the derivative with respect to the derivative or a portfolio of derivatives.
1. A report shall specify a derivative on the basis of contract type and asset class in accordance with fields 10 and 11 in Table 2 of the Annex.
The report shall specify the asset class most closely resembling the derivative where derivatives do not belong to one of the classes of derivatives referred to in field 11 in Table 2 of the Annex. Both counterparties shall specify the same asset class.
2. A derivative shall be identified in field 7 in Table 2 of the Annex using an ISO 6166 International Securities Identification Number (ISIN) code in either of the following cases:
(a)
it is admitted to trading or traded on a trading venue;
(b)
it is traded on a systematic internaliser and its underlying is admitted to trading or traded on a trading venue or is an index or basket composed of instruments traded on a trading venue.
3. A derivative other than the derivative referred to in paragraph 2 shall be identified in field 8 of Table 2 of the Annex using an ISO 4914 Unique Product Identifier (UPI) code.
4. The reporting counterparty shall classify the derivative in field 9 in Table 2 of the Annex using an ISO 10962 Classification of Financial Instrument (CFI) code.
1. The counterparties shall report derivatives using the UTI generated in accordance with paragraphs 2, 3 and 5.
2. A derivative, reported either at transaction or position level, shall be identified using a ISO 23897 Unique Transaction Identifier (UTI) in field 1 in Table 2 of the Annex. The UTI shall be composed by the LEI of the entity which generated that UTI followed by a code containing up to 32 characters which is unique at the level of the generating entity.
3. The counterparties shall determine the entity responsible for generating the UTI in accordance with the following:
(a)
for cleared derivatives other than derivatives between two CCPs, the UTI shall be generated at the point of clearing by the CCP for the clearing member. A different UTI shall be generated by the clearing member for its counterparty for a trade in which the CCP is not a counterparty;
(b)
for centrally-executed but not centrally-cleared derivatives, the UTI shall be generated by the venue of execution for its member;
(c)
for derivatives other than those referred to in points (a) and (b), where either counterparty is subject to the reporting requirements in a third country, the UTI shall be generated pursuant to the rules of the jurisdiction of the counterparty that must comply first with those reporting requirements.
Where the counterparty subject to reporting under Article 9 of Regulation (EU) No 648/2012 must comply first with the reporting requirements, the entity responsible for generating the UTI shall be as follows:
(i)
for derivatives that were centrally-confirmed by electronic means, the trade confirmation platform at the point of confirmation;
(ii)
for all other derivatives, the counterparties shall agree on the entity responsible for generating the UTI. Where the counterparties fail to agree, the counterparty whose LEI is first based on sorting the identifiers of the counterparties with the characters of the identifier reversed shall be responsible for the generation.
Where the applicable laws of the relevant third country provide for the same reporting deadline as the one applicable to the counterparty subject to reporting under Article 9 of Regulation (EU) No 648/2012 pursuant to first subparagraph of Article 9(1) of Regulation (EU) No 648/2012, the counterparties shall agree on the entity responsible for generating the UTI.
Where the counterparties fail to agree, and the derivative was centrally-confirmed by electronic means, the UTI shall be generated by the trade confirmation platform at the point of confirmation.
If the UTI cannot be generated by the trade confirmation platform at the point of confirmation, and the details of the derivative have to be reported to a single trade repository, that trade repository shall be responsible for generating the UTI.
If the UTI cannot be generated by the trade repository to which the details of the derivative have been reported, the counterparty whose LEI is first when sorting the identifiers of the counterparties with the characters reversed shall be responsible for the generation;
(d)
for derivatives other than those referred to in points (a), (b) and (c), that were centrally-confirmed by electronic means, the UTI shall be generated by the trade confirmation platform at the point of confirmation;
(e)
for all derivatives other than those referred to in points (a) to (d), the following shall apply:
(i)
where financial counterparties conclude a derivative with non-financial counterparties, the financial counterparties shall generate the UTI;
(ii)
where non-financial counterparties above the clearing threshold conclude a derivative with non-financial counterparties below the clearing threshold, those non-financial counterparties above the clearing threshold shall generate the UTI;
(iii)
for all derivatives other than those referred to in points (i) and (ii), the counterparties shall agree on the entity responsible for generating the UTI. Where the counterparties fail to agree, the counterparty whose LEI is first based on sorting the identifiers of the counterparties with the characters of the identifier reversed shall be responsible for the generation.
4. The counterparty generating the UTI shall communicate the UTI to the other counterparty in a timely manner and no later than 10:00 a.m. Coordinated Universal Time of the working day following the date of the conclusion of the derivative.
5. Notwithstanding paragraph 3, the generation of the UTI may be delegated to an entity different from that determined in accordance with paragraph 3. The entity generating the UTI shall comply with the requirements set out in paragraphs 2 and 4.
1. Where the counterparty identified pursuant to Article 3 in a derivative report undergoes a corporate restructuring event resulting in a change of its LEI, that counterparty or the counterparty to which the new LEI pertains, or the entity responsible for reporting on behalf of either of those counterparties pursuant to Article 9(1a) to (1d) of Regulation (EU) No 648/2012, or the entity to which either of the counterparties delegated the reporting pursuant to Article 9(1f) of Regulation (EU) No 648/2012, shall notify the trade repository to which the counterparty that underwent a corporate restructuring event reported its derivatives about the change and request an update of the LEI in the derivatives concerned referred to in points (a) and (b) of Article 2(2) at the date of the corporate restructuring event resulting in a change of LEI or contracts reported after that date.
2. Where possible, the request to update of the identifier in the derivatives referred to in points (a) and (b) of Article 2(2) shall be made at least 30 calendar days prior to the corporate restructuring event resulting in a change of LEI. If the entity referred to in paragraph 1 cannot provide this information to the trade repository 30 calendar days prior to the corporate restructuring event resulting in a change of LEI, it shall notify the trade repository as soon as possible.
3. The request referred to in the paragraph 1 shall contain at least the following:
(a)
the LEI of each of the counterparties participating in the corporate restructuring event;
(b)
the LEI of the new counterparty;
(c)
the date on which the change of LEI takes place or has taken place;
(d)
the UTIs of the derivatives concerned in the case where the corporate restructuring event affects only a subset of derivatives referred to in points (a) and (b) of Article 2(2);
(e)
evidence that the corporate restructuring event has taken or is to take place, subject to the provisions concerning the public disclosure of inside information in Article 17 of Regulation (EU) 596/2014.
4. When a counterparty notifies by mistake a trade repository about a change in its LEI, it shall follow the procedure to request update of its LEI in accordance with paragraph 1, 2 and 3.
5. Where a counterparty previously identified with identifier other than LEI obtains a LEI, the procedures under paragraphs 1, 2 and 3 apply.
6. Where a change in LEI concerns a counterparty established in a third country, its reporting counterparty established in the Union or the entity responsible for reporting pursuant to Article 9(1a) to (1d) of Regulation (EU) No 648/2012 or the entity to which the reporting counterparty established in the Union delegated the reporting shall initiate the procedure under paragraphs 1, 2 and 3.
