Functional Change Document Participant Functional …/media/Files/Downloads/Data-and... · The European Securities and Markets Authority (the "ESMA") have not approved or otherwise

Functional Change Document

All material in this document is considered

DTCC Confidential and is copyright © 2014 DTCC

Page 1 of 85

Participant Functional Change Document

Initiative:

Global Trade Repository European Markets Infrastructure Regulation (“EMIR”) Requirements

Enhanced Data Validations Date: 5 November 2014 Version: v1.5 Status: Final Author: Clare Gehrhardt

Mark Steadman Zeeshan Akram

The European Securities and Markets Authority (the "ESMA") have not approved or otherwise sanctioned the information contained in this document. The EMIR business requirements detailed herein represent the DTCC GTR proposed implementation of trade reporting to enable firms to comply with EMIR. Readers should not infer approval by ESMA of the content of this document.




Page 2 of 85

Document Revision History Date By Version Description

26-September 2014 Clare Gehrhardt Mark Steadman Zeeshan Akram

1.0 Initial Publication

03-October 2014 Clare Gehrhardt 1.1 • Added “Party 2” to the rule set in section 2, “When submitted as an independent message, this would be just for Party 1 or Party 2”

• Modified the FC reference in section 3.1 for Trade Id to FC-32

• Updated ESMA field naming for FC-2 to Price/Rate in section 3.2-3.6 also updated the ‘Can be blank’ ‘Can be N/A’ columns.

• Re-labeled section 3 asset class detail sections Credits from 3.2 to 3.3, Foreign Exchange from 3.3 to 3.4, Equities from 3.4 to 3.5, Commodities from 3.5 to 3.6

• Modified the Buyer mapping in section 3.4 Foreign Exchange

• Added lifecycle event applicability to section 3.1 FC-29 “with a lifecycle event of ValuationUpdate or EOD Valuation”

• Added section 2.3 on UTI population in the OTC asset classes and OTC Lite service

• Adjusted Quantity FC-26 mapping in section 3.6, Commodities

• Adjusted FC-27 in section 2.1 from Trade Party 2 financial Entity Jurisdiction (duplicate) to Trade Party 2 Non-financial Entity Jurisdiction




Page 3 of 85

• Updated ESMA field naming for FC-2 to Price/Rate in section 4 and 5 and also updated the ‘Can be blank’ ‘Can be N/A’ columns.

• Added FC-30 to section 3.1 for ESMA field Financial or non-financial nature of the counterparty

• Added FC-31 Trade ID to section 5 • Updated section 3.2 Price/Rate

Mappings for FC -2 • Update section 3.2 Price Notation

Mappings for FC-3 • Adjusted GTR field naming for

section 3.1 on Clearing Threshold, FC-9 to Clearing Threshold Party 1 and Clearing Threshold Party 2

• Adjusted section 3.2 Notional Amount FC-22, removed leg 2 f ields

• Updated section 3.3 FC-16 mapping for CCP from Clearing DCO to Clearer Prefix and Clearer Value

• Updated section 3.4 FC-21, removed: Option seller Prefix, Option seller Value, Premium Payer prefix, Premium Payer value.

• Updated section 3.4 FC-16 – the field has been updated to ‘Clearer Value’

• Removed functional references from the Appendix for ESMA fields: Valuation date, Valuation time, Valuation type

• Updated section 3.6 to reflect Can be blank? N and Can be NA? N for FC-11 Delivery Type

• Updated Section 4 FC-1 Position - from Optional to Conditional




Page 4 of 85

• Updated Section 4 FC-2 Position- Optional to Required

• Updated Section 4 FC-3 Position – Optional to Required

• Updated Section 4 FC-5 Added condition description

• Updated Section 4 FC-12 Added FIA guidance notes






• Updated Section 4 FC-29 amended existing comments

• Added clarification in section 2.1 for FC-13 Confirmation Timestamp to populate 1900-01-01T00:00:00Z w hen a timestamp is not available for reporting

• Section 3.6, modif ied f ield mappings to align w ith upload template for FC-2, FC-3, FC-21, FC-22, FC-26. FC-26 w ill be defaulted to 1

• Section 3.5, adjusted ESMA field naming for FC-2 and FC-3

• Section 3.5, FC-2 Remove warning rule W:EQ:ESMA:00049 Field Required - Underlying Asset Initial Price Currency and added warning rules, W:EQ:ESMA:00066 Field Required - Declared Cash Dividend




Page 5 of 85

Percentage, W:EQ:ESMA:00067 Field Required - Declared Cash Equivalent Dividend Percentage, W:EQ:ESMA:00068 Field Required - Material Non-Cash Dividend , W:EQ:ESMA:00069 Field Required - Special Dividends

• For Section 3.5 FC-3 added warning rule, W:EQ:ESMA:00049 Field Required - Underlying Asset Initial Price Currency

• For Section 3.5 FC-11 added warning rule, W:EQ:ESMA:00038 Field Required - Settlement Method

• For Section 3.5 FC-16 added warning rule, W:X:ESMA:00038 Field Required - Clearer Value

• For Section 3.5 FC-21 Changed field naming from “Buyer LEI Value” to “Buyer Value”

• For Section 3.5 Removed “Underlying Fixed Rate Payer (Buyer)” and Removed all warning rules.

• For Section 3.5 FC-22 added warning rules: W:EQ:ESMA:00042 Field Required - Vega Notional Currency, W:EQ:ESMA:00044 Field Required - Lifecycle Change in Vega Notional Currency, W:EQ:ESMA:00047 Field Required - Deal Notional Amount Currency, W:EQ:ESMA:00059 Field Required - Lifecycle Change in Deal Notional Amount Currency

• For Section 3.5 FC-23 added warning rules: W:EQ:ESMA:00041




Page 6 of 85

Field Required - Vega Notional, W:EQ:ESMA:00043 Field Required - Lifecycle Change in Vega Notional, W:EQ:ESMA:00046 Field Required - Deal Notional Amount, W:EQ:ESMA:00058 Field Required - Lifecycle Change in Deal Notional Amount

• For Section 3.5 FC-26 added warning rules: W:EQ:ESMA:00034 Field Required - Number of Options, W:EQ:ESMA:00064 Field Required - Variance Amount, W:EQ:ESMA:00045 Field Required - Lifecycle Change in Variance Amount, W:EQ:ESMA:00062 Field Required - Number of Shares/Units, W:EQ:ESMA:00060 Field Required - Deal Units, W:EQ:ESMA:00061 Field Required - Lifecycle Change in Deal Units

10-October 2014 Clare Gehrhardt 1.2 • In section 3.5 removed mappings for FC-2, 4d) Material Non-Cash Dividend (#300), and 4e) Special Dividends (#301)

• In section 3.5 removed mappings for FC-12 lifecycle event field mappings

• In section 3.6 adjusted the mappings for FC-26 Quantity

• In section 3.4 added in defaulting logic for FC-11 Delivery Type

• In section 3.6 added Option Strike Price Per Unit Schedule Strike Price Step(s) for FC-2

• Modified section 2 to include new rules associated with reporting




Page 7 of 85

obligation • In section 3,2 added Notional

Currency - leg 1 to FC-22 mapping (UAT-14800)

• Adjusted sections 3.1-3.6 to make FC-2, FC-6, FC-7 and FC-32 asset specific. Added “Prefix” field to FC-1 in section 3.1 (UAT-14792)

• In section 2.1 and 3.1 added in FC-14 Clearing Obligation, removed previous edit of removal. Added in additional clarity to FC-13 and FC-14

• In section 5 added in FC-24 Clearing Obligation

• Modified section 4 in accordance with ESMA guidance on ETD positions. FC-1, FC-2, FC-3, FC-6, FC-8, FC-9, FC-10, FC-11, FC-13, FC-14, FC-15, FC-18, FC-20, FC-23, FC-25, FC-28

• Added in FC-24 Clearing Obligation for section 4

• Added new enumeration details to FC-27 for section 4 and 5

• Added clarity in section 3.2 and 3.5 on Delivery Type FC-11

17 October 2014 Clare Gehrhardt V 1.3 • Removed mappings for FC-26 Quantity in section 3.6

• Added default logic in section 3.5 for FC-25 Price Multiplier

• Updated Section 3.4 FC-22 mappings

• In section 4 updated FC-6, FC-12, FC-13 and FC-19

• Added in verbiage to section 2 on




Page 8 of 85

warnings • Removed duplicate mapping from

section 3.6 ‘Option Strike Price Per Unit Schedule Strike Price Step(s)’ is listed twice.

• Adjusted rule for FC-13 Confirmation Date time in section 2,1 and section 5

24 October 2014 Clare Gehrhardt V 1.4 • Section 3.6 added rules for delivery type ( UAT 15138)

• In section 3.5 added clarity to the FC-3 default values

• In section 3.2 added mappings for FC-21 Counterparty Side

Clare Gehrhardt V 1.5 • Removed Commodities from section 2.1 FC-25 requirement

• Updated Equity mapping in section 3.5 for FC-2 Price/Rate

• Added clarification to section 2 on ESMA – support

• Added clarification to FC-11 and FC-17 for section 2.1

• Added section 1.1 • Added implementation details to

section 1.2 Project Timeline • In section 2.1 added clarification on

“Rule Detail” for FC-2, FC-3, FC-4, FC-5, FC-11, FC-13, FC-21, FC-22, FC-27

• In section 3.2-3.6 added clarification on FC-2 and FC-3

• Added a notation on Warnings for section 3, 4 and 5

• In section 3.2 added detail to FC-11 and FC-12 rule mappings




Page 9 of 85

• In section 3.2 adjusted mappings for CCP, FC-16

• In section 3.3 added mapping for FC-21 Underlying Fixed Rate Payer (Buyer).

• In section 4 added clarity w here f ields are noted as No Change to add detail that the f ield is required for FC-2, FC-3, FC-10, FC-11, FC-20, FC-22, FC26

• In section 4 adjusted FC-19 Field Conditions

• In section 4 added clarity to FC-24 FIA guidance

• In section 5 added default logic for FC-24, FC-25, FC-28

• In section 2.1 added a notation on the impact of default values on cross jurisdictional trades for FC-2 and FC-13

• Added in wording in section 1 on the applicability of this document after the Level 1 release.

• Changed 999999999999999,99999 references to 999999999999999.99999 to reflect GTR functionality.




Page 10 of 85

Table of Contents 1 PROJECT SUMMARY ............................................................................................................ 11

1.1 REFERENCE DOCUMENTS .................................................................................................... 11 1.2 PROJECT TIMELINE ............................................................................................................. 11 1.2 NAMING CONVENTIONS AND DEFINITIONS ..................................................................................... 12

2 LEVEL 1 DATA VALIDATIONS SUMMARY............................................................................... 14

2.1 CROSS ASSET AND SERVICE OVERVIEW .................................................................................. 16 2.2 TABLE GUIDES ................................................................................................................... 23

2.2.1 OTC CORE CROSS ASSET DETAILS TABLE ............................................................................. 23 2.2.2 CORE ASSET CLASS DETAILS TABLE ..................................................................................... 23 2.2.3 ETD AND OTC LITE DETAILS TABLE....................................................................................... 24

2.3 POPULATION OF THE UTI/USI IN THE OTC ASSET CLASSES.............................................................. 24 2.4 POPULATION OF USTI/USI ON OTC CORE VALUATION MESSAGES..................................................... 28

3 OTC CORE DETAILS ............................................................................................................. 29

3.1 CROSS ASSET DETAILS ....................................................................................................... 29 3.2 RATES SPECIFIC CHANGE DETAILS ......................................................................................... 34 3.3 CREDIT SPECIFIC CHANGE DETAILS ............................................................................................ 37 3.4 FOREIGN EXCHANGE SPECIFIC CHANGE DETAILS ........................................................................... 39 3.5 EQUITIES SPECIFIC CHANGE DETAILS.......................................................................................... 42 3.6 COMMODITIES SPECIFIC CHANGE DETAILS ................................................................................... 48

4 ETD DETAILS ....................................................................................................................... 52 5 OTC LITE DETAILS ............................................................................................................... 60 6 APPENDIX ............................................................................................................................ 66




Page 11 of 85

1 Project Summary This document is intended to describe the functional changes for the Level 1 Validations requested by ESMA. This document will be super seceded by the message templates after the production release on November 30th. Please refer to the asset class message templates for the latest information. Following the implementation of EMIR in February 2014, ESMA has requested that all TRs make the improvement of data quality and inter-TR reconciliation a top priority. To that end they have directed the trade repositories to reject ESMA reportable trades that do not conform to the EMIR mandatory field requirements known as the Level 1 Validation Rules. A detailed field-by-field validation list has been circulated to the TR’s identifying these field requirement rules and this list is reproduced in the appendix to this document. In some circumstances where a field is not available to the reporting entity at the time of reporting, a default value (as supplied by ESMA) can be submitted until the data field is available for submission. These requirements are in line with ESMA’s EMIR Q&A No 20 on blank and NA fields. ESMA expect these Level 1 validations to be put in place by all of the TRs and that the TRs reject those reports, submitted to fulfil the reporting obligation under EMIR, that do not meet the validation requirements set out. Some of these data fields are already required by the GTR, whereas some of the data fields are currently optional and therefore will need to be changed to be required fields by this date. DTCC has set out a change program to satisfy these latest set of requirements from ESMA.

