Description

"(a) a purchase of a financial instrument; (b) entering into a derivative contract; (c) an increase in the notional amount of a derivative contract. "

Description

"— a derivative contract for the first time, in which case it will be identified as “new”, — a modification to the terms or details of a previously reported derivative contract, but not a correction of a report, in which case it will be identified as “modify”. This includes an update to a previous report that is showing a position in order to reflect new trades included in that position, — a cancellation of a wrongly submitted entire report in case the contract never came into existence or was not subject to Regulation (EU) No 648/2012 reporting requirements but was reported to a trade repository by mistake, in which case, it will be identified as “error”, — an early termination of an existing contract, in which case it will be identified as “early termination”, — a previously submitted report contains erroneous data fields, in which case the report correcting the erroneous data fields of the previous report shall be identified as “correction”, — a compression of the reported contract, in which case it will be identified as “compression”, — an update of a contract valuation or collateral, in which case it will be identified as “valuation update”; — a derivative contract that is to be reported as a new trade and also included in a separate position report on the same day, in which case it will be identified as a “position component”. This value will be equivalent to reporting a new trade followed by an update to that report showing it as compressed."

Description

"‘AIFs’ means collective investment undertakings, including investment compartments thereof, which: (i) raise capital from a number of investors, with a view to investing it in accordance with a defined investment policy for the benefit of those investors; and (ii) do not require authorisation pursuant to Article 5 of Directive 2009/65/EC;"

Description

‘AIFMs’ means legal persons whose regular business is managing one or more AIFs

Description

"‘algorithmic trading’ means trading in financial instruments where a computer algorithm automatically determines individual parameters of orders such as whether to initiate the order, the timing, price or quantity of the order or how to manage the order after its submission, with limited or no human intervention, and does not include any system that is only used for the purpose of routing orders to one or more trading venues or for the processing of orders involving no determination of any trading parameters or for the confirmation of orders or the post-trade processing of executed transactions"

Description

"(1) Safekeeping and administration of financial instruments for the account of clients, including custodianship and related services such as cash/collateral management and excluding maintaining securities accounts at the top tier level; (2) Granting credits or loans to an investor to allow him to carry out a transaction in one or more financial instruments, where the firm granting the credit or loan is involved in the transaction; (3) Advice to undertakings on capital structure, industrial strategy and related matters and advice and services relating to mergers and the purchase of undertakings; (4) Foreign exchange services where these are connected to the provision of investment services; (5) Investment research and financial analysis or other forms of general recommendation relating to transactions in financial instruments; (6) Services related to underwriting. (7) Investment services and activities as well as ancillary services of the type included under Section A or B of Annex 1 related to the underlying of the derivatives included under points (5), (6), (7) and (10) of Section C where these are connected to the provision of investment or ancillary services."

Description

‘approved publication arrangement’ or ‘APA’ means a person authorised under this Directive to provide the service of publishing trade reports on behalf of investment firms. (See Articles 20 and 21 of Regulation (EU) No 600/2014)

Description

‘approved reporting mechanism’ or ‘ARM’ means a person authorised under this Directive to provide the service of reporting details of transactions to competent authorities or to ESMA on behalf of investment firms;

Description

ASIC Derivative Transaction Rules (Reporting) Amendment 2015 (No.1) Explanatory Statement

Description

Latest version of Reporting Rules under ASIC Originally posted: https://www.legislation.gov.au/Details/F2015C00262

Description

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

Description

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

Description

Corporations Regulations 2001 Statutory Rules No.193, 2001 made under the Corporations Act 2001 Compilation No.131 Volume 2 Originally published https://www.legislation.gov.au/Details/F2017C00431

Description

"‘benchmark’ means any rate, index or figure, made available to the public or published that is periodically or regularly determined by the application of a formula to, or on the basis of the value of one or more underlying assets or prices, including estimated prices, actual or estimated interest rates or other values, or surveys and by reference to which the amount payable under a financial instrument or the value of a financial instrument is determined."

Description

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

Description

‘branch’ means a place of business other than the head office which is a part of an investment firm, which has no legal personality and which provides investment services and/or activities and which may also perform ancillary services for which the investment firm has been authorised; all the places of business set up in the same Member State by an investment firm with headquarters in another Member State shall be regarded as a single branch

Description

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

Description

Code used to identify the person who makes the decision to acquire the financial instrument.