7. Where a counterparty established in a third country previously identified with identifier other than LEI obtains a LEI, each reporting counterparty established in the Union affected by this change or the entity responsible for reporting pursuant to Article 9(1a) to (1d) of Regulation (EU) No 648/2012 or the entity to which the reporting counterparty established in the Union delegated the reporting shall request the update of the identifier of the counterparty established in a third country to its respective trade repository.
8. Where the change in LEI concerns an entity referred to in points (a), (b), (c), (e) or (g) of Article 3(1), that is not a counterparty to the derivative, counterparty 1 or the entity responsible for reporting shall confirm to the trade repository the UTIs of the derivatives concerned referred to in points (a) and (b) of Article 2(2). Where counterparty 1 and the entity responsible for reporting do not confirm to the trade repository the UTIs of the derivatives referred to in the points (a) and (b) of Article 2(2) concerned by the change in LEI, counterparty 1 or the entity responsible for reporting shall update the LEI of the concerned entity in all reports pertaining to the derivatives concerned referred to in the points (a) and (b) of Article 2(2) by sending a report with action type ‘Modify’.
1. The entity responsible for reporting shall notify its competent authority and, if different, the competent authority of the reporting counterparty of any of the following instances:
(a)
any misreporting caused by flaws in the reporting systems that would affect a significant number of reports;
(b)
any reporting obstacle preventing the report submitting entity from sending reports to a trade repository within the deadline referred to in Article 9(1) of Regulation (EU) No 648/2012;
(c)
any significant issue resulting in reporting errors that would not cause rejection by a trade repository in accordance with Commission Delegated Regulation (EU) 2022/1858 ( 7 ) .
The entity responsible for reporting shall promptly notify any of those instances, as soon as it becomes aware of them.
The notification shall indicate at least the type of the error or omission, the date of the occurrence, scope of the affected reports, reasons for the errors or omissions, steps taken to resolve the issue and the timeline for resolution of the issue and corrections.
2. Where a financial counterparty is solely responsible and legally liable for reporting of the details of OTC derivative contracts on behalf of a non-financial counterparty pursuant to Article 9(1a) of Regulation (EU) No 648/2012, it shall put in place the following arrangements:
(a)
arrangements for the timely provision by the non-financial counterparty of the following details of the OTC derivative contracts that the financial counterparty cannot be reasonably expected to possess and where those are unknown by that financial counterparty:
(i)
broker ID, as referred to in the field 15 in Table 1 of the Annex;
(ii)
clearing member, as referred to in the field 16 in Table 1 of the Annex;
(iii)
directly linked to commercial activity or treasury financing, as referred to in the field 20 in Table 1 of the Annex;
(b)
arrangements for timely information by the non-financial counterparty to the financial counterparty of any change in its legal obligations pursuant to Article 10(1) of Regulation (EU) No 648/2012;
(c)
arrangements for duly renewal by the non-financial counterparty of its LEI in accordance with the terms of any of the accredited Local Operating Units of the Global LEI System;
(d)
arrangements for timely notification by the non-financial counterparty to the financial counterparty of its decision to start or to cease reporting the details of OTC derivative contracts concluded with the financial counterparty. Such arrangements shall at least ensure that the notification is done in writing or by other equivalent electronic means at least 10 working days before the date on which the non-financial counterparty wants to start or to cease reporting.
3. The counterparties, the entities responsible for reporting and the report submitting entities, as applicable, shall have in place arrangements which ensure that the feedback on the reconciliation failures provided pursuant to Article 3 of Delegated Regulation (EU) 2022/1858 is taken into account.
A counterparty to a derivative that fulfils the conditions set out in point (a) or (b) of Article 2(2) on XX.XX.20XX or the entity responsible for reporting shall report all details of that derivative required in accordance with the Annex by submitting a report with event type ‘Update’ within 180 calendar days of the [PO please insert date of application of the ITS], unless they have submitted a report with the action type ‘Modify’ or ‘Correct’ for that derivative within this period.
Implementing Regulation (EU) No 1247/2012 is repealed.
References to the repealed Regulation shall be construed as references to this Regulation.
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .
It shall apply from 29 April 2024.
ANNEX
Table 1
Section
Field
Format
1
Parties to the derivative
Reporting timestamp
ISO 8601 date in the Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ
2
Parties to the derivative
Report submitting entity ID
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.
3
Parties to the derivative
Entity responsible for reporting
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System.
4
Parties to the derivative
Counterparty 1 (Reporting counterparty)
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation . The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System.
5
Parties to the derivative
Nature of counterparty 1
F = Financial Counterparty
N = Non-Financial Counterparty
C = Central Counterparty
O = Other
6
Parties to the derivative
Corporate sector of counterparty 1
Taxonomy for Financial Counterparties:
‘INVF’ - Investment firm authorised in accordance with Directive 2014/65/EU of the European Parliament and of the Council ( 1 ) ;
‘CDTI’ - Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council ( 2 ) ;
‘INUN’ - an insurance undertaking or reinsurance undertaking authorised in accordance with Directive 2009/138/EC of the European Parliament and of the Council ( 3 ) ;
‘UCIT’ - a UCITS and, where relevant, its management company, authorised in accordance with Directive 2009/65/EC of the European Parliament and of the Council ( 4 ) , unless that UCITS is set up exclusively for the purpose of serving one or more employee share purchase plans;
‘ORPI’ - an institution for occupational retirement provision (IORP), as defined in point (1) of Article 6 of Directive (EU) 2016/2341 of the European Parliament and of the Council ( 5 ) ;
‘AIFD’ - an alternative investment fund (AIF), as defined in point (a) of Article 4(1) of Directive 2011/61/EU of the European Parliament and of the Council ( 6 ) , which is either established in the Union or managed by an alternative investment fund manager (AIFM) authorised or registered in accordance with that Directive, unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans, or unless that AIF is a securitisation special purpose entity as referred to in point (g) of Article 2(3) of Directive 2011/61/EU, and, where relevant, its AIFM established in the Union;
‘CSDS’ - a central securities depository authorised in accordance with Regulation (EU) No 909/2014 of the European Parliament and of the Council ( 7 ) ;
Taxonomy for Non-Financial Counterparties.
The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council ( 8 ) :
‘A’ -
Agriculture, forestry and fishing;
‘B’ -
Mining and quarrying;
‘C’ -
Manufacturing;
‘D’ -
Electricity, gas, steam and air conditioning supply;
‘E’ -
Water supply, sewerage, waste management and remediation activities;
‘F’ -
Construction;
‘G’ -
Wholesale and retail trade, repair of motor vehicles and motorcycles;
‘H’ -
Transportation and storage;
‘I’ -
Accommodation and food service activities;
‘J’ -
Information and communication;
‘K’ -
Financial and insurance activities;
‘L’ -
Real estate activities;
‘M’ -
Professional, scientific and technical activities;
‘N’ -
Administrative and support service activities;
‘O’ -
Public administration and defence; compulsory social security;
‘P’ -
Education;
‘Q’ -
Human health and social work activities;
‘R’ -
Arts, entertainment and recreation;
‘S’ -
Other service activities;
‘T’ -
Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use;
‘U’ -
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.
Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012 ( 9 ) .
7
Parties to the derivative
Clearing threshold of counterparty 1
Boolean value:
TRUE = Above the threshold
FALSE = Below the threshold
8
Parties to the derivative
Counterparty 2 identifier type
Boolean value:
—
TRUE
—
FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the Statement from the Regulatory Oversight Committee on Individuals Acting in a Business Capacity, from 20 September 2015(the ‘ROC Statement’).
9
Parties to the derivative
Counterparty 2
—
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.
The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.
10
Parties to the derivative
Country of counterparty 2
ISO 3166 Country Code - 2 character country code
11
Parties to the derivative
Nature of counterparty 2
F = Financial Counterparty
N = Non-Financial Counterparty
C = Central Counterparty
O = Other
12
Parties to the derivative
Corporate sector of counterparty 2
Taxonomy for Financial Counterparties:
‘INVF’ - Investment firm authorised in accordance with Directive 2014/65/EU;
‘CDTI’ - Credit institution authorised in accordance with Directive 2013/36/EU;
‘INUN’ - an insurance undertaking or reinsurance undertaking authorised in accordance with Directive 2009/138/EC;
‘UCIT’ - a UCITS and, where relevant, its management company, authorised in accordance with Directive 2009/65/EC, unless that UCITS is set up exclusively for the purpose of serving one or more employee share purchase plans;
‘ORPI’ - an institution for occupational retirement provision (IORP), as defined in point (1) of Article 6 of Directive (EU) 2016/2341;
‘AIFD’ - an alternative investment fund (AIF), as defined in point (a) of Article 4(1) of Directive 2011/61/EU, which is either established in the Union or managed by an alternative investment fund manager (AIFM) authorised or registered in accordance with that Directive, unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans, or unless that AIF is a securitisation special purpose entity as referred to in point (g) of Article 2(3) of Directive 2011/61/EU, and, where relevant, its AIFM established in the Union;
‘CSDS’ - a central securities depository authorised in accordance with Regulation (EU) No 909/2014;
Taxonomy for Non-Financial Counterparties.
The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006:
‘A’ -
Agriculture, forestry and fishing;
‘B’ -
Mining and quarrying;
‘C’ -
Manufacturing;
‘D’ -
Electricity, gas, steam and air conditioning supply;
‘E’ -
Water supply, sewerage, waste management and remediation activities;
‘F’ -
Construction;
‘G’ -
Wholesale and retail trade, repair of motor vehicles and motorcycles;
‘H’ -
Transportation and storage;
‘I’ -
Accommodation and food service activities;
‘J’ -
Information and communication;
‘K’ -
Financial and insurance activities;
‘L’ -
Real estate activities;
‘M’ -
Professional, scientific and technical activities;
‘N’ -
Administrative and support service activities;
‘O’ -
Public administration and defence; compulsory social security;
‘P’ -
Education;
‘Q’ -
Human health and social work activities;
‘R’ -
Arts, entertainment and recreation;
‘S’ -
Other service activities;
‘T’ -
Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use;
‘U’ -
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.
Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012.
13
Parties to the derivative
Clearing threshold of counterparty 2
Boolean value:
TRUE = Above the threshold
FALSE = Below the threshold
14
Parties to the derivative
Reporting obligation of counterparty 2
Boolean value:
—
TRUE, if counterparty 2 has the reporting obligation
—
FALSE, if counterparty 2 does not have the reporting obligation
15
Parties to the derivative
Broker ID
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.
16
Parties to the derivative
Clearing member
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation .
17
Parties to the derivative
Direction
4 alphabetic characters:
BYER = buyer
SLLR = seller
Populated in accordance with Article 4 of this Regulation
18
Parties to the derivative
Direction of leg 1
4 alphabetic characters:
MAKE = payer
TAKE = receiver
Populated in accordance with Article 4 of this Regulation
19
Parties to the derivative
Direction of leg 2
4 alphabetic characters:
MAKE = payer
TAKE = receiver
Populated in accordance with Article 4 of this Regulation
20
Parties to the derivative
Directly linked to commercial activity or treasury financing
Boolean value:
TRUE = Yes
FALSE= No
Table 2
Section
Field
Format
1
Section 2a - Identifiers and links
UTI
ISO 23897 UTI. Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed
2
Section 2a - Identifiers and links
Report tracking number
An alphanumeric field up to 52 characters
3
Section 2a - Identifiers and links
Prior UTI (for one-to-one and one-to-many relations between transactions)
Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed
4
Section 2a - Identifiers and links
Subsequent position UTI
Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed
5
Section 2a - Identifiers and links
Post Trade Risk Reduction (PTRR) ID
Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed.
The first 20 characters represent the LEI of the compression provider
6
Section 2a - Identifiers and links
Package identifier
Up to 35 alphanumeric characters.
7
Section 2b – Contract information
International Securities Identification Number (ISIN)
ISO 6166 ISIN, 12 character alphanumeric code
8
Section 2b – Contract information
Unique product identifier (UPI)
ISO 4914 UPI, 12 character alphanumeric code
9
Section 2b – Contract information
Product classification
ISO 10962 CFI, 6 characters alphabetic code
10
Section 2b – Contract information
Contract type
CFDS = Financial contracts for difference
FRAS = Forward rate agreements
FUTR = Futures
FORW = Forwards
OPTN = Option
SPDB = Spreadbet
SWAP = Swap
SWPT = Swaption
OTHR = Other
11
Section 2b – Contract information
Asset class
COMM = Commodity and emission allowances
CRDT = Credit
CURR = Currency
EQUI = Equity
INTR = Interest Rate
12
Section 2b – Contract information
Derivative based on crypto-assets
Boolean value:
—
TRUE - for derivatives based on crypto-assets
—
FALSE - for other derivatives
13
Section 2b – Contract information
Underlying identification type
1 alphabetic character:
I = ISIN
B = Basket
X = Index
14
Section 2b – Contract information
Underlying identification
For underlying identification type I: ISO 6166 ISIN, 12 character alphanumeric code
For underlying identification type X: ISO 6166 ISIN if available, 12 character alphanumeric code
15
Section 2b – Contract information
Indicator of the underlying index
The indication of the floating rate index. 4 alphabetic characters:
ESTR = €STR
SONA = SONIA
SOFR = SOFR
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
EFFR = Effective Federal Funds Rate
OBFR = Overnight Bank Funding Rate
CZNA = CZEONIA
16
Section 2b – Contract information
Name of the underlying index
Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index.
17
Section 2b – Contract information
Custom basket code
Up to 72 alphanumeric characters composed of LEI of the basket structurer followed by up to 52 alphanumeric characters.