1.1 Reference Documents

This document should be read in conjunction with the GTR message temples which are available on the GTR Clients Center http://dtcc.com/en/data-and-repository-services/global-trade-repository/gtr-us/client-center/client-center.aspx?gated=customers

1.2 Project Timeline

• All TR’s must have the level 1 Validations in place by 1st December 2014 • GTR changes will be available for UAT from 10th November 2014 • Changes will be migrated into production on 30th November 2014

o Level 1 validation rules will be deployed in production at the end of the standard weekend maintenance window on Sunday November 30th. o Any submission made up to the start of the maintenance window on Saturday night will be processed by GTR according to existing rules. o Firms can implement their own changes any time up to end of maintenance window on Sunday morning. o Users of the OTC Core asset classes can implement their own changes ahead of the GTR deployment.

http://dtcc.com/en/data-and-repository-services/global-trade-repository/gtr-us/client-center/client-center.aspx?gated=customers

http://dtcc.com/en/data-and-repository-services/global-trade-repository/gtr-us/client-center/client-center.aspx?gated=customers




Page 12 of 85

o Users of ETD and OTC Lite services that implement their own changes before the start of DTCC’s maintenance window should hold their submissions and release them after the start of the maintenance window to avoid them being processed under existing rules. There are some edge cases where a “new” submission could be rejected under the existing rules.

o After the end of the maintenance window GTR is upgraded and brought up using the level 1 validation rule set. o Any submissions received after the start of the maintenance window will be processed after the GTR upgrade under the new level 1 validation

rules.

1.2 Naming Conventions and Definitions

BRD Business Requirements Document

CABR Cross Asset Business Requirement

CCP Central Clearing Party CFTC Commodity Futures Trading Commission

CM Clearing Member

COU Central Operating Unit DCM Designated Contracts Market

DCO Derivative Clearing Organisation

DDRL DTCC Derivatives Repository Limited (a UK company regulated under the UK FSA) DTCC Depository Trust and Clearing Corporation

EC European Commission ECB European Central Bank

EEA European Economic Area

EMIR European Markets Infrastructure Regulation ESCB European System of Central Banks

ESMA European Securities and Markets Authority

ESRB European Systemic Risk Board EU European Union

GTR Global Trade Repository




Page 13 of 85

LEI Legal Entity Identifier MDRWG Market Data Reporting Working Group

PET Primary Economic Terms

RP Reporting Party SDO DerivServ Operations for the DTCC GTR TR Trade Repository UCI Unique Counterparty Identifier UPI Unique Product Identifier UTI Unique Trade Identifier




Page 14 of 85

2 Level 1 Data Validations Summary The following sections will detail the Level 1 Data Validation rule changes that impact upon submissions to the GTR. These rules will apply to new messages sent in to the GTR from 30th November 2014 onward. There will be no withholding of reporting on the exiting population to ESMA. All existing trades that are warned are the responsibility of the participants to resolve. The Level 1 rules will only be applied in the EUTR and will be applied only to those trade sides indicating a reporting obligation of ESMA. To ensure that all ESMA reportable messages received in the EUTR undergo necessary validation, changes will be made to the usage of the Reporting Obligation field. In the EUTR a Reporting Obligation of ESMA will be required for at least one of the parties on whose behalf the trade has been submitted. The below rule set will be applied to the Core, Lite and ETD Asset Classes:

• If Submitted For Party 1 - Party 1 Reporting Obligation is required and must include ESMA and the Party 2 Reporting Obligation is ignored. • If Submitted For Party 2 - Party 2 Reporting Obligation is required and must include ESMA and the Party 1 Reporting Obligation is ignored. • If Submitted For Both - either Party 1 Reporting Obligation or Party 2 Reporting Obligation must include ESMA. A blank value for one obligation will be

allowed if the other obligation includes ESMA. A non-ESMA value will be allowed in one obligation if the other obligation includes ESMA. • Support for the +ESMA construct will be discontinued. +ESMA is the same as ESMA so is not required. (Does not apply to Lite and ETD) • Support for the -ESMA construct will continue to be supported in the credit, interest rate and equity asset classes.

The reporting obligation field still drives regulatory reporting. If a submission is subjected to Level 1 validations, and does not note the obligation to ESMA, the report will not be made to ESMA. Please see the tables below for details: OTC Lite and ETD Reporting Scenarios

Submitted For Party1 Obligation

Party2 Obligation

Counterparty Field Validation

Reported to ESMA

Party 1 ESMA Blank Party 1 Fields Party 1 side Party 2 Blank ESMA Party 2 Fields Party 2 side Both ESMA ESMA Party 1 Fields &

Party 2 Fields Party 1 side & Party 2 side

Both ESMA Blank Party 1 Fields & Party 2 Fields

Party 1 side

Both Blank ESMA Party 1 Fields & Party 2 Fields

Party 2 side




Page 15 of 85

OTC Core

Submitted For Party1 Obligation

Party2 Obligation

Counterparty Field Validation

Reported to ESMA

Party 1 ESMA Blank/NonESMA* Party 1 Fields Party 1 side Party 2 Blank/NonESMA ESMA Party 2 Fields Party 2 side Both ESMA ESMA Party 1 Fields &

Party 2 Fields Party 1 side & Party 2 side

Both ESMA Blank/NonESMA Party 1 Fields Party 1 side Both Blank/NonESMA ESMA Party 2 Fields Party 2 side

Negative Cases, all services

Submitted For Party1 Obligation Party2 Obligation Result Party 1 Blank/NonESMA Blank/NonESMA Submission gets rejected because Party 1

Obligation is not equal to ESMA Party 2 Blank/NonESMA Blank/NonESMA Submission gets rejected because Party 2

Obligation is not equal to ESMA Both Blank/NonESMA Blank/NonESMA Submission gets rejected because Party 1 nor

Party 2 Obligation is equal to ESMA. 1 obligation must equal ESMA

*NonESMA refers to a reporting jurisdiction other than ESMA and can only be submitted to the Core Asset Classes New validations will apply to new trades that are ESMA reportable as of 30th November 2014 onwards. DTCC will not retrospectively reject the existing population, however will apply the level 1 rules to existing trades as soon as any update to a trade is submitted on or after the date when the Level 1 rules are implemented.




Page 16 of 85

Level 1 data Validation rules will be applied to the message types in the table below:

OTC Core ETD**** OTC Lite PET*** Transaction Position Confirm*** Snapshot***

***All combinations of these message types (including any RT combos) will also be validated. ****ETD positions are not subject to the Level 1 Data Validation rules; however some additional validation is being implemented for ETD positions. These additional validations are documented in section 4 of this document. For cancelations, exits, standalone valuation messages, and short format snapshot (Core only) will not be subjected to the new validations, only the existing validations will apply.

2.1 Cross Asset and Service Overview

The table below gives a high level overview of the impact of the level 1 validation rules across services and asset classes. This table is provided as a reference, the following subsequent sections will provide additional detail of any impact per asset class and service…

FC Reference ESMA Fields GTR Fields Applicable Rule detail Applicable asset

classes FC-1 Beneficiary ID

1. Beneficiary ID Party 1 2. Beneficiary ID Party 2

Reject when blank OTC Core (All) OTC Lite ETD

FC-2 Price/Rate Price Notation Refer to section 3, 4 and 5. If a trade is reportable under more then one jurisdiction and a value of 999999999999999.99999 has been provided on the inbound message then this value will be reported to the applicable regulators.

OTC Core (All) OTC Lite ETD

FC-3 Price Notation Price Notation Type Refer to section 3, 4 and 5. OTC Core (All) OTC Lite ETD




Page 17 of 85

FC Reference ESMA Fields GTR Fields Applicable Rule detail Applicable asset classes

FC-4 Domicile of the counterparty 1. Trade Party 1 Domicile 2. Trade Party 2 Domicile

Where the trade party is identified by a LEI on the message or on their GTR account, the field can be blank. If the trade party cannot be identified with a LEI and this field is not populated then the submission will be rejected. Note that even when reporting using a LEI, the existing WACK rule for OTC Core and Warnings for ETD and OTCL will continue to apply to this field.


FC-5 Corporate sector of the counterparty

1. Trade Party 1 Corporate Sector 2. Trade Party 2 Corporate Sector

Where the trade party is identified by a LEI on the message or on their GTR account the field can be blank. Where the field Trade Party Non-Financial Entity includes “ESMA” the corporate sector field can be blank If the above two conditions are not true then the submission will be rejected. Note that even when reporting using a LEI, the existing WACK rules for OTC Core and Warnings for ETD and OTCL will continue to apply to this field.


FC-6 Trading Capacity 1. Trading Capacity Party1 2. Trading Capacity Party 2


FC-7 Contract w ith non-EEA counterparty

1. Counterparty Region 2. Region





Page 18 of 85


FC-8 Directly linked to commercial activity or treasury f inancing

1. Directly linked to commercial activity or treasury financing Party 1

2. Directly linked to commercial activity or treasury financing Party 2

Reject when blank and the relevant trade party is a non-financial entity


FC-9 Clearing threshold

Clearing threshold Reject when blank and the relevant trade party is a non-financial entity


FC-10 Venue of execution

Execution Venue Reject if not a MIC code, XOFF or XXXX.

ETD

FC-11 Delivery Type Delivery Type Reject when blank Refer to section 3 for additional detail.


FC-12 Effective Date Effective date Reject when blank OTC Core (All) OTC Lite ETD




Page 19 of 85


FC-13 Confirmation Timestamp Confirmation Date Time If Confirmation Date Time is provided it will be mapped to Confirmation Timestamp. If Confirmation Date Time is blank and Confirmation Type equals "Electronic" or "Non-Electronic" then "1900-01-01T00:00:00Z“ will be mapped to Confirmation Timestamp. If Confirmation Date Time is blank and Confirmation Type equals “NotConfirmed” then Confirmation Timestamp will be blank. Note that the existing WACK rule for OTC Core and Warning for ETD and OTCL will continue to apply to this field. If a trade is reportable under more then one jurisdiction and a value of “1900-01-01T00:00:00Z“ has been provided on the inbound message then this value will be reported to the applicable regulators.


FC-14 Confirmation Means Confirmation Type Allowable values: • "Electronic" • "Non-Electronic“ • "NotConfirmed“

If Confirmation Type is not one of the above values the submission will be rejected.

OTC Core (All) OTC Lite ETD ( open question to FIA)

FC-15 Clearing Timestamp Clearing timestamp Reject when blank and the trade has been indicated as having been cleared


FC-16 CCP Clearing DCO Reject when blank and the trade has been indicated as having been cleared





Page 20 of 85


FC-17 Action Type Lifecycle Event Reject when blank on Snapshot messages. This field is not available on PET and CONFIRM messages.

OTC Core (All)

Reject when blank on Position messages. OTC Lite

Reject when blank on Position and Transaction messages.

ETD

FC-18 Cleared Clearing Status Reject when blank OTC Core (All) OTC Lite ETD

FC-19 Intragroup Intragroup Reject when blank OTC Core (All) OTC Lite

FC-20 Execution Timestamp

Execution Timestamp Reject when blank


FC-21 Counterparty side

Counterparty side (Buy / Sell. Asset class variations)

Refer to section 3, 4 and 5 OTC Core (Commodities, Rates and FX) OTC Lite ETD

FC-22 Notional Currency 1 & Notional Amount

1. Notional Currency1 2. Notional Amount 1

Refer to section 3. OTC Core (Equities, Commodities and FX)

FC-23 Compression Compressed Trade Reject when blank OTC Core (All) OTC Lite ETD




Page 21 of 85

FC Reference ESMA Fields GTR Fields Applicable Rule detail Applicable asset

classes FC-24 Clearing Obligation Mandatory Clearing Indicator Allowable values:

• ESMA-Y • ESMA-N • ESMA-X

OTC Lite ETD

No change. • A value of ESMA indicates a clearing

obligation of “Y”. • Leaving this field blank indicates no

clearing obligation. Until such time as the list of products subject to mandatory clearing is published a value of “X” will be included on regulatory reports.

OTC Core (All)

FC-25 Price Multiplier Price Multiplier Reject when blank.(OTC Lite, ETD, and Equities) For Commodities Credits, Rates and FX GTR will default this field to 1 for reporting.


FC-26 Quantity Quantity Reject when blank (OTC Lite, ETD, Commodities and Equities) For Credits, Rates and FX GTR will default this field to 1 for reporting.