Description

Code used to identify the acquirer of the financial instrument

Description

Code used to identify the acquirer of the financial instrument

Description

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

Description

‘CCP’ means a legal person that interposes itself between the counterparties to the contracts traded on one or more financial markets, becoming the buyer to every seller and the seller to every buyer;

Description

‘class of derivatives’ means a subset of derivatives sharing common and essential characteristics including at least the relationship with the underlying asset, the type of underlying asset, and currency of notional amount. Derivatives belonging to the same class may have different maturities;

Description

Indicates, whether clearing has taken place.

Description

‘clearing’ means the process of establishing positions, including the calculation of net obligations, and ensuring that financial instruments, cash, or both, are available to secure the exposures arising from those positions

Description

‘clearing member’ means an undertaking which participates in a CCP and which is responsible for discharging the financial obligations arising from that participation;

Description

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

Description

Indicates, whether the reported contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation and both counterparties to the contract are subject to the clearing obligation under Regulation (EU) No 648/2012, as of the time of execution of the contract.

Description

"Information whether the reporting counterparty is above the clearing threshold referred to in Article 10(3) of Regulation (EU) No 648/2012. This field shall be left blank in case the reporting counterparty is a financial counterparty, as referred to in Article 2(8) of Regulation (EU) No 648/2012."

Description

Time and date when clearing took place.

Description

‘client’ means any natural or legal person to whom an investment firm provides investment or ancillary services;

Description

"Whether the collateralisation was performed on a portfolio basis. Portfolio means the collateral calculated on the basis of net positions resulting from a set of contracts, rather than per trade."

Description

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

Description

Indicate whether a collateral agreement between the counterparties exists.

Description

Indicates the type of commodity underlying the contract.

Description

Indication as to whether the transaction reduces risk in an objectively measurable way in accordance with Article 57 of Directive 2014/65/EU.

Description

Details of the particular commodity beyond field 65.

Description

"Identifier, internal to the reporting firm, to identify and link all the reports related to the same derivative contract composed of a combination of derivative contracts. The code must be unique at the level of the counterparty to the group of transaction reports resulting from the derivative contract. Field applicable only where a firm executes a derivative contract composed of two or more derivative contracts and where this contract cannot be adequately reported in a single report."

Description

Identify whether the contract results from a compression operation (see "portfolio compression")

Description

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

Description

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

Description

Each reported contract shall be classified according to its type.

Description

‘counterparty credit risk’ means the risk that the counterparty to a transaction defaults before the final settlement of the transaction’s cash flows

Description

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

Description

Where the acquirer is a client, this field shall identify the country of the branch that received the order from the client or made an investment decision for a client

Description

Code used to identify the country of a branch of the investment firm whose market membership was used to execute the transaction.

Description

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

Description

'credit institution' means an undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account

Description

The currency in which the Price/rate is denominated.

Description

The currency used for the valuation of the contract.

Description

‘data reporting services provider’ means an APA, a CTP or an ARM

Description

The days of the week of the delivery.

Description

‘dealing on own account’ means trading against proprietary capital resulting in the conclusion of transactions in one or more financial instruments;

Description

The currency to be delivered.

Description

Delivery capacity for each delivery interval specified in field 70.

Description

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

Description

End date and time of delivery.

Description

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

Description

Start date and time of delivery.

Description

Indicates whether the contract is settled physically or in cash.

Description

"‘derivatives’ means; a) (44)(c) of Article 4(1) of Directive 2014/65/EU (see Transferable securities) any other securities giving the right to acquire or sell any such transferable securities or giving rise to a cash settlement determined by reference to transferable securities, currencies, interest rates or yields, commodities or other indices or measures; and; b) n Annex I, Section C (4) to (10) (See Financial instruments) (4) Options, futures, swaps, forward rate agreements and any other derivative contracts relating to securities, currencies, interest rates or yields, emission allowances or other derivatives instruments, financial indices or financial measures which may be settled physically or in cash; (5) Options, futures, swaps, forwards and any other derivative contracts relating to commodities that must be settled in cash or may be settled in cash at the option of one of the parties other than by reason of default or other termination event; (6) Options, futures, swaps, and any other derivative contract relating to commodities that can be physically settled provided that they are traded on a regulated market, a MTF, or an OTF, except for wholesale energy products traded on an OTF that must be physically settled; (7) Options, futures, swaps, forwards and any other derivative contracts relating to commodities, that can be physically settled not otherwise mentioned in point 6 of this Section and not being for commercial purposes, which have the characteristics of other derivative financial instruments; (8) Derivative instruments for the transfer of credit risk; (9) Financial contracts for differences; (10) Options, futures, swaps, forward rate agreements and any other derivative contracts relating to climatic variables, freight rates or inflation rates or other official economic statistics that must be settled in cash or may be settled in cash at the option of one of the parties other than by reason of default or other termination event, as well as any other derivative contracts relating to assets, rights, obligations, indices and measures not otherwise mentioned in this Section, which have the characteristics of other derivative financial instruments, having regard to whether, inter alia, they are traded on a regulated market, OTF, or an MTF;"