18
Section 2b – Contract information
Identifier of the basket’s constituents
For underlying identification type B: All individual components identified through ISO 6166 ISIN
19
Section 2b – Contract information
Settlement currency 1
ISO 4217 Currency Code, 3 alphabetic characters
20
Section 2b – Contract information
Settlement currency 2
ISO 4217 Currency Code, 3 alphabetic characters
21
Section 2c – Valuation
Valuation amount
Positive and negative value, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
22
Section 2c – Valuation
Valuation currency
ISO 4217 Currency Code, 3 alphabetic characters
23
Section 2c – Valuation
Valuation timestamp
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
24
Section 2c – Valuation
Valuation method
4 alphabetic characters:
MTMA = Mark-to-market
MTMO = Mark-to-model
CCPV = CCP’s valuation.
25
Section 2c – Valuation
Delta
Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
Any value between -1 and 1 (including -1 and 1) is allowed.
26
Section 2d - Collateral
Collateral portfolio indicator
Boolean value:
TRUE = collateralised on a portfolio basis
FALSE = not part of a portfolio
27
Section 2d - Collateral
Collateral portfolio code
Up to 52 alphanumeric characters
Special characters are not allowed
28
Section 2e - Risk mitigation / Reporting
Confirmation timestamp
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
29
Section 2e - Risk mitigation / Reporting
Confirmed
4 alphabetic characters:
—
NCNF = unconfirmed
—
ECNF = electronic
—
YCNF = non-electronic
30
Section 2f - Clearing
Clearing obligation
TRUE = the 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
FLSE = the contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation but one or both counterparties to the contract are not subject to the clearing obligation
or value ‘UKWN’- the contract does not belong to a class of OTC derivatives that has been declared subject to the clearing obligation
31
Section 2f - Clearing
Cleared
1 alphabetic character:
Y= yes, centrally cleared, for beta and gamma transactions.
N= no, not centrally cleared.
32
Section 2f - Clearing
Clearing timestamp
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
33
Section 2f - Clearing
Central counterparty
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.
34
Section 2g - Details on the transaction
Master Agreement type
4 alphabetic characters:
‘ISDA’ - ISDA
‘CDEA’ - FIA-ISDA Cleared Derivatives Execution Agreement
‘EUMA’ - European Master Agreement
‘FPCA’ - FOA Professional Client Agreement
‘FMAT’ - FBF Master Agreement relating to transactions on forward financial instruments
‘DERV’ - Deutscher Rahmenvertrag für Finanztermingeschäfte (DRV)
‘CMOP’ - Contrato Marco de Operaciones Financieras
‘CHMA’ - Swiss Master Agreement
‘IDMA’ - Islamic Derivative Master Agreement
‘EFMA’ - EFET Master Agreement
‘GMRA’ - GMRA
‘GMSL’ - GMSLA
‘BIAG’ - bilateral agreement
Or ‘OTHR’ if the master agreement type is not included in the above list
35
Section 2g - Details on the transaction
Other master agreement type
Up to 50 alphanumeric characters.
36
Section 2g - Details on the transaction
Master Agreement version
ISO 8601 date in the format YYYY
37
Section 2g - Details on the transaction
Intragroup
Boolean value:
TRUE = contract entered into as an intragroup transaction
FALSE = contract not entered into as an intragroup transaction
38
Section 2g - Details on the transaction
PTRR
Boolean value:
TRUE = contract results from a PTRR event
FALSE = contract does not result from a PTRR event
39
Section 2g - Details on the transaction
Type of PTRR technique
4 alphabetic characters:
‘PWOS’- Portfolio Compression without a third-party service provider
‘PWAS’ - Portfolio Compression with a third-party service provider or CCP
‘PRBM’ - Portfolio Rebalancing/Margin management
OTHR - other
40
Section 2g - Details on the transaction
PTRR service provider
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.
41
Section 2g - Details on the transaction
Venue of execution
ISO 10383 Market Identifier Code (MIC), 4 alphanumeric characters
42
Section 2c - Details on the transaction
Execution timestamp
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
43
Section 2c - Details on the transaction
Effective date
ISO 8601 date in the UTC format YYYY-MM-DD.
44
Section 2c - Details on the transaction
Expiration date
ISO 8601 date in the UTC format YYYY-MM-DD.
45
Section 2c - Details on the transaction
Early termination date
ISO 8601 date in the UTC format YYYY-MM-DD.
46
Section 2c - Details on the transaction
Final contractual settlement date
ISO 8601 date in the UTC format YYYY-MM-DD.
47
Section 2c - Details on the transaction
Delivery type
4 alphabetic characters:
CASH = Cash
PHYS = Physical
OPTL = Optional for counterparty or when determined by a third party
48
Section 2g - Details on the transaction
Price
—
If price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.
—
If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
49
Section 2g - Details on the transaction
Price currency
ISO 4217 Currency Code, 3 alphabetic characters
Fields 50-52 are repeatable and shall be populated in the case of derivatives involving price schedules
50
Section 2g - Details on the transaction
Unadjusted effective date of the price
ISO 8601 date in the UTC format YYYY-MM-DD.
51
Section 2g - Details on the transaction
Unadjusted end date of the price
ISO 8601 date in the UTC format YYYY-MM-DD.
52
Section 2g - Details on the transaction
Price in effect between the unadjusted effective date and the end date
—
If price is expressed as monetary value- any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.
—
If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
53
Section 2g - Details on the transaction
Package transaction price
—
If package transaction price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.
—
If package transaction price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
54
Section 2g - Details on the transaction
Package transaction price currency
ISO 4217 Currency Code, 3 alphabetic characters
55
Section 2g - Details on the transaction
Notional amount of leg 1
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
56
Section 2g - Details on the transaction
Notional currency 1
ISO 4217 Currency Code, 3 alphabetic characters
Fields 57-59 are repeatable and shall be populated in the case of derivatives involving notional amount schedules
57
Section 2g - Details on the transaction
Effective date of the notional amount of leg 1
ISO 8601 date in the UTC format YYYY-MM-DD
58
Section 2g - Details on the transaction
End date of the notional amount of leg 1
ISO 8601 date in the UTC format YYYY-MM-DD
59
Section 2g - Details on the transaction
Notional amount in effect on associated effective date of leg 1
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
60
Section 2g - Details on the transaction
Total notional quantity of leg 1
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
Fields 61-63 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules
61
Section 2g - Details on the transaction
Effective date of the notional quantity of leg 1
ISO 8601 date in the UTC format YYYY-MM-DD
62
Section 2g - Details on the transaction
End date of the notional quantity of leg 1
ISO 8601 date in the UTC format YYYY-MM-DD
63
Section 2g - Details on the transaction
Notional quantity in effect on associated effective date of leg 1
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
64
Section 2g - Details on the transaction
Notional amount of leg 2
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
65
Section 2g - Details on the transaction
Notional currency 2
ISO 4217 Currency Code, 3 alphabetic characters
Fields 66-68 are repeatable and shall be populated in the case of derivatives involving notional amount schedules
66
Section 2g - Details on the transaction
Effective date of the notional amount of leg 2
ISO 8601 date in the UTC format YYYY-MM-DD
67
Section 2g - Details on the transaction
End date of the notional amount of leg 2
ISO 8601 date in the UTC format YYYY-MM-DD
68
Section 2g - Details on the transaction
Notional amount in effect on associated effective date of leg 2
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
69
Section 2g - Details on the transaction
Total notional quantity of leg 2
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
Fields 70-72 are repeatable and shall be populated in the case of derivatives involving notional quantity schedules
70
Section 2g - Details on the transaction
Effective date of the notional quantity of leg 2
ISO 8601 date in the UTC format YYYY-MM-DD
71
Section 2g - Details on the transaction
End date of the notional quantity of leg 2
ISO 8601 date in the UTC format YYYY-MM-DD
72
Section 2g - Details on the transaction
Notional quantity in effect on associated effective date of leg 2
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
Section of fields 73-78 is repeatable
73
Section 2g - Details on the transaction
Other payment type
4 alphabetic characters:
UFRO= Upfront Payment, i.e. the initial payment made by one of the counterparties either to bring a transaction to fair value or for any other reason that may be the cause of an off-market transaction
UWIN = Unwind or Full termination, i.e. the final settlement payment made when a transaction is unwound prior to its end date; Payments that may result due to full termination of derivative transaction(s)
PEXH = Principal Exchange, i.e. Exchange of notional values for cross-currency swaps
74
Section 2g - Details on the transaction
Other payment amount
Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
Any value greater than or equal to zero is allowed.
