LegalizeCommission 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.)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| Field | Format | Applicable types of derivative contracts | |
| Section 2a – Contract type | All contracts | ||
| 1 | Contract type | CD = Financial contracts for difference FR = Forward rate agreements FU = Futures FW = Forwards OP = Option SB = Spreadbet SW = Swap ST = Swaption OT = Other | |
| 2 | Asset class | CO = Commodity and emission allowances CR = Credit CU = Currency EQ = Equity IR = Interest Rate | |
| Section 2b – Contract information | All contracts | ||
| 3 | Product classification type | C = CFI | |
| 4 | Product classification | ISO 10692 CFI, 6 characters alphabetical code | |
| 5 | Product identification type | Specify the applicable identification: I = ISIN A = AII | |
| 6 | Product identification | For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code For product identifier type A: Complete AII code | |
| 7 | Underlying identification type | I = ISIN A = AII B = Basket X = Index | |
| 8 | Underlying identification | For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code For underlying identification type A: complete AII code For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code. Identifiers of individual components shall be separated with a dash ‘-’. For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider | |
| 9 | Notional currency 1 | ISO 4217 Currency Code, 3 alphabetical characters | |
| 10 | Notional currency 2 | ISO 4217 Currency Code, 3 alphabetical characters | |
| 11 | Deliverable currency | ISO 4217 Currency Code, 3 alphabetical characters | |
| Section 2c – Details on the transaction | All contracts | ||
| 12 | Trade ID | Up to 52 alphanumerical character code including four special characters:‘. - _.’ Special characters are not allowed at the beginning and at the end of the code. No space allowed. | |
| 13 | Report tracking number | An alphanumeric field up to 52 characters | |
| 14 | Complex trade component ID | An alphanumeric field up to 35 characters | |
| 15 | Venue of execution | ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters, in accordance with Article 4(b). | |
| 16 | Compression | Y = contract results from compression N = contract does not result from compression | |
| 17 | Price/rate | Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. In case the price is reported in percent values, it should be expressed as percentage where 100 % is represented as ‘100’ | |
| 18 | Price notation | U = Units P = Percentage Y = Yield | |
| 19 | Currency of price | ISO 4217 Currency Code, 3 alphabetic characters | |
| 20 | Notional | Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. | |
| 21 | Price multiplier | Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. | |
| 22 | Quantity | Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. | |
| 23 | Up-front payment | Up to 20 numerical characters including decimals. The negative symbol to be used to indicate that the payment was made, not received. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. | |
| 24 | Delivery type | C = Cash P = Physical O = Optional for counterparty or when determined by a third party | |
| 25 | Execution timestamp | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ | |
| 26 | Effective date | ISO 8601 date in the format YYYY-MM-DD | |
| 27 | Maturity date | ISO 8601 date in the format YYYY-MM-DD | |
| 28 | Termination date | ISO 8601 date in the format YYYY-MM-DD | |
| 29 | Settlement date | ISO 8601 date in the format YYYY-MM-DD | |
| 30 | Master Agreement type | Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any | |
| 31 | Master Agreement version | ISO 8601 date in the format YYYY | |
| Section 2d – Risk mitigation/Reporting | All contracts | ||
| 32 | Confirmation timestamp | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ | |
| 33 | Confirmation means | Y = Non-electronically confirmed N = Non-confirmed E = Electronically confirmed | |
| Section 2e – Clearing | All contracts | ||
| 34 | Clearing obligation | Y = Yes N = No | |
| 35 | Cleared | Y = Yes N = No | |
| 36 | Clearing timestamp | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ | |
| 37 | CCP | ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code | |
| 38 | Intragroup | Y = Yes N = No | |
| Section 2f – Interest Rates | Interest rate derivatives | ||
| 39 | Fixed rate of leg 1 | Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘100’. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. | |
| 40 | Fixed rate of leg 2 | Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘100’. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. | |