Description

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

Description

‘direct electronic access’ means an arrangement where a member or participant or client of a trading venue permits a person to use its trading code so the person can electronically transmit orders relating to a financial instrument directly to the trading venue and includes arrangements which involve the use by a person of the infrastructure of the member or participant or client, or any connecting system provided by the member or participant or client, to transmit the orders (direct market access) and arrangements where such an infrastructure is not used by a person (sponsored access);

Description

"Information on whether the contract is objectively measurable as directly linked to the reporting counterparty's commercial or treasury financing activity - see Article 10(3) of Regulation (EU) No 648/2012); ""OTC derivative contracts which are not objectively measurable as reducing risks directly relating to the commercial activity or treasury financing activity of the non-financial counterparty or of that group"""

Description

"(a) sale of a financial instrument; (b) closing out of a derivative contract; (c) a decrease in the notional amount of a derivative contract. "

Description

The duration of the delivery period.

Description

Date when obligations under the contract come into effect

Description

Value of collateral posted in excess of the required collateral.

Description

Value of collateral received in excess of the required.

Description

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

Description

Quote base for exchange rate.

Description

‘exchange-traded fund’ means a fund of which at least one unit or share class is traded throughout the day on at least one trading venue and with at least one market maker which takes action to ensure that the price of its units or shares on the trading venue does not vary significantly from its net asset value and, where applicable, from its indicative net asset value;

Description

‘execution of orders on behalf of clients’ means acting to conclude agreements to buy or sell one or more financial instruments on behalf of clients and includes the conclusion of agreements to sell financial instruments issued by an investment firm or a credit institution at the moment of their issuance;

Description

"An investment firm shall be deemed to have executed a transaction where it provides any of the following services or performs any of the following activities that result in a transaction: (a) reception and transmission of orders in relation to one or more financial instruments; (b) execution of orders on behalf of clients; (c) dealing on own account; (d) making an investment decision in accordance with a discretionary mandate given by a client; (e) transfer of financial instruments to or from accounts. "

Description

Date and time when the contract was executed

Description

Code used to identify the person or algorithm within the investment firm who is responsible for the execution.

Description

"‘financial counterparty’ means an investment firm, a credit institution, an insurance undertaking (Directive 73/239/EEC), an assurance undertaking (Directive 2002/83/EC), a reinsurance undertaking (Directive 2005/68/EC), a UCITS / management company, an institution for occupational retirement provision, an alternative investment fund managed by AIFMs"

Description

"(1) Transferable securities; (2) Money-market instruments; (3) Units in collective investment undertakings; (4) Options, futures, swaps, forward rate agreements and any other derivative contracts relating to securities, currencies, interest rates or yields, emission allowances or other derivatives instruments, financial indices or financial measures which may be settled physically or in cash; (5) Options, futures, swaps, forwards and any other derivative contracts relating to commodities that must be settled in cash or may be settled in cash at the option of one of the parties other than by reason of default or other termination event; (6) Options, futures, swaps, and any other derivative contract relating to commodities that can be physically settled provided that they are traded on a regulated market, a MTF, or an OTF, except for wholesale energy products traded on an OTF that must be physically settled; (7) Options, futures, swaps, forwards and any other derivative contracts relating to commodities, that can be physically settled not otherwise mentioned in point 6 of this Section and not being for commercial purposes, which have the characteristics of other derivative financial instruments; (8) Derivative instruments for the transfer of credit risk; (9) Financial contracts for differences; (10) Options, futures, swaps, forward rate agreements and any other derivative contracts relating to climatic variables, freight rates or inflation rates or other official economic statistics that must be settled in cash or may be settled in cash at the option of one of the parties other than by reason of default or other termination event, as well as any other derivative contracts relating to assets, rights, obligations, indices and measures not otherwise mentioned in this Section, which have the characteristics of other derivative financial instruments, having regard to whether, inter alia, they are traded on a regulated market, OTF, or an MTF; (11) Emission allowances consisting of any units recognised for compliance with the requirements of Directive 2003/87/EC (Emissions Trading Scheme)."

