ANNEX IISupplementary provisions
ANNEX II The Annex to Implementing Regulation (EU) No 1247/2012 is replaced by the text below. ‘ANNEX Table 1 Counterparty Data Field Format Parties to the contract 1 Reporting timestamp ISO 8601 date in the format and Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ 2 Reporting Counterparty ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code. 3 Type of ID of the other Counterparty ‘LEI’ for ISO 17442 Legal Entity Identifier (LEI) ‘CLC’ for Client code 4 ID of the other Counterparty ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code. Client code (up to 50 alphanumerical digits). 5 Country of the other Counterparty ISO 3166 – 2 character country code 6 Corporate sector of the reporting counterparty Taxonomy for Financial Counterparties: A = Assurance undertaking authorised in accordance with Directive 2009/138/EC of the European Parliament and of the Council ( 1 ) C = Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council ( 2 ) F = Investment firm authorised in accordance with Directive 2004/39/EC of the European Parliament and of the Council ( 3 ) I = Insurance undertaking authorised in accordance with Directive 2009/138/EC L = Alternative investment fund managed by Alternative Investment Fund Managers (AIFMs) authorised or registered in accordance with Directive 2011/61/EU of the European Parliament and of the Council ( 4 ) O = Institution for occupational retirement provision within the meaning of Article 6(a) of Directive 2003/41/EC of the European Parliament and of the Council ( 5 ) R = Reinsurance undertaking authorised in accordance with Directive 2009/138/EC U = Undertakings for the Collective Investment in Transferable Securities (UCITS)and its management company, authorised in accordance with Directive 2009/65/EC of the European Parliament and of the Council ( 6 ) Taxonomy for Non-Financial Counterparties. The following categories correspond to the main sections of Statistical classification of economic activities in the European Community (NACE) as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council ( 7 ) 1 = Agriculture, forestry and fishing 2 = Mining and quarrying 3 = Manufacturing 4 = Electricity, gas, steam and air conditioning supply 5 = Water supply, sewerage, waste management and remediation activities 6 = Construction 7 = Wholesale and retail trade, repair of motor vehicles and motorcycles 8 = Transportation and storage 9 = Accommodation and food service activities 10 = Information and communication 11 = Financial and insurance activities 12 = Real estate activities 13 = Professional, scientific and technical activities 14 = Administrative and support service activities 15 = Public administration and defence; compulsory social security 16 = Education 17 = Human health and social work activities 18 = Arts, entertainment and recreation 19 = Other service activities 20 = Activities of households as employers; undifferentiated goods – and services –producing activities of households for own use 21 = 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, separating them with a ‘-’. Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012. 7 Nature of the reporting counterparty F = Financial Counterparty N = Non-Financial Counterparty C = Central Counterparty O = Other 8 Broker ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code. 9 Report submitting entity ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code) 10 Clearing member ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code 11 Type of ID of the Beneficiary ‘LEI’ for ISO 17442 Legal Entity Identifier (LEI) ‘CLC’ for Client code 12 Beneficiary ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code or up to 50 alphanumerical character client code in the case where the client is not eligible for a Legal Entity Identifier 13 Trading capacity P = Principal A = Agent 14 Counterparty side B = Buyer S = Seller Populated in accordance with Article 3a 15 Directly linked to commercial activity or treasury financing Y = Yes N = No 16 Clearing threshold Y = Above the threshold N = Below the threshold 17 Value of contract Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. 18 Currency of the value ISO 4217 Currency Code, 3 alphabetical characters 19 Valuation timestamp ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ 20 Valuation type M = Mark-to-market O = Mark-to-model C = CCP's valuation. 21 Collateralisation U = uncollateralised PC = partially collateralised OC = one way collateralised FC = fully collateralised Populated in accordance with Article 3b 22 Collateral portfolio Y = Yes N = No 23 Collateral portfolio code Up to 52 alphanumerical characters including four special characters: ‘. - _.’ Special characters are not allowed at the beginning and at the end of the code. No space allowed. 