| 41 | Fixed rate day count leg 1 | Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365 | |
| 42 | Fixed rate day count leg 2 | Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365 | |
| 43 | Fixed rate payment frequency leg 1 –time period | Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day | |
| 44 | Fixed rate payment frequency leg 1 – multiplier | Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. | |
| 45 | Fixed rate payment frequency leg 2 – time period | Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day | |
| 46 | Fixed rate payment frequency leg 2 – multiplier | Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. | |
| 47 | Floating rate payment frequency leg 1 – time period | Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day | |
| 48 | Floating rate payment frequency leg 1 – multiplier | Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. | |
| 49 | Floating rate payment frequency leg 2 – time period | Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day | |
| 50 | Floating rate payment frequency leg 2 – multiplier | Integer multiplier of the time period describing how often the counterparties exchange payments. Up to 3 numerical characters. | |
| 51 | Floating rate reset frequency leg 1 – time period | Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day | |
| 52 | Floating rate reset frequency leg 1 – multiplier | Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. | |
| 53 | Floating rate reset frequency leg 2 – time period | Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day | |
| 54 | Floating rate reset frequency leg 2 – multiplier | Integer multiplier of the time period describing how often the counterparties reset the floating rate. Up to 3 numerical characters. | |
| 55 | Floating rate of leg 1 | The name of the floating rate index ‘EONA’ – EONIA ‘EONS’ – EONIA SWAP ‘EURI’ – EURIBOR ‘EUUS’ – EURODOLLAR ‘EUCH’ – EuroSwiss ‘GCFR’ – GCF REPO ‘ISDA’ – ISDAFIX ‘LIBI’ – LIBID ‘LIBO’ – LIBOR ‘MAAA’ – Muni AAA ‘PFAN’ – Pfandbriefe ‘TIBO’ – TIBOR ‘STBO’ – STIBOR ‘BBSW’ – BBSW ‘JIBA’ – JIBAR ‘BUBO’ – BUBOR ‘CDOR’ – CDOR ‘CIBO’ – CIBOR ‘MOSP’ – MOSPRIM ‘NIBO’ – NIBOR ‘PRBO’ – PRIBOR ‘TLBO’ – TELBOR ‘WIBO’ – WIBOR ‘TREA’ – Treasury ‘SWAP’ – SWAP ‘FUSW’ – Future SWAP Or up to 25 alphanumerical characters if the reference rate is not included in the above list | |
| 56 | Floating rate reference period leg 1 – time period | Time period describing reference period, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day | |
| 57 | Floating rate reference period leg 1 – multiplier | Integer multiplier of the time period describing the reference period. Up to 3 numerical characters. | |
| 58 | Floating rate of leg 2 | The name of the floating rate index ‘EONA’ – EONIA ‘EONS’ – EONIA SWAP ‘EURI’ – EURIBOR ‘EUUS’ – EURODOLLAR ‘EUCH’ – EuroSwiss ‘GCFR’ – GCF REPO ‘ISDA’ – ISDAFIX ‘LIBI’ – LIBID ‘LIBO’ – LIBOR ‘MAAA’ – Muni AAA ‘PFAN’ – Pfandbriefe ‘TIBO’ – TIBOR ‘STBO’ – STIBOR ‘BBSW’ – BBSW ‘JIBA’ – JIBAR ‘BUBO’ – BUBOR ‘CDOR’ – CDOR ‘CIBO’ – CIBOR ‘MOSP’ – MOSPRIM ‘NIBO’ – NIBOR ‘PRBO’ – PRIBOR ‘TLBO’ – TELBOR ‘WIBO’ – WIBOR ‘TREA’ – Treasury ‘SWAP’ – SWAP ‘FUSW’ – Future SWAP Or up to 25 alphanumerical characters if the reference rate is not included in the above list | |
| 59 | Floating rate reference period leg 2 – time period | Time period describing reference period, whereby the following abbreviations apply: Y = Year M = Month W = Week D = Day | |
| 60 | Floating rate reference period leg 2 – multiplier | Integer multiplier of the time period describing the reference period. Up to 3 numerical characters. | |
| Section 2g – Foreign Exchange | Currency derivatives | ||
| 61 | Delivery currency 2 | ISO 4217 Currency Code, 3 alphabetical character code | |
| 62 | Exchange rate 1 | Up to 10 numerical digits including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. | |
| 63 | Forward exchange rate | Up to 10 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. | |
| 64 | Exchange rate basis | Two ISO 4217 currency codes separated by ‘/’. First currency code shall indicate the base currency, and the second currency code shall indicate the quote currency. | |
| Section 2h – Commodities and emission allowances | Commodity and emission allowance derivatives | ||
| General | |||
| 65 | Commodity base | AG = Agricultural EN = Energy FR = Freights ME = Metals IN = Index EV = Environmental EX = Exotic OT = Other | |