75
Section 2g - Details on the transaction
Other payment currency
ISO 4217 Currency Code, 3 alphabetic characters
76
Section 2g - Details on the transaction
Other payment date
ISO 8601 date in the UTC format YYYY-MM-DD.
77
Section 2g - Details on the transaction
Other payment payer
—
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.
The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.
78
Section 2g – Details on the transaction
Other payment receiver
—
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.
The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.
79
Section 2h - Interest Rates
Fixed rate of leg 1 or coupon
Positive and negative values, up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
80
Section 2h - Interest Rates
Fixed rate or coupon day count convention leg 1
4 alphanumeric characters:
A001 = IC30360ISDAor30360AmericanBasicRule
A002 = IC30365
A003 = IC30Actual
A004 = Actual360
A005 = Actual365Fixed
A006 = ActualActualICMA
A007 = IC30E360orEuroBondBasismodel1
A008 = ActualActualISDA
A009 = Actual365LorActuActubasisRule
A010 = ActualActualAFB
A011 = IC30360ICMAor30360basicrule
A012 = IC30E2360orEurobondbasismodel2
A013 = IC30E3360orEurobondbasismodel3
A014 = Actual365NL
A015 = ActualActualUltimo
A016 = IC30EPlus360
A017 = Actual364
A018 = Business252
A019 = Actual360NL
A020 = 1/1
NARR = Narrative
81
Section 2h - Interest Rates
Fixed rate or coupon payment frequency period leg 1
4 alphabetic characters:
DAIL = daily
WEEK = weekly
MNTH = monthly
YEAR = yearly
ADHO = ad hoc which applies when payments are irregular
EXPI = payment at term
82
Section 2h - Interest Rates
Fixed rate or coupon payment frequency period multiplier leg 1
Any integer value greater than or equal to zero, up to 3 numeric characters.
83
Section 2h - Interest Rates
Identifier of the floating rate of leg 1
If the floating rate has an ISIN, the ISIN code for that rate.
84
Section 2h - Interest Rates
Indicator of the floating rate of leg 1
The indication of the floating rate index. 4 alphabetic characters:
ESTR = €STR
SONA = SONIA
SOFR = SOFR
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
EFFR = Effective Federal Funds Rate
OBFR = Overnight Bank Funding Rate
CZNA = CZEONIA
85
Section 2h - Interest Rates
Name of the floating rate of leg 1
Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index.
86
Section 2h - Interest Rates
Floating rate day count convention of leg 1
4 alphanumeric characters:
A001 = IC30360ISDAor30360AmericanBasicRule
A002 = IC30365
A003 = IC30Actual
A004 = Actual360
A005 = Actual365Fixed
A006 = ActualActualICMA
A007 = IC30E360orEuroBondBasismodel1
A008 = ActualActualISDA
A009 = Actual365LorActuActubasisRule
A010 = ActualActualAFB
A011 = IC30360ICMAor30360basicrule
A012 = IC30E2360orEurobondbasismodel2
A013 = IC30E3360orEurobondbasismodel3
A014 = Actual365NL
A015 = ActualActualUltimo
A016 = IC30EPlus360
A017 = Actual364
A018 = Business252
A019 = Actual360NL
A020 = 1/1
NARR = Narrative
87
Section 2h - Interest Rates
Floating rate payment frequency period of leg 1
4 alphabetic characters:
DAIL = daily
WEEK = weekly
MNTH = monthly
YEAR = yearly
ADHO = ad hoc which applies when payments are irregular
EXPI = payment at term
88
Section 2h - Interest Rates
Floating rate payment frequency period multiplier of leg 1
Any integer value greater than or equal to zero, up to 3 numeric characters.
89
Section 2h - Interest Rates
Floating rate reference period of leg 1 – time period
4 alphabetic characters:
DAIL = daily
WEEK = weekly
MNTH = monthly
YEAR = yearly
ADHO = ad hoc which applies when payments are irregular
EXPI = payment at term
90
Section 2h - Interest Rates
Floating rate reference period of leg 1 – multiplier
Any integer value greater than or equal to zero, up to 3 numeric characters.
91
Section 2h - Interest Rates
Floating rate reset frequency period of leg 1
4 alphabetic characters:
DAIL = daily
WEEK = weekly
MNTH = monthly
YEAR = yearly
ADHO = ad hoc which applies when payments are irregular
EXPI = payment at term
92
Section 2h - Interest Rates
Floating rate reset frequency multiplier of leg 1
Any integer value greater than or equal to zero, up to 3 numeric characters.
93
Section 2h - Interest Rates
Spread of leg 1
—
If spread is expressed as monetary amount - any value up to 18 numeric characters including up to 13 decimal places.
—
If spread is expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).
—
If spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 instead of 2.57%).
94
Section 2h - Interest Rates
Spread currency of leg 1
ISO 4217 Currency Code, 3 alphabetic characters
95
Section 2h - Interest Rates
Fixed rate of leg 2
Positive and negative values, up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
96
Section 2h - Interest Rates
Fixed rate day count convention leg 2
4 alphanumeric characters:
A001 = IC30360ISDAor30360AmericanBasicRule
A002 = IC30365
A003 = IC30Actual
A004 = Actual360
A005 = Actual365Fixed
A006 = ActualActualICMA
A007 = IC30E360orEuroBondBasismodel1
A008 = ActualActualISDA
A009 = Actual365LorActuActubasisRule
A010 = ActualActualAFB
A011 = IC30360ICMAor30360basicrule
A012 = IC30E2360orEurobondbasismodel2
A013 = IC30E3360orEurobondbasismodel3
A014 = Actual365NL
A015 = ActualActualUltimo
A016 = IC30EPlus360
A017 = Actual364
A018 = Business252
A019 = Actual360NL
A020 = 1/1
NARR = Narrative
97
Section 2h - Interest Rates
Fixed rate payment frequency period leg 2
4 alphabetic characters:
DAIL = daily
WEEK = weekly
MNTH = monthly
YEAR = yearly
ADHO = ad hoc which applies when payments are irregular
EXPI = payment at term
98
Section 2h - Interest Rates
Fixed rate payment frequency period multiplier leg 2
Any integer value greater than or equal to zero, up to 3 numeric characters.
