ANNEX

F = Financial Counterparty

N = Non-Financial Counterparty

C = Central Counterparty

O = Other

Taxonomy for Financial Counterparties:

‘INVF’ - Investment firm authorised in accordance with Directive 2014/65/EU of the European Parliament and of the Council;

‘CDTI’ - Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council;

‘INUN’ - an insurance undertaking or reinsurance undertaking authorised in accordance with Directive 2009/138/EC of the European Parliament and of the Council;

‘UCIT’ - a UCITS and, where relevant, its management company, authorised in accordance with Directive 2009/65/EC of the European Parliament and of the Council, unless that UCITS is set up exclusively for the purpose of serving one or more employee share purchase plans;

‘ORPI’ - an institution for occupational retirement provision (IORP), as defined in point (1) of Article 6 of Directive (EU) 2016/2341 of the European Parliament and of the Council;

‘AIFD’ - an alternative investment fund (AIF), as defined in point (a) of Article 4(1) of Directive 2011/61/EU of the European Parliament and of the Council, which is either established in the Union or managed by an alternative investment fund manager (AIFM) authorised or registered in accordance with that Directive, unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans, or unless that AIF is a securitisation special purpose entity as referred to in point (g) of Article 2(3) of Directive 2011/61/EU, and, where relevant, its AIFM established in the Union;

‘CSDS’ - a central securities depository authorised in accordance with Regulation (EU) No 909/2014 of the European Parliament and of the Council;

Taxonomy for Non-Financial Counterparties.

The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council:

‘A’ - Agriculture, forestry and fishing;

‘B’ - Mining and quarrying;

‘C’ - Manufacturing;

‘D’ - Electricity, gas, steam and air conditioning supply;

‘E’ - Water supply, sewerage, waste management and remediation activities;

‘F’ - Construction;

‘G’ - Wholesale and retail trade, repair of motor vehicles and motorcycles;

‘H’ - Transportation and storage;

‘I’ - Accommodation and food service activities;

‘J’ - Information and communication;

‘K’ - Financial and insurance activities;

‘L’ - Real estate activities;

‘M’ - Professional, scientific and technical activities;

‘N’ - Administrative and support service activities;

‘O’ - Public administration and defence; compulsory social security;

‘P’ - Education;

‘Q’ - Human health and social work activities;

‘R’ - Arts, entertainment and recreation;

‘S’ - Other service activities;

‘T’ - Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use;

‘U’ - Activities of extraterritorial organisations and bodies.

Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities.

Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012.

Boolean value:

TRUE = Above the threshold

FALSE = Below the threshold

Boolean value:

— TRUE

— FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the Statement from the Regulatory Oversight Committee on Individuals Acting in a Business Capacity, from 20 September 2015(the ‘ROC Statement’).

— ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

— The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.

F = Financial Counterparty

N = Non-Financial Counterparty

C = Central Counterparty

O = Other

Taxonomy for Financial Counterparties:

‘INVF’ - Investment firm authorised in accordance with Directive 2014/65/EU;

‘CDTI’ - Credit institution authorised in accordance with Directive 2013/36/EU;

‘INUN’ - an insurance undertaking or reinsurance undertaking authorised in accordance with Directive 2009/138/EC;

‘UCIT’ - a UCITS and, where relevant, its management company, authorised in accordance with Directive 2009/65/EC, unless that UCITS is set up exclusively for the purpose of serving one or more employee share purchase plans;

‘ORPI’ - an institution for occupational retirement provision (IORP), as defined in point (1) of Article 6 of Directive (EU) 2016/2341;

‘AIFD’ - an alternative investment fund (AIF), as defined in point (a) of Article 4(1) of Directive 2011/61/EU, which is either established in the Union or managed by an alternative investment fund manager (AIFM) authorised or registered in accordance with that Directive, unless that AIF is set up exclusively for the purpose of serving one or more employee share purchase plans, or unless that AIF is a securitisation special purpose entity as referred to in point (g) of Article 2(3) of Directive 2011/61/EU, and, where relevant, its AIFM established in the Union;

‘CSDS’ - a central securities depository authorised in accordance with Regulation (EU) No 909/2014;

Taxonomy for Non-Financial Counterparties.

