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Commission Implementing Regulation (EU) 2019/363 of 13 December 2018 laying down implementing technical standards with regard to the format and frequency of reports on the details of securities financing transactions (SFTs) to trade repositories in accordance with Regulation (EU) 2015/2365 of the European Parliament and of the Council and amending Commission Implementing Regulation (EU) No 1247/2012 with regard to the use of reporting codes in the reporting of derivative contracts (Text with EEA relevance)

In forceVersion 2018-12-13from 2019-04-11
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Contents
  1. Preamble
    1. Article 1 Data standards and formats for SFT reports
    2. Article 2 Identification of counterparties and other entities
    3. Article 3 Unique Trade Identifier
    4. Article 4 Counterparty side
    5. Article 5 Frequency of SFT reports
    6. Article 6 Amendments to Implementing Regulation (EU) No 1247/2012
    7. Article 7 Entry into force
  3. ANNEX
  4. ANNEX I Formats to be used for reports on the details of securities financing transactions, as referred to in Article 4(1) and (5) of Regulation (EU) 2015/2365 Table 1 Table 2 Table 3 Table 4 Table 5 Counterparty Data Loan and Collateral Data Margin Data Re-use, Cash Reinvestment and Funding Sources Data Classification of commodities
  5. ANNEX II
  6. ANNEX Table 1 Table 2 Counterparty Data Common Data

THE EUROPEAN COMMISSION,

Having regard to Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012, and in particular Article 4(10) thereof,

Having regard to 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 and in particular Article 9(6) thereof,

Whereas:

(1) The details reported by securities financing transaction (SFT) counterparties to trade repositories or the European Securities and Markets Authority (ESMA) should be submitted in a harmonised format in order to facilitate data collection, aggregation and comparison across trade repositories. To minimise costs for the reporting counterparties, the reporting format for SFTs should be consistent, to the extent feasible, with that prescribed for the reporting of derivatives contracts under Article 9 of Regulation (EU) No 648/2012 of the European Parliament and of the Council. This Regulation therefore prescribes the format for each of the fields to be reported and standardises a report by reference to an ISO standard that is widely used in the financial industry.

(2) The global legal entity identifier (LEI) system has now been fully implemented and each counterparty to an SFT should therefore only use that system to identify a legal entity in a report. For the counterparty's use of the LEI system to be effective, that counterparty should ensure that the reference data related to its LEI are renewed in accordance with the terms of an accredited LEI issuer (Local Operating Unit). An extension of the global LEI system to identify branches of legal entities is currently being developed. Until such time as that extension is finalised and considered suitable for the purposes of reporting SFTs, and this Regulation is amended accordingly, the ISO code of the country where the branch is located should be used to identify that branch where an SFT is concluded through a branch office of a counterparty.

(3) A global unique trader identifier (UTI) system for identifying SFTs is also being developed. Until such time as that global UTI system is finalised and considered suitable for the purposes of reporting SFTs, and this Regulation is amended accordingly, a UTI agreed by the counterparties should be used to identify a SFT.

(4) Article 4a of Commission Implementing Regulation (EU) No 1247/2012 contains a procedure to determine the entity responsible for generating a UTI in respect of the reporting of derivatives contracts for those situations where counterparties fail to agree on the entity responsible for generating the UTI. To ensure consistency between the reporting of derivatives contracts and of SFTs, a similar procedure should be set up for counterparties reporting SFTs.

(5) Currently, there is no common market practice for determining the counterparty side in an SFT. Therefore, specific rules should be established to ensure the accurate and consistent identification of the collateral provider and of the collateral taker in an SFT.

(6) A number of reports may be submitted for a single SFT, for example if successive modifications are made to that SFT. In order to ensure that each report relating to an SFT, and each SFT as a whole, is properly understood, reports should be submitted in the chronological sequence in which the reported events occurred.

(7) To lessen the burden of reporting the modification of certain values, and in particular the details of collateral value, of margin posted or received and of collateral reuse, those details should be reported as they stand at the end of each day only if they vary from previously reported details.

(8) The details of an outstanding margin loan should be reported as they stand at the end of each day, where there is a net cash debit in base currency or where a counterparty's short market value is positive.

(9) The market value of securities lent or borrowed should be reported as it stands at the end of each day. Similarly, when the counterparties report the market value of collateral, they should do so as it stands at the end of each day.

(10) This Regulation is based on the draft implementing technical standards submitted by ESMA to the Commission, pursuant to the procedure in Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority).

(11) ESMA has conducted open public consultations on these draft implementing technical standards, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010,

(12) As it is the case for the reporting of SFTs, certain identifiers and codes to be used for the reporting of derivative contracts are still being developed. Until such time as those identifiers and codes are available, considered suitable for the purposes of reporting and Implementing Regulation (EU) No 1247/2012 has been amended accordingly, that Regulation provides for the use of an ISO 10692 CFI code to classify derivatives for which an ISO 6166 ISIN code or an AII code are not available, and for the use of a unique trade identifier agreed by the counterparties to identify a derivative report. To ensure legal certainty as regards the appropriate procedure to amend the requirements applicable to the reporting of derivatives contracts, and the required degree of consistency between the reporting of derivatives and of SFTs, Implementing Regulation (EU) No 1247/2012 should only refer to the requirements currently applicable to that reporting.