99
Section 2h - Interest Rates
Identifier of the floating rate of leg 2
If the floating rate has an ISIN, the ISIN code for that rate.
100
Section 2h - Interest Rates
Indicator of the floating rate of leg 2
The indication of the floating rate index. 4 alphabetic characters:
ESTR = €STR
SONA = SONIA
SOFR = SOFR
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
EFFR = Effective Federal Funds Rate
OBFR = Overnight Bank Funding Rate
CZNA = CZEONIA
101
Section 2h - Interest Rates
Name of the floating rate of leg 2
Up to 50 alphanumeric characters. Special characters are allowed if they form part of the full name of the index.
102
Section 2h - Interest Rates
Floating rate day count convention of leg 2
4 alphanumeric characters:
A001 = IC30360ISDAor30360AmericanBasicRule
A002 = IC30365
A003 = IC30Actual
A004 = Actual360
A005 = Actual365Fixed
A006 = ActualActualICMA
A007 = IC30E360orEuroBondBasismodel1
A008 = ActualActualISDA
A009 = Actual365LorActuActubasisRule
A010 = ActualActualAFB
A011 = IC30360ICMAor30360basicrule
A012 = IC30E2360orEurobondbasismodel2
A013 = IC30E3360orEurobondbasismodel3
A014 = Actual365NL
A015 = ActualActualUltimo
A016 = IC30EPlus360
A017 = Actual364
A018 = Business252
A019 = Actual360NL
A020 = 1/1
NARR = Narrative
103
Section 2h - Interest Rates
Floating rate payment frequency period of leg 2
4 alphabetic characters:
DAIL = daily
WEEK = weekly
MNTH = monthly
YEAR = yearly
ADHO = ad hoc which applies when payments are irregular
EXPI = payment at term
104
Section 2h - Interest Rates
Floating rate payment frequency period multiplier of leg 2
Any integer value greater than or equal to zero, up to 3 numeric characters.
105
Section 2h - Interest Rates
Floating rate reference period of leg 2 – time period
4 alphabetic characters:
DAIL = daily
WEEK = weekly
MNTH = monthly
YEAR = yearly
ADHO = ad hoc which applies when payments are irregular
EXPI = payment at term
106
Section 2h - Interest Rates
Floating rate reference period of leg 2 – multiplier
Any integer value greater than or equal to zero, up to 3 numeric characters.
107
Section 2h - Interest Rates
Floating rate reset frequency period of leg 2
4 alphabetic characters:
DAIL = daily
WEEK = weekly
MNTH = monthly
YEAR = yearly
ADHO = ad hoc which applies when payments are irregular
EXPI = payment at term
108
Section 2h - Interest Rates
Floating rate reset frequency multiplier of leg 2
Any integer value greater than or equal to zero, up to 3 numeric characters.
109
Section 2h - Interest Rates
Spread of leg 2
—
If spread is expressed as monetary amount - any value up to 18 numeric characters including up to 13 decimal places.
—
If spread is expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).
—
If spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 instead of 2.57%).
110
Section 2h - Interest Rates
Spread currency of leg 2
ISO 4217 Currency Code, 3 alphabetic characters
111
Section 2h - Interest Rates
Package transaction spread
—
If package transaction spread is expressed as monetary amount - positive and negative value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.
—
If package transaction spread is expressed as percentage - positive and negative value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up.
—
If package transaction spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 instead of 2.57%).
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
112
Section 2h - Interest Rates
Package transaction spread currency
ISO 4217 Currency Code, 3 alphabetic characters
113
Section 2i – Foreign Exchange
Exchange rate 1
Any value greater than zero, up to 18 numeric digits including up to 13 decimal places.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
114
Section 2i – Foreign Exchange
Forward exchange rate
Any value greater than zero, up to 18 numeric digits including up to 13 decimal places.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
115
Section 2i – Foreign Exchange
Exchange rate basis
7 characters representing two ISO 4217 currency codes separated by ‘/’ without restricting the currency pair ordering.
The first currency code shall indicate the unit currency, and the second currency code shall indicate the quote currency.
116
Section 2j - Commodities and emission allowances (General)
Base product
Only values in the ‘Base product’ column of the classification of commodities derivatives table are allowed.
117
Section 2j - Commodities and emission allowances (General)
Sub-product
Only values in the ‘Sub-product’ column of the classification of commodities
derivatives table are allowed.
118
Section 2j - Commodities and emission allowances (General)
Further sub-product
Only values in the ‘Further sub-product’ of the classification of commodities
derivatives table are allowed.
119
Section 2k - Commodities and emission allowances (Energy)
Delivery point or zone
EIC code, 16 character alphanumeric code
Repeatable field.
120
Section 2k - Commodities and emission allowances (Energy)
Interconnection Point
EIC code, 16 character alphanumeric code
121
Section 2k - Commodities and emission allowances (Energy)
Load type
BSLD = Base Load
PKLD = Peak Load
OFFP = Off-Peak
HABH = Hour/Block Hours
SHPD = Shaped
GASD = Gas Day
OTHR = Other
Section of fields 122-131 is repeatable
122
Section 2k - Commodities and emission allowances (Energy)
Delivery interval start time
hh:mm:ssZ
123
Section 2k - Commodities and emission allowances (Energy)
Delivery interval end time
hh:mm:ssZ
124
Section 2k - Commodities and emission allowances (Energy)
Delivery start date
ISO 8601 date in the format YYYY-MM-DD
125
Section 2k - Commodities and emission allowances (Energy)
Delivery end date
ISO 8601 date in the format YYYY-MM-DD
126
Section 2k - Commodities and emission allowances (Energy)
Duration
MNUT=Minutes
HOUR= Hour
DASD= Day
WEEK=Week
MNTH=Month
QURT = Quarter
SEAS= Season
YEAR= Annual
OTHR=Other
127
Section 2k - Commodities and emission allowances (Energy)
Days of the week
WDAY = Weekdays
WEND = Weekend
MOND = Monday
TUED = Tuesday
WEDD = Wednesday
THUD = Thursday
FRID = Friday
SATD = Saturday
SUND = Sunday
XBHL - Excluding bank holidays
IBHL - Including bank holidays
Multiple values are permitted
128
Section 2k - Commodities and emission allowances (Energy)
Delivery capacity
Up to 20 numeric digits including decimals
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
129
Section 2k - Commodities and emission allowances (Energy)
Quantity Unit
KWAT = KW
KWHH = KWh/h
KWHD = KWh/d
MWAT = MW
MWHH = MWh/h
MWHD = MWh/d
GWAT = GW
GWHH = GWh/h
GWHD = GWh/d
THMD = Therm/d
KTMD = Ktherm/d
MTMD = Mtherm/d
CMPD = cm/d
MCMD = mcm/d
BTUD = Btu/d
MBTD = MMBtu/d
MJDD = MJ/d
HMJD = 100MJ/d
MMJD = MMJ/d
GJDD = GJ/d
130
Section 2k - Commodities and emission allowances (Energy)
Price/time interval quantity
Up to 20 numeric characters including decimals.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
131
Section 2k - Commodities and emission allowances (Energy)
Currency of the price/time interval quantity
ISO 4217 Currency Code, 3 alphabetical character code
132
Section 2l - Options
Option type
4 alphabetic character:
PUTO = Put
CALL = Call
OTHR = where it cannot be determined whether it is a call or a put
133
Section 2l - Options
Option style
4 alphabetic characters:
AMER = American
BERM = Bermudan
EURO = European
134
Section 2l - Options
Strike price
—
If strike price is expressed as monetary amount: any value up to 18 numeric characters including up to 13 decimal places (e.g. USD 6.39, expressed as 6.39), for equity options, commodity options, foreign exchange options and similar products. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.
