Field

Details to be reported

Parties to the contract

1

Reporting timestamp

Date and time of reporting to the trade repository.

2

Reporting Counterparty ID

Unique code identifying the reporting counterparty of the contract.

3

Type of ID of the other Counterparty

Type of the code used to identify the other Counterparty.

4

ID of the other Counterparty

Unique code identifying the other counterparty of the contract.

This field shall be filled from the perspective of the reporting counterparty. In case of a private individual a client code shall be used in a consistent manner.

5

Country of the other Counterparty

The code of country where the registered office of the other counterparty is located or country of residence in case that the other counterparty is a natural person.

6

Corporate sector of the reporting counterparty

Nature of the reporting counterparty's company activities.

If the Reporting Counterparty is a Financial Counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties and applying to that Counterparty.

If the Reporting Counterparty is a Non-Financial Counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties 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

Nature of the reporting counterparty

Indicate if the reporting counterparty is a CCP, a financial, non-financial counterparty or other type of counterparty in accordance with point 5 of Article 1 or points 1, 8 and 9 of Article 2 of Regulation (EU) No 648/2012 of the European Parliament and of the Council (1).

8

Broker ID

In the case a broker acts as intermediary for the reporting counterparty without becoming a counterparty himself, the reporting counterparty shall identify this broker by a unique code.

9

Report submitting entity ID

In the case where the reporting counterparty 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 this field shall be left blank.

10

Clearing member ID

In the case where the derivative contract is cleared and the reporting counterparty is not a clearing member itself, the clearing member through which the derivative contract is cleared shall be identified in this field by a unique code.

11

Type of ID of the Beneficiary

Type of the code used to identify the Beneficiary.

12

Beneficiary ID

The party subject to the rights and obligations arising from the contract.

Where the transaction is executed via a structure, such as a trust or fund, representing a number of beneficiaries, the beneficiary should be identified as that structure.

Where the beneficiary of the contract is not a counterparty to this contract, the reporting counterparty has to identify this beneficiary by a unique code or, in case of a private individual, by a client code used in a consistent manner as assigned by the legal entity used by the private individual.

13

Trading capacity

Identifies whether the reporting counterparty has concluded the contract as principal on own account (on own behalf or behalf of a client) or as agent for the account of and on behalf of a client.

14

Counterparty side

Identifies whether the reporting counterparty is a buyer or a seller.

15

Directly linked to commercial activity or treasury financing

Information on whether the contract is objectively measurable as directly linked to the reporting counterparty's commercial or treasury financing activity, as referred to in Article 10(3) of Regulation (EU) No 648/2012.

This field shall be left blank in the case where the reporting counterparty is a financial counterparty, as referred to in Article 2(8) of Regulation (EU) No 648/2012.

16

Clearing threshold

Information whether the reporting counterparty is above the clearing threshold referred to in Article 10(3) of Regulation (EU) No 648/2012.

This field shall be left blank in case the reporting counterparty is a financial counterparty, as referred to in Article 2(8) of Regulation (EU) No 648/2012.

17

Value of contract

Mark to market valuation of the contract, or mark to model valuation where applicable under Article 11(2) of Regulation (EU) No 648/2012. The CCP's valuation to be used for a cleared trade.

18

Currency of the value

The currency used for the valuation of the contract.

19

Valuation timestamp

Date and time of the last valuation. For mark-to-market valuation the date and time of publishing of reference prices shall be reported.

20

Valuation type

Indicate whether valuation was performed mark to market, mark to model or provided by the CCP.

21

Collateralisation

Indicate whether a collateral agreement between the counterparties exists.

22

Collateral portfolio

Whether the collateralisation was performed on a portfolio basis.

Portfolio means the collateral calculated on the basis of net positions resulting from a set of contracts, rather than per trade.

23

Collateral portfolio code

If collateral is reported on a portfolio basis, the portfolio should be identified by a unique code determined by the reporting counterparty.

24

Initial margin posted

Value of the initial margin posted by the reporting counterparty to the other counterparty.