FC-27 Financial or non-financial nature of the counterparty

1. Trade Party 1 financial Entity Jurisdiction

2. Trade Party 1 Non-financial Entity Jurisdiction


4. Trade Party 2 Non-financial Entity Jurisdiction.

If the Trade Party financial Entity Jurisdiction AND the Trade Party Non-financial Entity Jurisdiction fields are both blank then reject (i.e. all parties must identify themselves as either a FC, NFC or indicate that the field is NA)


FC-28 Transaction reference number Transaction Reference Number

Reject when blanks. Field is not available on OTC Core templates

OTC Lite ETD




Page 22 of 85


FC-29 Mark to market value of contract

1. MTM Value Party 1 2. MTM Value Party 2 3. MTM CCP Value

If the Position Message is submitted with Lifecycle Event “Valuation Update” or EOD Valuation Update” and none of the MTM value fields are populated then reject.




2. Trade Party 1 Non-financial Entity Jurisdiction


4. Trade Party 2 Non-financial Entity Jurisdiction.

• Where there is a value of ESMA CCP, map as an X on regulator and participant reports

OTC Lite ETD

FC-31 Trade ID UTI Value Reject when blank OTC Lite

FC-32 Trade ID USI or UTI Value Reject when both are blank. OTC Core (All)




Page 23 of 85

2.2 Table guides

3. The following sections will detail the impact of the Level 1 rules on each asset class and service. The below detail describes how to read the tables in sections 3, 4 and 5.

2.2.1 OTC Core Cross Asset Details Table

ESMA Level 1 Validation GTR Changes

Functional Reference ESMA Field Can be blank? Can be NA? GTR Fields Impacted Asset Class

Applicable Existing Warnings

Applicable

A DTCC created reference

The f ield listed as per the Regulatory

Technical Standards

Specif ic guidance from ESMA as to w hat can be blank. Valid

values are Y =Yes (Can be Blank) and N =No (cannot be

blank)

Specif ic guidance from ESMA as to w hat can be ‘not

available’ at the time of reporting. Valid values are Y =Yes

(Can be not available) and N =No (cannot be

unavailable)

The f ield name from the GTR Core

message template.

Where “Asset Specif ic Detail Applies” is noted, see the asset class details section

The applicable core asset classes. Valid Values are Credit, Commodit ies, Equity, Rates, FX

Cross Asset Warnings that exist today for this data f ield. These are

provided to allow users to view existing breaks

on their w arning reports

2.2.2 Core Asset Class Details Table

ESMA Level 1 Validation GTR Changes Functional Reference ESMA Field Can be blank? Can be NA? Rates Specific

Field Mappings Existing Warnings Applicable


The f ield listed as per the Regulatory Technical Standards

Specif ic guidance from ESMA as to w hat can be blank. Valid values are Y =Yes (Can be Blank) and N =No (cannot be blank)

Specif ic guidance from ESMA as to w hat can be ‘not available’ at the time of reporting. Valid values are Y =Yes (Can be not available) and N =No (cannot be unavailable)

Where the f ield naming diverges from the cross asset, it w ill be listed here.

Where there is an asset class specif ic w arning that does not apply cross asset, it w ill be listed here




Page 24 of 85

2.2.3 ETD and OTC Lite details table

ESMA Level 1 Validation GTR Changes Functional Reference ESMA Field Can be blank? Can be NA? GTR Fields

Impacted Field Changes Current Warning Provided


The f ield listed as per the Regulatory Technical Standards

Specif ic guidance from ESMA as to w hat can be blank. Valid values are Y =Yes (Can be Blank) and N =No (cannot be blank)

Specif ic guidance from ESMA as to w hat can be ‘not available’ at the time of reporting. Valid values are Y =Yes (Can be not available) and N =No (cannot be unavailable)

The OTC Lite and ETD field message template naming

Details on the existing functionality and the change for L1

The Warning that exists for this f ield today.

2.3 Population of the UTI/USI in the OTC asset classes

The ESMA Level 1 validations reinforce the regulation that an agreed Trade ID must be provided on all submissions. In response to this the trade identifier validation provided in GTR will be tightened. The existing functionality allows a user to populate a Party 1 Transaction ID or a USI while the UTI is being paired and shared. Going forward the following rules will be applied. In order to submit a valid record (receive an acknowledgement) into the GTR a user must:

• Submissions to the OTC Core asset classes must include the USI* and/or UTI. • Submission to OTC Lite must include the UTI. • UTI Prefix remains optional for both services. • Note that the UTI is already required on all submissions to the ETD service.

*Once a value has been provided in the USI fields and / or in the UTI fields then these values must be included on all subsequent submissions of that trade, including cancelations, exits, standalone valuation messages and short format snapshot messages. The ESMA Level 2 validations (currently under consultation) reinforce the regulation that a Trade ID cannot be amended once it has been reported. Below is a description of the functionality supported by GTR to cater for the correction of an incorrectly reported Trade ID. For OTC Core and OTC Lite services:

• Users of the OTC Core asset classes should submit an Exit transaction with a Lifecycle Event of Error on the original trade. A new trade should be submitted for the new UTI.

• Additionally, users of the FX and Equity asset classes can submit a GlobalCancel transaction on the original trade. A new trade should be submitted for the new UTI.




Page 25 of 85

• Users of the OTC Lite service should submit a PositionCancel transaction with a Lifecycle Event of Error on the initial trade. A new trade should be submitted for the new UTI.

If submitting on behalf of both, the same process should be followed and submitted for should reflect “Both”. The below functional guidance is given to ensure that activity is captured correctly on the ESMA activity report. Adding in a UTI on a regular message or submitting a UTI via snapshot format will not capture this update accurately. For instance: Scenario 1: OTC Core User single sided submission Bank A is an OTC Core user. Day 1 they submit a cross jurisdictional message to the EU and US TR with a USI. Day 2 they want to submit a message with a different UTI inserted. Day Sent To Submitted By Submitted For Message Type USI UTI ESMA Reported

Identifier Non-ESMA Reported Identifier

1 DTCCUS; DTCCEU

Bank A Bank A Snapshot ABC <none> ABC ABC

2 DTCCEU Bank A Bank A Exit (with lifecycle event Error)

ABC <none> <none> <none>

2 DTCCUS; DTCCEU

Bank A Bank A Snapshot ABC DEF DEF ABC

Note: Line 2 gets reported to ESMA as a part of the activity log. Line 2 can be sent to the US and EU, but this will have an impact on any report in that data center.




Page 26 of 85

OR for asset classes where global cancel is supported (Credits, FX, Equities): Day Sent To Submitted By Submitted For Message Type USI UTI ESMA Reported

Identifier Non-ESMA Reported Identifier

1 DTCCUS; DTCCEU

Bank A Bank A Snapshot ABC <none> ABC ABC

2 DTCCEU Bank A Bank A GlobalCancel ABC <none> <none> <none> 2 DTCCUS;

DTCCEU Bank A Bank A Snapshot ABC DEF DEF ABC

Note: For Credits, FX and Equities, both methods outlined may be used. For Rates and Commodities only the first scenario can be used. Scenario 2: OTC Core User Dual sided submission Bank A is an OTC Core user and is submitting on behalf of Fund B. Day 1 they submit a cross jurisdictional message to the EU and US TR with a USI. Day 2 they want to submit a message with a UTI inserted. Day Sent To Submitted By Submitted For Message Type Execution

Agent USI UTI ESMA

Reported Identifier

Non-ESMA Reported Identifier

1 DTCCUS; DTCCEU

Bank A Bank A; Fund B

Snapshot Manager C ABC <none> ABC ABC

2 DTCCEU Bank A Bank A; Fund B

Exit (with lifecycle event Error)

Manager C ABC <none> <none> <none>

2 DTCCUS; DTCCEU


Snapshot Manager C ABC DEF DEF ABC




Page 27 of 85

OR for asset classes where global cancel is supported (Credits, FX, Equities): Day Sent To Submitted By Submitted For Message Type Execution

Agent USI UTI ESMA

Reported Identifier

Non-ESMA Reported Identifier

1 DTCCUS; DTCCEU


Snapshot Manager C ABC <none> ABC ABC

2 DTCCEU Bank A Bank A; Fund B

GlobalCancel Manager C ABC <none> <none> <none>

2 DTCCUS; DTCCEU


Snapshot Manager C ABC DEF DEF ABC

Note: For Credits, FX and Equities, both methods outlined may be used. For Rates and Commodities only the first scenario can be used. Scenario 3: OTC Lite User Single Sided Submission Corporate A uses OTC Lite. Day 1 they submit a message to the EU TR with a UTI. Day 2 they wish to report a new UTI on the same deal: Day Sent To Submitted By Submitted For Transaction Type Message Type UTI ESMA Reported

Identifier 1 DTCCEU Corporate A Corporate A New Position ABC ABC 2 DTCCEU Corporate A Corporate A Exit (with lifecycle

event Error) Position ABC <none>

2 DTCCEU Corporate A Corporate A New Position DEF DEF OR Day Sent To Submitted By Submitted For Transaction Type Message Type UTI ESMA Reported

Identifier 1 DTCCEU Corporate A Corporate A New Position ABC ABC 2 DTCCEU Corporate A Corporate A PositionCancel

(with lifecycle event Error)

Position ABC <none>

2 DTCCEU Corporate A Corporate A New Position DEF DEF




Page 28 of 85

Scenario 4: OTC Lite User Dual Sided Submission Bank A is an OTC Lite and is submitting on behalf of Fund B. Day 1 they submit a message to the EU TR with a UTI. Day 2 they wish to report a new UTI on the same deal:

Day Sent To Submitted By Submitted For Execution Agent Transaction Type Message Type UTI ESMA Reported Identifier

1 DTCCEU Bank A Bank A; Fund B Manager C New Position ABC ABC 2 DTCCEU Bank A Bank A; Fund B Manager C PositionCancel (with

lifecycle event Error) Position ABC <none>

2 DTCCEU Bank A Bank A; Fund B Manager C New Position DEF DEF OR

Day Sent To Submitted By Submitted For Execution Agent Transaction Type Message Type UTI ESMA Reported Identifier

1 DTCCEU Bank A Bank A; Fund B Manager C New Position ABC ABC 2 DTCCEU Bank A Bank A; Fund B Manager C PositionCancel (with

lifecycle event Error) Position ABC <none>

2 DTCCEU Bank A Bank A; Fund B Manager C New Position DEF DEF

2.4 Population of USTI/USI on OTC Core valuation messages

Following implementation of the Level 1 Validation Rules trades will exist in GTR without a UTI or USI because they will have previously been stored under the Trade Party 1 Transaction ID. In order to enable valuation messages to be submitted for these trades, valuation messages will continue to be accepted without a USI or UTI, but with Trade Party 1 Transaction ID populated. Note that this relaxation of the rule applies only to those trades held in GTR without a USI or UTI, if the trade is stored in the GTR with a USI and / or a UTI then the valuation message must also be submitted with those same identifiers populated. The valuation warning report will highlight those trades against which a valuation has not been received, including non-receipt caused by incomplete or incorrect identifiers being provided on the valuation message.




Page 29 of 85

3 OTC Core Details This section will provide detail on the core asset classes. For more information on the formatting and definitions of the table headers, please see the previous section, 2.2.1 and 2.2.2 for more detail. Information found here will detail:

• The rule set given directly to us by ESMA, labeled “ESMA Level 1 Validations”. • GTR Fields impacted are the field names used across all asset classes and will be consistent except where it is noted that “Asset Specific Detail

Applies”. • Cross Asset Warnings that currently apply will be shown in the right hand column labeled “Existing Warnings Applicable”. Where it is noted that “Asset

Specific Detail Applies”, please refer to the asset classes mentioned for the divergence. • Where a field has become required any warning message noted in the “Existing Warnings Applicable” column will not be generated intraday following the

implementation of the Level 1 Validation Rules. End of day warnings for existing trades that do not meet the level 1 requirements will still be generated. The changes below will apply to PET, Confirm, Snapshot, and Combo messages. For more detailed information on the message specification please see the asset class specific message specifications. Where there is an asset class variation, those will be listed in the asset specific sections.

3.1 Cross Asset Details

ESMA Level 1 Validation GTR Changes Functional Reference ESMA Field Can be

blank? Can be NA? GTR Fields Impacted Asset Class Applicable Existing Warnings Applicable

FC-1 Beneficiary ID

N N Beneficiary ID Party 1 Prefix Beneficiary ID Party 1 Beneficiary ID Party 2 Prefix Beneficiary ID Party 2

Applies to all asset classes

W:X:ESMA:00043 Field Required - Beneficiary ID Party 1 Value W:X:ESMA:00044 Field Required - Beneficiary ID Party 2 Value




Page 30 of 85



FC-4 Domicile of the counterparty

Y N Trade Party 1 Domicile Trade Party 2 Domicile

Applies to all asset classes Note that even when reporting using a LEI, the existing WACK rule will continue to apply to this field.