(13) Implementing Regulation (EU) No 1247/2012 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1 Data standards and formats for SFT reports

The details of an SFT in a report to be submitted pursuant to Article 4(1) of Regulation (EU) 2015/2365 shall be provided in accordance with the standards and formats specified in Tables 1 to 5 of Annex I. That report shall be provided in a common electronic and machine-readable form and in a common XML template in accordance with the ISO 20022 methodology.

Article 2 Identification of counterparties and other entities

1. The report referred to in Article 1 shall use an ISO 17442 legal entity identifier (LEI) code to identify the following:

(a) a beneficiary which is a legal entity;

(b) a broking entity;

(c) a central counterparty (CCP) authorised in accordance with Regulation (EU) No 648/2012;

(d) a clearing member;

(e) an agent lender;

(f) a central securities depository (CSD) participant;

(g) a counterparty which is a legal entity;

(h) a tri-party agent;

(i) a report submitting entity;

(j) an issuer of a security which was lent, borrowed or provided as collateral in a SFT.

2. A counterparty to an SFT shall ensure that the reference data related to its ISO 17442 LEI code is renewed in accordance with the terms of any of the accredited Local Operating Units of the Global LEI System.

3. Where an SFT is concluded through a branch of a counterparty, the report referred to in Article 1 shall use the code specified in Field 7 and in Field 8 of Table 1 of Annex I to identify that branch of a counterparty.

Article 3 Unique Trade Identifier

1. A report shall be identified through a unique trade identifier (UTI) agreed by the counterparties in accordance with the format specified in Field 1 of Table 2 of Annex I.

2. Where counterparties fail to agree on the entity responsible for generating UTI to be assigned to the report, the counterparties shall determine the entity responsible for generating a UTI in accordance with the following:

(a) for centrally-executed and cleared SFTs, the UTI shall be generated at the point of clearing by the CCP for the clearing member. Another UTI shall be generated by the clearing member for its counterparty;

(b) for centrally-executed but not centrally-cleared SFTs, the UTI shall be generated by the trading venue of execution for its member;

(c) for centrally-confirmed and cleared SFTs, the UTI shall be generated by the CCP for the clearing member at the point of clearing. Another UTI shall be generated by the clearing member for its counterparty;

(d) for SFTs that were centrally-confirmed by electronic means but were not centrally-cleared, the UTI shall be generated by the trade confirmation platform at the point of confirmation;

(e) for all SFTs other than those referred to in points (a) to (d), the following shall apply:

(i) where financial counterparties conclude an SFT with non-financial counterparties, the financial counterparties shall generate the UTI;

(ii) for all securities lending or borrowing transactions other than those referred to in point (i), the collateral provider as referred to in Article 4 shall generate the UTI;

(iii) for all SFTs other than those referred to in points (i) and (ii), the collateral taker as referred to in Article 4 shall generate the UTI.

3. The counterparty generating the UTI shall communicate that UTI to the other counterparty in a timely manner so that the latter is able to meet its reporting obligation.

Article 4 Counterparty side

1. The counterparty side to the SFT referred to in Field 9 of Table 1 of Annex I shall be identified in accordance with paragraphs 2 to 4.

2. In the case of repurchase transactions, buy-sell back transactions and sell-buy back transactions, the counterparty that buys securities, commodities, or guaranteed rights relating to title to securities or commodities in the opening or spot leg of the trade and agrees to sell them at a specified price on a future date in the closing or forward leg of the trade, shall be identified as the collateral taker in Field 9 of Table 1 of Annex I. The counterparty that sells those securities, commodities, or guaranteed rights shall be identified as the collateral provider in Field 9 of Table 1 of Annex I.

3. In the case of securities or commodities borrowing transactions and securities or commodities lending transactions, the counterparty that lends the securities or commodities on condition that the borrower will return equivalent securities or commodities on a future date or at the request of the transferor, shall be identified as the collateral taker in Field 9 of Table 1 of Annex I. The counterparty that borrows those securities or commodities shall be identified as the collateral provider in Field 9 of Table 1 of Annex I.

4. In the case of margin lending transactions, the borrower, that is the counterparty to which credit is extended in exchange for collateral, shall be identified as the collateral provider in Field 9 of Table 1 of Annex I. The lender, that is the counterparty that provides the credit in exchange for collateral, shall be identified as the collateral taker in Field 9 of Table 1 of Annex I.

Article 5 Frequency of SFT reports

1. All reports of the details of an SFT specified under Article 1(2) of Commission Delegated Regulation (EU) 2019/356 be provided in the chronological order in which the reported events occurred.

2. A counterparty to a margin lending transaction shall report the details of the outstanding margin loan as they stand at the end of each day, where there is a net cash debit in base currency or where a counterparty's short market value is positive.

