ANNEX I
Info
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Article 9 – Entry into force ⬅️ | ➡️ Retour au sommaire
Section
Field
Details to be reported
1
Parties to the derivative
Reporting timestamp
Date and time of the submission of the report to the trade repository.
2
Parties to the derivative
Report submitting entity ID
In the case where the entity responsible for reporting has delegated the submission of the report to a third party or to the other counterparty, that entity has to be identified in this field by a unique code.
Otherwise the entity responsible for reporting should be identified in this field.
3
Parties to the derivative
Entity responsible for reporting
Where a financial counterparty is solely responsible, and legally liable, for reporting on behalf of both counterparties in accordance with Article 9(1a) of Regulation (EU) No 648/2012 of the Parliament and of the Council
and the non-financial counterparty does not decide to report itself the details of its OTC derivative contracts with the financial counterparty, the unique code identifying that financial counterparty. Where a management company is responsible, and legally liable, for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 9(1b) of that Regulation, the unique code identifying that management company. Where an Alternative Investment Fund Manager (AIFM) is responsible, and legally liable, for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 9(1c) of that Regulation, the unique code identifying that AIFM. Where an authorised entity that is responsible for managing and acting on behalf of an IORP is responsible, and legally liable, for reporting on its behalf in accordance with Article 9(1d) of that Regulation, the unique code identifying that entity.
This field is applicable only to OTC derivatives.
4
Parties to the derivative
Counterparty 1 (Reporting counterparty)
Identifier of the counterparty to a derivative transaction who is fulfilling its reporting obligation via the report in question.
In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.
5
Parties to the derivative
Nature of counterparty 1
Indicate if counterparty 1 is a central counterparty (‘CCP’), a financial counterparty or a non-financial counterparty as defined in Article 2, points 1, 8 and 9, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point 5, of that Regulation.
6
Parties to the derivative
Corporate sector of counterparty 1
Nature of counterparty 1’s company activities.
If counterparty 1 is a financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties in field 6 of Table 1 of the Annex to Commission Implementing Regulation (EU) 2022/1860
and applying to that counterparty.
If counterparty 1 is a non-financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty.
Where more than one activity is reported, the codes shall be populated in order of the relative importance of the corresponding activities.
7
Parties to the derivative
Clearing threshold of counterparty 1
Information whether counterparty 1 is above the clearing threshold referred to in Article 4a(3) or 10(3) of Regulation (EU) No 648/2012 at the date when the transaction was concluded.
8
Parties to the derivative
Counterparty 2 identifier type
Indicator of whether LEI was used to identify counterparty 2.
9
Parties to the derivative
Counterparty 2
Identifier of the second counterparty to a derivative transaction.
In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.
10
Parties to the derivative
Country of counterparty 2
In case counterparty 2 is a natural person, the code of country of residence of that person.
11
Parties to the derivative
Nature of counterparty 2
Indicate if counterparty 2 is a CCP, a financial counterparty or a non-financial counterparty as defined in Article 2, points 1, 8 and 9, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point 5, of that Regulation.
12
Parties to the derivative
Corporate sector of counterparty 2
Nature of counterparty 2’s company activities.
If counterparty 2 is a financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty.
If counterparty 2 is a non-financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty.
Where more than one activity is reported, the codes shall be populated in order of the relative importance of the corresponding activities.
13
Parties to the derivative
Clearing threshold of counterparty 2
Information whether counterparty 2 is above the clearing threshold referred to in Article 4a(3) or 10(3) of Regulation (EU) No 648/2012 at the date when the transaction was concluded.
14
Parties to the derivative
Reporting obligation of counterparty 2
Indicator of whether counterparty 2 has the reporting obligation under Regulation (EU) No 648/2012, irrespective of who is responsible and legally liable for its reporting.
15
Parties to the derivative
Broker ID
In the case a broker acts as intermediary for counterparty 1 without becoming a counterparty himself, counterparty 1 shall identify that broker by a unique code.
16
Parties to the derivative
Clearing member
Identifier of the clearing member through which a derivative transaction was cleared at a CCP.
This data element is applicable to cleared transactions.
17
Parties to the derivative
Direction
Indicator of whether counterparty 1 is the buyer or the seller as determined at the date the derivative was concluded.
18
Parties to the derivative
Direction of leg 1
Indicator of whether counterparty 1 is the payer or the receiver of leg 1 as determined at the date the derivative was concluded.
19
Parties to the derivative
Direction of leg 2
Indicator of whether counterparty 1 is the payer or the receiver of leg 2 as determined at the date the derivative was concluded.
20
Parties to the derivative
Directly linked to commercial activity or treasury financing
Information on whether the contract is objectively measurable as directly linked to counterparty 1’s commercial or treasury financing activity, as referred to in 2012.
This field shall be populated only where counterparty 1 is a non-financial counterparty, as defined in Article 2 point (9) of the Regulation (EU) No 648/2012.
Table 2
Section
Field
Details to be reported
1
Section 2a - Identifiers and links
UTI
Unique Trade Identifier as referred to in Article 7 of Implementing Regulation (EU) 2022/1860.
2
Section 2a - Identifiers and links
Report tracking number
Where a derivative was executed on a trading venue, a number generated by the trading venue and unique to that execution.
3
Section 2a - Identifiers and links
Prior UTI (for one-to-one and one-to-many relations between transactions)
UTI assigned to the predecessor transaction that has given rise to the reported transaction due to a lifecycle event, in a one-to-one relation between transactions (e.g. in the case of a novation, when a transaction is terminated, and a new transaction is generated) or in a one-to-many relation between transactions (e.g. in clearing or if a transaction is split into several different transactions).
This data element is not applicable when reporting many-to-one and many-to-many relations between transactions (e.g. in the case of a compression).
4
Section 2a - Identifiers and links
Subsequent position UTI
The UTI of the position in which a derivative is included. This field is applicable only for the reports related to the termination of a derivative due to its inclusion in a position.
5
Section 2a - Identifiers and links
Post Trade Risk Reduction (PTRR) ID
Identifier generated by the PTRR service provider or CCP providing the PTRR service in order to connect all derivatives entering into a given PTRR event and resulting from that PTRR event.
6
Section 2a - Identifiers and links
Package identifier
Identifier (determined by counterparty 1) in order to connect derivatives in the same package in accordance with Article 1(3), third subparagraph, of this Regulation.
A package may include reportable and non-reportable transactions.
7
Section 2b – Contract information
International Securities Identification Number (ISIN)
ISIN identifying the product if that product is admitted to trading or traded on a regulated market, MTF, OTF or systematic internaliser.
8
Section 2b – Contract information
Unique product identifier (UPI)
UPI identifying the product.
9
Section 2b – Contract information
Product classification
Classification of Financial Instrument (CFI) code pertaining to the instrument.
10
Section 2b – Contract information
Contract type
Each reported contract shall be classified according to its type.
11
Section 2b – Contract information
Asset class
Each reported contract shall be classified according to the asset class it is based on.
12
Section 2b – Contract information
Derivative based on crypto-assets
Indicator whether the derivative is based on crypto-assets.
13
Section 2b – Contract information
Underlying identification type
The type of relevant underlying identifier.
14
Section 2b – Contract information
Underlying identification
The direct underlying shall be identified by using a unique identification for this underlying based on its type.
For Credit Default Swaps, the ISIN of the reference obligation should be provided.
15
Section 2b – Contract information
Indicator of the underlying index
An indication of the underlying index, where available.
16
Section 2b – Contract information
Name of the underlying index
The full name of the underlying index as assigned by the index provider.
17
Section 2b – Contract information
Custom basket code
If the derivative transaction is based on a custom basket, unique code assigned by the structurer of the custom basket to link its constituents.
18
Section 2b – Contract information
Identifier of the basket’s constituents
In case of custom baskets composed, among others, of financial instruments traded in a trading venue, only financial instruments traded in a trading venue shall be specified.
19
Section 2b – Contract information
Settlement currency 1
Currency for the cash settlement of the transaction when applicable.
For multicurrency products that do not net, the settlement currency of the leg 1.
This data element is not applicable for physically settled products (e.g. physically settled swaptions).
20
Section 2b – Contract information
Settlement currency 2
Currency for the cash settlement of the transaction when applicable.
For multicurrency products that do not net, the settlement currency of the leg 2.
This data element is not applicable for physically settled products (e.g. physically settled swaptions).
21
Section 2c – Valuation
Valuation amount
Mark-to-market valuation of the contract, or mark-to-model valuation as referred to in Article 4 of this Regulation.
The CCP’s valuation to be used for a cleared trade.
22
Section 2c – Valuation
Valuation currency
Currency in which the valuation amount is denominated.
23
Section 2c – Valuation
Valuation timestamp
Date and time of the last valuation marked to market, provided by the CCP or calculated using the current or last available market price of the inputs.
24
Section 2c – Valuation
Valuation method
Source and method used for the valuation of the transaction by counterparty 1.
If at least one valuation input is used that is classified as mark-to-model, then the whole valuation is classified as mark-to-model.
If only inputs are used that are classified as mark-to-market, then the whole valuation is classified as mark-to-market.
25
Section 2c – Valuation
Delta
The ratio of the change in the price of a derivative transaction to the change in the price of the underlying.
This field is applicable only to options and swaptions.
Updated delta shall be reported on a daily basis by financial counterparties and non-financial counterparties as referred to in 2012.
26
Section 2d - Collateral
Collateral portfolio indicator
Indicator of whether the collateralisation was performed on a portfolio basis. By ‘on a portfolio basis’, it is meant a set of transactions that are margined together (either on a net or a gross basis) contrary to the scenario where the margin is calculated and posted for each individual transaction separately.
27
Section 2d - Collateral
Collateral portfolio code
If collateral is reported on a portfolio basis, unique code assigned by counterparty 1 to the portfolio. This data element is not applicable if the collateralisation was performed on a transaction level basis, or if there is no collateral agreement or if no collateral is posted or received.
28
Section 2e - Risk mitigation / Reporting
Confirmation timestamp
Date and time of the confirmation, as set out in Article 12 of Commission Delegated Regulation (EU) No 149/2013
. Applicable only to OTC derivative contracts not cleared by a CCP.
29
Section 2e - Risk mitigation / Reporting
Confirmed
For new reportable transactions, whether the legally binding terms of an OTC derivatives contract were documented and agreed upon (confirmed) or not (unconfirmed).
If documented and agreed, whether such confirmation was done:
—
via a shared confirmation facility or platform, or a private or bilateral electronic system (electronic);
—
via a human-readable written document, such as fax, paper or manually processed e-mails (non-electronic).
Applicable only to OTC derivative contracts not cleared by a CCP.
30
Section 2f - Clearing
Clearing obligation
Indicates, whether the reported contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation and both counterparties to the contract are subject to the clearing obligation under Regulation (EU) No 648/2012, as of the time of execution of the contract.
Applicable only to OTC derivative contracts.
31
Section 2f - Clearing
Cleared
Indicator of whether the derivative has been cleared by a CCP.
32
Section 2f - Clearing
Clearing timestamp
Time and date when clearing took place.
Applicable only to derivatives cleared by a CCP.
33
Section 2f - Clearing
Central counterparty
Identifier of the CCP that cleared the transaction.
This data element is not applicable if the value of the data element ‘Cleared’ is ‘N’ (‘No, not centrally cleared’).
34
Section 2g - Details on the transaction
Master Agreement type
Reference to the master agreement type under which the counterparties concluded a derivative.
35
Section 2g - Details on the transaction
Other master agreement type
Name of the master agreement. This field shall only be completed where ‘OTHR’ is reported in field 34 in this table.
36
Section 2g - Details on the transaction
Master Agreement version
Reference to the year of the master agreement relevant to the reported trade, if applicable.
37
Section 2g - Details on the transaction
Intragroup
Indicates whether the contract was entered into as an intragroup transaction, as defined in 2012.
38
Section 2g - Details on the transaction
PTRR
Identify whether the contract results from a PTRR operation.
39
Section 2g - Details on the transaction
Type of PTRR technique
Indicator of a type of a PTRR operation for the purpose of reporting under Regulation (EU) No 648/2012.