W:X:ESMA:00007 Field Required - Trade Party 1 Domicile W:X:ESMA:00008 Field Required - Trade Party 2 Domicile


Y

Y Note: for

CCPs only Given this is a single value

f ield, 'X' should be

used instead of 'NA'

Trade Party 1 Corporate Sector Trade Party 2 Corporate Sector

Applies to all asset classes Note that even when reporting using a LEI, the existing WACK rule will continue to apply to this field.

W:X:ESMA:00009 Field Required - Trade Party 1 Corporate Sector W:X:ESMA:00010 Field Required - Trade Party 2 Corporate Sector


Y N

Directly linked to commercial activity or treasury f inancing Party 1 Directly linked to commercial activity or treasury f inancing Party 2


W:X:ESMA:00011 Field Required - Directly linked to commercial activity or treasury f inancing W:X:ESMA:00012 Field Required - Directly linked to commercial activity or treasury f inancing Party 2

FC-9 Clearing threshold Y N

Clearing Threshold Party 1 Clearing Threshold Party 2


W:X:ESMA:00013 Field Required - Clearing Threshold W:X:ESMA:00014 Field Required - Clearing Threshold Party 2




Page 31 of 85



FC-13 Confirmation Timestamp Y

Note: only for

non-confirmed

trades, i.e. if f ield 27 has a

'N'

Y Given this is a numerical

f ield, the follow ing

expression should be

used instead of 'NA': 1900-

01-01T00:00:00Z

Confirmation Date Time Applies to all asset classes

W:X:ESMA:00040 Field Required - Confirmation Timestamp

FC-14 Confirmation Means N N

Confirmation Type Applies to all asset classes

W:X:ESMA:00006 Field Required - Confirmation Type

FC-15 Clearing Timestamp Y N

Clearing timestamp Applies to all asset classes

W:X:ESMA:00015 Field Required - Clearing Timestamp

FC-17 Action Type N N Lifecycle Event Applies to all asset classes None

FC-18 Cleared N N Clearing Status Applies to all asset classes

W:X:ESMA:00017 Field Required - Clearing Status

FC-19 Intragroup Y Note: only if f ield 10 contains MIC or XOFF

N

Intragroup Applies to all asset classes

W:X:ESMA:00039 Field Required - Intragroup


N N Execution Timestamp Applies to all asset classes

W:X:ESMA:00037 Field Required - Execution Timestamp

FC-23 Compression N N Compressed Trade Applies to all asset classes None




Page 32 of 85



FC-24 Clearing Obligation

N

Y Note:

Given this is a single value



Mandatory Clearing Indicator

Applies to all asset classes No change.

• A value of ESMA indicates a clearing obligation of “Y”.

• Leaving this field blank indicates no clearing obligation. Until such time as the list of products subject to mandatory clearing is published a value of “X” will be included on regulatory reports.

None

FC-27 FC-30

Financial or non-financial nature of the counterparty

N

Y Note: for

CCPs and entities falling under Article 1(5) of EMIR

only Given this is a single value



Trade Party 1 f inancial Entity Jurisdiction Trade Party 1 Non-financial Entity Jurisdiction Trade Party 2 f inancial Entity Jurisdiction Trade Party 2 f inancial Entity Jurisdiction.


W:X:ESMA:00018 Either Trade Party 1 f inancial Entity Jurisdiction OR Trade Party 1 Non-financial Entity Jurisdiction should be populated for ESMA W:X:ESMA:00019 Either Trade Party 2 f inancial Entity Jurisdiction OR Trade Party 2 Non-financial Entity Jurisdiction should be populated for ESMA

FC-28 Transaction Reference

N Y Not available on Core templates


None




Page 33 of 85



FC–29 Mark to market value of contract

"Y Note:

only for NFC-, i.e. if CP field 16 has a 'N' "

N MTM Value Party 1 MTM Value Party 2 MTM CCP Value

Applies to all asset classes If submitted for Party 1: CCP Values or Party 1 required If submitted for both: CCP Values required OR Party 1 and Party 2 required. Applicable to all snapshot messages with a lifecycle event of ValuationUpdate or EOD Valuation

None




Page 34 of 85

3.2 Rates Specific Change Details


Functional Reference ESMA Field Can be

blank? Can be NA? Rates Specific Field Mappings Existing Warnings

Applicable FC-2

Price/Rate N

Y Given this is a numerical f ield, the follow ing expression should be used instead of 'NA': 999999999999999.99999

ESMA requires one Price/Rate therefore at least one field should be populated per product type on a submission. InterestRate:CrossCurrency:FixedFloat; InterestRate:IRSw ap:FixedFloat; InterestRate:IRSw ap:Inflation; InterestRate:IRSw ap:OIS; InterestRate:Option:Sw aption; InterestRate:FRA; InterestRate:IRSw ap:FixedFixed; InterestRate:CrossCurrency:FixedFixed; InterestRate:IRSw ap:Inflation For the above asset classes populate Fixed Rate (initial) - leg 1 if present otherw ise Fixed Rate (initial) - leg 2 InterestRate:CrossCurrency:Basis; InterestRate:IRSw ap:Basis For the above asset classes populate Floating Rate Spread (initial) - leg 1 if present otherw ise Floating Rate Spread (initial) - leg 2 InterestRate:CapFloor populate Cap Rate – initial if present otherw ise Floor Rate - initial InterestRate:Option:DebtOption populate Strike Price InterestRate:Exotic populate Exotic - price - leg1

None




Page 35 of 85




Applicable FC-3

Price Notation N Y

For exotic products “Exotic - price units - leg1” must be provided. Submission w ill be rejected if this f ield is not provided. For Debt options GTR w ill default to “Percentage of Par” for reporting. For all other products GTR w ill default to “Percent” for reporting.

None

FC-6 Trading Capacity N N Trading Capacity Party 1 Trading Capacity Party 2

None


N N

Counterparty Region Party Region

W:X:ESMA:00020 Field Required - Party Region W:X:ESMA:00021 Field Required - Counterparty Region

FC-11

Delivery Type N N

For Sw aption, Debt Option and Exotic If 'Settlement Type' = "Cash" then 'C', If 'Settlement Type' = "Physical" then 'P', If 'Settlement Type' = "Election" then 'O', If 'Settlement Type' = "Cash Settlement" then 'C', If 'Settlement Type' = "Physical Settlement" then 'P', If 'Settlement Type' = "CASH" then 'C', If 'Settlement Type' = "Physical" then 'P' For ALL other Rates product types the 'C'

W:IR:ESMA:00018 Field Required - Settlement Type

FC-12

Effective date N N

If "Product ID Value" = 'InterestRate:Option:DebtOption' use "Execution Date". For ALL OTHER PRODUCTS use Effective Date - leg 1

None

FC-16 CCP Y N Clearing DCO Prefix Clearing DCO Value

W:X:ESMA:00038 Field Required - Clearer Value




Page 36 of 85




Applicable FC-17

Action Type N N

Lifecycle Event W:IR:ESMA:00020 Field Required - Lifecycle Event

FC-21 Counterparty side (asset class variations)

N N Buyer Leg 1 Payer Leg 2 Payer

None


N N Option Entitlement Number of Options Exotic - Notional amount - leg1 Notional Amount - leg 1 or Notional Amount (FRA) Notional Currency - leg 1

None

FC-25 Price Multiplier

N N This f ield is not applicable and therefore is not available on the inbound message specif ication. GTR w ill be default to 1 for reporting

None

FC-26 Quantity


None

FC-32 Trade ID

N N UTI Prefix UTI USI Prefix USI Value

W:X:ESMA:00004 Field Required – UTI




Page 37 of 85

3.3 Credit Specific Change Details



blank? Can be NA? Credits Specific Field Mappings Existing Warnings Applicable

FC-2 Price/Rate

N


Price Notation - Price 1 must be provided for all products. Submission w ill be rejected if this f ield is not provided.

None

FC-3 Price Notation N Y

Price Notation - Price Type 1 must be provided for all products. Submission w ill be rejected if this f ield is not provided.

None

FC-6 Trading Capacity N N

Trading Capacity Trading Capacity Party 2

None


N N

Counterparty Region Region


FC-11

Delivery Type N N

Sw aption Settlement Style Cash Settlement Only Exercise Event Type For non-option products, there is no inbound f ield applicable, in this case, this f ield w ill be defaulted to “C” for Cash

None

FC-12 Effective Date N N

Effective Date None




Page 38 of 85



blank? Can be NA? Credits Specific Field Mappings Existing Warnings Applicable

FC-16 CCP Y N

Clearing DCO Prefix Clearing DCO Value None

FC-21 Counterparty side N N

Buyer LEI Value Underlying Fixed Rate Payer (Buyer). None


N N Notional Currency/Units 1 Notional Amount 1 None



None

FC-26 Quantity


None

FC-32 Trade ID N N UTI Prefix UTI Value USI Prefix USI Value





Page 39 of 85

3.4 Foreign Exchange Specific Change Details


Functional Change Ref ESMA Field Can be

blank? Can be

NA? FX Specific Field Mappings Existing Warnings Applicable

FC-2 Price/Rate

N


Price Notation - Price must be provided for all products. Submission w ill be rejected if this f ield is not provided.

W:FX:ESMA:00003 Field Required - Price Notation Price

FC-3

Price Notation N Y

Price Notation - Price Type must be provided for all products. Submission w ill be rejected if this f ield is not provided.

W:FX:ESMA:00002 Field Required – Price Notation Price Type

FC-6 Trading Capacity N N Trading Capacity Party 1 Trading Capacity Party 2

None


N N



FC-11 Delivery Type

N N

FX Delivery Type Exotic - Settlement Type For a NDO product type (ForeignExchange:NDO) , this will be defaulted to “Cash”

None




Page 40 of 85



blank? Can be


FC-12 Effective Date

N N

Effective Date Option Effective Date Exotic - Effective Date Commencement Date Exotic - Product Option Commencement Date Observation Period Start

W:FX:ESMA:00001 Field Required - Effective date W:FX:ESMA:00022 Field Required - Option Effective Date W:FX:ESMA:00032 Field Required - Exotic Effective date

FC-16 CCP Y N Clearer Prefix Clearer Value

None


N N Exchanged Currency 1 Payer Prefix Exchanged Currency 1 Payer Value Exchanged Currency 2 Payer Prefix Exchanged Currency 2 Payer Value Option buyer Prefix Option buyer Value Exotic - Buyer Party Prefix Exotic - Buyer Party Value

W:FX:ESMA:00015 Field Required - Option seller Value W:FX:ESMA:00016 Field Required - Option buyer Value W:FX:ESMA:00030 Field Required - Exotic Buyer Party Value W:FX:ESMA:00031 Field Required - Exotic Seller Party Reference




Page 41 of 85



blank? Can be



N N Exchanged Currency 1 Amount Exchanged Currency 1 Exchanged Currency 2 Amount Exchanged Currency 2 Put Notional Amount Put Notional Currency Call Notional Amount Call Notional Currency Exotic - Notional amount Exotic - Notional currency Exotic – Currencies Digital Option Payout Currency Digital Option Payout Amount

W:FX:ESMA:00005 Field Required - Exchanged Currency 1 Amount W:FX:ESMA:00006 Field Required - Exchanged Currency 1 W:FX:ESMA:00009 Field Required - Exchanged Currency 2 W:FX:ESMA:00010 Field Required - Exchanged Currency 2 Payer Value W:FX:ESMA:00017 Field Required - Put Notional Amount W:FX:ESMA:00018 Field Required - Put Notional Currency W:FX:ESMA:00019 Field Required - Call Notional Amount W:FX:ESMA:00020 Field Required - Call Notional Currency W:FX:ESMA:00034 Field Required - Exotic Notional amount W:FX:ESMA:00035 Field Required - Exotic Notional currency

FC-25 Price Multiplier N N This f ield is not applicable and therefore is not available on the inbound message specif ication. GTR w ill default to 1 for reporting.

None

FC-26 Quantity N N This f ield is not applicable and therefore is not available on the inbound message specif ication. GTR w ill default to 1 for reporting.