Where initial margin is posted on a portfolio basis, this field should include the overall value of initial margin posted for the portfolio.

25

Currency of the initial margin posted

Specify the currency of the initial margin posted.

26

Variation margin posted

Value of the variation margin posted, including cash settled, by the reporting counterparty to the other counterparty.

Where variation margin is posted on a portfolio basis, this field should include the overall value of variation margin posted for the portfolio.

27

Currency of the variation margins posted

Specify the currency of variation margin posted.

28

Initial margin received

Value of the initial margin received by the reporting counterparty from the other counterparty.

Where initial margin is received on a portfolio basis, this field should include the overall value of initial margin received for the portfolio.

29

Currency of the initial margin received

Specify the currency of the initial margin received.

30

Variation margin received

Value of the variation margin received, including cash settled, by the reporting counterparty from the other counterparty.

Where variation margin is received on a portfolio basis, this field should include the overall value of variation margin received for the portfolio.

31

Currency of the variation margins received

Specify the currency of the variation margin received.

32

Excess collateral posted

Value of collateral posted in excess of the required collateral.

33

Currency of the excess collateral posted

Specify the currency of the excess collateral posted.

34

Excess collateral received

Value of collateral received in excess of the required. Collateral

35

Currency of the excess collateral received

Specify the currency of the excess collateral received.

Field

Details to be reported

Applicable types of derivative contracts

Section 2a — Contract type

All contracts

1

Contract type

Each reported contract shall be classified according to its type.

2

Asset class

Each reported contract shall be classified according to the asset class it is based on.

Section 2b — Contract information

All contracts

3

Product classification type

The type of relevant product classification.

4

Product classification

For products identified through International Securities Identification Number (ISIN) or Alternative Instrument Identifier (AII), Classification of Financial Instruments (CFI) code shall be specified.

For products for which ISIN or AII are not available, endorsed Unique Product Identifier (UPI) shall be specified. Until UPI is endorsed those products shall be classified with CFI code.

5

Product identification type

The type of relevant product identification.

6

Product identification

The product shall be identified through ISIN or AII. AII shall be used if a product is traded in a trading venue classified as AII in the register published on ESMA's website and set up on the basis of information provided by competent authorities pursuant to Article 13(2) of Commission Regulation (EC) No 1287/2006 (1).

AII shall only be used until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014 of the European Parliament and of the Council (2).

7

Underlying identification type

The type of relevant underlying identifier.

8

Underlying identification

The direct underlying shall be identified by using a unique identification for this underlying based on its type.

AII shall only be used until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014.

For Credit Default Swaps, the ISIN of the reference obligation should be provided.

In case of baskets composed, among others, of financial instruments traded in a trading venue, only financial instruments traded in a trading venue shall be specified.

9

Notional currency 1

The currency of the notional amount.

In the case of an interest rate or currency derivative contract, this will be the notional currency of leg 1.

10

Notional currency 2

The other currency of the notional amount.

In the case of an interest rate or currency derivative contract, this will be the notional currency of leg 2.

11

Deliverable currency

The currency to be delivered.

Section 2c — Details on the transaction

All contracts

12

Trade ID

Until global UTI is available, a Unique Trade ID agreed with the other counterparty.

13

Report tracking number

A unique number for the group of reports which relate to the same execution of a derivative contract.

14

Complex trade component ID

Identifier, internal to the reporting firm, to identify and link all the reports related to the same derivative contract composed of a combination of derivative contracts. The code must be unique at the level of the counterparty to the group of transaction reports resulting from the derivative contract.

Field applicable only where a firm executes a derivative contract composed of two or more derivative contracts and where this contract cannot be adequately reported in a single report.

15

Venue of execution

The venue of execution of the derivative contract shall be identified by a unique code for this venue.

Where a contract was concluded OTC and the respective instrument is admitted to trading or traded on a trading venue, MIC code ‘XOFF’ shall be used.

Where a contract was concluded OTC and the respective instrument is not admitted to trading or traded on a trading venue, MIC code ‘XXXX’ shall be used.