3. A counterparty to an outstanding SFT shall report any modification of the details relating to the collateral data in Fields 75 to 94 of Table 2 of Annex I with action type Collateral update. The counterparty shall report those modified details as they stand at the end of each day until it reports the termination of the SFT, or it reports the SFT with action type Error, or until the SFT reaches its maturity date, whichever is the earlier.

4. A counterparty to an outstanding SFT shall report any modification of the end-of-day market value of the securities lent or borrowed in Field 57 of Table 2 of Annex I with action type Valuation update. The counterparty shall report that modified market value as it stands at the end of each day until it reports the termination of the SFT, or it reports the SFT with action type Error, or until the SFT reaches its maturity date.

5. A counterparty shall report any modification of the total amount of margin posted or received for all cleared SFTs as it stands at the end of the day in Fields 8 to 19 of Table 3 of Annex I with action type Margin update after it has first reported the total amount of margin posted or received with action type New.

6. A counterparty shall report any modification of the value of reused collateral, reinvested cash and the funding sources with action type Reuse update as it stands at the end of the day in Fields 8 to 14 of Table 4 of Annex I after it has reported the relevant values with action type New.

Article 6 Amendments to Implementing Regulation (EU) No 1247/2012

Implementing Regulation (EU) No 1247/2012 is amended as follows:

(1) Article 4 is amended as follows:

(a) paragraph 7 is replaced by the following: The derivative shall be classified in Field 4 of Table 2 of the Annex using an ISO 10692 Classification of Financial Instrument (CFI) code.;

(b) paragraphs 8 and 9 are deleted.

(2) In Article 4a, paragraph 1 is replaced by the following:

1. A report shall be identified through a unique trade identifier agreed by the counterparties.;

(3) The Annex is replaced by the text set out in Annex II to this Regulation.

Article 7 Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 13 December 2018. For the Commission The President Jean-Claude Juncker

ANNEX

ANNEX I Formats to be used for reports on the details of securities financing transactions, as referred to in Article 4(1) and (5) of Regulation (EU) 2015/2365 Table 1 Table 2 Table 3 Table 4 Table 5 Counterparty Data Loan and Collateral Data Margin Data Re-use, Cash Reinvestment and Funding Sources Data Classification of commodities