Portfolio Compression without a third-party service provider: An arrangement to reduce risk in existing portfolios of trades using non-price forming trades mainly to reduce notional amount outstanding, the number of transactions or otherwise harmonise the terms, by wholly or partially terminating trades and commonly to replacing the terminated derivatives with new replacement trades.
Portfolio Compression with a third-party service provider or CCP: A PTRR service provided by a service provider or CCP to reduce risk in existing portfolios of trades using non-price forming trades mainly to reduce notional amount outstanding, the number of transactions or otherwise harmonise the terms, by wholly or partially terminating trades and commonly to replacing the terminated derivatives with new replacement trades.
Portfolio Rebalancing/Margin management: A PTRR service provided by a service provider to reduce risk in an existing portfolio of trades by adding new non-price forming trades and where no existing trades in the portfolio are terminated or replaced and the notional is increased rather than decreased.
Other Portfolio PTRR services: A PTRR service provided by a service provider to reduce risk in existing portfolios of trades using non-price forming trades and where such service does not qualify as Portfolio Compression or Portfolio Rebalancing.
40
Section 2g - Details on the transaction
PTRR service provider
LEI identifying the PTRR service provider.
41
Section 2g - Details on the transaction
Venue of execution
Identification of the venue where the transaction was executed.
Use the ISO 10383 segment MIC for transactions executed on a trading venue, Systematic Internaliser (‘SI’) or organised trading platform outside the Union. Where the segment MIC does not exist, use the operating MIC.
Use MIC code ‘XOFF’ for financial instruments admitted to trading, or traded on a trading venue or for which a request for admission was made, where the transaction on that financial instrument is not executed on a trading venue, SI or organised trading platform outside the Union, or where a counterparty does not know it is trading with a counterparty 2 acting as an SI.
Use MIC code ‘XXXX’ for financial instruments that are not admitted to trading or traded on a trading venue or for which no request for admission has been made and that are not traded on an organised trading platform outside the Union.
42
Section 2c - Details on the transaction
Execution timestamp
Date and time a transaction was originally executed, resulting in the generation of a new UTI. This data element remains unchanged throughout the life of the UTI. For position level reporting it should refer to the time when position was opened for the first time.
43
Section 2c - Details on the transaction
Effective date
Unadjusted date at which obligations under the OTC derivative transaction come into effect, as included in the confirmation.
If the effective date is not specified as part of the terms of the contract, the counterparties shall report in this field the date of execution of the derivative.
44
Section 2c - Details on the transaction
Expiration date
Unadjusted date at which obligations under the derivative transaction stop being effective, as included in the confirmation. Early termination does not affect this data element.
45
Section 2c - Details on the transaction
Early termination date
Effective date of the early termination (expiry) of the reported transaction.
This data element is applicable if the termination of the transaction occurs prior to its maturity due to an ex-interim decision of a counterparty (or counterparties).
46
Section 2c - Details on the transaction
Final contractual settlement date
Unadjusted date as per the contract, by which all transfer of cash or assets should take place and the counterparties should no longer have any outstanding obligations to each other under that contract.
For products that may not have a final contractual settlement date (e.g. American options), this data element reflects the date by which the transfer of cash or asset would take place if termination were to occur on the expiration date.
47
Section 2c - Details on the transaction
Delivery type
Indicates whether the contract is settled physically or in cash.
48
Section 2g - Details on the transaction
Price
Price specified in the derivative transaction. It does not include fees, taxes or commissions.
Where the price is not known when a new transaction is reported, the price is updated as it becomes available.
For transactions that are part of a package, this data element contains the price of the component transaction where applicable.
49
Section 2g - Details on the transaction
Price currency
Currency in which the price is denominated.
Price currency is only applicable if price is expressed as monetary value.
Fields 50 to 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
Unadjusted effective date of the price.
51
Section 2g - Details on the transaction
Unadjusted end date of the price
Unadjusted end date of the price (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).
52
Section 2g - Details on the transaction
Price in effect between the unadjusted effective date and the end date
Price in effect between the unadjusted effective date and inclusive of the unadjusted end date.
53
Section 2g - Details on the transaction
Package transaction price
Traded price of the entire package in which the reported derivative transaction is a component.
This data element is not applicable if
—
no package is involved, or
—
package transaction spread is used.
Prices and related data elements of the transactions (Price currency) that represent individual components of the package are reported when available.
The package transaction price may not be known when a new transaction is reported but may be updated later.
54
Section 2g - Details on the transaction
Package transaction price currency
Currency in which the package transaction price is denominated.
This data element is not applicable if
—
no package is involved, or
—
package transaction spread is used, or
—
package transaction price is expressed as percentage.
55
Section 2g - Details on the transaction
Notional amount of leg 1
Notional amount of leg 1 as referred to in Article 5 of this Regulation.
56
Section 2g - Details on the transaction
Notional currency 1
Where applicable: the currency in which the notional amount of leg 1 is denominated.
Fields 57 to 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
Unadjusted date on which the associated notional amount of leg 1 becomes effective.
58
Section 2g - Details on the transaction
End date of the notional amount of leg 1
Unadjusted end date of the notional amount of leg 1 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).
59
Section 2g - Details on the transaction
Notional amount in effect on associated effective date of leg 1
Notional amount of leg 1 which becomes effective on the associated unadjusted effective date.
60
Section 2g - Details on the transaction
Total notional quantity of leg 1
Aggregate Notional quantity of the underlying asset of leg 1 for the term of the transaction.
Where the total notional quantity is not known when a new transaction is reported, the total notional quantity is updated as it becomes available.
Fields 61 to 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
Unadjusted date on which the associated notional quantity of leg 1 becomes effective
62
Section 2g - Details on the transaction
End date of the notional quantity of leg 1
Unadjusted end date of the notional quantity of leg 1 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).
63
Section 2g - Details on the transaction
Notional quantity in effect on associated effective date of leg 1
Notional quantity of leg 1 which becomes effective on the associated unadjusted effective date.
64
Section 2g - Details on the transaction
Notional amount of leg 2
Where applicable, notional amount of leg 2 as referred to in Article 5 of this Regulation.
65
Section 2g - Details on the transaction
Notional currency 2
Where applicable: the currency in which the notional amount of leg 2 is denominated.
Fields 66 to 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
Unadjusted date on which the associated notional amount of leg 2 becomes effective.
67
Section 2g - Details on the transaction
End date of the notional amount of leg 2
Unadjusted end date of the notional amount of leg 2 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).
68
Section 2g - Details on the transaction
Notional amount in effect on associated effective date of leg 2
Notional amount of leg 2 which becomes effective on the associated unadjusted effective date.
69
Section 2g - Details on the transaction
Total notional quantity of leg 2
Aggregate Notional quantity of the underlying asset of leg 2 for the term of the transaction.
Where the total notional quantity is not known when a new transaction is reported, the total notional quantity is updated as it becomes available.
Fields 70 to 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
Unadjusted date on which the associated notional quantity of leg 2 becomes effective.
71
Section 2g - Details on the transaction
End date of the notional quantity of leg 2
Unadjusted end date of the notional quantity of leg 2 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).
72
Section 2g - Details on the transaction
Notional quantity in effect on associated effective date of leg 2
Notional quantity of leg 2 which becomes effective on the associated unadjusted effective date.
Section of fields 73 to 78 is repeatable
73
Section 2g - Details on the transaction
Other payment type
Type of Other payment amount.
Option premium payment is not included as a payment type as premiums for option are reported using the option premium dedicated data element.
74
Section 2g - Details on the transaction
Other payment amount
Payment amounts with corresponding payment types to accommodate requirements of transaction descriptions from different asset classes.
75
Section 2g - Details on the transaction
Other payment currency
Currency in which Other payment amount is denominated.
76
Section 2g - Details on the transaction
Other payment date
Unadjusted date on which the other payment amount is paid.
77
Section 2g - Details on the transaction
Other payment payer
Identifier of the payer of Other payment amount.
78
Section 2g - Details on the transaction
Other payment receiver
Identifier of the receiver of Other payment amount.
79
Section 2h - Interest Rates
Fixed rate of leg 1 or coupon
An indication of the fixed rate leg 1 or coupon used, where applicable.
80
Section 2h - Interest Rates
Fixed rate or coupon day count convention leg 1
Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.
81
Section 2h - Interest Rates
Fixed rate or coupon payment frequency period leg 1
Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the fixed rate of leg 1 or coupon.
82
Section 2h - Interest Rates
Fixed rate or coupon payment frequency period multiplier leg 1
Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the fixed rate of leg 1 or coupon. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.
This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.
83
Section 2h - Interest Rates
Identifier of the floating rate of leg 1
Where applicable: an identifier of the interest rates used which are reset at predetermined intervals by reference to a market reference rate.
84
Section 2h - Interest Rates
Indicator of the floating rate of leg 1
An indication of the interest rate, where available.
85
Section 2h - Interest Rates
Name of the floating rate of leg 1
The full name of the interest rate as assigned by the index provider.
86
Section 2h - Interest Rates
Floating rate day count convention of leg 1
Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments for the floating rate of leg 1 are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.
87
Section 2h - Interest Rates
Floating rate payment frequency period of leg 1
Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the floating rate of leg 1.
88
Section 2h - Interest Rates
Floating rate payment frequency period multiplier of leg 1
Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the floating rate of leg 1. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.
This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.
89
Section 2h - Interest Rates
Floating rate reference period of leg 1 – time period
Time period describing the reference period for the floating rate of leg 1.
90
Section 2h - Interest Rates
Floating rate reference period of leg 1 – multiplier
Multiplier of the time period describing the reference period for the floating rate of leg 1.
91
Section 2h - Interest Rates
Floating rate reset frequency period of leg 1
Where applicable: time unit associated with the frequency of payments resets, e.g. day, week, month, year or term of the stream for the floating rate of leg 1.
92
Section 2h - Interest Rates
Floating rate reset frequency multiplier of leg 1
Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment resets dates occur for the floating rate of leg 1. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.
This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.
93
Section 2h - Interest Rates
Spread of leg 1
An indication of the spread of leg 1, where applicable: for OTC derivative transactions with periodic payments (e.g. interest rate fixed/float swaps, interest rate basis swaps, commodity swaps),
—
spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s).
—
difference between the reference prices of the two floating leg indexes.
94
Section 2h - Interest Rates
Spread currency of leg 1
Where applicable: currency in which the spread of leg 1 is denominated.
This data element is only applicable if spread is expressed as monetary amount.
95
Section 2h - Interest Rates
Fixed rate of leg 2
An indication of the fixed rate leg 2 used, where applicable.
96
Section 2h - Interest Rates
Fixed rate day count convention leg 2
Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.
97
Section 2h - Interest Rates
Fixed rate payment frequency period leg 2
Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the fixed rate of leg 2.
98
Section 2h - Interest Rates
Fixed rate payment frequency period multiplier leg 2
Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the fixed rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.
This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.
99
Section 2h - Interest Rates
Identifier of the floating rate of leg 2
Where applicable: an identifier of the interest rates used which are reset at predetermined intervals by reference to a market reference rate
100
Section 2h - Interest Rates
Indicator of the floating rate of leg 2
An indication of the interest rate, where available.
101
Section 2h - Interest Rates
Name of the floating rate of leg 2
The full name of the interest rate as assigned by the index provider.
102
Section 2h - Interest Rates
Floating rate day count convention of leg 2
Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments for the floating rate of leg 2 are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year.
103
Section 2h - Interest Rates
Floating rate payment frequency period of leg 2
Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the floating rate of leg 2.
104
Section 2h - Interest Rates
Floating rate payment frequency period multiplier of leg 2
Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the floating rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.
This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.
105
Section 2h - Interest Rates
Floating rate reference period of leg 2 – time period
Time period describing the reference period for the floating rate of leg 2.
106
Section 2h - Interest Rates
Floating rate reference period of leg 2 – multiplier
Multiplier of the time period describing the reference period for the floating rate of leg 2.
107
Section 2h - Interest Rates
Floating rate reset frequency period of leg 2
Where applicable: time unit associated with the frequency of payments resets, e.g. day, week, month, year or term of the stream for the floating rate of leg 2.
108
Section 2h - Interest Rates
Floating rate reset frequency multiplier of leg 2
Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment resets dates occur for the floating rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.