None




Page 42 of 85



blank? Can be


FC-32 Trade ID N N UTI Prefix UTI USI Prefix USI Value


3.5 Equities Specific Change Details


blank? Can be NA? Equity Specific Field Mappings Existing Warnings Applicable

FC-2

Price/Rate N


ESMA requires one Price/Rate therefore at least one field should be populated per product type on a submission Where a “Default Value” is indicated, the GTR w ill provide the value because the f ield is not applicable and therefore is not available on the inbound message specif ication. 1) Options: 1a) Premium (#292),. 1b) Lifecycle Payment Amount (#374) , 1c) Strike Price (297) , 1d) Forw ard Strike Percentage (298) 2) Variance Swaps : Variance Strike Price (#297) or Volatility Strike Price (#299) 3) PSA/CFD/Equity Swaps: 3a) Lifecycle Underlying Asset Initial Price (#417), 3b) Underlying Asset Fixed Rate (#301), 3c) Underlying Asset Floating Leg Spread (#313), 3d) Underlying Asset Initial Price (#287), 3e) Underlying Asset Dividend Percentage (#353), 3f) Underlying Asset Declared Cash Dividend Percentage (#354),

W:EQ:ESMA:00048 Field Required - Underlying Asset Initial Price W:EQ:ESMA:00066 Field Required - Declared Cash Dividend Percentage W:EQ:ESMA:00067 Field Required - Declared Cash Equivalent Dividend Percentage W:EQ:ESMA:00068 Field Required - Material Non-Cash Dividend W:EQ:ESMA:00069 Field Required - Special Dividends




Page 43 of 85



3g) Underlying Asset Declared Cash Equivalent Dividend Percentage (#355), 3h) Fee Out (#324) 3i) Default value "999999999999999.99999" 3j) Default value "999999999999999.99999" 4) Dividend Swaps: 4a) Period Fixed Strike-repeating (#293), 4b) Declared Cash Dividend Percentage, (#298), 4c) Declared Cash Equivalent Dividend Percentage (#299), 4d) Material Non-Cash Dividend (#300), 4e) Special Dividends (#301) 5) Forwards: Forw ard Price (#287) 6) Structured Products: Price Notation (#291), Additional Price Notation (#293)

FC-3

Price Notation N Y

The Price Notation Field describes the manner in which the Price/Rate field has been expressed. For each Price/Rate populated the corresponding Price Notation value below must be populated. For example, if you populate Price/Rate Options 1a) Premium then populate “Price Notation Options 1a) Premium Currency. Where a “Default Value” is indicated, the GTR w ill provide the value because the f ield is not applicable and therefore is not available on the inbound message specif ication. 1) Options: 1a) Premium Currency (#293), 1b) Lifecycle Payment Amount Currency (#375), 1c) Strike Price Currency (334) 1d) Default Value "Percentage" 2) Variance Sw aps: Default value "Level" 3) PSA/CFD/Equity Swaps: 3a) Lifecycle Underlying Asset Initial Price Currency (#418),

W:EQ:ESMA:00049 Field Required - Underlying Asset Initial Price Currency




Page 44 of 85



3b) Default value "Percentage", 3c) Default value "Basis Points", 3d) Underlying Asset Initial Price Currency (#288), 3e) Default value "Percentage", 3f) Default value "Percentage", 3g) Default value "Percentage", 3h) Default value "Basis Points", 3i) Lifecycle Underlying Asset Initial Price Election (#419), 3j) Underlying Asset Initial Price Election (#365) 4) Dividend Swaps: 4a) Default value "Level", 4b) Default value "Percentage", 4c) Default value "Percentage", 4d) Default value "Percentage", 4e) Default value "Percentage", 5) Forwards: Forw ard Price Currency (#288), 6) Structured Products : Price Notation Type (#290), Additional Price Notation Type (#292)

FC-6 Trading Capacity N N

Trading Capacity Trading Capacity Party 2

None

FC-7 Contract w ith non-EEA counterparty N N



FC-11 Delivery Type

N N

1) Options: Settlement Method (#368) 2) Variance Sw aps: Settlement Method (#321) 3) PSA/CFD/Equity Sw aps: Settlement Method (#393) 4) Dividend Sw aps: Settlement Method (#310) 5) Forw ards: Settlement Method (#327) 6) Structured Products: Settlement Method (#277)

W:EQ:ESMA:00038 Field Required - Settlement Method




Page 45 of 85




N N

1) Options: Trade Date (#283), 2) Variance Sw aps: Trade Date (#283), 3) PSA/CFD/Equity Sw aps: Trade Date (#293), 4) Dividend Sw aps: Trade Date (#287), 5) Forw ards: Trade Date (#283), 6) Structured Products: Trade Date (#274),

None

FC-16 CCP Y N

Clearing DCO Prefix Clearing DCO Value

W:X:ESMA:00038 Field Required - Clearer Value


N N Buyer Value None

FC-22 Notional Currency 1

N N

1) Options: Notional Amount Currency (#337), Lifecycle Change in Notional Amount Currency (#381) 2) Variance Sw aps: Vega Notional Currency (#290), Lifecycle Change in Vega Notional Currency (#331) 3) PSA/CFD/Equity Sw aps: Deal Notional Amount Currency (#285) or Underlying Asset Notional Currency (#276) or Lifecycle Change in Deal Notional Amount Currency (#421) or Lifecycle Change in Underlying Asset Notional Currency (#415) 4) Dividend Sw aps: Notional Amount Currency (#290), Lifecycle Change in Notional Amount Currency (#320) 5) Forw ards: Notional Amount Currency (#286), Lifecycle Change in Notional Amount Currency (#340) 6) Structured Products: Deal Notional Amount Currency (#272) or Underlying Asset Notional Currency (#270) or Lifecycle Change in Deal Notional Amount Currency (#312) or Lifecycle Change in Underlying Asset Notional Currency (#310)

W:EQ:ESMA:00036 Field Required - Notional Amount Currency W:EQ:ESMA:00040 Field Required - Lifecycle Change in Notional Amount Currency W:EQ:ESMA:00042 Field Required - Vega Notional Currency W:EQ:ESMA:00044 Field Required - Lifecycle Change in Vega Notional Currency W:EQ:ESMA:00047 Field Required - Deal Notional Amount Currency W:EQ:ESMA:00059 Field Required - Lifecycle Change in Deal Notional Amount Currency




Page 46 of 85



FC-22 Notional Amount

N N

1) Options: Notional Amount (#336), Lifecycle Change in Notional Amount (#380) 2) Variance Sw aps: Vega Notional Amount (#289), Lifecycle Change in Vega Notional (#330) 3) PSA/CFD/Equity Sw aps: Deal Notional Amount (#284) or Underlying Asset Notional (#275) or Lifecycle Change in Deal Notional Amount (#420) or Lifecycle Change in Underlying Asset Notional (#414), Floating Leg Notional Amount (#307) 4) Dividend Sw aps: Notional Amount (#289), Lifecycle Change in Notional Amount (#319) 5) Forw ards: Notional Amount (#285), Lifecycle Change in Notional Amount (#339) 6) Structured Products: Deal Notional Amount (#271) or Underlying Asset Notional (#269) or Lifecycle Change in Deal Notional Amount (#311) or Lifecycle Change in Underlying Asset Notional (#309)

W:EQ:ESMA:00035 Field Required - Notional Amount W:EQ:ESMA:00039 Field Required - Lifecycle Change in Notional Amount W:EQ:ESMA:00041 Field Required - Vega Notional

W:EQ:ESMA:00043 Field Required - Lifecycle Change in Vega Notional W:EQ:ESMA:00046 Field Required - Deal Notional Amount W:EQ:ESMA:00058 Field Required - Lifecycle Change in Deal Notional Amount


N N For Options w here Product ID Value is “Equity:Option:PriceReturnBasicPerformance:Singleindex" the Multiplier (Index) (#289) must be provided. For Options w here Product ID Value is “Equity:Option:Pr iceReturnBasicPerformance:SingleName" the Option Entitlement (Share) (#290) must be provided. Only the 2 Product IDs above map to the Option Vanilla template w hich supports these f ields. In all other cases and for all other products this f ield is not applicable and therefore is not available on the inbound message specif ication. GTR w ill default to 1 for reporting.

None




Page 47 of 85



FC-26 Quantity

N N

1) Options: Number of Options (#288), Lifecycle Change in Number of Options (#377) 2) Variance Sw aps: Variance Amount (#293), Lifecycle Change in Variance Amount (#332) 3) PSA/CFD/Equity Sw aps: Deal Units (#424) or Underlying Asset Number of Units/Shares (#292), or Lifecycle Change in Deal Units (#425) or Lifecycle Change in Underlying Asset Number of Units/Shares (#416) 4) Dividend Sw aps: Number of Shares/Baskets (#288), Lifecycle Change in Number of Shares/Baskets (#318) 5) Forw ards: Number of Shares/Units (#284), Lifecycle Change in Number of Units/Shares (#338) 6) Structured Products: Deal Units (#366), Lifecycle Change in Deal Units (#367)

W:EQ:ESMA:00034 Field Required - Number of Options W:EQ:ESMA:00064 Field Required - Variance Amount W:EQ:ESMA:00045 Field Required - Lifecycle Change in Variance Amount W:EQ:ESMA:00062 Field Required - Number of Shares/Units W:EQ:ESMA:00060 Field Required - Deal Units W:EQ:ESMA:00061 Field Required - Lifecycle Change in Deal Units

FC-32 Trade ID

N N UTI Prefix UTI Value USI Prefix USI Value





Page 48 of 85

3.6 Commodities Specific Change Details


blank? Can be NA? Commodities Specific Field Mappings Existing Warnings Applicable

FC-2

Price/Rate N

Y Given

this is a numerical f ield, the follow ing expression should be used instead of 'NA': 999999999999999.99999

Field requirements are dependent upon product type and can be extracted from template tab “FpML to GTRfC Data Element Map”.

• Filter column X and select “Price/Rate”. • Columns AD to BG provide list of applicable

f ields per product. • At least one of the applicable f ields per product

must be populated. • If none of the applicable f ields for a product are

populated then GTR is unable to derive the Price and the submission w ill be rejected.

None

FC-3

Price Notation Type N Y

Field requirements are dependent upon product type and can be extracted from template tab “FpML to GTRfC Data Element Map”.

• Filter column X and select “Price Notation”. • Columns AD to BG provide list of applicable

f ields per product. • At least one of the applicable f ields per product

must be populated. • If none of the applicable f ields for a product are

populated then GTR is unable to derive the Price Notation and the submission w ill be rejected.

None

FC-6 Trading Capacity N N Trading Capacity Trading Capacity Party 2

None







Page 49 of 85



FC-11 Delivery Type

N N

Generic Product Settlement Type For all non-exotic products see the ISDA Taxonomy tab on the commodities template.

W:CO:ESMA:00076 Field Required - Generic Product Settlement Type


N N

Sw ap Effective Date Adjustable Date Unadjusted Date Option Effective Date Adjustable Date Unadjusted Date Option Exercise American Exercise Commencement Date Adjustable Date Unadjusted Date Option Physical Exercise American Exercise Commencement Dates Adjustable Dates Unadjusted Date(s) Commodity Forw ard Value Date Adjustable Date Unadjusted Date Commodity Forw ard Average Price Leg Pricing Start Date Adjustable Date Unadjusted Date Generic Product Effective Date Unadjusted Date Generic Product Commencement Date Unadjusted Date

None

FC-16 CCP Y N Clearer Party ID Prefix Clearer Party ID Value None




Page 50 of 85




N N Fixed Leg Fixed Rate Payer (Buyer) Fixed Leg Fixed Rate Receiver (Seller) Floating Leg 1 Party Payer Reference Floating Leg 1 Party Receiver Reference Floating Leg 2 Party Payer Reference Floating Leg 2 Party Receiver Reference Option Party Payer Reference (Payer of the Premium, Buyer of the Option) Option Party Receiver Reference (Receiver of the Premium, Seller of the Option) Commodity Forw ard Average Price Leg Party Payer Reference Commodity Forw ard Average Price Leg Party Receiver Reference Physical Bullion Party Payer Reference (Buyer of Physical Bullion) Physical Bullion Party Receiver Reference (Seller of Physical Bullion) Physical Coal Party Payer Reference (Buyer of Physical Coal) Physical Coal Party Receiver Reference (Seller of Physical Coal) Physical Gas Party Payer (Buyer of Physical Gas) Physical Gas Party Receiver (Seller of Physical Gas) Physical Oil Party Payer Reference (Buyer of Physical Oil) Physical Oil Party Receiver Reference (Seller of Physical Oil) Electricity Physical Leg Payer Party Reference Electricity Physical Leg Receiver Party Reference Generic Product Buyer Party Reference Generic Product Seller Party Reference Metal Physical Leg Party Payer Reference (Buyer of Physical Metal) Metal Physical Leg Party Receiver Reference (Seller of Physical Metal) Environmental Physical Leg Party Payer Reference (Buyer of Allow ances) Environmental Physical Leg Party Receiver Reference (Seller of Allow ances) Weather Leg 1 Payer Party Reference Weather Leg 1 Receiver Party Reference Weather Leg 2 Payer Party Reference Weather Leg 2 Receiver Party Reference

W:CO:ESMA:00049 Field Required - Generic Product Buyer Party Reference W:CO:ESMA:00050 Field Required - Generic Product Seller Party Reference




Page 51 of 85



FC-22 Notional Currency 1

N N Trade Notional Amount Currency Generic Product Notional 1 Currency , Weather Leg 1 Weather Notional Amount Currency Weather Leg 2 Weather Notional Amount Currency

W:CO:ESMA:00055 Field Required - Generic Product Notional 1 Currency

FC-22 Notional Amount N N Trade Notional Amount Generic Product Notional 1 Amount Weather Leg 1 Weather Notional Amount Amount Weather Leg 2 Weather Notional Amount Amount

W:CO:ESMA:00056 Field Required - Generic Product Notional 1 Units W:CO:ESMA:00057 Field Required - Generic Product Notional 1 Amount

FC-25 Price Multiplier N N

This f ield is not applicable and therefore is not available on the inbound message specif ication. GTR w ill default to 1 for reporting.