No Field Format 1 Reporting timestamp ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ 2 Report submitting entity ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 3 Reporting counterparty ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 4 Nature of the reporting counterparty F - Financial counterparty N - Non-financial counterparty 5 Sector of the reporting counterparty Taxonomy for Financial Counterparties: CDTI - Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council or Council Regulation (EU) No 1024/2013 or a third-country entity which would require authorisation or registration in accordance with that legislative act INVF - Investment firm authorized in accordance with Directive 2014/65/EU of the European Parliament and of the Council or a third-country entity which would require authorisation or registration in accordance with that legislative act INUN - Insurance undertaking authorized in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Solvency II) or a third-country entity which would require authorisation or registration in accordance with that legislative act AIFD - AIF managed by AIFMs authorized or registered in accordance with Directive 2011/61/EU of the European Parliament and of the Council or a third-country entity which would require authorisation or registration in accordance with that legislative act ORPI - Institution for occupational retirement provision authorized or registered in accordance with Directive 2003/41/EC of the European Parliament and of the Council or a third-country entity which would require authorisation or registration in accordance with that legislative act CCPS - Central counterparty authorized in accordance with Regulation (EU) No 648/2012 of the European Parliament and of the Council or a third-country entity which would require authorisation or registration in accordance with that legislative act REIN - Reinsurance undertaking authorized in accordance with Solvency II or a third-country entity which would require authorisation or registration in accordance with that legislative act CSDS - Central securities depository authorized in accordance with Regulation (EU) No 909/2014 of the European Parliament and of the Council or a third-country entity which would require authorisation or registration in accordance with that legislative act UCIT - UCITS and its management company, authorized in accordance with Directive 2009/65/EC of the European Parliament and of the Council or a third-country entity which would require authorisation or registration in accordance with that legislative act Taxonomy for Non-Financial Counterparties. The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council A - Agriculture, forestry and fishing B - Mining and quarrying C - Manufacturing D - Electricity, gas, steam and air conditioning supply E - Water supply, sewerage, waste management and remediation activities F - Construction G - Wholesale and retail trade, repair of motor vehicles and motorcycles H - Transportation and storage I - Accommodation and food service activities J - Information and communication K - Financial and insurance activities L - Real estate activities M - Professional, scientific and technical activities N - Administrative and support service activities O - Public administration and defence; compulsory social security P - Education Q - Human health and social work activities R - Arts, entertainment and recreation S - Other service activities T - Activities of households as employers; undifferentiated goods – and services –producing activities of households for own use U - Activities of extraterritorial organizations and bodies 6 Additional sector classification ETFT - ETF MMFT - MMF REIT - REIT OTHR – Other 7 Branch of the reporting counterparty ISO 3166-1 alpha-2 country code 2 alphabetic characters. 8 Branch of the other counterparty ISO 3166-1 alpha-2 country code 2 alphabetic characters. 9 Counterparty side TAKE - Collateral taker GIVE - Collateral provider 10 Entity responsible for the report ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 11 Other counterparty ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. Client code (up to 50 alphanumeric characters). 12 Country of the other Counterparty ISO 3166-1 alpha-2 country code 2 alphabetic characters. 13 Beneficiary ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. Client code (up to 50 alphanumeric characters). 14 Tri-party agent ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 15 Broker ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 16 Clearing member ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 17 Central Securities Depository (CSD) participant or indirect participant ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 18 Agent lender ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. No Field Format 1 Unique Trade Identifier (UTI) Up to 52 alphanumeric character code including four special characters: Only upper-case alphabetic characters A–Z and the digits 0–9, inclusive in both cases, are allowed. 2 Report tracking number Up to 52 alphanumeric character code including four special characters: Only upper-case alphabetic characters A–Z and the digits 0–9, inclusive in both cases, are allowed. 