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

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

Description

Forward exchange rate as agreed between the counterparties in the contractual agreement It shall be expressed as a price of base currency in the quoted currency.

Description

The frequency of payment of the interest rate or coupon.

Description

Description

"‘high-frequency algorithmic trading technique’ means an algorithmic trading technique characterised by: (a) infrastructure intended to minimise network and other types of latencies, including at least one of the following facilities for algorithmic order entry: co-location, proximity hosting or high-speed direct electronic access; (b) system-determination of order initiation, generation, routing or execution without human intervention for individual trades or orders; and (c) high message intraday rates which constitute orders, quotes or cancellations;"

Description

See link - different definitions depending what entity is asking.

Description

'Host Member State’ means the Member State, other than the home Member State, in which an investment firm has a branch or provides investment services and/or activities, or the Member State in which a regulated market provides appropriate arrangements so as to facilitate access to trading on its system by remote members or participants established in that same Member State;

Description

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

Description

"The factor to apply to the Notional (Field 20) to adjust it to all the previous credit events in that Index series. The figure varies between 0 and 100."

Description

"Value of the initial margin posted by the reporting counterparty to the other counterparty. Where initial margin is posted on a portfolio basis, this field should include the overall value of initial margin posted for the portfolio."

Description

"Value of the initial margin received by the reporting counterparty from the other counterparty. Where initial margin is received on a portfolio basis, this field should include the overall value of initial margin received for the portfolio."

Description

"'institution for occupational retirement provision’, or ‘institution’, means an institution, irrespective of its legal form, operating on a funded basis, established separately from any sponsoring undertaking or trade for the purpose of providing retirement benefits in the context of an occupational activity on the basis of an agreement or a contract agreed: — individually or collectively between the employer(s) and the employee(s) or their respective representatives, or — with self-employed persons, in compliance with the legislation of the home and host Member States, and which carries out activities directly arising therefrom;"

Description

insurance undertaking means an undertaking which has received official authorisation in accordance with Article 6 of Directive 73/239/EEC

Description

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

Description

‘interoperability arrangement’ means an arrangement between two or more CCPs that involves a cross-system execution of transactions;

Description

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

Description

"In relation to a non-financial counterparty, an intragroup transaction is an OTC derivative contract entered into with another counterparty which is part of the same group provided that both counterparties are included in the same consolidation on a full basis and they are subject to an appropriate centralised risk evaluation, measurement and control procedures and that counterparty is established in the Union or, if it is established in a third country, the Commission has adopted an implementing act under Article 13(2) in respect of that third country"

Description

‘investment advice’ means the provision of personal recommendations to a client, either upon its request or at the initiative of the investment firm, in respect of one or more transactions relating to financial instruments

Description

Code used to identify the person or algorithm within the investment firm who is responsible for the investment decision

Description

‘investment firm’ means any legal person whose regular occupation or business is the provision of one or more investment services to third parties and/or the performance of one or more investment activities on a professional basis.

Description

Indicates whether the executing entity is an investment firm.

Description

"(1) Reception and transmission of orders in relation to one or more financial instruments; (2) Execution of orders on behalf of clients; (3) Dealing on own account; (4) Portfolio management; (5) Investment advice; (6) Underwriting of financial instruments and/or placing of financial instruments on a firm commitment basis; (7) Placing of financial instruments without a firm commitment basis; (8) Operation of an MTF; (9) Operation of an OTF"

Description

"Indication whether the report is done at trade or position level. Position level report can be used only as a supplement to trade level reporting to report post-trade events and only if the individual trades in fungible products have been replaced by the position."

Description

‘limit order’ means an order to buy or sell a financial instrument at its specified price limit or better and for a specified size;

Description

‘liquid market’ means a market for a financial instrument or a class of financial instruments, where there are ready and willing buyers and sellers on a continuous basis, assessed in accordance with the following criteria, taking into consideration the specific market structures of the particular financial instrument or of the particular class of financial instruments: (a) the average frequency and size of transactions over a range of market conditions, having regard to the nature and life cycle of products within the class of financial instrument; (b) the number and type of market participants, including the ratio of market participants to traded instruments in a particular product; (c) the average size of spreads, where available;

Description

The time interval for each block or shape.