—
If strike price is expressed as percentage: any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.1 instead of 2.1%), for interest rate options, interest rate and credit swaptions quoted in spread, and similar products.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
Fields 135-137 are repeatable and shall be populated in the case of derivatives involving strike price schedules
135
Section 2l - Options
Effective date of the strike price
ISO 8601 date in the UTC format YYYY-MM-DD.
136
Section 2l - Options
End date of the strike price
ISO 8601 date in the UTC format YYYY-MM-DD.
137
Section 2l - Options
Strike price in effect on associated effective date
—
If strike price is expressed as monetary amount: any value up to 18 numeric characters including up to 13 decimal places (e.g. USD 6.39, expressed as 6.39), for equity options, commodity options, foreign exchange options and similar products. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.
—
If strike price is expressed as percentage: any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.1 instead of 2.1%), for interest rate options, interest rate and credit swaptions quoted in spread, and similar products.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
The negative symbol, if populated, is not counted as a numeric character.
138
Section 2l - Options
Strike price currency/currency pair
ISO 4217 Currency Code, 3 alphabetic characters; or
for foreign exchange options: 7 characters representing two ISO 4217 currency codes separated by ‘/’ without restricting the currency pair ordering.
The first currency code shall indicate the base currency, and the second currency code shall indicate the quote currency.
139
Section 2l - Options
Option premium amount
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
140
Section 2l - Options
Option premium currency
ISO 4217 Currency Code, 3 alphabetic characters
141
Section 2l - Options
Option premium payment date
ISO 8601 date in the UTC format YYYY-MM-DD.
142
Section 2i - Options
Maturity date of the underlying
ISO 8601 date in the UTC format YYYY-MM-DD.
143
Section 2m – Credit derivatives
Seniority
4 alphabetic characters:
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
144
Section 2m – Credit derivatives
Reference entity
ISO 3166 Country Code - 2 character country code,
or
ISO 3166-2 Country Code - 2 character country code followed by dash ‘-’ and up to 3 alphanumeric character country subdivision code,
or
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code
145
Section 2m – Credit derivatives
Series
Integer field up to 5 characters
146
Section 2m – Credit derivatives
Version
Integer field up to 5 characters
147
Section 2m – Credit derivatives
Index factor
Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g. 0.05 instead of 5%) between 0 and 1 (including 0 and 1).
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
148
Section 2m – Credit derivatives
Tranche
Boolean value:
TRUE = Tranched
FALSE = Untranched
149
Section 2m – Credit derivatives
Credit Derivative Swap (CDS) index attachment point
Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g. 0.05 instead of 5%) between 0 and 1 (including 0 and 1).
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
150
Section 2m – Credit derivatives
CDS index detachment point
Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g. 0.05 instead of 5%) between 0 and 1 (including 0 and 1).
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
151
Section 2n - Modifications to the derivative
Action type
4 alphabetic characters:
NEWT = New
MODI = Modify
CORR = Correct
TERM = Terminate
EROR = Error
REVI = Revive
VALU = Valuation
POSC = Position component
152
Section 2n - Modifications to the derivative
Event type
4 alphabetic characters:
TRAD = Trade
NOVA = Step-in
COMP = PTRR
ETRM = Early termination
CLRG = Clearing
EXER = Exercise
ALOC = Allocation
CREV = Credit event
CORP=Corporate event
INCP = Inclusion in position
UPDT = Update
153
Section 2n - Modifications to the derivative
Event date
ISO 8601 date in the UTC format YYYY-MM-DD.
154
Section 2n - Modifications to the derivative
Level
4 alphabetic characters:
TCTN = Trade
PSTN = Position
Table 3
Section
Field
Format
1
Parties to the derivative
Reporting timestamp
ISO 8601 date in the Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ
2
Parties to the derivative
Report submitting entity ID
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation.
3
Parties to the derivative
Entity responsible for reporting
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System.
4
Parties to the derivative
Counterparty 1 (Reporting counterparty)
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation. The LEI must be duly renewed in accordance with the terms of any of the accredited Local Operating Units of the Global Legal Entity Identifier System.
5
Parties to the derivative
Counterparty 2 identifier type
Boolean value:
—
TRUE
—
FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.
6
Parties to the derivative
Counterparty 2
—
ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.
The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.
7
Collateral
Collateral timestamp
ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
8
Collateral
Collateral portfolio indicator
Boolean value:
TRUE = collateralised on a portfolio basis
FALSE = not part of a portfolio
9
Collateral
Collateral portfolio code
Up to 52 alphanumeric characters
Special characters are not allowed
10
Collateral
UTI
Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed
11
Collateral
Collateralisation category
4 alphabetic characters:
UNCL = uncollateralised
PRC1= partially collateralised: counterparty 1 only
PRC2= partially collateralised: counterparty 2 only
PRCL= partially collateralised
OWC1 = one way collateralised: counterparty 1 only
OWC2 = one way collateralised: counterparty 2 only
OWP1 = one way/partially collateralised: counterparty 1
OWP2 = one way/partially collateralised: counterparty 2
FLCL = fully collateralised
Populated in accordance with Article 5 of this Regulation
12
Collateral
Initial margin posted by counterparty 1 (pre-haircut)
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
13
Collateral
Initial margin posted by counterparty 1 (post-haircut)
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
14
Collateral
Currency of the initial margin posted
ISO 4217 Currency Code, 3 alphabetic characters
15
Collateral
Variation margin posted by counterparty 1 (pre-haircut)
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
16
Collateral
Variation margin posted by counterparty 1 (post-haircut)
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
17
Collateral
Currency of the variation margins posted
ISO 4217 Currency Code, 3 alphabetic characters
18
Collateral
Excess collateral posted by counterparty 1
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
19
Collateral
Currency of the excess collateral posted
ISO 4217 Currency Code, 3 alphabetic characters
20
Collateral
Initial margin collected by counterparty 1 (pre-haircut)
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
21
Collateral
Initial margin collected by counterparty 1 (post-haircut)
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
22
Collateral
Currency of initial margin collected
ISO 4217 Currency Code, 3 alphabetic characters
23
Collateral
Variation margin collected by counterparty 1 (pre-haircut)
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
24
Collateral
Variation margin collected by counterparty 1 (post-haircut)
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
25
Collateral
Currency of variation margin collected
ISO 4217 Currency Code, 3 alphabetic characters
26
Collateral
Excess collateral collected by counterparty 1
Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.