3 Event date ISO 8601 date in the format YYYY-MM-DD 4 Type of SFT SLEB - securities or commodities lending or securities or commodities borrowing SBSC - buy-sell back transaction or sell-buy back transaction REPO - repurchase transaction MGLD - margin lending transaction 5 Cleared true false 6 Clearing timestamp ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ 7 CCP ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 8 Trading venue ISO 10383 Market Identifier Code (MIC), 4 alphanumeric characters. Where segmental MICs exist for a trading venue, the segmental MIC shall be used. 9 Master agreement type MRAA - MRA GMRA – GMRA MSLA - MSLA GMSL - GMSLA ISDA - ISDA DERP - Deutscher Rahmenvertrag für Wertpapierpensionsgeschäfte CNBR - China Bond Repurchase Master Agreement, KRRA - Korea Financial Investment Association (KOFIA) Standard Repurchase Agreement CARA - Investment Industry Regulatory Organization of Canada (IIROC) Repurchase/Reverse Repurchase Transaction Agreement FRFB - Convention-Cadre Relative aux Operations de Pensions Livrees, CHRA -Swiss Master Repurchase Agreement DEMA - German Master Agreement JPBR - Japanese Master Agreement on the Transaction with Repurchase Agreement of the Bonds ESRA - Contrato Marco de compraventa y Reporto de valores OSLA - Overseas Securities Lending Agreement (OSLA) MEFI - Master Equity and Fixed Interest Stock Lending Agreement (MEFISLA) GESL - Gilt Edged Stock Lending Agreement (GESLA) KRSL - Korean Securities Lending Agreement (KOSLA) DERD - Deutscher Rahmenvertrag für Wertpapierdarlehen AUSL - Australian Masters Securities Lending Agreement (AMSLA) JPBL - Japanese Master Agreement on Lending Transaction of Bonds JPSL - Japanese Master Agreement on the Borrowing and Lending Transactions of Share Certificates BIAG - bilateral agreement CSDA - CSD bilateral agreement Or OTHR if the master agreement type is not included in the above list 10 Other master agreement type Up to 50 alphanumeric characters. 11 Master agreement version ISO 8601 date in the format YYYY 12 Execution timestamp ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ 13 Value date (Start date) ISO 8601 date in the format YYYY-MM-DD 14 Maturity date (End date) ISO 8601 date in the format YYYY-MM-DD 15 Termination date ISO 8601 date in the format YYYY-MM-DD 16 Minimum notice period Integer field up to 3 digits. 17 Earliest call-back date ISO 8601 date in the format YYYY-MM-DD 18 General collateral Indicator SPEC - specific collateral GENE - general collateral 19 Delivery By Value (DBV) indicator true false 20 Method used to provide collateral TTCA- title transfer collateral arrangement SICA- securities financial collateral arrangement SIUR- securities financial collateral arrangement with the right of use 21 Open term true false 22 Termination optionality EGRN - evergreen ETSB - extendable NOAP - non applicable In the case of margin lending, the attributes listed in fields 23-34 shall be repeated and completed for each currency used in the margin loan. 23 Fixed rate Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as 100. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 24 Day count convention The code representing day count convention: A001 - IC30360ISDAor30360AmericanBasicRule A002 - IC30365 A003 - IC30Actual A004 - Actual360 A005 - Actual365Fixed A006 - ActualActualICMA A007 - IC30E360orEuroBondBasismodel1 A008 - ActualActualISDA A009 - Actual365LorActuActubasisRule A010 - ActualActualAFB A011 - IC30360ICMAor30360basicrule A012 - IC30E2360orEurobondbasismodel2 A013 - IC30E3360orEurobondbasismodel3 A014 - Actual365NL Or up to 35 alphanumeric characters if the day count convention is not included in the above list. 25 Floating rate The code representing the floating rate index EONA - EONIA EONS - EONIA SWAP EURI - EURIBOR EUUS - EURODOLLAR EUCH - EuroSwiss GCFR - GCF REPO ISDA - ISDAFIX LIBI - LIBID LIBO - LIBOR MAAA - Muni AAA PFAN - Pfandbriefe TIBO - TIBOR STBO - STIBOR BBSW - BBSW JIBA - JIBAR BUBO - BUBOR CDOR - CDOR CIBO - CIBOR MOSP - MOSPRIM NIBO - NIBOR PRBO - PRIBOR TLBO - TELBOR WIBO - WIBOR TREA - Treasury SWAP - SWAP FUSW - Future SWAP Or up to 25 alphanumeric characters if the reference rate is not included in the above list. 26 Floating rate reference period — time period Time period describing reference period, whereby the following abbreviations apply: YEAR - Year MNTH - Month WEEK - Week DAYS - Day 27 Floating rate reference period — multiplier Integer multiplier of the time period describing reference period of the floating rate. Up to 3 numeric characters. 28 Floating rate payment frequency — time period Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: YEAR - Year MNTH - Month WEEK - Week DAYS - Day 29 Floating rate payment frequency — multiplier Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numeric characters. 30 Floating rate reset frequency — time period Time period describing how often the counterparties reset the floating repo rate, whereby the following abbreviations apply: YEAR - Year MNTH - Month WEEK - Week DAYS - Day 31 Floating rate reset frequency — multiplier Integer multiplier of the time period describing how often the counterparties reset the floating repo rate. Up to 3 numeric characters. 32 Spread Up to 5 numeric characters. 33 Margin lending currency amount Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 34 Margin lending currency ISO 4217 Currency Code, 3 alphabetic characters. Fields 35-36 shall be repeated and completed for each floating rate adjustment. 35 Adjusted rate Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as 100. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 36 Rate date ISO 8601 date in the format YYYY-MM-DD 37 Principal amount on the value date Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 38 Principal amount on the maturity date Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 39 Principal amount currency ISO 4217 Currency Code, 3 alphabetic characters. 40 Type of asset SECU - Securities COMM - Commodities 41 Security identifier ISO 6166 ISIN 12 character alphanumeric code. 42 Classification of a security ISO 10692 CFI, 6 characters alphabetical code. Where a commodity was lent or borrowed, the classification of that commodity shall be specified in fields 43, 44 and 45. 43 Base product Only values in the Base product column of the classification of commodities derivatives table are allowed. 44 Sub — product Only values in the Sub — product column of the classification of commodities derivatives table are allowed. 