None

FC-26 Quantity N N

This f ield is not applicable and therefore is not available on the inbound message specif ication. GTR w ill default to 1 for reporting.

None

FC-32 Trade ID N N UTI Prefix UTI Value USI Prefix USI Value





Page 52 of 85

4 ETD Details This section will provide detail on the ETD service. For more information on the formatting and definitions of the table headers, please see the previous section, 2.2.3 for more detail. Information found here will detail:

• The rule set given directly to us by ESMA, labeled “ESMA Level 1 Validations” • “GTR Fields Impacted” are the field naming’s for ETD • “Field Changes” provides details on the changes for Transaction and Position Messages • “Current Warning Provided” are the existing warnings received on the End of Day Warning Report. • Where a current warning provided is listed, this will still be produced post Level 1 go live

ESMA has confirmed that the ETD Positions are out of scope for L1 Validation therefore we have removed most of the changes we had made for the position messages but some of them are will remain mandatory. They are mainly related to the counterparty data and have been made mandatory to improve the quality of data. For more detailed information on the message specification please see the ETD specific message specifications. ESMA Level 1 Validation GTR Changes Functional reference ESMA Field Can be

blank? Can be

NA? GTR Fields Impacted Field Changes Current Warning Provided

FC-1 Beneficiary ID

N N Beneficiary ID Party 1 Value (Field 49) Beneficiary ID Party 2 Value (Field 51)

Transaction – Party 1 No Change. For party 2 Optional to Conditional.

No Warning

FC-2 Price/Rate

N

Y Given this is a numerical f ield, the follow ing expression should be used instead of 'NA': 99999999

Price Notation – Price (GTR field 95)

Transaction – No Change (already a required f ield)

Price Notation – Price is required for ESMA reporting




Page 53 of 85

ESMA Level 1 Validation GTR Changes Functional reference ESMA Field Can be

blank? Can be


9999999.99999

FC-3

Price Notation N Y

Price Notation – Price Type (GTR field 96)


Price Notation Price Type is required for ESMA reporting


Y N Trade Party 1 Domicile f ield (GTR filed 21) and the Trade Party 2 Domicile f ield (GTR filed 21)

Transaction –Optional to Conditional Position - Optional to Conditional If the LEI is not provided on the message and if GTR is also not able to validate valid LEI w ithin the application than the message w ill be rejected.

Trade Party 2 Domicile is required w hen reporting a Transaction on behalf of both counterparties (for Transaction and Positions both)


Y

Y Note: for CCPs only Given this is a single value f ield, 'X' should be used instead of 'NA'

Trade Party 1 Corporate Sector (GTR field 25) and the Trade Party 2 Corporate Sector (GTR field 26)

Transaction- For Party 1 No change. For Party 2 from Optional to Conditional Position - For Party 1 No change. For Party 2 from Optional to Conditional If you are a Financial entity and don’t provide an LEI on Party 1 or Party 2 f ields than required f ield. If LEI is provided than can be left blank. NFCs do not need to populate this f ield.

Trade Party 2 Corporate Sector is required w hen Trade Party 2 Financial Entity Jurisdiction and Trade Party 2 Non-financial Entity Jurisdiction are blank

FC-6 Trading Capacity

N N

Trading Capacity 1 (GTR Field 52) and the Trading Capacity 2 (GTR Field 53)

Transaction – No Change for Party 1, party 2 changed from Optional to conditional.

Trading Capacity Party 1 Value is required for ESMA reporting. Trading capacity Party 2 is required w hen reporting a Transaction on behalf of both counterparties


Party Region (GTR field 58) and Counterparty Region (GTR field 59)

Transaction–Required to Conditional Position - Optional to Conditional

Counterparty Region is required for ESMA reporting (Trade w ith non-EEA counterparty)




Page 54 of 85


blank? Can be



Y N

Directly Linked to Commercial Activity or Treasury Financing Party 1 (GTR field 60) and Directly Linked to Commercial Activity or Treasury Financing Party 2 (GTR field 61)

Transaction - From Optional to Conditional

The Directly linked to commercial activity or treasury f inancing Party 2 is required w hen Party 2 is a non-financial entity Directly linked to commercial activity or treasury f inancing Party 1 is required for ESMA reporting Directly linked to commercial activity or treasury f inancing Party 2 is required w hen Trade Party 2 Non-financial Entity Jurisdiction is populated for ESMA reporting


Y N

Clearing Threshold Party 1 (GTR field 141) and Clearing Threshold Party 2 (GTR field 142)

Transaction - From Optional to Conditional

FC-10 Venue of execution N N

Execution Venue Value (GTR field 93)


Execution Venue Value is required for ESMA reporting

FC-11 Delivery Type

N N

Delivery Type (GTR field 102) Transaction – No Change (already a required f ield)


N N

Effective Date (GTR field 104) Transaction – From N/A to Required Positions – From N/A to Optional FIA Guidance: Transactions: Populate the date the day Transaction is executed.




Page 55 of 85


blank? Can be


FC-13 Confirmation Timestamp

Y Note: only for non-confirmed trades, i.e. if f ield 27 has a 'N'

Y Given this is a numerical f ield, the follow ing expression should be used instead of 'NA': 1900-01-01T00:00:00Z

Confirmation Date Time (GTR field 144)

Transaction - From Optional to Conditional FIA Guidance: Transaction – Populate the time of execution if not available than populate the clearing timestamp

FC-14 Confirmation Means

N N

Confirmation Type (GTR field 145)

Transaction – From Optional to Required FIA guidance is to populate this f ield w ith value “Electronic”

FC-15 Clearing Timestamp

Y N

Clearing Timestamp (GTR field 109)

Transaction – From Optional to Conditional “Condition is if the Cleared f ield = true Required, if false leave blank”. ETD participants should populate these f ields as per FIA guidance below : Transaction: The Clearing Timestamp w ill be populated w ith the timestamps provided by the CCP. These timestamps w ill be the same for trades cleared under the open offer clearing model, or may differ under the novation clearing model. If not available default to time 23:59:00 (UTC)

Clearing Timestamp is required for Transaction message w hen trade is cleared Clearing Timestamp is required for EOD Position message w hen trade is cleared




Page 56 of 85


blank? Can be


FC-16 CCP

Y N

Clearing DCO Value (GTR field 111)

Transaction – From Optional to Conditional Position - From Optional to Conditional. Condition is if the Cleared f ield = true Required, if false leave blank”.

Clearing DCO Value is required for Position message w hen trade is cleared

FC-17 Action Type N N Lifecycle Event (GTR Field 118) Transaction – From Optional to Required Position – No Change Although the participants can send all the discrete life cycle events on the position message but on the Transaction message they have to populate this f ield as w ell and for ETD it w ill be “Compression” in most cases w here participants are submitting positions. A new enumerated value “New ” added to the list of Lifecycle events.

FC-18 Cleared N N Cleared (GTR field 108) Transaction – No Change

Cleared is required for ESMA reporting for Position message as its an optional f ield


N

Intragroup (GTR field 112) Transaction –Optional




Page 57 of 85


blank? Can be



N N Execution Timestamp (GTR field 103)

Transaction – No Change (already a required f ield) FIA Guidance: Transactions : Time w hen the trade is executed

On Position message: Execution Timestamp is required for ESMA reporting.


N N Buyer Value Party 1 (GTR field 54) and Buyer Value Party 2 (GTR field 57)

Transaction – No Change for Party 1. For Party 2 Optional to Conditional. Required, If Submit For="BOTH". Otherw ise Not Applicable. Position – Optional to Conditional. Required, If Submit For="BOTH". Otherw ise Not Applicable.

Buyer Value Party 2 is required w hen reporting a Transaction on behalf of both counterparties (For Position & Transaction)


N N Notional Currency (GTR Field 87) Notional Amount (GTR Field 97)

Transaction – No Change Position – No Change. (already a required f ield)

FC-23 Compression N N Compression (GTR field 143) Transaction – Optional to Required. For ETD Transaction message this f ield can be false because the transaction itself is not a result of a compression message. For Position message the value should be populated as “true” because the Position is result of a compressed transaction.




Page 58 of 85


blank? Can be



N

Y Note: Given this is a single value f ield, 'X' should be used instead of 'NA'

Mandatory Clearing Indicator (GTR field 146)

Transaction – Optional to Required FIA guidance: Since this f ield is not applicable to ETD, the FIA guidance is that it should be populated as ESMA-X for CCP’s and all other f irms should populate ESMA-N New allowable values: ESMA-Y ESMA-N ESMA-X

FC-25 Price Multiplier N N Price Multiplier (GTR field 98) Transaction – Optional to Required.

FC-26 Quantity N N Quantity (GTR field 99) Transaction – No Change Position – No Change (already a required f ield)


N

Y Note: for

CCPs and entities falling under

Article 1(5) of EMIR

only Given this is a single value f ield, 'X' should be used

instead of 'NA'

Trade Party 1 & 2 Financial and Non Financial Jurisdiction (GTR fields 27-30)

Transaction For Party 1 no change. For Party 2 Optional to Conditional. Position – Optional to Conditional. A new enumeration of "ESMA-CCP" has been added. GTR w ill map this value to “X” on regulatory output.

Trade Party 2 Financial Entity Jurisdiction or Trade Party 2 Non-financial Entity Jurisdiction is required w hen reporting on behalf of both counterparties




Page 59 of 85


blank? Can be


FC-28 Transaction reference number

N Y Transaction Reference ID (GTR Field 91)

Transaction –Optional to Required. FIA guidance: Populate if the TRN or an internal Ref is available otherw ise can be NA if not available


MTM Value Party 1 (GTR Field 62), MTM Value Party 2 (GTR Field 63) MTM CCP Value (GTR Field 64)

Transaction–No change Position – Optional to Conditional. One of the MTM value f ields must be provided if the Lifecycle Event is “Valuation Update” and “EOD Valuation Update”

No valuation has been received No valuation has been received for the current day Valuation message received on the UTI w ithout any prior Position message




Page 60 of 85

5 OTC Lite Details This section will provide detail on the OTC Lite impact for Level 1 Validations. For more information on the formatting and definitions of the table headers, please see the previous section, 2.2.3 for more detail. Information found here will detail:

• The rule set given directly by ESMA, labeled “ESMA Level 1 Validations” • “GTR Fields Impacted” are the field naming’s for OTC Lite • “Field Changes” provides details on the changes for Position Messages • “Current Warning Provided” are the existing warnings received on the End of Day Warning Report. • Where a current warning provided is listed, this will still be produced post Level 1 go live

For more detailed information on the message specification please see the OTC Lite specific message specifications.


blank? Can be

NA? GTR Fields Impacted Field Changes – Position Messages Current Warning Provided

FC-1 Beneficiary ID

N N Beneficiary ID Party 1 Value (Field 49) Beneficiary ID Party 2 Value (Field 51)

Party 1 - Conditional to Required. Party 2 – Optional to Required.

Beneficiary ID Party 2 Value is required for Trade Party 2 w hen reporting on behalf of both counterparties and trading capacity is Agent

FC-2 Price/Rate

N


Price Notation – Price (GTR field 95)

Optional to Required.

Price Notation – Price is required for ESMA reporting

FC-3

Price Notation N Y Price Notation – Price Type (GTR field 96)


Price Notation Price Type is required for ESMA reporting




Page 61 of 85


blank? Can be



Y N Trade Party 1 Domicile (GTR field 21) Trade Party 2 Domicile (GTR field 22)

Party 1 - Optional to Conditional Party 2 – Optional to Conditional

Trade Party 2 Domicile is required w hen reporting on behalf of both counterparties


Y

Y Note: for CCPs only Given this is a single value f ield, 'X' should be used instead of 'NA'

Trade Party 1 Corporate Sector (GTR field 25) Trade Party 2 Corporate Sector (GTR field 26)

Party 1 – No change Party 2 – Optional to Conditional

Trade Party 2 Corporate Sector is required w hen Trade Party 2 Financial Entity Jurisdiction is blank and Trade Party 2 Non-financial Entity Jurisdiction is blank. Trade Party 2 Corporate Sector is required w hen Trade Party 2 Financial Entity Jurisdiction is "ESMA".