The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.
27
Collateral
Currency of excess collateral collected
ISO 4217 Currency Code, 3 alphabetic characters
28
Collateral
Action type
‘MARU’ - Margin update
‘CORR’ - Correct
29
Collateral
Event date
ISO 8601 date in the UTC format YYYY-MM-DD.
Table 4
Classification of commodities
Base product
Sub-product
Further sub-product
‘AGRI’ - Agricultural
‘GROS’ - Grains Oil Seeds
‘FWHT’ - Feed Wheat
‘SOYB’ - Soybeans
‘CORN’ - Maize
‘RPSD’ – Rapeseed
‘RICE’ - Rice
‘OTHR’ - Other
‘SOFT’ - Softs
‘CCOA’ - Cocoa
‘ROBU’ - Robusta Coffee
‘WHSG’ - White Sugar
‘BRWN’ - Raw Sugar
‘OTHR’ - Other
‘POTA’- Potato
‘OOLI’- Olive oil
‘LAMP’ – ‘Lampante’
‘OTHR’ - Other
‘DIRY’- Dairy
‘FRST’ - Forestry
‘SEAF’ - Seafood
‘LSTK’ - Livestock
‘GRIN’ - Grain
‘MWHT’ - Milling Wheat
‘OTHR’ - Other
‘OTHR’ - Other
‘NRGY’ –‘Energy
‘ELEC’ -Electricity
‘BSLD’- Base load
‘FITR’ - Financial Transmission Rights
‘PKLD’- Peak load
‘OFFP’- Off-peak
‘OTHR’- Other
‘NGAS’ - Natural Gas
‘GASP’- GASPOOL
‘LNGG’ - LNG
‘NBPG’ - NBP
‘NCGG’ - NCG
‘TTFG’ – TTF
‘OTHR’ - Other
‘OILP’ -Oil
‘BAKK’ - Bakken
‘BDSL’ - Biodiesel
‘BRNT’ - Brent
‘BRNX’ - Brent NX
‘CNDA’ - Canadian
‘COND’ - Condensate
‘DSEL’ - Diesel
‘DUBA’ - Dubai
‘ESPO’ - ESPO
‘ETHA’ - Ethanol
‘FUEL’ - Fuel
‘FOIL’ - Fuel Oil
‘GOIL’ - Gasoil
‘GSLN’ - Gasoline
‘HEAT’ - Heating Oil
‘JTFL’ - Jet Fuel
‘KERO’ - Kerosene
‘LLSO’ - Light Louisiana Sweet (LLS)
‘MARS’ - Mars
‘NAPH’ - Naphta
‘NGLO’ - NGL
‘TAPI’ - Tapis
‘URAL’ - Urals
‘WTIO’ – WTI
‘OTHR’ - Other
‘COAL’- Coal
‘INRG’ - Inter Energy
‘RNNG’ - Renewable energy
‘LGHT’ - Light ends
‘DIST’ – Distillates
‘OTHR’ - Other
‘ENVR’ - Environmental
‘EMIS’ - Emissions
‘CERE’ - CER
‘ERUE’ - ERU
‘EUAE’ - EUA
‘EUAA’– EUAA
‘OTHR’-Other
‘WTHR’ - Weather
‘CRBR’ - Carbon related’
‘OTHR’ - Other
‘FRGT’ -‘Freight’
‘WETF’ - Wet
‘TNKR’ –Tankers
‘OTHR’ - Other
‘DRYF’ - Dry
‘DBCR’ - Dry bulk carriers
‘OTHR’ - Other
‘CSHP’ - Containerships
‘OTHR’ - Other
‘FRTL’ -‘Fertiliser’
‘AMMO’ - Ammonia
‘DAPH’ - DAP (Diammonium Phosphate)
‘PTSH’ - Potash
‘SLPH’ - Sulphur
‘UREA’ - Urea
‘UAAN’ - UAN (urea and ammonium nitrate)
‘OTHR’ - Other
‘INDP’ - Industrial products’
‘CSTR’ - Construction
‘MFTG’ - Manufacturing
‘METL’ – Metals’
‘NPRM’ - Non Precious
‘ALUM’ - Aluminium
‘ALUA’ - Aluminium Alloy
‘CBLT’ - Cobalt
‘COPR’ - Copper
‘IRON’ - Iron ore
‘LEAD’ - Lead
‘MOLY’ - Molybdenum
‘NASC’ - NASAAC
‘NICK’ - Nickel
‘STEL’ - Steel
‘TINN’ - Tin
‘ZINC’ - Zinc
‘OTHR’ - Other
‘PRME’ - Precious
‘GOLD’ - Gold
‘SLVR’ - Silver
‘PTNM’ - Platinum
‘PLDM’ - Palladium
‘OTHR’ - Other
‘MCEX’ - Multi Commodity Exotic’
‘PAPR’ – Paper’
‘CBRD’ - Containerboard
‘NSPT’ - Newsprint
‘PULP’ - Pulp
‘RCVP’ - Recovered paper
‘OTHR’ - Other
‘POLY’ – Polypropylene’
‘PLST’ – Plastic
‘OTHR’ - Other
‘INFL’ - Inflation’
‘OEST’ - Official economic statistics’
‘OTHC’ - ‘Other C10 derivatives’ as defined in Table 10.1 of Annex III to Commission Delegated Regulation (EU) 2017/583 ( 10 )
‘OTHR’ - Other
( 1 ) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU ( OJ L 173 12.6.2014, p. 349 ).
( 2 ) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC ( OJ L 176 27.6.2013, p. 338 ).
( 3 ) Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) ( OJ L 335, 17.12.2009, p. 1 ).
( 4 ) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) ( OJ L 302, 17.11.2009, p. 32 ).
( 5 ) Directive (EU) 2016/2341 of the European Parliament and of the Council of of 14 December 2016 on the activities and supervision of institutions for occupational retirement provision (IORPs) ( OJ L 354, 23.12.2016, p. 37 ).
( 6 ) Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 ( OJ L 174, 1.7.2011, p. 1 ).
( 7 ) Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 ( OJ L 257 28.8.2014, p. 1 ).
( 8 ) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains ( OJ L 393, 30.12.2006, p. 1 ).
( 9 ) Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories ( OJ L 201, 27.7.2012, p. 1 ).
( 10 ) Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives ( OJ L 87, 31.3.2017, p. 229 ).
Commission Implementing Regulation (EU) 2022/1860 of 10 June 2022 laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting (Text with EEA relevance) (EUR-Lex). Retrieved via LawPlayer, https://lawplayer.com/eu/act/32022R1860
© European Union, https://eur-lex.europa.eu, 1998-2026. Reuse authorised under Commission Decision 2011/833/EU, provided the source is acknowledged.
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