Description

Identification of the delivery profile.

Description

‘market maker’ means a person who holds himself out on the financial markets on a continuous basis as being willing to deal on own account by buying and selling financial instruments against that person’s proprietary capital at prices defined by that person;

Description

Persons having access to regulated markets or MTFs are referred to as members or participants. Both terms may be used interchangeably. Those terms do not include users who only access the trading venues via direct electronic access.

Description

‘market operator’ means a person or persons who manages and/or operates the business of a regulated market and may be the regulated market itself

Description

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

Description

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

Description

‘matched principal trading’ means a transaction where the facilitator interposes itself between the buyer and the seller to the transaction in such a way that it is never exposed to market risk throughout the execution of the transaction, with both sides executed simultaneously, and where the transaction is concluded at a price where the facilitator makes no profit or loss, other than a previously disclosed commission, fee or charge for the transaction

Description

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

Description

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

Description

‘money-market instruments’ means those classes of instruments which are normally dealt in on the money market, such as treasury bills, certificates of deposit and commercial papers and excluding instruments of payment;

Description

‘multilateral system’ means any system or facility in which multiple third-party buying and selling trading interests in financial instruments are able to interact in the system;

Description

‘multilateral trading facility’ or ‘MTF’ means a multilateral system, operated by an investment firm or a market operator, which brings together multiple third-party buying and selling interests in financial instruments – in the system and in accordance with non-discretionary rules – in a way that results in a contract in accordance with Title II of this Directive;

Description

Indicate if the reporting counterparty is a CCP, a financial, non-financial counterparty or other type of counterparty

Description

‘non-financial counterparty’ means an undertaking established in the Union other than a CCP or Financial Counterparty

Description

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

Description

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

Description

Currency in which the notional is denominated.

Description

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

Description

In the case of multi-currency or cross-currency swaps the currency in which leg 2 of the contract is denominated.

Description

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

Description

"Indication as to whether the derivative contract is a call (right to purchase a specific underlying asset) or a put (right to sell a specific underlying asset) or whether it cannot be determined whether it is a call or a put at the time of execution. "

Description

Indication as to whether the derivative contract is a call (right to purchase a specific underlying asset) or a put (right to sell a specific underlying asset) or whether it cannot be determined whether it is a call or a put at the time of execution of the derivative contract.

Description

"‘organised trading facility’ or ‘OTF’ means a multilateral system which is not a regulated market or an MTF and in which multiple third-party buying and selling interests in bonds, structured finance products, emission allowances or derivatives are able to interact in the system in a way that results in a contract in accordance with Title II of this Directive;"

Description

‘OTC derivative’ or ‘OTC derivative contract’ means a derivative contract the execution of which does not take place on a regulated market

Description

Indicator as to the type of transaction in accordance with Articles 20(3)(a) and 21(5)(a) of Regulation (EU) No 600/2014.

Description

An institution, irrespective of its legal form, operating on a funded basis, established separately from any sponsoring undertaking or trade for the purpose of providing retirement benefits in the context of an occupational activity

Description

"‘portfolio compression’ means a risk reduction service in which two or more counterparties wholly or partially terminate some or all of the derivatives submitted by those counterparties for inclusion in the portfolio compression and replace the terminated derivatives with another derivative whose combined notional value is less than the combined notional value of the terminated derivatives."

Description

‘portfolio management’ means managing portfolios in accordance with mandates given by clients on a discretionary client-by-client basis where such portfolios include one or more financial instruments;

Description

"Traded price of the transaction excluding, where applicable, commission and accrued interest. In the case of option contracts, it shall be the premium of the derivative contract per underlying or index point. In the case of spread bets it shall be the reference price of the underlying instrument. For credit default swaps (CDS) it shall be the coupon in basis points. Where price is reported in monetary terms, it shall be provided in the major currency unit. Where price is currently not available but pending, the value shall be ‘PNDG’ Where price is not applicable the value shall be ‘NOAP’ "

Description

"Number of units of the underlying instrument represented by a single derivative contract. Monetary value covered by a single swap contract where the quantity field indicates the number of swap contracts in the transaction. For a future or option on an index, the amount per index point. For spreadbets the movement in the price of the underlying instrument on which the spreadbet is based. "

Description

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

Description

The manner in which the price is expressed.