24 Initial margin posted Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 25 Currency of the initial margin posted ISO 4217 Currency Code, 3 alphabetical characters 26 Variation margin posted Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 27 Currency of the variation margins posted ISO 4217 Currency Code, 3 alphabetical characters 28 Initial margin received Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 29 Currency of the initial margin received ISO 4217 Currency Code, 3 alphabetical characters 30 Variation margin received Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 31 Currency of the variation margins received ISO 4217 Currency Code, 3 alphabetical characters 32 Excess collateral posted Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 33 Currency of the excess collateral posted ISO 4217 Currency Code, 3 alphabetical characters 34 Excess collateral received Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 35 Currency of the excess collateral received ISO 4217 Currency Code, 3 alphabetical characters Table 2 Common Data Field Format Applicable types of derivative contracts Section 2a – Contract type All contracts 1 Contract type CD = Financial contracts for difference FR = Forward rate agreements FU = Futures FW = Forwards OP = Option SB = Spreadbet SW = Swap ST = Swaption OT = Other 2 Asset class CO = Commodity and emission allowances CR = Credit CU = Currency EQ = Equity IR = Interest Rate Section 2b – Contract information All contracts 3 Product classification type C = CFI 4 Product classification ISO 10692 CFI, 6 characters alphabetical code 5 Product identification type Specify the applicable identification: I = ISIN A = AII 6 Product identification For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code For product identifier type A: Complete AII code 7 Underlying identification type I = ISIN A = AII B = Basket X = Index 8 Underlying identification For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code For underlying identification type A: complete AII code For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code. Identifiers of individual components shall be separated with a dash ‘-’. For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider 9 Notional currency 1 ISO 4217 Currency Code, 3 alphabetical characters 10 Notional currency 2 ISO 4217 Currency Code, 3 alphabetical characters 11 Deliverable currency ISO 4217 Currency Code, 3 alphabetical characters Section 2c – Details on the transaction All contracts 12 Trade ID Up to 52 alphanumerical character code including four special characters:‘. - _.’ Special characters are not allowed at the beginning and at the end of the code. No space allowed. 13 Report tracking number An alphanumeric field up to 52 characters 14 Complex trade component ID An alphanumeric field up to 35 characters 15 Venue of execution ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters, in accordance with Article 4(b). 16 Compression Y = contract results from compression N = contract does not result from compression 17 Price/rate Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. In case the price is reported in percent values, it should be expressed as percentage where 100 % is represented as ‘100’ 18 Price notation U = Units P = Percentage Y = Yield 19 Currency of price ISO 4217 Currency Code, 3 alphabetic characters 20 Notional Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. 21 Price multiplier Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 22 Quantity Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 23 Up-front payment Up to 20 numerical characters including decimals. The negative symbol to be used to indicate that the payment was made, not received. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. 24 Delivery type C = Cash P = Physical O = Optional for counterparty or when determined by a third party 25 Execution timestamp ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ 26 Effective date ISO 8601 date in the format YYYY-MM-DD 27 Maturity date ISO 8601 date in the format YYYY-MM-DD 28 Termination date ISO 8601 date in the format YYYY-MM-DD 29 Settlement date ISO 8601 date in the format YYYY-MM-DD 30 Master Agreement type Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any 31 Master Agreement version ISO 8601 date in the format YYYY Section 2d – Risk mitigation/Reporting All contracts 32 Confirmation timestamp ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ 33 Confirmation means Y = Non-electronically confirmed N = Non-confirmed E = Electronically confirmed Section 2e – Clearing All contracts 34 Clearing obligation Y = Yes N = No 35 Cleared Y = Yes N = No 36 Clearing timestamp ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ 37 CCP ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code 38 Intragroup Y = Yes N = No Section 2f – Interest Rates Interest rate derivatives 39 Fixed rate of leg 1 Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘100’. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. 40 Fixed rate of leg 2 Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘100’. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. 41 Fixed rate day count leg 1 Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365 42 Fixed rate day count leg 2 Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365 43 Fixed rate payment frequency leg 1 –time period Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day 44 Fixed rate payment frequency leg 1 – multiplier Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. 45 Fixed rate payment frequency leg 2 – time period Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day 46 Fixed rate payment frequency leg 2 – multiplier Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. 47 Floating rate payment frequency leg 1 – time period Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day 48 Floating rate payment frequency leg 1 – multiplier Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. 49 Floating rate payment frequency leg 2 – time period Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day 50 Floating rate payment frequency leg 2 – multiplier Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. 51 Floating rate reset frequency leg 1 – time period Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day 52 Floating rate reset frequency leg 1 – multiplier Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. 53 Floating rate reset frequency leg 2 – time period Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day 54 Floating rate reset frequency leg 2 – multiplier Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. 