45 Further sub — product Only values in the Further sub — product of the classification of commodities derivatives table are allowed. 46 Quantity or nominal amount Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 47 Unit of measure KILO - Kilogram, PIEC - Piece, TONS - Ton, METR - Metre, INCH - Inch, YARD - Yard, GBGA - GBGallon, GRAM - Gram, CMET - Centimetre, SMET - SquareMetre, FOOT - Foot, MILE - Mile, SQIN - SquareInch, SQFO - SquareFoot, SQMI - SquareMile, GBOU - GBOunce, USOU - USOunce, GBPI - GBPint, USPI - USPint, GBQA - GBQuart, USQA - USQuart, USGA - USGallon, MMET - Millimetre, KMET - Kilometre, SQYA - SquareYard, ACRE - Acre, ARES - Are, SMIL - SquareMillimetre, SCMT - SquareCentimetre, HECT - Hectare, SQKI - SquareKilometre, MILI - MilliLitre, CELI - Centilitre, LITR - Litre, PUND - Pound, ALOW - Allowances, ACCY - AmountOfCurrency, BARL - Barrels, BCUF - BillionCubicFeet, BDFT - BoardFeet, BUSL - Bushels, CEER - CertifiedEmissionsReduction, CLRT - ClimateReserveTonnes, CBME - CubicMeters, DAYS - Days, DMET - DryMetricTons, ENVC - EnvironmentalCredit, ENVO - EnvironmentalOffset, HUWG - Hundredweight, KWDC - KilowattDayCapacity, KWHO - KilowattHours, KWHC - KilowattHoursCapacity, KMOC - KilowattMinuteCapacity, KWMC - KilowattMonthCapacity, KWYC - KilowattYearCapacity, MWDC - MegawattDayCapacity, MWHO - MegawattHours, MWHC - MegawattHoursCapacity, MWMC - MegawattMinuteCapacity, MMOC - MegawattMonthCapacity, MWYC - MegawattYearCapacity, TONE - MetricTons, MIBA - MillionBarrels, MBTU - OneMillionBTU, OZTR - TroyOunces, UCWT - USHundredweight, IPNT - IndexPoint, PWRD - PrincipalWithRelationToDebtInstrument, DGEU - DieselGallonEquivalent, GGEU - GasolineGallonEquivalent, TOCD - TonsOfCarbonDioxide. 48 Currency of nominal amount ISO 4217 Currency Code, 3 alphabetic characters. 49 Security or commodity price Up to 18 numeric characters including up to 5 decimals in case the price is expressed units. Up to 11 numeric characters including up to 10 decimals in case the price is expressed as percentage or yield. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 50 Price currency ISO 4217 Currency Code, 3 alphabetic characters. 51 Security quality INVG - Investment grade NIVG - Non-investment grade NOTR - Non-rated NOAP - Not applicable 52 Maturity of the security ISO 8601 date in the format YYYY-MM-DD 53 Jurisdiction of the issuer ISO 3166-1 alpha-2 country code, 2 alphabetic characters. 54 LEI of the issuer ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 55 Security type GOVS - Government securities SUNS - Supra-nationals and agencies securities FIDE - Debt securities (including covered bonds) issued by banks and other financial institutions NFID - Corporate debt securities (including covered bonds) issued by non-financial institutions SEPR - Securitized products (including CDO, CMBS, ABCP) MEQU - Main index equities (including convertible bonds) OEQU - Other equities (including convertible bonds) OTHR- Other assets (including shares in mutual funds) 56 Loan value Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 57 Market value Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 58 Fixed rebate rate Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as 100. The negative symbol, if populated, shall not be counted as a numerical character. 59 Floating rebate rate The code representing the floating rate index EONA - EONIA EONS - EONIA SWAP EURI - EURIBOR EUUS - EURODOLLAR EUCH - EuroSwiss GCFR - GCF REPO ISDA - ISDAFIX LIBI - LIBID LIBO - LIBOR MAAA - Muni AAA PFAN - Pfandbriefe TIBO - TIBOR STBO - STIBOR BBSW - BBSW JIBA - JIBAR BUBO - BUBOR CDOR - CDOR CIBO - CIBOR MOSP - MOSPRIM NIBO - NIBOR PRBO - PRIBOR TLBO - TELBOR WIBO - WIBOR TREA - Treasury SWAP - SWAP FUSW - Future SWAP Or up to 25 alphanumeric characters if the reference rate is not included in the above list 60 Floating rebate rate reference period — time period Time period describing reference period, whereby the following abbreviations apply: YEAR - Year MNTH - Month WEEK - Week DAYS - Day 61 Floating rebate rate reference period — multiplier Integer multiplier of the time period describing reference period of the floating rebate rate. Up to 3 numeric characters. 62 Floating rebate rate payment frequency — time period Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: YEAR - Year MNTH - Month WEEK - Week DAYS - Day 63 Floating rebate rate payment frequency — multiplier Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numeric characters. 64 Floating rebate rate reset frequency — time period Time period describing how often the counterparties reset the floating rebate rate, whereby the following abbreviations apply: YEAR - Year MNTH - Month WEEK - Week DAYS - Day 65 Floating rebate rate reset frequency — multiplier Integer multiplier of the time period describing how often the counterparties reset the floating rebate rate. Up to 3 numeric characters. 66 Spread of the rebate rate Up to 5 numeric characters. 67 Lending fee Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as 100. 68 Exclusive arrangements true false 69 Outstanding margin loan Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 70 Base currency of outstanding margin loan ISO 4217 Currency Code, 3 alphabetic characters. 71 Short market value Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. Collateral data 72 Uncollateralised Securities Lending (SL) flag true false 73 Collateralisation of net exposure true false 74 Value date of the collateral ISO 8601 date in the format YYYY-MM-DD Where specific collateral was used, fields 75 to 94 shall be repeated and completed for each component of collateral, where applicable. 75 Type of collateral component SECU - Securities COMM - Commodities (only for repos, securities and commodities lending and borrowing and buy-sell backs) CASH - Cash Where cash was used as collateral, this shall be specified in fields 76 and 77. 