The categories below correspond to the main sections of NACE classification as defined in Regulation (EC) No 1893/2006:

‘A’ - Agriculture, forestry and fishing;

‘B’ - Mining and quarrying;

‘C’ - Manufacturing;

‘D’ - Electricity, gas, steam and air conditioning supply;

‘E’ - Water supply, sewerage, waste management and remediation activities;

‘F’ - Construction;

‘G’ - Wholesale and retail trade, repair of motor vehicles and motorcycles;

‘H’ - Transportation and storage;

‘I’ - Accommodation and food service activities;

‘J’ - Information and communication;

‘K’ - Financial and insurance activities;

‘L’ - Real estate activities;

‘M’ - Professional, scientific and technical activities;

‘N’ - Administrative and support service activities;

‘O’ - Public administration and defence; compulsory social security;

‘P’ - Education;

‘Q’ - Human health and social work activities;

‘R’ - Arts, entertainment and recreation;

‘S’ - Other service activities;

‘T’ - Activities of households as employers; undifferentiated goods – and services – producing activities of households for own use;

‘U’ - Activities of extraterritorial organisations and bodies.

Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities.

Leave blank in the case of CCPs and other type of counterparties in accordance with Article 1(5) of Regulation (EU) No 648/2012.

Boolean value:

TRUE = Above the threshold

FALSE = Below the threshold

Boolean value:

— TRUE, if counterparty 2 has the reporting obligation

— FALSE, if counterparty 2 does not have the reporting obligation

4 alphabetic characters:

BYER = buyer

SLLR = seller

Populated in accordance with Article 4 of this Regulation

4 alphabetic characters:

MAKE = payer

TAKE = receiver

Populated in accordance with Article 4 of this Regulation

4 alphabetic characters:

MAKE = payer

TAKE = receiver

Populated in accordance with Article 4 of this Regulation

Boolean value:

TRUE = Yes

FALSE= No

(1)

Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173 12.6.2014, p. 349).

(2)

Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338).

(3)

Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 335, 17.12.2009, p. 1).

(4)

Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

(5)

Directive (EU) 2016/2341 of the European Parliament and of the Council of of 14 December 2016 on the activities and supervision of institutions for occupational retirement provision (IORPs) (OJ L 354, 23.12.2016, p. 37).

(6)

Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).

(7)

Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 (OJ L 257 28.8.2014, p. 1).

(8)

Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).

(9)

Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).

Up to 52 alphanumeric characters, only the he upper-case alphabetic characters A–Z and the digits 0–9 are allowed.

The first 20 characters represent the LEI of the compression provider

CFDS = Financial contracts for difference

FRAS = Forward rate agreements

FUTR = Futures

FORW = Forwards

OPTN = Option

SPDB = Spreadbet

SWAP = Swap

SWPT = Swaption

OTHR = Other

COMM = Commodity and emission allowances

CRDT = Credit

CURR = Currency

EQUI = Equity

INTR = Interest Rate

Boolean value:

— TRUE - for derivatives based on crypto-assets

— FALSE - for other derivatives

1 alphabetic character:

I = ISIN

B = Basket

X = Index

For underlying identification type I: ISO 6166 ISIN, 12 character alphanumeric code

For underlying identification type X: ISO 6166 ISIN if available, 12 character alphanumeric code

The indication of the floating rate index. 4 alphabetic characters:

ESTR = €STR

SONA = SONIA

SOFR = SOFR

EONA = EONIA

EONS = EONIA SWAP

EURI = EURIBOR

EUUS = EURODOLLAR

EUCH = EuroSwiss

GCFR = GCF REPO

ISDA = ISDAFIX

LIBI = LIBID

LIBO = LIBOR

MAAA = Muni AAA

PFAN = Pfandbriefe

TIBO = TIBOR

STBO = STIBOR

BBSW = BBSW

JIBA = JIBAR

BUBO = BUBOR

CDOR = CDOR

CIBO = CIBOR

MOSP = MOSPRIM

NIBO = NIBOR

PRBO = PRIBOR

TLBO = TELBOR

WIBO = WIBOR

TREA = Treasury

SWAP = SWAP

FUSW = Future SWAP

EFFR = Effective Federal Funds Rate

OBFR = Overnight Bank Funding Rate

CZNA = CZEONIA

Positive and negative value, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numeric character.