This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0.
109
Section 2h - Interest Rates
Spread of leg 2
An indication of the spread of leg 2, where applicable: for OTC derivative transactions with periodic payments (e.g. interest rate fixed or float swaps, interest rate basis swaps, commodity swaps),
—
spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s).
—
difference between the reference prices of the two floating leg indexes.
110
Section 2h - Interest Rates
Spread currency of leg 2
Where applicable: currency in which the spread of leg 2 is denominated.
This data element is only applicable if the spread is expressed as monetary amount.
111
Section 2h - Interest Rates
Package transaction spread
Traded price of the entire package in which the reported derivative transaction is a component of a package transaction.
Package transaction price when the price of the package is expressed as a spread, difference between two reference prices.
This data element is not applicable if
—
no package is involved, or
—
package transaction price is used.
Spread and related data elements of the transactions (spread currency) that represent individual components of the package are reported when available.
Package transaction spread may not be known when a new transaction is reported but may be updated later.
112
Section 2h - Interest Rates
Package transaction spread currency
Currency in which the package transaction spread is denominated.
This data element is not applicable if
—
no package is involved, or
—
package transaction price is used, or
—
package transaction spread is expressed as percentage or basis points.
113
Section 2i – Foreign Exchange
Exchange rate 1
Exchange rate between the two different currencies specified in the derivative transaction agreed by the counterparties at the inception of the transaction, expressed as the rate of exchange from converting the unit currency into the quoted currency.
114
Section 2i – Foreign Exchange
Forward exchange rate
Forward exchange rate as agreed between the counterparties in the contractual agreement. It shall be expressed as a price of base currency in the quoted currency.
115
Section 2i – Foreign Exchange
Exchange rate basis
Currency pair and order in which the exchange rate is denominated, expressed as unit currency or quoted currency.
116
Section 2j - Commodities and emission allowances (General)
Base product
Base product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860.
117
Section 2j - Commodities and emission allowances (General)
Sub-product
Sub-product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860.
This field requires a specific base product in field.
118
Section 2j - Commodities and emission allowances (General)
Further sub-product
Further sub product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860.
This field requires a specific sub product in field.
119
Section 2k - Commodities and emission allowances (Energy)
Delivery point or zone
Delivery point(s) or market area(s).
120
Section 2k - Commodities and emission allowances (Energy)
Interconnection Point
Identification of the border(s) or border point(s) of a transportation contract.
121
Section 2k - Commodities and emission allowances (Energy)
Load type
Identification of the delivery profile.
Section of fields 122 to 131 is repeatable
122
Section 2k - Commodities and emission allowances (Energy)
Delivery interval start time
The start time of the delivery interval for each block or shape.
123
Section 2k - Commodities and emission allowances (Energy)
Delivery interval end time
The end time of the delivery interval for each block or shape.
124
Section 2k - Commodities and emission allowances (Energy)
Delivery start date
Start date of delivery.
125
Section 2k - Commodities and emission allowances (Energy)
Delivery end date
End date of delivery.
126
Section 2k - Commodities and emission allowances (Energy)
Duration
The duration of the delivery period.
127
Section 2k - Commodities and emission allowances (Energy)
Days of the week
The days of the week of the delivery.
128
Section 2k - Commodities and emission allowances (Energy)
Delivery capacity
The number of units included in the transaction for each delivery interval specified in fields 122 and 123.
129
Section 2k - Commodities and emission allowances (Energy)
Quantity Unit
The unit of measurement used.
130
Section 2k - Commodities and emission allowances (Energy)
Price/time interval quantity
If applicable, price per quantity per delivery time interval.
131
Section 2k - Commodities and emission allowances (Energy)
Currency of the price/time interval quantity
The currency in which the price per time interval quantity is expressed.
132
Section 2l - Options
Option type
Indication as to whether the derivative contract is a call (right to purchase a specific underlying asset) or a put (right to sell a specific underlying asset) or whether it cannot be determined whether it is a call or a put at the time of execution of the derivative contract.
In case of swaptions it shall be:
—
‘Put’, in case of receiver swaption, in which the buyer has the right to enter into a swap as a fixed-rate receiver.
—
‘Call’, in case of payer swaption, in which the buyer has the right to enter into a swap as a fixed-rate payer.
In case of Caps and Floors it shall be:
—
‘Put’, in case of a Floor.
—
‘Call’, in case of a Cap.
133
Section 2l - Options
Option style
Indicates whether the option may be exercised only at a fixed date (European), a series of pre-specified dates (Bermudan) or at any time during the life of the contract (American).
134
Section 2l - Options
Strike price
—
For options other than FX options, swaptions and similar products, price at which the owner of an option can buy or sell the underlying asset of the option.
—
For foreign exchange options, exchange rate at which the option can be exercised, expressed as the rate of exchange from converting the unit currency into the quoted currency. In the example 0,9426 USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 = EUR 0,9426.Where the strike price is not known when a new transaction is reported, the strike price is updated as it becomes available.
—
For volatility and variance swaps and similar products the volatility strike price is reported in this data element.
Fields 135 to 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
Unadjusted effective date of the strike price.
136
Section 2l - Options
End date of the strike price
Unadjusted end date of the strike price (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period).
137
Section 2l - Options
Strike price in effect on associated effective date
Strike price in effect between the unadjusted effective date and unadjusted end date inclusive.
138
Section 2l - Options
Strike price currency/currency pair
For equity options, commodity options, and similar products, currency in which the strike price is denominated.
For foreign exchange options: Currency pair and order in which the strike price is expressed. It is expressed as unit currency per quoted currency.
139
Section 2l - Options
Option premium amount
For options and swaptions of all asset classes, monetary amount paid by the option buyer.
This data element is not applicable if the instrument is not an option or does not embed any optionality.
140
Section 2l - Options
Option premium currency
For options and swaptions of all asset classes, currency in which the option premium amount is denominated. This data element is not applicable if the instrument is not an option or does not embed any optionality.
141
Section 2l - Options
Option premium payment date
Unadjusted date on which the option premium is paid.
142
Section 2i - Options
Maturity date of the underlying
In case of swaptions, maturity date of the underlying swap.
143
Section 2m – Credit derivatives
Seniority
Indicates the seniority of the debt security, or debt basket or index underlying a derivative.
144
Section 2m – Credit derivatives
Reference entity
Identification of the underlying reference entity.
145
Section 2m – Credit derivatives
Series
The series number of the composition of the index if applicable.
146
Section 2m – Credit derivatives
Version
A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index.
147
Section 2m – Credit derivatives
Index factor
The factor to apply to the Notional (field 55 in this Table) to adjust it to all the previous credit events in that Index series.
148
Section 2m – Credit derivatives
Tranche
Indication whether a derivative contract is tranched.
149
Section 2m – Credit derivatives
Credit Default Swap (CDS) index attachment point
Defined lower point at which the level of losses in the underlying portfolio reduces the notional of a tranche. For example, the notional in a tranche with an attachment point of 3 % will be reduced after 3 % of losses in the portfolio have occurred. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket).
150
Section 2m – Credit derivatives
CDS index detachment point
Defined point beyond which losses in the underlying portfolio no longer reduce the notional of a tranche. For example, the notional in a tranche with an attachment point of 3 % and a detachment point of 6 % will be reduced after there have been 3 % of losses in the portfolio. 6 % losses in the portfolio deplete the notional of the tranche. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket).
151
Section 2n - Modifications to the derivative
Action type
—
New: A report of a derivative, at a trade or position level, for the first time.
—
Modify: A modification to the terms or details of a previously reported derivative, at a trade or position level, but not a correction of a report.
—
Correct: A report correcting the erroneous data fields of a previously submitted report.
—
Terminate: A termination of an existing derivative, at a trade or position level.
—
Error: A cancellation of a wrongly submitted entire report in case the derivative, at a trade or position level, never came into existence or was not subject to Regulation (EU) No 648/2012 reporting requirements but was reported to a trade repository by mistake or a cancellation of a duplicate report.
—
Revive: Re-opening of a derivative, at a trade or position level, that was cancelled with action type ‘Error’ or terminated by mistake.
—
Valuation: An update of a valuation of a derivative, at a trade or position level
—
Position component: A report of a new derivative that is included in a separate position report on the same day.
152
Section 2n - Modifications to the derivative
Event type
—
Trade: Conclusion of a derivative or renegotiation of its terms that does not result in change of a counterparty
—
Step-in: An event, where part or entirety of the derivative is transferred to a counterparty 2 (and reported as a new derivative) and the existing derivative is either terminated or its notional is modified.
—
PTRR: Post-trade risk reduction exercise
—
Early termination: Termination of a derivative, at a trade or position level
—
Clearing: Clearing as defined in Article 2 point (3) of Regulation (EU) No 648/2012
—
Exercise: The exercise of an option or a swaption by one counterparty of the transaction, fully or partially.
—
Allocation: Allocation event, where an existing derivative is allocated to different counterparties and reported as new derivatives with reduced notional amounts.
—
Credit event: Applies only to credit derivatives. A credit event that results in a modification of a derivative, at a trade or position level
Corporate event: A corporate action on equity underlying that impacts the derivatives on that equity
—
Inclusion in position: Inclusion of CCP-cleared derivative or CFD into a position, where an existing derivative is terminated and either a new position is created or the notional of an existing position is modified.
Update - Update of an outstanding derivative performed during the transition period in order to ensure its conformity with the amended reporting requirements
153
Section 2n - Modifications to the derivative
Event date
Date on which the reportable event relating to the derivative contract and captured by the report took place or, in case of a modification when the modification become effective.
154
Section 2n - Modifications to the derivative
Level
Indication whether the report is done at trade or position level.
Position level report can be used only as a supplement to trade level reporting to report post-trade events and only if individual trades in fungible products have been replaced by the position.
Table 3
Item
Section
Field
Details to be reported
1
Parties to the derivative
Reporting timestamp
Date and time of the submission of the report to the trade repository.
2
Parties to the derivative
Report submitting entity ID
In the case where the entity responsible for reporting has delegated the submission of the report to a third party or to the other counterparty, this entity has to be identified in this field by a unique code.
Otherwise the entity responsible for reporting should be identified in this field.
3
Parties to the derivative
Entity responsible for reporting
Where a financial counterparty is solely responsible, and legally liable, for reporting on behalf of both counterparties in accordance with Article 9(1a) of Regulation (EU) No 648/2012 and the non-financial counterparty does not decide to report itself the details of its OTC derivative contracts with the financial counterparty, the unique code identifying that financial counterparty. Where a management company is responsible, and legally liable, for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 9(1b) of that Regulation, the unique code identifying that management company. Where an Alternative Investment Fund Manager (AIFM) is responsible, and legally liable, for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 9(1c) of that Regulation, the unique code identifying that AIFM. Where an authorised entity that is responsible for managing and acting on behalf of an IORP is responsible, and legally liable, for reporting on its behalf in accordance with Article 9(1d) of that Regulation, the unique code identifying that entity.
This field is applicable only to OTC derivatives.
4
Parties to the derivative
Counterparty 1 (Reporting counterparty)
Identifier of the counterparty to a derivative transaction who is fulfilling its reporting obligation via the report in question.
In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.
5
Parties to the derivative
Counterparty 2 identifier type
Indicator of whether LEI was used to identify the counterparty 2.
6
Parties to the derivative
Counterparty 2
Identifier of the second counterparty to a derivative transaction.
In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.
7
Collateral
Collateral timestamp
Date and time as of which the values of the margins are reported.
8
Collateral
Collateral portfolio indicator
Indicator of whether the collateralisation was performed on a portfolio basis. By ‘on a portfolio basis’, it is meant a set of transactions that are margined together (either on a net or a gross basis) contrary to the scenario where the margin is calculated and posted for each individual transaction separately.
9
Collateral
Collateral portfolio code
If collateral is reported on a portfolio basis, unique code assigned by counterparty 1 to the portfolio. This data element is not applicable if the collateralisation was performed on a transaction level basis, or if there is no collateral agreement or if no collateral is posted or received.
10
Collateral
UTI
Unique Trade Identifier as referred to in Article 7 of Implementing Regulation (EU) 2022/1860.