76 Cash collateral amount Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 77 Cash collateral currency ISO 4217 Currency Code, 3 alphabetic characters. 78 Identification of a security used as collateral ISO 6166 ISIN 12 character alphanumeric code. 79 Classification of a security used as collateral ISO 10692 CFI, 6 characters alphabetical code. Where a commodity was used as collateral, the classification of that commodity shall be specified in fields 80, 81 and 82. 80 Base product Only values in the Base product column of the classification of commodities derivatives table are allowed. 81 Sub — product Only values in the Sub — product column of the classification of commodities derivatives table are allowed. 82 Further sub — product Only values in the Further sub — product of the classification of commodities derivatives table are allowed. 83 Collateral quantity or nominal amount Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 84 Collateral unit of measure KILO - Kilogram, PIEC - Piece, TONS - Ton, METR - Metre, INCH - Inch, YARD - Yard, GBGA - GBGallon, GRAM - Gram, CMET - Centimetre, SMET - SquareMetre, FOOT - Foot, MILE - Mile, SQIN - SquareInch, SQFO - SquareFoot, SQMI - SquareMile, GBOU - GBOunce, USOU - USOunce, GBPI - GBPint, USPI - USPint, GBQA - GBQuart, USQA - USQuart, USGA - USGallon, MMET - Millimetre, KMET - Kilometre, SQYA - SquareYard, ACRE - Acre, ARES - Are, SMIL - SquareMillimetre, SCMT - SquareCentimetre, HECT - Hectare, SQKI - SquareKilometre, MILI - MilliLitre, CELI - Centilitre, LITR - Litre, PUND - Pound, ALOW - Allowances, ACCY - AmountOfCurrency, BARL - Barrels, BCUF - BillionCubicFeet, BDFT - BoardFeet, BUSL - Bushels, CEER - CertifiedEmissionsReduction, CLRT - ClimateReserveTonnes, CBME - CubicMeters, DAYS - Days, DMET - DryMetricTons, ENVC - EnvironmentalCredit, ENVO - EnvironmentalOffset, HUWG - Hundredweight, KWDC - KilowattDayCapacity, KWHO - KilowattHours, KWHC - KilowattHoursCapacity, KMOC - KilowattMinuteCapacity, KWMC - KilowattMonthCapacity, KWYC - KilowattYearCapacity, MWDC - MegawattDayCapacity, MWHO - MegawattHours, MWHC - MegawattHoursCapacity, MWMC - MegawattMinuteCapacity, MMOC - MegawattMonthCapacity, MWYC - MegawattYearCapacity, TONE - MetricTons, MIBA - MillionBarrels, MBTU - OneMillionBTU, OZTR - TroyOunces, UCWT - USHundredweight, IPNT - IndexPoint, PWRD - PrincipalWithRelationToDebtInstrument, DGEU - DieselGallonEquivalent, GGEU - GasolineGallonEquivalent, TOCD - TonsOfCarbonDioxide. 85 Currency of collateral nominal amount ISO 4217 Currency Code, 3 alphabetic characters. 86 Price currency ISO 4217 Currency Code, 3 alphabetic characters. 87 Price per unit Up to 18 numeric characters including up to 5 decimals in case the price is expressed in units. Up to 11 numeric characters including up to 10 decimals in case the price is expressed as percentage or yield. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 88 Collateral market value Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 89 Haircut or margin Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as 100. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 90 Collateral quality INVG - Investment grade NIVG - Non-investment grade NOTR - Non-rated NOAP - Not applicable 91 Maturity date of the security ISO 8601 date in the format YYYY-MM-DD 92 Jurisdiction of the issuer ISO 3166-1 alpha-2 country code, 2 alphabetic characters. 93 LEI of the issuer ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 94 Collateral type GOVS - Government securities SUNS - Supra-nationals and agencies securities FIDE - Debt securities (including covered bonds) issued by banks and other financial institutions NFID - Corporate debt securities (including covered bonds) issued by non-financial institutions SEPR - Securitized products (including CDO, CMBS, ABCP) MEQU - Main index equities (including convertible bonds) OEQU - Other equities (including convertible bonds) OTHR- Other assets (including shares in mutual funds) 95 Availability for collateral reuse true false Field 96 shall be specified in the case where a collateral basket was used. The detailed allocation of collateral for SFTs transacted against a collateral pool shall be specified in fields 75 to 94 when available. 96 Collateral basket identifier ISO 6166 ISIN 12 character alphanumeric code, or NTAV 97 Portfolio code 52 alphanumeric character code including four special characters: .- _. Special characters are not allowed at the beginning and at the end of the code. No space allowed. 98 Action type NEWT - New MODI - Modification VALU - Valuation COLU - Collateral update EROR - Error CORR - Correction ETRM - Termination/Early Termination POSC - Position component 99 Level TCTN - Transaction PSTN - Position No Field Format 1 Reporting timestamp ISO 8601 date in the format and Coordinated Universal Time (UTC) time format, i.e. YYYY-MM-DDThh:mm:ssZ 2 Event date ISO 8601 date in the format YYYY-MM-DD 3 Report submitting entity ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 4 Reporting Counterparty ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 5 Entity responsible for the report ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 6 Other counterparty ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 7 Portfolio code 52 alphanumeric character code including four special characters: .- _. Special characters are not allowed at the beginning and at the end of the code. No space allowed. 8 Initial margin posted Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 9 Currency of the initial margin posted ISO 4217 Currency Code, 3 alphabetic characters. 10 Variation margin posted Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 11 Currency of the variation margin posted ISO 4217 Currency Code, 3 alphabetic characters. 12 Initial margin received Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 13 Currency of the initial margin received ISO 4217 Currency Code, 3 alphabetic characters. 