55 Floating rate of leg 1 The name of the floating rate index ‘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 Or up to 25 alphanumerical characters if the reference rate is not included in the above list 56 Floating rate reference period leg 1 – time period Time period describing reference period, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day 57 Floating rate reference period leg 1 – multiplier Integer multiplier of the time period describing the reference period. Up to 3 numerical characters. 58 Floating rate of leg 2 The name of the floating rate index ‘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 Or up to 25 alphanumerical characters if the reference rate is not included in the above list 59 Floating rate reference period leg 2 – time period Time period describing reference period, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day 60 Floating rate reference period leg 2 – multiplier Integer multiplier of the time period describing the reference period. Up to 3 numerical characters. Section 2g – Foreign Exchange Currency derivatives 61 Delivery currency 2 ISO 4217 Currency Code, 3 alphabetical character code 62 Exchange rate 1 Up to 10 numerical digits including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. 63 Forward exchange rate Up to 10 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. 64 Exchange rate basis Two ISO 4217 currency codes separated by ‘/’. First currency code shall indicate the base currency, and the second currency code shall indicate the quote currency. Section 2h – Commodities and emission allowances Commodity and emission allowance derivatives General 65 Commodity base AG = Agricultural EN = Energy FR = Freights ME = Metals IN = Index EV = Environmental EX = Exotic OT = Other 66 Commodity details Agricultural GO = Grains oilseeds DA = Dairy LI = Livestock FO = Forestry SO = Softs SF = Seafood OT = Other Energy OI = Oil NG = Natural gas CO = Coal EL = Electricity IE = Inter-energy OT = Other Freights DR = Dry WT = Wet OT = Other Metals PR = Precious NP = Non-precious Environmental WE = Weather EM = Emissions OT = Other Energy 67 Delivery point or zone EIC code, 16 character alphanumeric code Repeatable field. 68 Interconnection Point EIC code, 16 character alphanumeric code 69 Load type BL = Base Load PL = Peak Load OP = Off-Peak BH = Hour/Block Hours SH = Shaped GD = Gas Day OT = Other Repeatable section of fields 70 – 77 70 Load delivery intervals hh:mmZ 71 Delivery start date and time ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ 72 Delivery end date and time ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ 73 Duration N = Minutes H = Hour D = Day W = Week M = Month Q = Quarter S = Season Y = Annual O = Other 74 Days of the week WD = Weekdays WN = Weekend MO = Monday TU = Tuesday WE = Wednesday TH = Thursday FR = Friday SA = Saturday SU = Sunday Multiple values separated by ‘/’ are permitted 75 Delivery capacity Up to 20 numerical digits including decimals The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. 76 Quantity Unit KW KWh/h KWh/d MW MWh/h MWh/d GW GWh/h GWh/d Therm/d KTherm/d MTherm/d cm/d mcm/d 77 Price/time interval quantities Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. Section 2i – Options Contracts that contain an option 78 Option type P = Put C = Call O = where it cannot be determined whether it is a call or a put 79 Option exercise style A = American B = Bermudan E = European S = Asian More than one value is allowed 80 Strike price (cap/floor rate) Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. Where the strike price is reported in percent values, it should be expressed as percentage where 100 % is represented as ‘100’ 81 Strike price notation U = Units P = Percentage Y = Yield 82 Maturity date of the underlying ISO 8601 date in the format YYYY-MM-DD Section 2j – Credit derivatives 83 Seniority 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 84 Reference entity ISO 3166 – 2 character country code or ISO 3166-2 – 2 character country code followed by dash ‘-’ and up to 3 alphanumeric character country subdivision code or ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code 85 Frequency of payment MNTH = Monthly QURT = Quarterly MIAN = Semi-annually YEAR = Yearly 86 The calculation basis Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365 87 Series Integer field up to 5 characters 88 Version Integer field up to 5 characters 89 Index factor Up to 10 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 90 Tranche T = Tranched U = Untranched 91 Attachment point Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. 92 Detachment point Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. Section 2k – Modifications to the contract 93 Action type N = New M = Modify E = Error C = Early Termination R = Correction Z = Compression V = Valuation update P = Position component 94 Level T = Trade P = Position ’ ( 1 ) 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 ). ( 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 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council and repealing Council Directive 93/22/EEC ( OJ L 145, 30.4.2004, p. 1 ). ( 4 ) 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 ). ( 5 ) Directive 2003/41/EC of the European Parliament and of the Council of 3 June 2003 on the activities and supervision of institutions for occupational retirement provision ( OJ L 235, 23.9.2003, p. 10 ). ( 6 ) 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 ). ( 7 ) 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 ).