11
Collateral
Collateralisation category
Indicate whether a collateral agreement between the counterparties exists.
This data element is provided for each transaction or each portfolio, depending on whether the collateralisation is performed at the transaction or portfolio level, and is applicable to both cleared and uncleared transactions.
12
Collateral
Initial margin posted by counterparty 1 (pre-haircut)
Monetary value of initial margin that has been posted by counterparty 1, including any margin that is in transit and pending settlement.
If the collateralisation is performed at portfolio level, the initial margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin posted relates to such single transaction.
This field refers to the total current value of the initial margin, rather than to its daily change.
The data element refers both to uncleared and centrally cleared transactions.
For centrally cleared transactions, the data element does not include default fund contributions, nor collateral posted against liquidity provisions to the CCP, i.e. committed credit lines.
If the initial margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.
13
Collateral
Initial margin posted by counterparty 1 (post-haircut)
Monetary value of initial margin that has been posted by counterparty 1, including any margin that is in transit and pending settlement.
If the collateralisation is performed at portfolio level, the initial margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin posted relates to such single transaction.
This field refers to the total current value of the initial margin after application of the haircut (if applicable), rather than to its daily change.
The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include default fund contributions, nor collateral posted against liquidity provisions to the CCP, i.e. committed credit lines.
If the initial margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.
14
Collateral
Currency of the initial margin posted
Currency in which the initial margin posted is denominated.
If the initial margin posted is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted initial margins.
15
Collateral
Variation margin posted by counterparty 1 (pre-haircut)
Monetary value of the variation margin posted by counterparty 1, including the cash-settled margin and any margin that is in transit and pending settlement.
Contingent variation margin is not included.
If the collateralisation is performed at portfolio level, the variation margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin posted relates to such single transaction.
This field refers to the total current value of the variation margin, cumulated since the first reporting of variation margins posted for the portfolio or transaction.
If the variation margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.
16
Collateral
Variation margin posted by counterparty 1 (post-haircut)
Monetary value of the variation margin posted by counterparty 1, including the cash-settled margin and any margin that is in transit and pending settlement.
Contingent variation margin is not included.
If the collateralisation is performed at portfolio level, the variation margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin posted relates to such single transaction.
This field refers to the total current value of the variation margin after application of the haircut, if applicable, cumulated since the first reporting of posted variation margins for the portfolio or transaction.
If the variation margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.
17
Collateral
Currency of the variation margins posted
Currency in which the variation margin posted is denominated.
If the variation margin posted is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted variation margins.
18
Collateral
Excess collateral posted by counterparty 1
Monetary value of any additional collateral posted by counterparty 1 separate and independent from initial and variation margin. This field refers to the total current value of the excess collateral before application of the haircut, if applicable, rather than to its daily change.
Any initial or variation margin amount posted that exceeds the required initial margin or required variation margin, is reported as part of the initial margin posted or variation margin posted respectively rather than included as excess collateral posted.
For centrally cleared transactions, excess collateral is reported only to the extent it can be assigned to a specific portfolio or transaction.
19
Collateral
Currency of the excess collateral posted
Currency in which the excess collateral posted is denominated.
If the excess collateral posted is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted excess collateral.
20
Collateral
Initial margin collected by counterparty 1 (pre-haircut)
Monetary value of initial margin that has been collected by counterparty 1, including any margin that is in transit and pending settlement.
If the collateralisation is performed at portfolio level, the initial margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin collected relates to such single transaction.
This field refers to the total current value of the initial margin, rather than to its daily change.
The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include collateral collected by the CCP as part of its investment activity.
If the initial margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.
21
Collateral
Initial margin collected by counterparty 1 (post-haircut)
Monetary value of initial margin that has been collected by counterparty 1, including any margin that is in transit and pending settlement.
If the collateralisation is performed at portfolio level, the initial margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin collected relates to such single transaction.
This field refers to the total current value of the initial margin after application of the haircut, if applicable, rather than to its daily change.
The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include collateral collected by the CCP as part of its investment activity.
If the initial margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.
22
Collateral
Currency of initial margin collected
Currency in which the initial margin collected is denominated.
If the initial margin collected is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of collected initial margins.
23
Collateral
Variation margin collected by counterparty 1 (pre-haircut)
Monetary value of the variation margin collected by counterparty 1, including the cash-settled margin and any margin that is in transit and pending settlement.
Contingent variation margin is not included.
If the collateralisation is performed at portfolio level, the variation margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin collected relates to such single transaction.
This field refers to the total current value of the variation margin, cumulated since the first reporting of collected variation margins for the portfolio/transaction.
If the variation margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.
24
Collateral
Variation margin collected by counterparty 1 (post-haircut)
Monetary value of the variation margin collected by counterparty 1, including the cash-settled margin, and any margin that is in transit and pending settlement.
Contingent variation margin is not included.
If the collateralisation is performed at portfolio level, the variation margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin collected relates to such single transaction.
This field refers to the total current value of the variation margin collected after application of the haircut, if applicable, cumulated since the first reporting of collected variation margins for the portfolio/transaction.
If the variation margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value.
25
Collateral
Currency of variation margin collected
Currency in which the variation margin collected is denominated.
If the variation margin collected is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of collected variation margins.
26
Collateral
Excess collateral collected by counterparty 1
Monetary value of any additional collateral collected by counterparty 1 separate and independent from initial and variation margin. This data element refers to the total current value of the excess collateral before application of the haircut, if applicable, rather than to its daily change.
Any initial or variation margin amount collected that exceeds the required initial margin or required variation margin, is reported as part of the initial margin collected or variation margin collected respectively, rather than included as excess collateral collected.
For centrally cleared transactions excess collateral is reported only to the extent it can be assigned to a specific portfolio or transaction.
27
Collateral
Currency of excess collateral collected
Currency in which the excess collateral collected is denominated.
If the excess collateral is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of collected excess collateral.
28
Collateral
Action type
The report shall contain one of the following action types:
(a)
a new margin balance or a modification of the details of the margins shall be identified as ‘Margin update’;
(b)
a correction of data fields that were submitted incorrectly in a previous report shall be identified as ‘Correct’.
29
Collateral
Event date
Date on which the reportable event relating to the derivative contract and captured by the report took place. In the case of collateral update - the date for which the information contained in the report is provided.
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.
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 (see page 68 of this Official Journal).
Commission Delegated Regulation (EU) No 149/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on indirect clearing arrangements, the clearing obligation, the public register, access to a trading venue, non-financial counterparties, and risk mitigation techniques for OTC derivatives contracts not cleared by a CCP.# Table 1 in anx_1
| Section | Field | Details to be reported | |
|---|---|---|---|
| 1 | Parties to the derivative | Reporting timestamp | Date and time of the submission of the report to the trade repository. |
| 2 | Parties to the derivative | Report submitting entity ID | In the case where the entity responsible for reporting has delegated the submission of the report to a third party or to the other counterparty, that entity has to be identified in this field by a unique code.Otherwise the entity responsible for reporting should be identified in this field. |
| 3 | Parties to the derivative | Entity responsible for reporting | Where a financial counterparty is solely responsible, and legally liable, for reporting on behalf of both counterparties in accordance with Article 9(1a) of Regulation (EU) No 648/2012 of the Parliament and of the Council(1)and the non-financial counterparty does not decide to report itself the details of its OTC derivative contracts with the financial counterparty, the unique code identifying that financial counterparty. Where a management company is responsible, and legally liable, for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 9(1b) of that Regulation, the unique code identifying that management company. Where an Alternative Investment Fund Manager (AIFM) is responsible, and legally liable, for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 9(1c) of that Regulation, the unique code identifying that AIFM. Where an authorised entity that is responsible for managing and acting on behalf of an IORP is responsible, and legally liable, for reporting on its behalf in accordance with Article 9(1d) of that Regulation, the unique code identifying that entity.This field is applicable only to OTC derivatives. |
| 4 | Parties to the derivative | Counterparty 1 (Reporting counterparty) | Identifier of the counterparty to a derivative transaction who is fulfilling its reporting obligation via the report in question.In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty. |
| 5 | Parties to the derivative | Nature of counterparty 1 | Indicate if counterparty 1 is a central counterparty (‘CCP’), a financial counterparty or a non-financial counterparty as defined in Article 2, points 1, 8 and 9, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point 5, of that Regulation. |
| 6 | Parties to the derivative | Corporate sector of counterparty 1 | Nature of counterparty 1’s company activities.If counterparty 1 is a financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties in field 6 of Table 1 of the Annex to Commission Implementing Regulation (EU) 2022/1860(2)and applying to that counterparty.If counterparty 1 is a non-financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty.Where more than one activity is reported, the codes shall be populated in order of the relative importance of the corresponding activities. |
| 7 | Parties to the derivative | Clearing threshold of counterparty 1 | Information whether counterparty 1 is above the clearing threshold referred to in Article 4a(3) or 10(3) of Regulation (EU) No 648/2012 at the date when the transaction was concluded. |
| 8 | Parties to the derivative | Counterparty 2 identifier type | Indicator of whether LEI was used to identify counterparty 2. |
| 9 | Parties to the derivative | Counterparty 2 | Identifier of the second counterparty to a derivative transaction.In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty. |
| 10 | Parties to the derivative | Country of counterparty 2 | In case counterparty 2 is a natural person, the code of country of residence of that person. |
| 11 | Parties to the derivative | Nature of counterparty 2 | Indicate if counterparty 2 is a CCP, a financial counterparty or a non-financial counterparty as defined in Article 2, points 1, 8 and 9, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point 5, of that Regulation. |
| 12 | Parties to the derivative | Corporate sector of counterparty 2 | Nature of counterparty 2’s company activities.If counterparty 2 is a financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty.If counterparty 2 is a non-financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty.Where more than one activity is reported, the codes shall be populated in order of the relative importance of the corresponding activities. |
| 13 | Parties to the derivative | Clearing threshold of counterparty 2 | Information whether counterparty 2 is above the clearing threshold referred to in Article 4a(3) or 10(3) of Regulation (EU) No 648/2012 at the date when the transaction was concluded. |
| 14 | Parties to the derivative | Reporting obligation of counterparty 2 | Indicator of whether counterparty 2 has the reporting obligation under Regulation (EU) No 648/2012, irrespective of who is responsible and legally liable for its reporting. |
| 15 | Parties to the derivative | Broker ID | In the case a broker acts as intermediary for counterparty 1 without becoming a counterparty himself, counterparty 1 shall identify that broker by a unique code. |
| 16 | Parties to the derivative | Clearing member | Identifier of the clearing member through which a derivative transaction was cleared at a CCP.This data element is applicable to cleared transactions. |
| 17 | Parties to the derivative | Direction | Indicator of whether counterparty 1 is the buyer or the seller as determined at the date the derivative was concluded. |
| 18 | Parties to the derivative | Direction of leg 1 | Indicator of whether counterparty 1 is the payer or the receiver of leg 1 as determined at the date the derivative was concluded. |
| 19 | Parties to the derivative | Direction of leg 2 | Indicator of whether counterparty 1 is the payer or the receiver of leg 2 as determined at the date the derivative was concluded. |