14 Variation margin received Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 15 Currency of the variation margin received ISO 4217 Currency Code, 3 alphabetic characters. 16 Excess collateral posted Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 17 Currency of the excess collateral posted ISO 4217 Currency Code, 3 alphabetic characters. 18 Excess collateral received Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 19 Currency of the excess collateral received ISO 4217 Currency Code, 3 alphabetic characters. 20 Action type NEWT - New MARU - Margin update EROR - Error CORR - Correction No Field Format 1 Reporting timestamp ISO 8601 date in the format and UTC time format, i.e. YYYY-MM-DDThh:mm:ssZ 2 Event date ISO 8601 date in the format YYYY-MM-DD 3 Report submitting entity ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 4 Reporting counterparty ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. 5 Entity responsible for the report ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code. Field 6 shall be repeated and completed for each collateral component. 6 Type of collateral component SECU - Securities CASH - Cash Fields 7, 8, 9 and 10 shall be repeated and completed for each security. 7 Collateral component ISO 6166 ISIN 12 character alphanumeric code. 8 Value of reused collateral Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 9 Estimated reuse of collateral Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 10 Reused collateral currency ISO 4217 Currency Code, 3 alphabetic characters. 11 Reinvestment Rate Up to 11 numeric characters including up to 10 decimals expressed as percentage where 100 % is represented as 100. Fields 12, 13 and 14 shall be repeated and completed for each investment where cash collateral has been re-invested and in respect of each currency. 12 Type of re-invested cash investment MMFT - registered money market fund OCMP - any other commingled pool REPM - the repo market SDPU - direct purchase of securities OTHR - other 13 Re-invested cash amount Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it shall be represented with a dot. 14 Re-invested cash currency ISO 4217 Currency Code, 3 alphabetic characters. In the case of margin lending transactions, the counterparty shall repeat and complete fields 15, 16 and 17 for each funding source and shall provide the information in these fields at entity level. 15 Funding sources REPO - repos or BSB SECL - cash collateral from securities lending FREE - free credits CSHS - proceeds from customer short sales BSHS - proceeds from broker short sales UBOR - unsecured borrowing OTHR - other 16 Market value of the funding sources Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If not possible, pro rata amount. 17 Funding sources currency ISO 4217 Currency Code, 3 alphabetic characters. 18 Action type NEWT - New REUU - reuse update EROR - Error CORR - Correction Base product Sub — product Further sub — product AGRI - Agricultural GROS - Grains Oil Seeds FWHT - Feed Wheat SOYB - Soybeans CORN - Maize RPSD – Rapeseed RICE - Rice OTHR - Other SOFT - Softs CCOA - Cocoa ROBU - Robusta Coffee WHSG - White Sugar BRWN - Raw Sugar OTHR - Other POTA- Potato OOLI- Olive oil LAMP – Lampante OTHR - Other DIRY- Dairy FRST - Forestry SEAF - Seafood LSTK - Livestock GRIN - Grain MWHT - Milling Wheat OTHR - Other OTHR - Other NRGY – ‘Energy ELEC -Electricity BSLD - Base load FITR - Financial Transmission Rights PKLD - Peak load OFFP - Off-peak OTHR - Other NGAS - Natural Gas GASP - GASPOOL LNGG - LNG NBPG - NBP NCGG - NCG TTFG – TTF OTHR - Other OILP -Oil BAKK - Bakken BDSL - Biodiesel BRNT - Brent BRNX - Brent NX CNDA - Canadian COND - Condensate DSEL - Diesel DUBA - Dubai ESPO - ESPO ETHA - Ethanol FUEL - Fuel FOIL - Fuel Oil GOIL - Gasoil GSLN - Gasoline HEAT - Heating Oil JTFL - Jet Fuel KERO - Kerosene LLSO - Light Louisiana Sweet (LLS) MARS - Mars NAPH - Naptha NGLO - NGL TAPI - Tapis URAL - Urals WTIO – WTI OTHR - Other COAL- Coal INRG - Inter Energy RNNG - Renewable energy LGHT - Light ends DIST – Distillates OTHR - Other ENVR - Environmental EMIS - Emissions CERE - CER ERUE - ERU EUAE - EUA EUAA – EUAA OTHR-Other WTHR - Weather CRBR - Carbon related’ OTHR - Other FRGT -Freight WETF - Wet TNKR –Tankers OTHR - Other DRYF - Dry DBCR - Dry bulk carriers OTHR - Other CSHP - Containerships OTHR - Other FRTL -Fertilizer AMMO - Ammonia DAPH - DAP (Diammonium Phosphate) PTSH - Potash SLPH - Sulphur UREA - Urea UAAN - UAN (urea and ammonium nitrate) OTHR - Other INDP - Industrial products’ CSTR - Construction MFTG - Manufacturing METL - Metals’ NPRM - Non Precious ALUM - Aluminium ALUA - Aluminium Alloy CBLT - Cobalt COPR - Copper IRON - Iron ore LEAD - Lead MOLY - Molybdenum NASC - NASAAC NICK - Nickel STEL - Steel TINN - Tin ZINC - Zinc OTHR - Other PRME - Precious GOLD - Gold SLVR - Silver PTNM - Platinum PLDM - Palladium OTHR - Other MCEX - Multi Commodity Exotic’ PAPR - Paper’ CBRD - Containerboard NSPT - Newsprint PULP - Pulp RCVP - Recovered paper OTHR - Other POLY - Polypropylene’ PLST – Plastic OTHR - Other INFL - Inflation’ OEST - Official economic statistics’ OTHC - Other C10 ‘as defined in Table 10.1 Section 10 of Annex III to Commission Delegated Regulation (EU) 2017/583 OTHR - Other

ANNEX II

The Annex to Implementing Regulation (EU) No 1247/2012 is replaced by the text below.

ANNEX Table 1 Table 2 Counterparty Data Common Data

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

Agricultural

GO = Grains oilseeds DA = Dairy LI = Livestock FO = Forestry SO = Softs SF = Seafood OT = Other

Energy

OI = Oil NG = Natural gas CO = Coal EL = Electricity IE = Inter-energy OT = Other

Freights

DR = Dry WT = Wet OT = Other

Metals

PR = Precious NP = Non-precious

Environmental

WE = Weather EM = Emissions OT = Other

Versions

  1. 2018-12-13

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