16

Compression

Identify whether the contract results from a compression operation as defined in Article 2(1)(47) of Regulation (EU) No 600/2014.

17

Price/rate

The price per derivative excluding, where applicable, commission and accrued interest.

18

Price notation

The manner in which the price is expressed.

19

Currency of price

The currency in which the Price/rate is denominated.

20

Notional

The reference amount from which contractual payments are determined. In case of partial terminations, amortisations and in case of contracts where the notional, due to the characteristics of the contract, varies over time, it shall reflect the remaining notional after the change took place.

21

Price multiplier

The number of units of the financial instrument which are contained in a trading lot; for example, the number of derivatives represented by the contract.

22

Quantity

Number of contracts included in the report.

For spread bets, the quantity shall be the monetary value wagered per point movement in the direct underlying financial instrument.

23

Up-front payment

Amount of any up-front payment the reporting counterparty made or received.

24

Delivery type

Indicates whether the contract is settled physically or in cash.

25

Execution timestamp

Date and time when the contract was executed.

26

Effective date

Date when obligations under the contract come into effect.

27

Maturity date

Original date of expiry of the reported contract.

An early termination shall not be reported in this field.

28

Termination date

Termination date in the case of an early termination of the reported contract.

29

Settlement date

Date of settlement of the underlying.

If more than one, further fields may be used.

30

Master Agreement type

Reference to any master agreement, if existent (e.g. ISDA Master Agreement; Master Power Purchase and Sale Agreement; International ForEx Master Agreement; European Master Agreement or any local Master Agreements).

31

Master Agreement version

Reference to the year of the master agreement version used for the reported trade, if applicable (e.g. 1992, 2002, etc.).

Section 2d — Risk mitigation/Reporting

All contracts

32

Confirmation timestamp

Date and time of the confirmation, as set out in Article 12 of Commission Delegated Regulation (EU) No 149/2013 (3).

33

Confirmation means

Whether the contract was electronically confirmed, non-electronically confirmed or remains unconfirmed.

Section 2e — Clearing

All contracts

34

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.

35

Cleared

Indicates, whether clearing has taken place.

36

Clearing timestamp

Time and date when clearing took place.

37

CCP

In the case of a contract that has been cleared, the unique code for the CCP that has cleared the contract.

38

Intragroup

Indicates whether the contract was entered into as an intragroup transaction, defined in Article 3 of Regulation (EU) No 648/2012.

Section 2f — Interest Rates

Interest rate derivatives

39

Fixed rate of leg 1

An indication of the fixed rate leg 1 used, if applicable.

40

Fixed rate of leg 2

An indication of the fixed rate leg 2 used, if applicable.

41

Fixed rate day count leg 1

The actual number of days in the relevant fixed rate leg 1 payer calculation period, if applicable.

42

Fixed rate day count leg 2

The actual number of days in the relevant fixed rate leg 2 payer calculation period, if applicable.

43

Fixed rate payment frequency leg 1 — time period

Time period describing frequency of payments for the fixed rate leg 1, if applicable.

44

Fixed rate payment frequency leg 1 — multiplier

Multiplier of the time period describing frequency of payments for the fixed rate leg 1, if applicable.

45

Fixed rate payment frequency leg 2 — time period

Time period describing frequency of payments for the fixed rate leg 2, if applicable.

46

Fixed rate payment frequency leg 2 — multiplier

Multiplier of the time period describing frequency of payments for the fixed rate leg 2, if applicable.

47

Floating rate payment frequency leg 1 — time period

Time period describing frequency of payments for the floating rate leg 1, if applicable.

48

Floating rate payment frequency leg 1 — multiplier

Multiplier of the time period describing frequency of payments for the floating rate leg 1, if applicable.

49

Floating rate payment frequency leg 2 — time period

Time period describing frequency of payments for the floating rate leg 2, if applicable.

50

Floating rate payment frequency leg 2 — multiplier

Multiplier of the time period describing frequency of payments for the floating rate leg 2, if applicable.