Description

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

Description

If applicable, price per quantity per delivery time interval.

Description

"For products identified through International Securities Identification Number (ISIN) or Alternative Instrument Identifier (AII), Classification of Financial Instruments (CFI) code shall be specified. For products for which ISIN or AII are not available, endorsed Unique Product Identifier (UPI) shall be specified. Until UPI is endorsed those products shall be classified with CFI code."

Description

"The product shall be identified through ISIN or AII. AII shall be used if a product is traded in a trading venue classified as AII in the register published on ESMA's website and set up on the basis of information provided by competent authorities pursuant to Article 13(2) of Commission Regulation (EC) No 1287/2006 (1). AII shall only be used until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014 of the European Parliament and of the Council (2)."

Description

"Number of contracts included in the report. For spread bets, the quantity shall be the monetary value wagered per point movement in the direct underlying financial instrument"

Description

"The number of units of the financial instrument, or the number of derivative contracts in the transaction. The nominal or monetary value of the financial instrument. For spread bets, the quantity shall be the monetary value wagered per point movement in the underlying financial instrument. For credit default swaps, the quantity shall be the notional amount for which the protection is acquired or disposed of. For increase or decrease in notional amount derivative contracts, the number shall reflect the absolute value of the change and shall be expressed as a positive number"

Description

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

Description

Identification of the underlying reference entity.

Description

‘regulated market’ means a multilateral system operated and/or managed by a market operator, which brings together or facilitates the bringing together of multiple third-party buying and selling interests in financial instruments – in the system and in accordance with its non-discretionary rules – in a way that results in a contract, in respect of the financial instruments admitted to trading under its rules and/or systems, and which is authorised and functions regularly and in accordance with Title III of this Directive;

Description

Indication as to whether the transaction report is new or a cancellation

Description

"In the case where the reporting counterparty has delegated the submission of the report to a third party or to the other counterparty, this entity has to be identified in this field by a unique code. Otherwise this field shall be left blank. "

Description

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

Description

Unique code identifying the reporting counterparty of the contract.

Description

Date and time of reporting to the trade repository.

Description

Confirms where the transaction falls within the scope of activity but is exempted from reporting under Regulation (EU) 2015/2365.

Description

Code used to identify the disposer of the financial instrument.

Description

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

Description

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

Description

"Date of settlement of the underlying. If more than one, further fields may be used. "

Description

"A short sale concluded by an investment firm on its own behalf or on behalf of a client, as described in Article 11 (RTS 22). ‘SESH’ – Short sale with no exemption ‘SSEX’ – Short sale with exemption ‘SELL’ – No short sale ‘UNDI’ – Information not available "

Description

‘small and medium-sized enterprises’ for the purposes of this Directive, means companies that had an average market capitalisation of less than EUR 200 000 000 on the basis of end-year quotes for the previous three calendar years;

Description

‘SME growth market’ means a MTF that is registered as an SME growth market in accordance with Article 33;

Description

‘sovereign debt’ means a debt instrument issued by a sovereign issuer;

Description

"‘sovereign issuer’ means any of the following that issues debt instruments: (i) the Union; (ii) a Member State, including a government department, an agency, or a special purpose vehicle of the Member State; (iii) in the case of a federal Member State, a member of the federation; (iv) a special purpose vehicle for several Member States; (v) an international financial institution established by two or more Member States which has the purpose of mobilising funding and provide financial assistance to the benefit of its members that are experiencing or threatened by severe financing problems; or (vi) the European Investment Bank"

Description

"Pre-determined price at which the holder will have to buy or sell the underlying instrument, or an indication that the price cannot be determined at the time of execution. Field only applies to an option or warrant where strike price can be determined at the time of execution. Where price is currently not available but pending, the value shall be ‘PNDG’ Where strike price is not applicable the field shall not be populated."

Description

The strike price of the option.

Description

The manner in which the strike price is expressed.

Description

‘structured finance products’ means those securities created to securitise and transfer credit risk associated with a pool of financial assets entitling the security holder to receive regular payments that depend on the cash flow from the underlying assets

Description

Code used to identify the entity submitting the transaction report to the competent authority.