FC-6 Trading Capacity

N N

Trading Capacity Party 1 (GTR Field 52) Trading Capacity Party 2 (GTR Field 53)

Party 1 - No change. Party 2 - Optional to Required.

Trading capacity Party 2 is required w hen reporting on behalf of both counterparties


Party Region (GTR field 58) Counterparty Region (GTR field 59)

Party Region – No change. Counterparty Region – Optional to Required.

Counterparty Region is required for ESMA reporting (Trade w ith non-EEA counterparty)


Y N

Directly Linked to Commercial Activity or Treasury Financing Party 1 (GTR field 60) Directly Linked to Commercial Activity or Treasury Financing Party 2 (GTR field 61)


The Directly linked to commercial activity or treasury f inancing Party 2 is required to be populated if Party 2 is a non-financial entity




Page 62 of 85


blank? Can be



Y N

Clearing Threshold Party 1 (GTR field 141) Clearing Threshold Party 2 (GTR field 142)


Clearing Threshold Party 1 is required for ESMA reporting. Clearing Threshold Party 2 is required w hen Trade Party 2 Non-financial Entity Jurisdiction is "ESMA"

FC-10 Venue of execution N N Execution Venue Value (GTR

field 94) Optional to Required. Execution Venue Value is required for

ESMA reporting FC-11 Delivery Type

N N Delivery Type (GTR field 102) Optional to Required.

Delivery type is required for ESMA reporting

FC-12 Effective Date N N Effective Date (GTR field 104) Optional to Required.

Effective Date is required f ield for ESMA reporting

FC-13 Confirmation Timestamp

Y Note: only for non-confirmed trades, i.e. if f ield 27 has a 'N'

Y Given this is a numerical f ield, the follow ing expression should be used instead of 'NA': 1900-01-01T00:00:00Z

Confirmation Date Time (GTR field 144)

No change..

No Warning.

FC-14 Confirmation Means N N Confirmation Type (GTR field 145)

Optional to Required

No Warning.

FC-15 Clearing Timestamp Y N Clearing Timestamp (GTR field 109)

Optional to Conditional.

Clearing Timestamp is required for ESMA reporting.

FC-16 CCP Y N Clearing DCO Value (GTR field 111)

Optional to Conditional.

Clearing DCO Value is required for ESMA reporting.




Page 63 of 85


blank? Can be


FC-17 Action Type N N Lifecycle Event (GTR Field 118) Optional to Required.

No Warning.

FC-18 Cleared N N Cleared (GTR field 108) Optional to Required.

No Warning.


N

Intragroup (GTR field 112) Optional to Required.

No Warning.


N N Execution Timestamp (GTR field 103)


Execution Timestamp is required for ESMA reporting.


N N Buyer Value Party 1 (GTR field 55) Buyer Value Party 2 (GTR field 57)

No change Buyer Value Party 2 is required w hen reporting on behalf of both counterparties.


N N Notional Currency/Units (GTR Field 87) Notional Amount (GTR Field 97)

Notional Currency/Units – No change Notional Amount – No change

No Warning.

FC-23 Compression N N Compression (GTR field 143) Optional to Required.

No Warning.


N

Y Note: Given this is a single value f ield, 'X' should be used instead of 'NA'

Mandatory Clearing Indicator Optional to Required. New allowable values: ESMA-Y ESMA-N ESMA-X

No Warning.




Page 64 of 85


blank? Can be


FC-25 Price Multiplier N N Price Multiplier (GTR field 98) Optional to Required. Price Multiplier must be provided. Submission w ill be rejected if this f ield is not provided. For FX, Rates and Credit trades a value of 1 should be submitted by the data submitter.

No Warning.

FC-26 Quantity N N Quantity (GTR field 99) Optional to Required. For Commodities Credits, Rates and FX, this value will be defaulted to 1

No Warning.


N

Y Note: for

CCPs and entities falling under

Article 1(5) of EMIR

only Given this is a single value f ield, 'X' should be used

instead of 'NA'

Trade Party 1 Financial Entity Jurisdiction (GTR field 27) Trade Party 1 Non-financial Entity Jurisdiction (GTR field 28) Trade Party 2 Financial Entity Jurisdiction (GTR field 29) Trade Party 2 Non-financial Entity Jurisdiction (GTR field 30)

Trade Party 1 Financial Entity Jurisdiction – Conditional to Required. Trade Party 1 Non-financial Entity Jurisdiction – Optional to Required. Trade Party 2 Financial Entity Jurisdiction – Optional to Required. Trade Party 2 Non-financial Entity Jurisdiction (GTR field 30) – Optional to Required. A new enumeration of "ESMA-CCP" has been added. GTR w ill map this value to “X” on regulatory output.

Trade Party 2 Financial Entity Jurisdiction or Trade Party 2 Non-financial Entity Jurisdiction is required w hen reporting on behalf of both counterparties.

FC-28 Transaction reference number

N Y Transaction Reference Number (GTR Field 91)

Optional to Required. Where not available populate ‘N/A’

No Warning.




Page 65 of 85


blank? Can be



Y Note: only for NFC-, i.e. if CP field 16 has a 'N'

N MTM Value Party 1 (GTR Field 62), MTM Value Party 2 (GTR Field 63) MTM Value CCP (GTR Field 64)

MTM Value Party 1 – Optional to Conditional MTM Value Party 2 – Optional to Conditional MTM Value CCP – Optional to Conditional If submitted for Party 1: CCP Values or Party 1 required If submitted for both: CCP Values required OR Party 1 and Party 2 required.

No Warning.

FC-31 Trade ID N N UTI Value

Applies to all asset classes No Warning.




Page 66 of 85

6 Appendix The below table is the list of all the Level 1 Validation requested by ESMA. The FR Reference column is also included to tie back to the functional change reference detailed in this document. Where there is no functional reference mentioned, there is no requirement to change the existing implementation.

ESMA Level 1 Data Validation Rules

Table Item Section Field Details to be reported Format Can be blank?

Can be NA?

FR Ref

1 1 Parties to the contract

Reporting timestamp

Date and time of reporting to the trade repository. ISO 8601 date format / UTC time format. N N None


Counterparty ID

Unique code identifying the reporting counterparty. In case of an individual, a client code shall be used.

Legal Entity Identif ier (LEI) (20 alphanumerical digits), interim entity identif ier (20 alphanumerical digits), BIC (11 alphanumerical digits) or a client code (50 alphanumerical digits).

N N None


ID of the other counterparty

Unique code identifying the other counterparty of the contract. This f ield shall be f illed from the perspective of the reporting counterparty. In case of an individual, a client code shall be used.


N N None


Name of the counterparty

Corporate name of the reporting counterparty. This f ield can be left blank in case the counterparty ID already contains this information.

100 alphanumerical digits or blank in case of coverage by Legal Entity Identif ier (LEI).

Y N None

n/a n/a n/a Name of the other counterparty

Corporate name of the other counterparty.


None




Page 67 of 85



Can be NA?

FR Ref


Domicile of the counterparty

Information on the registered off ice, consisting of full address, city and country of the reporting counterparty. This f ield can be left blank in case the counterparty ID already contains this information.


Y N FC-4


Corporate sector of the counterparty

Nature of the reporting counterparty’s company activities (bank, insurance company, etc.). This f ield can be left blank in case the counterparty ID already contains this information.

Taxonomy: A = Assurance undertaking authorised in accordance w ith Directive 2002/83/EC; C = Credit institution authorised in accordance w ith Directive 2006/48/EC; F = Investment f irm in accordance w ith Directive 2004/39/EC; I = Insurance undertaking authorised in accordance w ith Directive 73/239/EEC; L = Alternative investment fund managed by AIFMs authorised or registered in accordance w ith Directive 2011/61/EU; O = Institution for occupational retirement provision w ithin the meaning of Article 6(a) of Directive 2003/41/EC; R = Reinsurance undertaking authorised in accordance w ith Directive 2005/68/EC; U = UCITS and its management company, authorised in accordance w ith Directive 2009/65/EC; or blank in case of coverage by Legal Entity Identif ier (LEI) or in case of non-financial counterparties.

Y

Y Note: for

CCPs only


f ield, 'X' should

be used instead of 'NA'

FC-5




Page 68 of 85



Can be NA?

FR Ref


Financial or non-financial nature of the counterparty

Indicate if the reporting counterparty is a f inancial or non-financial counterparty in accordance w ith points 8 and 9 of Article 2 of Regulation (EU) No 648/2012.

F=Financial Counterparty, N=Non-Financial Counterparty. N

Y Note:

for CCPs and

entities fall ing under Article 1(5) of EMIR only


field, 'X' should be used instead of 'NA'

FC-27 FC-30

1 8 Parties to the contract Broker ID

In case a broker acts as intermediary for the reporting counterparty w ithout becoming a counterparty, the reporting counterparty shall identify this broker by a unique code. In case of an individual, a client code shall be used.


Y N None




Page 69 of 85



Can be NA?

FR Ref


Reporting entity ID

In case the reporting counterparty has delegated the submission of the report to a third party or to the other counterparty, this entity has to be identif ied in this f ield by a unique code. Otherw ise this f ield shall be left blank. In case of an individual, a client code shall be used, as assigned by the legal entity used by the individual counterparty to execute the trade.


Y N None


Clearing member ID

In case the reporting counterparty is not a clearing member, its clearing member shall be identif ied in this f ield by a unique code. In case of an individual, a client code, as assigned by the CCP, shall be used.


Y N None




Page 70 of 85



Can be NA?

FR Ref

1 11 Parties to the contract 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 identif ied as that structure. If 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 individuals, by a client code as assigned by the legal entity used by the individual.


N N FC-1


Trading capacity

Identif ies w hether the reporting counterparty has concluded the contract as principal on ow n account (on ow n behalf or behalf of a client) or as agent for the account of and on behalf of a client.

P=Principal, A=Agent. N N FC- 6


Counterparty side

Identif ies w hether the contract w as a buy or a sell. In the case of an interest rate derivative contract, the buy side w ill represent the payer of leg 1 and the sell side w ill be the payer of leg 2.

B=Buyer, S=Seller. N N FC-21


Contract w ith non-EEA counterparty

Indicates w hether the other counterparty is domiciled outside the EEA.

Y=Yes, N=No. N N FC-7




Page 71 of 85



Can be NA?

FR Ref


Directly linked to commercial activity or treasury f inancing

Information on w hether the contract is objectively measurable as directly linked to the reporting counterparty’s commercial or treasury f inancing activity, as referred to in Article 10(3) of Regulation (EU) No 648/2012. This f ield shall be left blank in case the reporting counterparty is a f inancial counterparty, as referred to in point 8 of Article 2 Regulation (EU) No 648/2012.

Y=Yes, N=No. Y N FC-8


Clearing threshold

Information on w hether the reporting counterparty is above the clearing threshold as referred to in Article 10(2) of Regulation (EU) No 648/2012. This f ield shall be left blank in case the reporting counterparty is a f inancial counterparty, as referred to in point 8 of Article 2 Regulation (EU) No 648/2012.

Y=Above, N=Below . Y N FC-9


Mark to market value of contract

Mark to market valuation of the contract, or mark to model valuation w here applicable under Article 11(2) of Regulation (EU) No 648/2012.

Up to 20 numerical digits in the format xxxx,yyyyy.

Y Note:

only for NFC-, i.e. if CP field 16 has a

'N'

N FC-29




Page 72 of 85



Can be NA?

FR Ref


Currency of mark to market value of the contract

The currency used for the mark to market valuation of the contract, or mark to model valuation w here applicable under Article 11(2) of Regulation (EU) No 648/2012.

ISO 4217 Currency Code, 3 alphabetical digits.

Y Note:


'N'

N FC-29

1 19 Parties to the contract Valuation date Date of the last mark to market or

mark to model valuation. ISO 8601 date format.

Y Note:


'N'

N None

1 20 Parties to the contract Valuation time Time of the last mark to market or

mark to model valuation. UTC time format.

Y Note:


'N'

N None

1 21 Parties to the contract Valuation type

Indicate w hether valuation w as performed mark to market or mark to model.

M=mark to market / O=mark to model.

Y Note:


'N'

N None




Page 73 of 85



Can be NA?

FR Ref


Collateralisation

Whether collateralisation w as performed.

U=uncollateralised, PC= partially collateralised, OC=one w ay collateralised or FC=fully collateralised.

Y Note:


'N'

N none


Collateral portfolio

Whether the collateralisation w as 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.

Y=Yes, N=No.

Y Note:

only for NFC-, i.e. if CP field 16 has a 'N' or if CP field 22 has a

'U'

N none


Collateral portfolio code

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

Up to 10 numerical digits.

Y Note:


'U'

N none


Value of the collateral

Value of the collateral posted by the reporting counterparty to the other counterparty. Where collateral is posted on a portfolio basis, this f ield should include the value of all collateral posted for the portfolio.

Specify the value the total amount of collateral posted; up to 20 numerical digits in the format xxxx,yyyyy.