| 20 | Parties to the derivative | Directly linked to commercial activity or treasury financing | Information on whether the contract is objectively measurable as directly linked to counterparty 1’s commercial or treasury financing activity, as referred to in Article 10(3) of Regulation (EU) No 648/2012.This field shall be populated only where counterparty 1 is a non-financial counterparty, as defined in Article 2 point (9) of the Regulation (EU) No 648/2012. |
Table 2 in anx_1
| Section | Field | Details to be reported | |
|---|---|---|---|
| 1 | Section 2a - Identifiers and links | UTI | Unique Trade Identifier as referred to in Article 7 of Implementing Regulation (EU) 2022/1860. |
| 2 | Section 2a - Identifiers and links | Report tracking number | Where a derivative was executed on a trading venue, a number generated by the trading venue and unique to that execution. |
| 3 | Section 2a - Identifiers and links | Prior UTI (for one-to-one and one-to-many relations between transactions) | UTI assigned to the predecessor transaction that has given rise to the reported transaction due to a lifecycle event, in a one-to-one relation between transactions (e.g. in the case of a novation, when a transaction is terminated, and a new transaction is generated) or in a one-to-many relation between transactions (e.g. in clearing or if a transaction is split into several different transactions).This data element is not applicable when reporting many-to-one and many-to-many relations between transactions (e.g. in the case of a compression). |
| 4 | Section 2a - Identifiers and links | Subsequent position UTI | The UTI of the position in which a derivative is included. This field is applicable only for the reports related to the termination of a derivative due to its inclusion in a position. |
| 5 | Section 2a - Identifiers and links | Post Trade Risk Reduction (PTRR) ID | Identifier generated by the PTRR service provider or CCP providing the PTRR service in order to connect all derivatives entering into a given PTRR event and resulting from that PTRR event. |
| 6 | Section 2a - Identifiers and links | Package identifier | Identifier (determined by counterparty 1) in order to connect derivatives in the same package in accordance with Article 1(3), third subparagraph, of this Regulation.A package may include reportable and non-reportable transactions. |
| 7 | Section 2b – Contract information | International Securities Identification Number (ISIN) | ISIN identifying the product if that product is admitted to trading or traded on a regulated market, MTF, OTF or systematic internaliser. |
| 8 | Section 2b – Contract information | Unique product identifier (UPI) | UPI identifying the product. |
| 9 | Section 2b – Contract information | Product classification | Classification of Financial Instrument (CFI) code pertaining to the instrument. |
| 10 | Section 2b – Contract information | Contract type | Each reported contract shall be classified according to its type. |
| 11 | Section 2b – Contract information | Asset class | Each reported contract shall be classified according to the asset class it is based on. |
| 12 | Section 2b – Contract information | Derivative based on crypto-assets | Indicator whether the derivative is based on crypto-assets. |
| 13 | Section 2b – Contract information | Underlying identification type | The type of relevant underlying identifier. |
| 14 | Section 2b – Contract information | Underlying identification | The direct underlying shall be identified by using a unique identification for this underlying based on its type.For Credit Default Swaps, the ISIN of the reference obligation should be provided. |
| 15 | Section 2b – Contract information | Indicator of the underlying index | An indication of the underlying index, where available. |
| 16 | Section 2b – Contract information | Name of the underlying index | The full name of the underlying index as assigned by the index provider. |
| 17 | Section 2b – Contract information | Custom basket code | If the derivative transaction is based on a custom basket, unique code assigned by the structurer of the custom basket to link its constituents. |
| 18 | Section 2b – Contract information | Identifier of the basket’s constituents | In case of custom baskets composed, among others, of financial instruments traded in a trading venue, only financial instruments traded in a trading venue shall be specified. |
| 19 | Section 2b – Contract information | Settlement currency 1 | Currency for the cash settlement of the transaction when applicable.For multicurrency products that do not net, the settlement currency of the leg 1.This data element is not applicable for physically settled products (e.g. physically settled swaptions). |
| 20 | Section 2b – Contract information | Settlement currency 2 | Currency for the cash settlement of the transaction when applicable.For multicurrency products that do not net, the settlement currency of the leg 2.This data element is not applicable for physically settled products (e.g. physically settled swaptions). |
| 21 | Section 2c – Valuation | Valuation amount | Mark-to-market valuation of the contract, or mark-to-model valuation as referred to in Article 4 of this Regulation.The CCP’s valuation to be used for a cleared trade. |
| 22 | Section 2c – Valuation | Valuation currency | Currency in which the valuation amount is denominated. |
| 23 | Section 2c – Valuation | Valuation timestamp | Date and time of the last valuation marked to market, provided by the CCP or calculated using the current or last available market price of the inputs. |
| 24 | Section 2c – Valuation | Valuation method | Source and method used for the valuation of the transaction by counterparty 1.If at least one valuation input is used that is classified as mark-to-model, then the whole valuation is classified as mark-to-model.If only inputs are used that are classified as mark-to-market, then the whole valuation is classified as mark-to-market. |
| 25 | Section 2c – Valuation | Delta | The ratio of the change in the price of a derivative transaction to the change in the price of the underlying.This field is applicable only to options and swaptions.Updated delta shall be reported on a daily basis by financial counterparties and non-financial counterparties as referred to in Article 10 of Regulation (EU) No 648/2012. |
| 26 | Section 2d - Collateral | Collateral portfolio indicator | Indicator of whether the collateralisation was performed on a portfolio basis. By ‘on a portfolio basis’, it is meant a set of transactions that are margined together (either on a net or a gross basis) contrary to the scenario where the margin is calculated and posted for each individual transaction separately. |
| 27 | Section 2d - Collateral | Collateral portfolio code | If collateral is reported on a portfolio basis, unique code assigned by counterparty 1 to the portfolio. This data element is not applicable if the collateralisation was performed on a transaction level basis, or if there is no collateral agreement or if no collateral is posted or received. |
| 28 | Section 2e - Risk mitigation / Reporting | Confirmation timestamp | Date and time of the confirmation, as set out in Article 12 of Commission Delegated Regulation (EU) No 149/2013(3). Applicable only to OTC derivative contracts not cleared by a CCP. |
| 29 | Section 2e - Risk mitigation / Reporting | Confirmed | For new reportable transactions, whether the legally binding terms of an OTC derivatives contract were documented and agreed upon (confirmed) or not (unconfirmed).If documented and agreed, whether such confirmation was done:—via a shared confirmation facility or platform, or a private or bilateral electronic system (electronic);—via a human-readable written document, such as fax, paper or manually processed e-mails (non-electronic).Applicable only to OTC derivative contracts not cleared by a CCP. |
| — | via a shared confirmation facility or platform, or a private or bilateral electronic system (electronic); | ||
| — | via a human-readable written document, such as fax, paper or manually processed e-mails (non-electronic). | ||
| 30 | Section 2f - Clearing | Clearing obligation | Indicates, whether the reported contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation and both counterparties to the contract are subject to the clearing obligation under Regulation (EU) No 648/2012, as of the time of execution of the contract.Applicable only to OTC derivative contracts. |
| 31 | Section 2f - Clearing | Cleared | Indicator of whether the derivative has been cleared by a CCP. |
| 32 | Section 2f - Clearing | Clearing timestamp | Time and date when clearing took place.Applicable only to derivatives cleared by a CCP. |
| 33 | Section 2f - Clearing | Central counterparty | Identifier of the CCP that cleared the transaction.This data element is not applicable if the value of the data element ‘Cleared’ is ‘N’ (‘No, not centrally cleared’). |
| 34 | Section 2g - Details on the transaction | Master Agreement type | Reference to the master agreement type under which the counterparties concluded a derivative. |
| 35 | Section 2g - Details on the transaction | Other master agreement type | Name of the master agreement. This field shall only be completed where ‘OTHR’ is reported in field 34 in this table. |
| 36 | Section 2g - Details on the transaction | Master Agreement version | Reference to the year of the master agreement relevant to the reported trade, if applicable. |
| 37 | Section 2g - Details on the transaction | Intragroup | Indicates whether the contract was entered into as an intragroup transaction, as defined in Article 3 of Regulation (EU) No 648/2012. |
| 38 | Section 2g - Details on the transaction | PTRR | Identify whether the contract results from a PTRR operation. |
| 39 | Section 2g - Details on the transaction | Type of PTRR technique | Indicator of a type of a PTRR operation for the purpose of reporting under Regulation (EU) No 648/2012.Portfolio Compression without a third-party service provider: An arrangement to reduce risk in existing portfolios of trades using non-price forming trades mainly to reduce notional amount outstanding, the number of transactions or otherwise harmonise the terms, by wholly or partially terminating trades and commonly to replacing the terminated derivatives with new replacement trades.Portfolio Compression with a third-party service provider or CCP: A PTRR service provided by a service provider or CCP to reduce risk in existing portfolios of trades using non-price forming trades mainly to reduce notional amount outstanding, the number of transactions or otherwise harmonise the terms, by wholly or partially terminating trades and commonly to replacing the terminated derivatives with new replacement trades.Portfolio Rebalancing/Margin management: A PTRR service provided by a service provider to reduce risk in an existing portfolio of trades by adding new non-price forming trades and where no existing trades in the portfolio are terminated or replaced and the notional is increased rather than decreased.Other Portfolio PTRR services: A PTRR service provided by a service provider to reduce risk in existing portfolios of trades using non-price forming trades and where such service does not qualify as Portfolio Compression or Portfolio Rebalancing. |
| 40 | Section 2g - Details on the transaction | PTRR service provider | LEI identifying the PTRR service provider. |
| 41 | Section 2g - Details on the transaction | Venue of execution | Identification of the venue where the transaction was executed.Use the ISO 10383 segment MIC for transactions executed on a trading venue, Systematic Internaliser (‘SI’) or organised trading platform outside the Union. Where the segment MIC does not exist, use the operating MIC.Use MIC code ‘XOFF’ for financial instruments admitted to trading, or traded on a trading venue or for which a request for admission was made, where the transaction on that financial instrument is not executed on a trading venue, SI or organised trading platform outside the Union, or where a counterparty does not know it is trading with a counterparty 2 acting as an SI.Use MIC code ‘XXXX’ for financial instruments that are not admitted to trading or traded on a trading venue or for which no request for admission has been made and that are not traded on an organised trading platform outside the Union. |
| 42 | Section 2c - Details on the transaction | Execution timestamp | Date and time a transaction was originally executed, resulting in the generation of a new UTI. This data element remains unchanged throughout the life of the UTI. For position level reporting it should refer to the time when position was opened for the first time. |
| 43 | Section 2c - Details on the transaction | Effective date | Unadjusted date at which obligations under the OTC derivative transaction come into effect, as included in the confirmation.If the effective date is not specified as part of the terms of the contract, the counterparties shall report in this field the date of execution of the derivative. |
| 44 | Section 2c - Details on the transaction | Expiration date | Unadjusted date at which obligations under the derivative transaction stop being effective, as included in the confirmation. Early termination does not affect this data element. |
| 45 | Section 2c - Details on the transaction | Early termination date | Effective date of the early termination (expiry) of the reported transaction.This data element is applicable if the termination of the transaction occurs prior to its maturity due to an ex-interim decision of a counterparty (or counterparties). |
| 46 | Section 2c - Details on the transaction | Final contractual settlement date | Unadjusted date as per the contract, by which all transfer of cash or assets should take place and the counterparties should no longer have any outstanding obligations to each other under that contract.For products that may not have a final contractual settlement date (e.g. American options), this data element reflects the date by which the transfer of cash or asset would take place if termination were to occur on the expiration date. |
| 47 | Section 2c - Details on the transaction | Delivery type | Indicates whether the contract is settled physically or in cash. |
| 48 | Section 2g - Details on the transaction | Price | Price specified in the derivative transaction. It does not include fees, taxes or commissions.Where the price is not known when a new transaction is reported, the price is updated as it becomes available.For transactions that are part of a package, this data element contains the price of the component transaction where applicable. |
| 49 | Section 2g - Details on the transaction | Price currency | Currency in which the price is denominated.Price currency is only applicable if price is expressed as monetary value. |
| Fields 50 to 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 | Unadjusted effective date of the price. |
| 51 | Section 2g - Details on the transaction | Unadjusted end date of the price | Unadjusted end date of the price (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period). |
| 52 | Section 2g - Details on the transaction | Price in effect between the unadjusted effective date and the end date | Price in effect between the unadjusted effective date and inclusive of the unadjusted end date. |
| 53 | Section 2g - Details on the transaction | Package transaction price | Traded price of the entire package in which the reported derivative transaction is a component.This data element is not applicable if—no package is involved, or—package transaction spread is used.Prices and related data elements of the transactions (Price currency) that represent individual components of the package are reported when available.The package transaction price may not be known when a new transaction is reported but may be updated later. |