Description

"Systematic internalisers should be defined as investment firms which, on an organised, frequent, systematic and substantial basis, deal on own account when executing client orders outside a regulated market, an MTF or an OTF. The frequent and systematic basis shall be measured by the number of OTC trades in the financial instrument carried out by the investment firm on own account when executing client orders. The substantial basis shall be measured either by the size of the OTC trading carried out by the investment firm in relation to the total trading of the investment firm in a specific financial instrument or by the size of the OTC trading carried out by the investment firm in relation to the total trading in the Union in a specific financial instrument. The definition of a systematic internaliser shall apply only where the pre-set limits for a frequent and systematic basis and for a substantial basis are both crossed or where an investment firm chooses to opt-in under the systematic internaliser regime;"

Description

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

Description

The calculation basis of the interest rate.

Description

‘third-country firm’ means a firm that would be a credit institution providing investment services or performing investment activities or an investment firm if its head office or registered office were located within the Union;

Description

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

Description

‘trade repository’ means a legal person that centrally collects and maintains the records of derivatives

Description

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

Description

‘trading venue’ means a regulated market, an MTF or an OTF;

Description

This is a number generated by trading venues and disseminated to both the buying and the selling parties. This field is only required for the market side of a transaction executed on a trading venue.

Description

Indication whether a derivative contract is tranched.

Description

"(1) The conclusion of an acquisition or disposal of a financial instrument. (4) Transaction shall also include a simultaneous acquisition and disposal of a financial instrument where there is no change in the ownership of that financial instrument but post-trade publication is required (5) See point 5 for exclusions from the term transaction."

Description

Identification number that is unique to the executing firm for each transaction report.

Description

"‘transferable securities’ means those classes of securities which are negotiable on the capital market, with the exception of instruments of payment, such as: (a) shares in companies and other securities equivalent to shares in companies, partnerships or other entities, and depositary receipts in respect of shares; (b) bonds or other forms of securitised debt, including depositary receipts in respect of such securities; c) any other securities giving the right to acquire or sell any such transferable securities or giving rise to a cash settlement determined by reference to transferable securities, currencies, interest rates or yields, commodities or other indices or measures;"

Description

See article 4 of RTS 22

Description

‘UCITS management company’ means a company, the regular business of which is the management of UCITS in the form of common funds or of investment companies (collective portfolio management of UCITS);

Description

"The direct underlying shall be identified by using a unique identification for this underlying based on its type. AII shall only be used until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014. For Credit Default Swaps, the ISIN of the reference obligation should be provided. In case of baskets composed, among others, of financial instruments traded in a trading venue, only financial instruments traded in a trading venue shall be specified."

Description

"ISIN code of the underlying instrument. For ADRs, GDRs and similar instruments, the ISIN code of the financial instrument on which those instruments are based. For convertible bonds, the ISIN code of the instrument in which the bond can be converted. For derivatives or other instruments which have an underlying, the underlying instrument ISIN code, when the underlying is admitted to trading, or traded on a trading venue. Where the underlying is a stock dividend, then ISIN code of the related share entitling the underlying dividend. For Credit Default Swaps, the ISIN of the reference obligation shall be provided. In case the underlying is an Index and has an ISIN, the ISIN code for that index. Where the underlying is a basket, include the ISIN of each constituent of the basket that is admitted to trading or is traded on a trading venue. Field 47 shall be reported as many times as necessary to list all reportable instruments in the basket."

Description

Monetary value of any up-front payment received or paid by the seller.

Description

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

Description

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

Description

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

Description

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

Description

"Value of the variation margin posted, including cash settled, by the reporting counterparty to the other counterparty. Where variation margin is posted on a portfolio basis, this field should include the overall value of variation margin posted for the portfolio."

Description

"Value of the variation margin received, including cash settled, by the reporting counterparty from the other counterparty. Where variation margin is received on a portfolio basis, this field should include the overall value of variation margin received for the portfolio."

Description

"The venue of execution of the derivative contract shall be identified by a unique code for this venue. Where a contract was concluded OTC and the respective instrument is admitted to trading or traded on a trading venue, MIC code “XOFF” shall be used. Where a contract was concluded OTC and the respective instrument is not admitted to trading or traded on a trading venue, MIC code “XXXX” shall be used."

Description

A new version of a series is issued if one of the constituents defaults and the index has to be re- weighted to account for the new number of total constituents within the index.

Description

Indication as to whether the transaction was executed under a pre-trade waiver in accordance with Articles 4 and 9 of Regulation (EU) No 600/2014.