Y Note:


N none




Page 74 of 85



Can be NA?

FR Ref

'U'


Currency of the collateral value

Specify the value of the collateral for f ield 25.

Specify the currency of f ield 25; ISO 4217 Currency Code, 3 alphabetical digits.

Y Note:


'U'

N none

2 1 2a - Contract type

Taxonomy used

The contract shall be identif ied by using a product identif ier.

Identify the taxonomy used: U = Product Identif ier [endorsed in Europe] I = ISIN/AII + CFI E = Interim taxonomy

N N none

2 2 2a - Contract type Product ID 1 The contract shall be identif ied by

using a product identif ier.

For taxonomy = U: Product Identif ier (UPI), to be defined For taxonomy = I: ISIN or AII, 12 digits alphanumerical code For taxonomy = E: Derivative class: CO = Commodity CR = Credit CU = Currency EQ = Equity IR = Interest Rate OT = Other

N N none




Page 75 of 85



Can be NA?

FR Ref

2 3 2a - Contract type Product ID 2 The contract shall be identif ied by

using a product identif ier.

For taxonomy = U Blank For taxonomy = I CFI, 6 characters alphabetical code For taxonomy = E: Derivative type: CD = Contracts for difference FR = Forw ard rate agreements FU = Futures FW = Forw ards OP = Option SW = Sw ap OT = Other

Y Note:

Only for taxonomy

U

N none

2 4 2a - Contract type Underlying

The underlying shall be identif ied by using a unique identif ier for this underlying. In case of baskets or indices, an indication for this basket or index shall be used w here a unique identif ier does not exist.

ISIN (12 alphanumerical digits); LEI (20 alphanumerical digits); Interim entity identif ier (20 alphanumerical digits); UPI (to be defined); B = Basket; I = Index.

Y Y none


Notional currency 1

The currency of the notional amount. In the case of an interest rate derivative contract, this w ill be the notional currency of leg 1.

ISO 4217 Currency Code, 3 alphabetical digits. N N FC-22


Notional currency 2

The currency of the notional amount. In the case of an interest rate derivative contract, this w ill be the notional currency of leg 2.

ISO 4217 Currency Code, 3 alphabetical digits. Y N none


Deliverable currency The currency to be delivered. ISO 4217 Currency Code, 3 alphabetical

digits. Y N none




Page 76 of 85



Can be NA?

FR Ref

2 8 2b - Details on the transaction Trade ID

A Unique Trade ID agreed at the European level, w hich is provided by the reporting counterparty. If there is no unique trade ID in place, a unique code should be generated and agreed w ith the other counterparty.

Up to 52 alphanumerical digits. N N FC-31 FC-32

2 9 2b - Details on the transaction

Transaction reference number

A unique identif ication number for the transaction provided by the reporting entity or a third party reporting on its behalf.

An alphanumeric f ield up to 40 characters N Y FC-28


Venue of execution

The venue of execution shall be identif ied by a unique code for this venue. In case of a contract concluded OTC, it has to be identif ied w hether the respective instrument is admitted to trading but traded OTC or not admitted to trading and traded OTC.

ISO 10383 Market Identif ier Code (MIC), 4 digits alphabetical. Where relevant, XOFF for listed derivatives that are traded off-exchange or XXXX for OTC derivatives.

N N FC-10

2 11 2b - Details on the transaction Compression Identify w hether the contract results

from a compression exercise.

Y = if the contract results from compression; N= if the contract does not result from compression.

N N FC-23




Page 77 of 85



Can be NA?

FR Ref

2 12 2b - Details on the transaction Price/rate

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

Up to 20 numerical digits in the format xxxx,yyyyy. N

Y Given

this is a numerical f ield,

the follow in

g expressi

on should

be used instead of 'NA': 999999999999999.999

99

FC-2

2 13 2b - Details on the transaction Price notation The manner in w hich the price is

expressed. E.g. ISO 4217 Currency Code, 3 alphabetical digits, percentage. N Y FC-3


Notional amount Original value of the contract. Up to 20 numerical digits in the format

xxxx,yyyyy. N N FC-22

2 15 2b - Details on the transaction Price multiplier

The number of units of the f inancial instrument w hich are contained in a trading lot; for example, the number of derivatives represented by one contract.

Up to 10 numerical digits. N N FC-25

2 16 2b - Details on the transaction Quantity

Number of contracts included in the report, w here more than one derivative contract is reported.

Up to 10 numerical digits. N N FC-26




Page 78 of 85



Can be NA?

FR Ref


Up-front payment

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

Up to 10 numerical digits in the format xxxx,yyyyy for payments made by the reporting counterparty and in the format xxxx,yyyyy for payments received by the reporting counterparty.

Y N None

2 18 2b - Details on the transaction Delivery type Indicates w hether the contract is

settled physically or in cash. C=Cash, P=Physical, O=Optional for counterparty. N N FC-11


Execution timestamp As defined in Article 1(2). ISO 8601 date format / UTC time format. N N FC-20

2 20 2b - Details on the transaction Effective date Date w hen obligations under the

contract come into effect. ISO 8601 date format. N N FC-12

2 21 2b - Details on the transaction Maturity date

Original date of expiry of the reported contract. An early termination shall not be reported in this f ield.

ISO 8601 date format. Y N None


Termination date

Termination date of the reported contract. If not different from maturity date, this f ield shall be left blank.



Date of Settlement

Date of settlement of the underlying. If more than one, further f ields may be used (e.g. 23A, 23B, 23C, etc.).





Page 79 of 85



Can be NA?

FR Ref


Master Agreement type

Reference to the name of the relevant master agreement, if used for the reported contract (e.g. ISDA Master Agreement; Master Pow er Purchase and Sale Agreement; International ForEx Master Agreement; European Master Agreement or any local Master Agreements).

Free Text, f ield of up to 50 characters, identifying the name of the Master Agreement used, if any.

Y N None


Master Agreement version

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

Year, xxxx. Y N None

2 26 2c - Risk mitigation / Reporting

Confirmation timestamp

Date and time of the confirmation, as defined under Commission Delegated Regulation (EU) No 149/2013 ( 1 ) indicating time zone in w hich the confirmation has taken place.

ISO 8601 date format, UTC time format.

Y Note:

only for non-

confirmed trades, i.e. if f ield 27 has a

'N'

Y Given

this is a numerical f ield,

the follow in

g expressi

on should

be used instead of 'NA': 1900-01-

01T00:00:00Z

FC-13




Page 80 of 85



Can be NA?

FR Ref

2 27 2c - Risk mitigation / Reporting

Confirmation means

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

Y=Non-electronically confirmed, N=Non-confirmed, E=Electronically confirmed. N N FC-14

2 28 2d - Clearing Clearing obligation

Indicates, w hether the reported contract is subject to the clearing obligation under Regulation (EU) No 648/2012.

Y=Yes, N=No. N

Y Note: Given

this is a single value

f ield, 'X' should

be used instead of 'NA'

None

2 29 2d - Clearing Cleared Indicates, w hether clearing has taken place. Y=Yes, N=No. N N FC-18

2 30 2d - Clearing Clearing timestamp

Time and date w hen clearing took place. ISO 8601 date format / UTC time format. Y N FC-15

2 31 2d - Clearing CCP In case of a contract that has been cleared, the unique code for the CCP that has cleared the contract.

Legal Entity Identif ier (LEI) (20 alphanumerical digits) or, if not available, interim entity identif ier (20 alphanumerical digits) or, if not available, BIC (11 alphanumerical digits).

Y N FC-16

2 32 2d - Clearing Intragroup

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

Y=Yes, N=No.

Y Note: only if f ield 10 contains MIC or XOFF

N FC-19




Page 81 of 85



Can be NA?

FR Ref

2 33 2e - Interest Rates

Fixed rate of leg 1

An indication of the f ixed rate leg 1 used, if applicable. Numerical digits in the format xxxx,yyyyy. Y N none


Fixed rate of leg 2

An indication of the f ixed rate leg 2 used, if applicable. Numerical digits in the format xxxx,yyyyy. Y N none


Fixed rate day count

The actual number of days in the relevant f ixed rate payer calculation period, if applicable.

Actual/365, 30B/360 or Other. Y N none


Fixed leg payment frequency

Frequency of payments for the f ixed rate leg, if applicable.

An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y.

Y N none


Floating rate payment frequency

Frequency of payments for the f loating rate leg, if applicable.

An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y.

Y N none


Floating rate reset frequency

Frequency of f loating rate leg resets, if applicable.

D = An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y.

Y N none


Floating rate of leg 1

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

The name of the f loating rate index, e.g. 3M Euribor. Y N none


Floating rate of leg 2

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

The name of the f loating rate index, e.g. 3M Euribor. Y N none




Page 82 of 85



Can be NA?

FR Ref

2 41 2f - Foreign Exchange Currency 2 The cross currency, if different from

the currency of delivery. ISO 4217 Currency Code, 3 alphabetical digits. Y N none

2 42 2f - Foreign Exchange

Exchange rate 1

The contractual rate of exchange of the currencies.

Up to 10 numerical digits in the format xxxx,yyyyy. Y N none


Forw ard exchange rate Forw ard exchange rate on value date. Up to 10 numerical digits in the format

xxxx,yyyyy. Y N none


Exchange rate basis Quote base for exchange rate. E.g. EUR/USD or USD/EUR. Y N none

2 45 2g - Commodit ies (General)

Commodity base

Indicates the type of commodity underlying the contract.

AG = Agricultural EN = Energy FR = Freights ME = Metals IN = Index EV = Environmental EX = Exotic

Y N none

2 46 2g - Commodit ies (General)

Commodity details

Details of the particular commodity beyond f ield 45.

Agricultural GO = Grains oilseeds DA = Dairy LI = Livestock FO = Forestry SO = Softs Energy OI = Oil NG = Natural gas CO = Coal EL = Electricity IE = Inter-energy Metals PR = Precious NP = Non-precious Environmental WE = Weather EM = Emissions

Y N none

2 47 2g - Commodit ies (Energy)

Delivery point or zone Delivery point(s) of market area(s). EIC code, 16 character alphanumeric

code. Y N none


Interconnection Point

Identif ication of the border(s) or border point(s) of a transportation contract. Free text, f ield of up to 50 characters. Y N none




Page 83 of 85



Can be NA?

FR Ref


Load type

Repeatable section of f ields 50-54 to identify the product delivery profile w hich correspond to the delivery periods of a day.

Repeatable section of f ields 50-54 to identify the product delivery profile w hich correspond to the delivery periods of a day; BL = Base Load PL = Peak Load OP = Off-Peak BH = Block Hours OT = Other

Y N none


Delivery start date and time Start date and time of delivery. ISO 8601 date format / UTC time format. Y N none


Delivery end date and time End date and time of delivery. ISO 8601 date format / UTC time format. Y N none


Contract capacity Quantity per delivery time interval. Free text, f ield of up to 50 characters. Y N none


Quantity Unit Daily or hourly quantity in MWh or kWh/d w hich corresponds to the underlying commodity.

10 numerical digits in the format xxxx,yyyyy. Y N none


Price/time interval quantities

If applicable, price per time interval quantities.

10 numerical digits in the format xxxx,yyyyy. Y N none

2 55 2h - Options Option type Indicates w hether the contract is a call or a put. P=Put, C=Call. Y N none




Page 84 of 85



Can be NA?

FR Ref

2 56 2h - Options Option style (exercise)

Indicates w hether the option may be exercised only at a f ixed date (European, and Asian style), a series of pre-specif ied dates (Bermudan) or at any time during the life of the contract (American style).

A=American, B=Bermudan, E=European, S=Asian. Y N none

2 57 2h - Options Strike price (cap/f loor rate) The strike price of the option. Up to 10 Numerical digits in the format

xxxx,yyyyy. Y N none

2 58 2i - Modif ications to the contract

Action type

Whether the report contains: — a derivative contract or post-trade event for the f irst time, in w hich case it w ill be identif ied as ‘new ’; — a modif ication of details of a previously reported derivative contract, in w hich case it w ill be identif ied as ‘modify’; — a cancellation of a w rongly submitted report, in w hich case, it w ill be identif ied as ‘error’; — a termination of an existing contract, in w hich case it w ill be identif ied as ‘cancel’; — a compression of the reported contract, in w hich case it w ill be identif ied as ‘compression’; — an update of a contract valuation, in w hich case it w ill be identif ied as ‘valuation update’; — any other amendment to the report, in w hich case it w ill be identif ied as ‘other’.

N = New M = Modify E = Error, C = Cancel, Z = Compression, V = Valuation update, O = Other.

N N FC-17




Page 85 of 85



Can be NA?

FR Ref

2 59 2i - Modif ications to the contract

Details of action type

Where f ield 58 is reported as ‘other’ the details of such amendment should be specif ied here.

Free text, f ield of up to 50 characters. Y N none