| — | no package is involved, or | ||
| — | package transaction spread is used. | ||
| 54 | Section 2g - Details on the transaction | Package transaction price currency | Currency in which the package transaction price is denominated.This data element is not applicable if—no package is involved, or—package transaction spread is used, or—package transaction price is expressed as percentage. |
| — | no package is involved, or | ||
| — | package transaction spread is used, or | ||
| — | package transaction price is expressed as percentage. | ||
| 55 | Section 2g - Details on the transaction | Notional amount of leg 1 | Notional amount of leg 1 as referred to in Article 5 of this Regulation. |
| 56 | Section 2g - Details on the transaction | Notional currency 1 | Where applicable: the currency in which the notional amount of leg 1 is denominated. |
| Fields 57 to 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 | Unadjusted date on which the associated notional amount of leg 1 becomes effective. |
| 58 | Section 2g - Details on the transaction | End date of the notional amount of leg 1 | Unadjusted end date of the notional amount of leg 1 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period). |
| 59 | Section 2g - Details on the transaction | Notional amount in effect on associated effective date of leg 1 | Notional amount of leg 1 which becomes effective on the associated unadjusted effective date. |
| 60 | Section 2g - Details on the transaction | Total notional quantity of leg 1 | Aggregate Notional quantity of the underlying asset of leg 1 for the term of the transaction.Where the total notional quantity is not known when a new transaction is reported, the total notional quantity is updated as it becomes available. |
| Fields 61 to 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 | Unadjusted date on which the associated notional quantity of leg 1 becomes effective |
| 62 | Section 2g - Details on the transaction | End date of the notional quantity of leg 1 | Unadjusted end date of the notional quantity of leg 1 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period). |
| 63 | Section 2g - Details on the transaction | Notional quantity in effect on associated effective date of leg 1 | Notional quantity of leg 1 which becomes effective on the associated unadjusted effective date. |
| 64 | Section 2g - Details on the transaction | Notional amount of leg 2 | Where applicable, notional amount of leg 2 as referred to in Article 5 of this Regulation. |
| 65 | Section 2g - Details on the transaction | Notional currency 2 | Where applicable: the currency in which the notional amount of leg 2 is denominated. |
| Fields 66 to 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 | Unadjusted date on which the associated notional amount of leg 2 becomes effective. |
| 67 | Section 2g - Details on the transaction | End date of the notional amount of leg 2 | Unadjusted end date of the notional amount of leg 2 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period). |
| 68 | Section 2g - Details on the transaction | Notional amount in effect on associated effective date of leg 2 | Notional amount of leg 2 which becomes effective on the associated unadjusted effective date. |
| 69 | Section 2g - Details on the transaction | Total notional quantity of leg 2 | Aggregate Notional quantity of the underlying asset of leg 2 for the term of the transaction.Where the total notional quantity is not known when a new transaction is reported, the total notional quantity is updated as it becomes available. |
| Fields 70 to 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 | Unadjusted date on which the associated notional quantity of leg 2 becomes effective. |
| 71 | Section 2g - Details on the transaction | End date of the notional quantity of leg 2 | Unadjusted end date of the notional quantity of leg 2 (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period). |
| 72 | Section 2g - Details on the transaction | Notional quantity in effect on associated effective date of leg 2 | Notional quantity of leg 2 which becomes effective on the associated unadjusted effective date. |
| Section of fields 73 to 78 is repeatable | |||
| 73 | Section 2g - Details on the transaction | Other payment type | Type of Other payment amount.Option premium payment is not included as a payment type as premiums for option are reported using the option premium dedicated data element. |
| 74 | Section 2g - Details on the transaction | Other payment amount | Payment amounts with corresponding payment types to accommodate requirements of transaction descriptions from different asset classes. |
| 75 | Section 2g - Details on the transaction | Other payment currency | Currency in which Other payment amount is denominated. |
| 76 | Section 2g - Details on the transaction | Other payment date | Unadjusted date on which the other payment amount is paid. |
| 77 | Section 2g - Details on the transaction | Other payment payer | Identifier of the payer of Other payment amount. |
| 78 | Section 2g - Details on the transaction | Other payment receiver | Identifier of the receiver of Other payment amount. |
| 79 | Section 2h - Interest Rates | Fixed rate of leg 1 or coupon | An indication of the fixed rate leg 1 or coupon used, where applicable. |
| 80 | Section 2h - Interest Rates | Fixed rate or coupon day count convention leg 1 | Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year. |
| 81 | Section 2h - Interest Rates | Fixed rate or coupon payment frequency period leg 1 | Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the fixed rate of leg 1 or coupon. |
| 82 | Section 2h - Interest Rates | Fixed rate or coupon payment frequency period multiplier leg 1 | Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the fixed rate of leg 1 or coupon. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0. |
| 83 | Section 2h - Interest Rates | Identifier of the floating rate of leg 1 | Where applicable: an identifier of the interest rates used which are reset at predetermined intervals by reference to a market reference rate. |
| 84 | Section 2h - Interest Rates | Indicator of the floating rate of leg 1 | An indication of the interest rate, where available. |
| 85 | Section 2h - Interest Rates | Name of the floating rate of leg 1 | The full name of the interest rate as assigned by the index provider. |
| 86 | Section 2h - Interest Rates | Floating rate day count convention of leg 1 | Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments for the floating rate of leg 1 are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year. |
| 87 | Section 2h - Interest Rates | Floating rate payment frequency period of leg 1 | Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the floating rate of leg 1. |
| 88 | Section 2h - Interest Rates | Floating rate payment frequency period multiplier of leg 1 | Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the floating rate of leg 1. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0. |
| 89 | Section 2h - Interest Rates | Floating rate reference period of leg 1 – time period | Time period describing the reference period for the floating rate of leg 1. |
| 90 | Section 2h - Interest Rates | Floating rate reference period of leg 1 – multiplier | Multiplier of the time period describing the reference period for the floating rate of leg 1. |
| 91 | Section 2h - Interest Rates | Floating rate reset frequency period of leg 1 | Where applicable: time unit associated with the frequency of payments resets, e.g. day, week, month, year or term of the stream for the floating rate of leg 1. |
| 92 | Section 2h - Interest Rates | Floating rate reset frequency multiplier of leg 1 | Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment resets dates occur for the floating rate of leg 1. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0. |
| 93 | Section 2h - Interest Rates | Spread of leg 1 | An indication of the spread of leg 1, where applicable: for OTC derivative transactions with periodic payments (e.g. interest rate fixed/float swaps, interest rate basis swaps, commodity swaps),—spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s).—difference between the reference prices of the two floating leg indexes. |
| — | spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s). | ||
| — | difference between the reference prices of the two floating leg indexes. | ||
| 94 | Section 2h - Interest Rates | Spread currency of leg 1 | Where applicable: currency in which the spread of leg 1 is denominated.This data element is only applicable if spread is expressed as monetary amount. |
| 95 | Section 2h - Interest Rates | Fixed rate of leg 2 | An indication of the fixed rate leg 2 used, where applicable. |
| 96 | Section 2h - Interest Rates | Fixed rate day count convention leg 2 | Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year. |
| 97 | Section 2h - Interest Rates | Fixed rate payment frequency period leg 2 | Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the fixed rate of leg 2. |
| 98 | Section 2h - Interest Rates | Fixed rate payment frequency period multiplier leg 2 | Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the fixed rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0. |
| 99 | Section 2h - Interest Rates | Identifier of the floating rate of leg 2 | Where applicable: an identifier of the interest rates used which are reset at predetermined intervals by reference to a market reference rate |
| 100 | Section 2h - Interest Rates | Indicator of the floating rate of leg 2 | An indication of the interest rate, where available. |
| 101 | Section 2h - Interest Rates | Name of the floating rate of leg 2 | The full name of the interest rate as assigned by the index provider. |
| 102 | Section 2h - Interest Rates | Floating rate day count convention of leg 2 | Where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments for the floating rate of leg 2 are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year. |
| 103 | Section 2h - Interest Rates | Floating rate payment frequency period of leg 2 | Where applicable: time unit associated with the frequency of payments, e.g. day, week, month, year or term of the stream for the floating rate of leg 2. |
| 104 | Section 2h - Interest Rates | Floating rate payment frequency period multiplier of leg 2 | Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the floating rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0. |
| 105 | Section 2h - Interest Rates | Floating rate reference period of leg 2 – time period | Time period describing the reference period for the floating rate of leg 2. |
| 106 | Section 2h - Interest Rates | Floating rate reference period of leg 2 – multiplier | Multiplier of the time period describing the reference period for the floating rate of leg 2. |
| 107 | Section 2h - Interest Rates | Floating rate reset frequency period of leg 2 | Where applicable: time unit associated with the frequency of payments resets, e.g. day, week, month, year or term of the stream for the floating rate of leg 2. |
| 108 | Section 2h - Interest Rates | Floating rate reset frequency multiplier of leg 2 | Where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment resets dates occur for the floating rate of leg 2. For example, a transaction with payments occurring every two months is represented with a payment frequency period of ‘MNTH’ (monthly) and a payment frequency period multiplier of 2.This data element is not applicable if the payment frequency period is ‘ADHO’. If payment frequency period is ‘EXPI’, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is ‘DAIL’ and the payment frequency multiplier is 0. |
| 109 | Section 2h - Interest Rates | Spread of leg 2 | An indication of the spread of leg 2, where applicable: for OTC derivative transactions with periodic payments (e.g. interest rate fixed or float swaps, interest rate basis swaps, commodity swaps),—spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s).—difference between the reference prices of the two floating leg indexes. |
| — | spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s). | ||
| — | difference between the reference prices of the two floating leg indexes. | ||
| 110 | Section 2h - Interest Rates | Spread currency of leg 2 | Where applicable: currency in which the spread of leg 2 is denominated.This data element is only applicable if the spread is expressed as monetary amount. |
| 111 | Section 2h - Interest Rates | Package transaction spread | Traded price of the entire package in which the reported derivative transaction is a component of a package transaction.Package transaction price when the price of the package is expressed as a spread, difference between two reference prices.This data element is not applicable if—no package is involved, or—package transaction price is used.Spread and related data elements of the transactions (spread currency) that represent individual components of the package are reported when available.Package transaction spread may not be known when a new transaction is reported but may be updated later. |
| — | no package is involved, or | ||
| — | package transaction price is used. | ||
| 112 | Section 2h - Interest Rates | Package transaction spread currency | Currency in which the package transaction spread is denominated.This data element is not applicable if—no package is involved, or—package transaction price is used, or—package transaction spread is expressed as percentage or basis points. |
| — | no package is involved, or | ||
| — | package transaction price is used, or | ||
| — | package transaction spread is expressed as percentage or basis points. | ||
| 113 | Section 2i – Foreign Exchange | Exchange rate 1 | Exchange rate between the two different currencies specified in the derivative transaction agreed by the counterparties at the inception of the transaction, expressed as the rate of exchange from converting the unit currency into the quoted currency. |
| 114 | Section 2i – Foreign Exchange | Forward exchange rate | Forward exchange rate as agreed between the counterparties in the contractual agreement. It shall be expressed as a price of base currency in the quoted currency. |
| 115 | Section 2i – Foreign Exchange | Exchange rate basis | Currency pair and order in which the exchange rate is denominated, expressed as unit currency or quoted currency. |
| 116 | Section 2j - Commodities and emission allowances (General) | Base product | Base product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860. |
| 117 | Section 2j - Commodities and emission allowances (General) | Sub-product | Sub-product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860.This field requires a specific base product in field. |
| 118 | Section 2j - Commodities and emission allowances (General) | Further sub-product | Further sub product as specified in the classification of commodities in Table 4 of the Annex to Implementing Regulation (EU) 2022/1860.This field requires a specific sub product in field. |
| 119 | Section 2k - Commodities and emission allowances (Energy) | Delivery point or zone | Delivery point(s) or market area(s). |
| 120 | Section 2k - Commodities and emission allowances (Energy) | Interconnection Point | Identification of the border(s) or border point(s) of a transportation contract. |
| 121 | Section 2k - Commodities and emission allowances (Energy) | Load type | Identification of the delivery profile. |
| Section of fields 122 to 131 is repeatable | |||
| 122 | Section 2k - Commodities and emission allowances (Energy) | Delivery interval start time | The start time of the delivery interval for each block or shape. |
| 123 | Section 2k - Commodities and emission allowances (Energy) | Delivery interval end time | The end time of the delivery interval for each block or shape. |