51

Floating rate reset frequency leg 1 — time period

Time period describing frequency of floating rate leg 1 resets, if applicable.

52

Floating rate reset frequency leg 1 — multiplier

Multiplier of the time period describing frequency of floating rate leg 1 resets, if applicable.

53

Floating rate reset frequency leg 2 — time period

Time period of frequency of floating rate leg 2 resets, if applicable.

54

Floating rate reset frequency leg 2 — multiplier

Multiplier of the time period describing frequency of floating rate leg 2 resets, if applicable.

55

Floating rate of leg 1

An indication of the interest rates used which are reset at predetermined intervals by reference to a market reference rate, if applicable.

56

Floating rate reference period leg 1 — time period

Time period describing the reference period for the floating rate of leg 1.

57

Floating rate reference period leg 1 — multiplier

Multiplier of the time period describing the reference period for the floating rate of leg 1.

58

Floating rate of leg 2

An indication of the interest rates used which are reset at predetermined intervals by reference to a market reference rate, if applicable.

59

Floating rate reference period leg 2 — time period

Time period describing the reference period for the floating rate of leg 2.

60

Floating rate reference period leg 2 — multiplier

Multiplier of the time period describing the reference period for the floating rate of leg 2.

Section 2g — Foreign Exchange

Currency derivatives

61

Delivery currency 2

The cross currency, if different from the currency of delivery.

62

Exchange rate 1

The exchange rate as of the date and time when the contract was concluded. It shall be expressed as a price of base currency in the quoted currency.

63

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.

64

Exchange rate basis

Quote base for exchange rate.

Section 2h — Commodities and emission allowances

Commodity and emission allowance derivatives

General

65

Commodity base

Indicates the type of commodity underlying the contract.

66

Commodity details

Details of the particular commodity beyond field 65.

Energy

Fields 67-77 apply only to derivative contracts related to natural gas and electricity delivered in the Union.

67

Delivery point or zone

Delivery point(s) of market area(s).

68

Interconnection Point

Identification of the border(s) or border Point(s) of a transportation contract.

69

Load type

Identification of the delivery profile.

Repeatable section of fields 70-77

70

Load delivery intervals

The time interval for each block or shape.

71

Delivery start date and time

Start date and time of delivery.

72

Delivery end date and time

End date and time of delivery.

73

Duration

The duration of the delivery period.

74

Days of the week

The days of the week of the delivery.

75

Delivery capacity

Delivery capacity for each delivery interval specified in field 70.

76

Quantity Unit

Daily or hourly quantity in MWh or kWh/d which corresponds to the underlying commodity.

77

Price/time interval quantities

If applicable, price per quantity per delivery time interval.

Section 2i — Options

Contracts that contain an option

78

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.

79

Option exercise style

Indicates whether the option may be exercised only at a fixed date (European, and Asian style), a series of pre-specified dates (Bermudan) or at any time during the life of the contract (American style).

80

Strike price (cap/floor rate)

The strike price of the option.

81

Strike price notation

The manner in which the strike price is expressed.

82

Maturity date of the underlying

In case of swaptions, maturity date of the underlying swap.

Section 2j — Credit derivatives

83

Seniority

Information on the seniority in case of contract on index or on a single name entity.

84

Reference entity

Identification of the underlying reference entity.

85

Frequency of payment

The frequency of payment of the interest rate or coupon.

86

The calculation basis

The calculation basis of the interest rate.

87

Series

The series number of the composition of the index if applicable.

88

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.

89

Index factor

The factor to apply to the Notional (Field 20) to adjust it to all the previous credit events in that Index series.

The figure varies between 0 and 100.

90

Tranche

Indication whether a derivative contract is tranched.

91

Attachment point

The point at which losses in the pool will attach to a particular tranche.

92

Detachement point

The point beyond which losses do not affect the particular tranche.

Section 2k — Modifications to the contract

93

Action type

Whether the report contains:

94

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 the individual trades in fungible products have been replaced by the position.