| 66 | Commodity details | Agricultural GO = Grains oilseeds DA = Dairy LI = Livestock FO = Forestry SO = Softs SF = Seafood OT = Other Energy OI = Oil NG = Natural gas CO = Coal EL = Electricity IE = Inter-energy OT = Other Freights DR = Dry WT = Wet OT = Other Metals PR = Precious NP = Non-precious Environmental WE = Weather EM = Emissions OT = Other | |
| Energy | |||
| 67 | Delivery point or zone | EIC code, 16 character alphanumeric code Repeatable field. | |
| 68 | Interconnection Point | EIC code, 16 character alphanumeric code | |
| 69 | Load type | BL = Base Load PL = Peak Load OP = Off-Peak BH = Hour/Block Hours SH = Shaped GD = Gas Day OT = Other | |
| Repeatable section of fields 70 – 77 | |||
| 70 | Load delivery intervals | hh:mmZ | |
| 71 | Delivery start date and time | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ | |
| 72 | Delivery end date and time | ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ | |
| 73 | Duration | N = Minutes H = Hour D = Day W = Week M = Month Q = Quarter S = Season Y = Annual O = Other | |
| 74 | Days of the week | WD = Weekdays WN = Weekend MO = Monday TU = Tuesday WE = Wednesday TH = Thursday FR = Friday SA = Saturday SU = Sunday Multiple values separated by ‘/’ are permitted | |
| 75 | Delivery capacity | Up to 20 numerical digits including decimals The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. | |
| 76 | Quantity Unit | KW KWh/h KWh/d MW MWh/h MWh/d GW GWh/h GWh/d Therm/d KTherm/d MTherm/d cm/d mcm/d | |
| 77 | Price/time interval quantities | Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. | |
| Section 2i – Options | Contracts that contain an option | ||
| 78 | Option type | P = Put C = Call O = where it cannot be determined whether it is a call or a put | |
| 79 | Option exercise style | A = American B = Bermudan E = European S = Asian More than one value is allowed | |
| 80 | Strike price (cap/floor rate) | Up to 20 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. The negative symbol, if populated, is not counted as a numerical character. Where the strike price is reported in percent values, it should be expressed as percentage where 100 % is represented as ‘100’ | |
| 81 | Strike price notation | U = Units P = Percentage Y = Yield | |
| 82 | Maturity date of the underlying | ISO 8601 date in the format YYYY-MM-DD | |
| Section 2j – Credit derivatives | |||
| 83 | Seniority | SNDB = Senior, such as Senior Unsecured Debt (Corporate/Financial), Foreign Currency Sovereign Debt (Government), SBOD = Subordinated, such as Subordinated or Lower Tier 2 Debt (Banks), Junior Subordinated or Upper Tier 2 Debt (Banks), OTHR = Other, such as Preference Shares or Tier 1 Capital (Banks) or other credit derivatives | |
| 84 | Reference entity | ISO 3166 – 2 character country code or ISO 3166-2 – 2 character country code followed by dash ‘-’ and up to 3 alphanumeric character country subdivision code or ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code | |
| 85 | Frequency of payment | MNTH = Monthly QURT = Quarterly MIAN = Semi-annually YEAR = Yearly | |
| 86 | The calculation basis | Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression ‘Actual’, e.g. 30/360 or Actual/365 | |
| 87 | Series | Integer field up to 5 characters | |
| 88 | Version | Integer field up to 5 characters | |
| 89 | Index factor | Up to 10 numerical characters including decimals. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. | |
| 90 | Tranche | T = Tranched U = Untranched | |
| 91 | Attachment point | Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. | |
| 92 | Detachment point | Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1. The decimal mark is not counted as a numerical character. If populated, it shall be represented by a dot. | |
| Section 2k – Modifications to the contract | |||
| 93 | Action type | N = New M = Modify E = Error C = Early Termination R = Correction Z = Compression V = Valuation update P = Position component | |
| 94 | Level | T = Trade P = Position |
’
17
Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 335, 17.12.2009, p. 1).
18
Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).
19
Directive 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council and repealing Council Directive 93/22/EEC (OJ L 145, 30.4.2004, p. 1).
20
Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).
21
Directive 2003/41/EC of the European Parliament and of the Council of 3 June 2003 on the activities and supervision of institutions for occupational retirement provision (OJ L 235, 23.9.2003, p. 10).
22
Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
23
Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).
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