Specification, identification, and classification of derivatives
Article 4
1
A report shall specify a derivative on the basis of contract type and asset class in accordance with paragraphs 2 and 3.
2
The derivative shall be specified in Field 1 of Table 2 of the Annex as one of the following contract types:
a
financial contract for difference;
b
forward rate agreement;
c
forward;
d
future;
e
option;
f
spreadbet;
g
swap;
h
swaption;
i
other.
3
The derivative shall be specified in Field 2 of Table 2 of the Annex as one of the following asset classes:
a
commodities and emission allowances;
b
credit;
c
currency;
d
equity;
e
interest rate.
4
Where derivatives do not fall within one of the asset classes specified in paragraph 3, the counterparties shall specify in the report the asset class most closely resembling the derivative. Both counterparties shall specify the same asset class.
5
The derivative shall be identified in Field 6 of Table 2 of the Annex using the following, where available:
a
an ISO 6166 International Securities Identification Number (ISIN) code or an Alternative Instrument Identifier code (AII), as applicable, 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 ;
b
an ISIN from the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2014.
Where an AII code is used, the complete AII code shall be used.
6
The complete AII code referred to in paragraph 5 shall be the result of the concatenation of the following six elements:
a
ISO 10383 Market Identifier Code (MIC) of the trading venue where the derivative is traded, specified using 4 alphanumeric characters;
b
code, which is assigned by the trading venue, uniquely associated with a particular underlying instrument and settlement type and other characteristics of the contract, specified using up to 12 alphanumeric characters;
c
single character identifying whether the instrument is an option or a future, specified as
‘
O
’
where it is an option and as
‘
F
’
where it is a future;
d
single character identifying whether the option is a put or a call, specified as
‘
P
’
where it is a put option and as
‘
C
’
where it is a call option; where the instrument has been identified as a future in accordance with point (c), it shall be specified as
‘
F
’ ;
e
exercise date or maturity date of a derivative contract specified in ISO 8601 YYYY-MM-DD standard;
f
the strike price of an option, specified using up to 19 digits including up to five decimals without any leading or trailing zeros. A decimal point shall be used as the decimal separator. Negative values are not allowed. Where the instrument is a future, the strike price shall be populated with zero.
7
The derivative shall be classified in Field 4 of Table 2 of the Annex using an ISO 10692 Classification of Financial Instrument (CFI) code.
8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Regulation (EU) No 600/2014 of the European Parliament and of the Council of
15 May 2014
on markets in financial instruments and amending Regulation (EU) No 648/2012 (
OJ L 173, 12.6.2014, p. 84
).
Substituted by Commission Implementing Regulation (EU) 2017/105 of 19 October 2016 amending Implementing Regulation (EU) No 1247/2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories (Text with EEA relevance).
Substituted by Commission Implementing Regulation (EU) 2019/363 of 13 December 2018 laying down implementing technical standards with regard to the format and frequency of reports on the details of securities financing transactions (SFTs) to trade repositories in accordance with Regulation (EU) 2015/2365 of the European Parliament and of the Council and amending Commission Implementing Regulation (EU) No 1247/2012 with regard to the use of reporting codes in the reporting of derivative contracts (Text with EEA relevance).
Deleted by Commission Implementing Regulation (EU) 2019/363 of 13 December 2018 laying down implementing technical standards with regard to the format and frequency of reports on the details of securities financing transactions (SFTs) to trade repositories in accordance with Regulation (EU) 2015/2365 of the European Parliament and of the Council and amending Commission Implementing Regulation (EU) No 1247/2012 with regard to the use of reporting codes in the reporting of derivative contracts (Text with EEA relevance).