| 124 | Section 2k - Commodities and emission allowances (Energy) | Delivery start date | Start date of delivery. |
| 125 | Section 2k - Commodities and emission allowances (Energy) | Delivery end date | End date of delivery. |
| 126 | Section 2k - Commodities and emission allowances (Energy) | Duration | The duration of the delivery period. |
| 127 | Section 2k - Commodities and emission allowances (Energy) | Days of the week | The days of the week of the delivery. |
| 128 | Section 2k - Commodities and emission allowances (Energy) | Delivery capacity | The number of units included in the transaction for each delivery interval specified in fields 122 and 123. |
| 129 | Section 2k - Commodities and emission allowances (Energy) | Quantity Unit | The unit of measurement used. |
| 130 | Section 2k - Commodities and emission allowances (Energy) | Price/time interval quantity | If applicable, price per quantity per delivery time interval. |
| 131 | Section 2k - Commodities and emission allowances (Energy) | Currency of the price/time interval quantity | The currency in which the price per time interval quantity is expressed. |
| 132 | Section 2l - Options | Option type | Indication as to whether the derivative contract is a call (right to purchase a specific underlying asset) or a put (right to sell a specific underlying asset) or whether it cannot be determined whether it is a call or a put at the time of execution of the derivative contract.In case of swaptions it shall be:—‘Put’, in case of receiver swaption, in which the buyer has the right to enter into a swap as a fixed-rate receiver.—‘Call’, in case of payer swaption, in which the buyer has the right to enter into a swap as a fixed-rate payer.In case of Caps and Floors it shall be:—‘Put’, in case of a Floor.—‘Call’, in case of a Cap. |
| — | ‘Put’, in case of receiver swaption, in which the buyer has the right to enter into a swap as a fixed-rate receiver. | ||
| — | ‘Call’, in case of payer swaption, in which the buyer has the right to enter into a swap as a fixed-rate payer. | ||
| — | ‘Put’, in case of a Floor. | ||
| — | ‘Call’, in case of a Cap. | ||
| 133 | Section 2l - Options | Option style | Indicates whether the option may be exercised only at a fixed date (European), a series of pre-specified dates (Bermudan) or at any time during the life of the contract (American). |
| 134 | Section 2l - Options | Strike price | —For options other than FX options, swaptions and similar products, price at which the owner of an option can buy or sell the underlying asset of the option.—For foreign exchange options, exchange rate at which the option can be exercised, expressed as the rate of exchange from converting the unit currency into the quoted currency. In the example 0,9426 USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 = EUR 0,9426.Where the strike price is not known when a new transaction is reported, the strike price is updated as it becomes available.—For volatility and variance swaps and similar products the volatility strike price is reported in this data element. |
| — | For options other than FX options, swaptions and similar products, price at which the owner of an option can buy or sell the underlying asset of the option. | ||
| — | For foreign exchange options, exchange rate at which the option can be exercised, expressed as the rate of exchange from converting the unit currency into the quoted currency. In the example 0,9426 USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 = EUR 0,9426.Where the strike price is not known when a new transaction is reported, the strike price is updated as it becomes available. | ||
| — | For volatility and variance swaps and similar products the volatility strike price is reported in this data element. | ||
| Fields 135 to 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 | Unadjusted effective date of the strike price. |
| 136 | Section 2l - Options | End date of the strike price | Unadjusted end date of the strike price (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period). |
| 137 | Section 2l - Options | Strike price in effect on associated effective date | Strike price in effect between the unadjusted effective date and unadjusted end date inclusive. |
| 138 | Section 2l - Options | Strike price currency/currency pair | For equity options, commodity options, and similar products, currency in which the strike price is denominated.For foreign exchange options: Currency pair and order in which the strike price is expressed. It is expressed as unit currency per quoted currency. |
| 139 | Section 2l - Options | Option premium amount | For options and swaptions of all asset classes, monetary amount paid by the option buyer.This data element is not applicable if the instrument is not an option or does not embed any optionality. |
| 140 | Section 2l - Options | Option premium currency | For options and swaptions of all asset classes, currency in which the option premium amount is denominated. This data element is not applicable if the instrument is not an option or does not embed any optionality. |
| 141 | Section 2l - Options | Option premium payment date | Unadjusted date on which the option premium is paid. |
| 142 | Section 2i - Options | Maturity date of the underlying | In case of swaptions, maturity date of the underlying swap. |
| 143 | Section 2m – Credit derivatives | Seniority | Indicates the seniority of the debt security, or debt basket or index underlying a derivative. |
| 144 | Section 2m – Credit derivatives | Reference entity | Identification of the underlying reference entity. |
| 145 | Section 2m – Credit derivatives | Series | The series number of the composition of the index if applicable. |
| 146 | Section 2m – Credit derivatives | Version | A new version of a series is issued if one of the constituents defaults and the index has to be re-weighted to account for the new number of total constituents within the index. |
| 147 | Section 2m – Credit derivatives | Index factor | The factor to apply to the Notional (field 55 in this Table) to adjust it to all the previous credit events in that Index series. |
| 148 | Section 2m – Credit derivatives | Tranche | Indication whether a derivative contract is tranched. |
| 149 | Section 2m – Credit derivatives | Credit Default Swap (CDS) index attachment point | Defined lower point at which the level of losses in the underlying portfolio reduces the notional of a tranche. For example, the notional in a tranche with an attachment point of 3 % will be reduced after 3 % of losses in the portfolio have occurred. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket). |
| 150 | Section 2m – Credit derivatives | CDS index detachment point | Defined point beyond which losses in the underlying portfolio no longer reduce the notional of a tranche. For example, the notional in a tranche with an attachment point of 3 % and a detachment point of 6 % will be reduced after there have been 3 % of losses in the portfolio. 6 % losses in the portfolio deplete the notional of the tranche. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket). |
| 151 | Section 2n - Modifications to the derivative | Action type | —New: A report of a derivative, at a trade or position level, for the first time.—Modify: A modification to the terms or details of a previously reported derivative, at a trade or position level, but not a correction of a report.—Correct: A report correcting the erroneous data fields of a previously submitted report.—Terminate: A termination of an existing derivative, at a trade or position level.—Error: A cancellation of a wrongly submitted entire report in case the derivative, at a trade or position level, never came into existence or was not subject to Regulation (EU) No 648/2012 reporting requirements but was reported to a trade repository by mistake or a cancellation of a duplicate report.—Revive: Re-opening of a derivative, at a trade or position level, that was cancelled with action type ‘Error’ or terminated by mistake.—Valuation: An update of a valuation of a derivative, at a trade or position level—Position component: A report of a new derivative that is included in a separate position report on the same day. |
| — | New: A report of a derivative, at a trade or position level, for the first time. | ||
| — | Modify: A modification to the terms or details of a previously reported derivative, at a trade or position level, but not a correction of a report. | ||
| — | Correct: A report correcting the erroneous data fields of a previously submitted report. | ||
| — | Terminate: A termination of an existing derivative, at a trade or position level. | ||
| — | Error: A cancellation of a wrongly submitted entire report in case the derivative, at a trade or position level, never came into existence or was not subject to Regulation (EU) No 648/2012 reporting requirements but was reported to a trade repository by mistake or a cancellation of a duplicate report. | ||
| — | Revive: Re-opening of a derivative, at a trade or position level, that was cancelled with action type ‘Error’ or terminated by mistake. | ||
| — | Valuation: An update of a valuation of a derivative, at a trade or position level | ||
| — | Position component: A report of a new derivative that is included in a separate position report on the same day. | ||
| 152 | Section 2n - Modifications to the derivative | Event type | —Trade: Conclusion of a derivative or renegotiation of its terms that does not result in change of a counterparty—Step-in: An event, where part or entirety of the derivative is transferred to a counterparty 2 (and reported as a new derivative) and the existing derivative is either terminated or its notional is modified.—PTRR: Post-trade risk reduction exercise—Early termination: Termination of a derivative, at a trade or position level—Clearing: Clearing as defined in Article 2 point (3) of Regulation (EU) No 648/2012—Exercise: The exercise of an option or a swaption by one counterparty of the transaction, fully or partially.—Allocation: Allocation event, where an existing derivative is allocated to different counterparties and reported as new derivatives with reduced notional amounts.—Credit event: Applies only to credit derivatives. A credit event that results in a modification of a derivative, at a trade or position levelCorporate event: A corporate action on equity underlying that impacts the derivatives on that equity—Inclusion in position: Inclusion of CCP-cleared derivative or CFD into a position, where an existing derivative is terminated and either a new position is created or the notional of an existing position is modified.Update - Update of an outstanding derivative performed during the transition period in order to ensure its conformity with the amended reporting requirements |
| — | Trade: Conclusion of a derivative or renegotiation of its terms that does not result in change of a counterparty | ||
| — | Step-in: An event, where part or entirety of the derivative is transferred to a counterparty 2 (and reported as a new derivative) and the existing derivative is either terminated or its notional is modified. | ||
| — | PTRR: Post-trade risk reduction exercise | ||
| — | Early termination: Termination of a derivative, at a trade or position level | ||
| — | Clearing: Clearing as defined in Article 2 point (3) of Regulation (EU) No 648/2012 | ||
| — | Exercise: The exercise of an option or a swaption by one counterparty of the transaction, fully or partially. | ||
| — | Allocation: Allocation event, where an existing derivative is allocated to different counterparties and reported as new derivatives with reduced notional amounts. | ||
| — | Credit event: Applies only to credit derivatives. A credit event that results in a modification of a derivative, at a trade or position level | ||
| — | Inclusion in position: Inclusion of CCP-cleared derivative or CFD into a position, where an existing derivative is terminated and either a new position is created or the notional of an existing position is modified. | ||
| 153 | Section 2n - Modifications to the derivative | Event date | Date on which the reportable event relating to the derivative contract and captured by the report took place or, in case of a modification when the modification become effective. |
| 154 | Section 2n - Modifications to the derivative | Level | Indication whether the report is done at trade or position level.Position level report can be used only as a supplement to trade level reporting to report post-trade events and only if individual trades in fungible products have been replaced by the position. |
Table 3 in anx_1
| — | via a shared confirmation facility or platform, or a private or bilateral electronic system (electronic); |
|---|
Table 4 in anx_1
| — | via a human-readable written document, such as fax, paper or manually processed e-mails (non-electronic). |
|---|
Table 5 in anx_1
| — | no package is involved, or |
|---|
Table 6 in anx_1
| — | package transaction spread is used. |
|---|
Table 7 in anx_1
| — | no package is involved, or |
|---|
Table 8 in anx_1
| — | package transaction spread is used, or |
|---|
Table 9 in anx_1
| — | package transaction price is expressed as percentage. |
|---|
Table 10 in anx_1
| — | spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s). |
|---|
Table 11 in anx_1
| — | difference between the reference prices of the two floating leg indexes. |
|---|
Table 12 in anx_1
| — | spread on the individual floating leg(s) index reference price, in the case where there is a spread on a floating leg(s). |
|---|
Table 13 in anx_1
| — | difference between the reference prices of the two floating leg indexes. |
|---|
Table 14 in anx_1
| — | no package is involved, or |
|---|
Table 15 in anx_1
| — | package transaction price is used. |
|---|
Table 16 in anx_1
| — | no package is involved, or |
|---|
Table 17 in anx_1
| — | package transaction price is used, or |
|---|
Table 18 in anx_1
| — | package transaction spread is expressed as percentage or basis points. |
|---|
Table 19 in anx_1
| — | ‘Put’, in case of receiver swaption, in which the buyer has the right to enter into a swap as a fixed-rate receiver. |
|---|
Table 20 in anx_1
| — | ‘Call’, in case of payer swaption, in which the buyer has the right to enter into a swap as a fixed-rate payer. |
|---|
Table 21 in anx_1
| — | ‘Put’, in case of a Floor. |
|---|
Table 22 in anx_1
| — | ‘Call’, in case of a Cap. |
|---|
Table 23 in anx_1
| — | For options other than FX options, swaptions and similar products, price at which the owner of an option can buy or sell the underlying asset of the option. |
|---|
Table 24 in anx_1
| — | For foreign exchange options, exchange rate at which the option can be exercised, expressed as the rate of exchange from converting the unit currency into the quoted currency. In the example 0,9426 USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 = EUR 0,9426.Where the strike price is not known when a new transaction is reported, the strike price is updated as it becomes available. |
|---|
Table 25 in anx_1
| — | For volatility and variance swaps and similar products the volatility strike price is reported in this data element. |
|---|
Table 26 in anx_1
| — | New: A report of a derivative, at a trade or position level, for the first time. |
|---|
Table 27 in anx_1
| — | Modify: A modification to the terms or details of a previously reported derivative, at a trade or position level, but not a correction of a report. |
|---|
Table 28 in anx_1
| — | Correct: A report correcting the erroneous data fields of a previously submitted report. |
|---|
Table 29 in anx_1
| — | Terminate: A termination of an existing derivative, at a trade or position level. |
|---|
Table 30 in anx_1
| — | Error: A cancellation of a wrongly submitted entire report in case the derivative, at a trade or position level, never came into existence or was not subject to Regulation (EU) No 648/2012 reporting requirements but was reported to a trade repository by mistake or a cancellation of a duplicate report. |
|---|
Table 31 in anx_1
| — | Revive: Re-opening of a derivative, at a trade or position level, that was cancelled with action type ‘Error’ or terminated by mistake. |
|---|
Table 32 in anx_1
| — | Valuation: An update of a valuation of a derivative, at a trade or position level |
|---|
Table 33 in anx_1
| — | Position component: A report of a new derivative that is included in a separate position report on the same day. |
|---|
Table 34 in anx_1
| — | Trade: Conclusion of a derivative or renegotiation of its terms that does not result in change of a counterparty |
|---|
Table 35 in anx_1
| — | Step-in: An event, where part or entirety of the derivative is transferred to a counterparty 2 (and reported as a new derivative) and the existing derivative is either terminated or its notional is modified. |
|---|
Table 36 in anx_1
| — | PTRR: Post-trade risk reduction exercise |
|---|
Table 37 in anx_1
| — | Early termination: Termination of a derivative, at a trade or position level |
|---|
Table 38 in anx_1
| — | Clearing: Clearing as defined in Article 2 point (3) of Regulation (EU) No 648/2012 |
|---|
Table 39 in anx_1
| — | Exercise: The exercise of an option or a swaption by one counterparty of the transaction, fully or partially. |
|---|
Table 40 in anx_1
| — | Allocation: Allocation event, where an existing derivative is allocated to different counterparties and reported as new derivatives with reduced notional amounts. |
|---|
Table 41 in anx_1
| — | Credit event: Applies only to credit derivatives. A credit event that results in a modification of a derivative, at a trade or position level |
|---|
Table 42 in anx_1
| — | Inclusion in position: Inclusion of CCP-cleared derivative or CFD into a position, where an existing derivative is terminated and either a new position is created or the notional of an existing position is modified. |
|---|
Table 43 in anx_1
| Item | Section | Field | Details to be reported |
|---|---|---|---|
| 1 | Parties to the derivative | Reporting timestamp | Date and time of the submission of the report to the trade repository. |
| 2 | Parties to the derivative | Report submitting entity ID | In the case where the entity responsible for reporting has delegated the submission of the report to a third party or to the other counterparty, this entity has to be identified in this field by a unique code.Otherwise the entity responsible for reporting should be identified in this field. |
| 3 | Parties to the derivative | Entity responsible for reporting | Where a financial counterparty is solely responsible, and legally liable, for reporting on behalf of both counterparties in accordance with Article 9(1a) of Regulation (EU) No 648/2012 and the non-financial counterparty does not decide to report itself the details of its OTC derivative contracts with the financial counterparty, the unique code identifying that financial counterparty. Where a management company is responsible, and legally liable, for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 9(1b) of that Regulation, the unique code identifying that management company. Where an Alternative Investment Fund Manager (AIFM) is responsible, and legally liable, for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 9(1c) of that Regulation, the unique code identifying that AIFM. Where an authorised entity that is responsible for managing and acting on behalf of an IORP is responsible, and legally liable, for reporting on its behalf in accordance with Article 9(1d) of that Regulation, the unique code identifying that entity.This field is applicable only to OTC derivatives. |
| 4 | Parties to the derivative | Counterparty 1 (Reporting counterparty) | Identifier of the counterparty to a derivative transaction who is fulfilling its reporting obligation via the report in question.In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty. |
| 5 | Parties to the derivative | Counterparty 2 identifier type | Indicator of whether LEI was used to identify the counterparty 2. |
| 6 | Parties to the derivative | Counterparty 2 | Identifier of the second counterparty to a derivative transaction.In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty. |
| 7 | Collateral | Collateral timestamp | Date and time as of which the values of the margins are reported. |
| 8 | Collateral | Collateral portfolio indicator | Indicator of whether the collateralisation was performed on a portfolio basis. By ‘on a portfolio basis’, it is meant a set of transactions that are margined together (either on a net or a gross basis) contrary to the scenario where the margin is calculated and posted for each individual transaction separately. |
| 9 | Collateral | Collateral portfolio code | If collateral is reported on a portfolio basis, unique code assigned by counterparty 1 to the portfolio. This data element is not applicable if the collateralisation was performed on a transaction level basis, or if there is no collateral agreement or if no collateral is posted or received. |
| 10 | Collateral | UTI | Unique Trade Identifier as referred to in Article 7 of Implementing Regulation (EU) 2022/1860. |
| 11 | Collateral | Collateralisation category | Indicate whether a collateral agreement between the counterparties exists.This data element is provided for each transaction or each portfolio, depending on whether the collateralisation is performed at the transaction or portfolio level, and is applicable to both cleared and uncleared transactions. |
| 12 | Collateral | Initial margin posted by counterparty 1 (pre-haircut) | Monetary value of initial margin that has been posted by counterparty 1, including any margin that is in transit and pending settlement.If the collateralisation is performed at portfolio level, the initial margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin posted relates to such single transaction.This field refers to the total current value of the initial margin, rather than to its daily change.The data element refers both to uncleared and centrally cleared transactions.For centrally cleared transactions, the data element does not include default fund contributions, nor collateral posted against liquidity provisions to the CCP, i.e. committed credit lines.If the initial margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value. |
| 13 | Collateral | Initial margin posted by counterparty 1 (post-haircut) | Monetary value of initial margin that has been posted by counterparty 1, including any margin that is in transit and pending settlement.If the collateralisation is performed at portfolio level, the initial margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin posted relates to such single transaction.This field refers to the total current value of the initial margin after application of the haircut (if applicable), rather than to its daily change.The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include default fund contributions, nor collateral posted against liquidity provisions to the CCP, i.e. committed credit lines.If the initial margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value. |
| 14 | Collateral | Currency of the initial margin posted | Currency in which the initial margin posted is denominated.If the initial margin posted is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted initial margins. |
| 15 | Collateral | Variation margin posted by counterparty 1 (pre-haircut) | Monetary value of the variation margin posted by counterparty 1, including the cash-settled margin and any margin that is in transit and pending settlement.Contingent variation margin is not included.If the collateralisation is performed at portfolio level, the variation margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin posted relates to such single transaction.This field refers to the total current value of the variation margin, cumulated since the first reporting of variation margins posted for the portfolio or transaction.If the variation margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value. |
| 16 | Collateral | Variation margin posted by counterparty 1 (post-haircut) | Monetary value of the variation margin posted by counterparty 1, including the cash-settled margin and any margin that is in transit and pending settlement.Contingent variation margin is not included.If the collateralisation is performed at portfolio level, the variation margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin posted relates to such single transaction.This field refers to the total current value of the variation margin after application of the haircut, if applicable, cumulated since the first reporting of posted variation margins for the portfolio or transaction.If the variation margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value. |
| 17 | Collateral | Currency of the variation margins posted | Currency in which the variation margin posted is denominated.If the variation margin posted is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted variation margins. |
| 18 | Collateral | Excess collateral posted by counterparty 1 | Monetary value of any additional collateral posted by counterparty 1 separate and independent from initial and variation margin. This field refers to the total current value of the excess collateral before application of the haircut, if applicable, rather than to its daily change.Any initial or variation margin amount posted that exceeds the required initial margin or required variation margin, is reported as part of the initial margin posted or variation margin posted respectively rather than included as excess collateral posted.For centrally cleared transactions, excess collateral is reported only to the extent it can be assigned to a specific portfolio or transaction. |
| 19 | Collateral | Currency of the excess collateral posted | Currency in which the excess collateral posted is denominated.If the excess collateral posted is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of posted excess collateral. |
| 20 | Collateral | Initial margin collected by counterparty 1 (pre-haircut) | Monetary value of initial margin that has been collected by counterparty 1, including any margin that is in transit and pending settlement.If the collateralisation is performed at portfolio level, the initial margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin collected relates to such single transaction.This field refers to the total current value of the initial margin, rather than to its daily change.The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include collateral collected by the CCP as part of its investment activity.If the initial margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value. |
| 21 | Collateral | Initial margin collected by counterparty 1 (post-haircut) | Monetary value of initial margin that has been collected by counterparty 1, including any margin that is in transit and pending settlement.If the collateralisation is performed at portfolio level, the initial margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin collected relates to such single transaction.This field refers to the total current value of the initial margin after application of the haircut, if applicable, rather than to its daily change.The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include collateral collected by the CCP as part of its investment activity.If the initial margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value. |
| 22 | Collateral | Currency of initial margin collected | Currency in which the initial margin collected is denominated.If the initial margin collected is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of collected initial margins. |
| 23 | Collateral | Variation margin collected by counterparty 1 (pre-haircut) | Monetary value of the variation margin collected by counterparty 1, including the cash-settled margin and any margin that is in transit and pending settlement.Contingent variation margin is not included.If the collateralisation is performed at portfolio level, the variation margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin collected relates to such single transaction.This field refers to the total current value of the variation margin, cumulated since the first reporting of collected variation margins for the portfolio/transaction.If the variation margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value. |
| 24 | Collateral | Variation margin collected by counterparty 1 (post-haircut) | Monetary value of the variation margin collected by counterparty 1, including the cash-settled margin, and any margin that is in transit and pending settlement.Contingent variation margin is not included.If the collateralisation is performed at portfolio level, the variation margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin collected relates to such single transaction.This field refers to the total current value of the variation margin collected after application of the haircut, if applicable, cumulated since the first reporting of collected variation margins for the portfolio/transaction.If the variation margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by counterparty 1 and reported as one total value. |
| 25 | Collateral | Currency of variation margin collected | Currency in which the variation margin collected is denominated.If the variation margin collected is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of collected variation margins. |
| 26 | Collateral | Excess collateral collected by counterparty 1 | Monetary value of any additional collateral collected by counterparty 1 separate and independent from initial and variation margin. This data element refers to the total current value of the excess collateral before application of the haircut, if applicable, rather than to its daily change.Any initial or variation margin amount collected that exceeds the required initial margin or required variation margin, is reported as part of the initial margin collected or variation margin collected respectively, rather than included as excess collateral collected.For centrally cleared transactions excess collateral is reported only to the extent it can be assigned to a specific portfolio or transaction. |
| 27 | Collateral | Currency of excess collateral collected | Currency in which the excess collateral collected is denominated.If the excess collateral is denominated in more than one currency, this data element reflects one of those currencies into which counterparty 1 has chosen to convert all the values of collected excess collateral. |
| 28 | Collateral | Action type | The report shall contain one of the following action types:(a)a new margin balance or a modification of the details of the margins shall be identified as ‘Margin update’;(b)a correction of data fields that were submitted incorrectly in a previous report shall be identified as ‘Correct’. |
| (a) | a new margin balance or a modification of the details of the margins shall be identified as ‘Margin update’; | ||
| (b) | a correction of data fields that were submitted incorrectly in a previous report shall be identified as ‘Correct’. | ||
| 29 | Collateral | Event date | Date on which the reportable event relating to the derivative contract and captured by the report took place. In the case of collateral update - the date for which the information contained in the report is provided. |
Table 44 in anx_1
| (a) | a new margin balance or a modification of the details of the margins shall be identified as ‘Margin update’; |
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Table 45 in anx_1
| (b) | a correction of data fields that were submitted incorrectly in a previous report shall be identified as ‘Correct’. |
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