4 alphabetic characters:

MTMA = Mark-to-market

MTMO = Mark-to-model

CCPV = CCP’s valuation.

Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value between -1 and 1 (including -1 and 1) is allowed.

Boolean value:

TRUE = collateralised on a portfolio basis

FALSE = not part of a portfolio

Up to 52 alphanumeric characters

Special characters are not allowed

4 alphabetic characters:

— NCNF = unconfirmed

— ECNF = electronic

— YCNF = non-electronic

TRUE = the 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

FLSE = the contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation but one or both counterparties to the contract are not subject to the clearing obligation

or value ‘UKWN’- the contract does not belong to a class of OTC derivatives that has been declared subject to the clearing obligation

1 alphabetic character:

Y= yes, centrally cleared, for beta and gamma transactions.

N= no, not centrally cleared.

4 alphabetic characters:

‘ISDA’ - ISDA

‘CDEA’ - FIA-ISDA Cleared Derivatives Execution Agreement

‘EUMA’ - European Master Agreement

‘FPCA’ - FOA Professional Client Agreement

‘FMAT’ - FBF Master Agreement relating to transactions on forward financial instruments

‘DERV’ - Deutscher Rahmenvertrag für Finanztermingeschäfte (DRV)

‘CMOP’ - Contrato Marco de Operaciones Financieras

‘CHMA’ - Swiss Master Agreement

‘IDMA’ - Islamic Derivative Master Agreement

‘EFMA’ - EFET Master Agreement

‘GMRA’ - GMRA

‘GMSL’ - GMSLA

‘BIAG’ - bilateral agreement

Or ‘OTHR’ if the master agreement type is not included in the above list

Boolean value:

TRUE = contract entered into as an intragroup transaction

FALSE = contract not entered into as an intragroup transaction

Boolean value:

TRUE = contract results from a PTRR event

FALSE = contract does not result from a PTRR event

4 alphabetic characters:

‘PWOS’- Portfolio Compression without a third-party service provider

‘PWAS’ - Portfolio Compression with a third-party service provider or CCP

‘PRBM’ - Portfolio Rebalancing/Margin management

OTHR - other

4 alphabetic characters:

CASH = Cash

PHYS = Physical

OPTL = Optional for counterparty or when determined by a third party

— If price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

— If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up.

— The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

— The negative symbol, if populated, is not counted as a numeric character.

— If price is expressed as monetary value- any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

— If price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up.

— The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

— The negative symbol, if populated, is not counted as a numeric character.

— If package transaction price is expressed as monetary value - any value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

— If package transaction price if expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up.

— The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

— The negative symbol, if populated, is not counted as a numeric character.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

4 alphabetic characters:

UFRO= Upfront Payment, i.e. the initial payment made by one of the counterparties either to bring a transaction to fair value or for any other reason that may be the cause of an off-market transaction

UWIN = Unwind or Full termination, i.e. the final settlement payment made when a transaction is unwound prior to its end date; Payments that may result due to full termination of derivative transaction(s)

PEXH = Principal Exchange, i.e. Exchange of notional values for cross-currency swaps

Up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero is allowed.

— ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

— The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.

— ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

— The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.

Positive and negative values, up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numeric character.

4 alphanumeric characters:

A001 = IC30360ISDAor30360AmericanBasicRule

A002 = IC30365

A003 = IC30Actual

A004 = Actual360

A005 = Actual365Fixed

A006 = ActualActualICMA

A007 = IC30E360orEuroBondBasismodel1

A008 = ActualActualISDA

A009 = Actual365LorActuActubasisRule

A010 = ActualActualAFB

A011 = IC30360ICMAor30360basicrule

A012 = IC30E2360orEurobondbasismodel2

A013 = IC30E3360orEurobondbasismodel3

A014 = Actual365NL

A015 = ActualActualUltimo

A016 = IC30EPlus360

A017 = Actual364

A018 = Business252

A019 = Actual360NL

A020 = 1/1

NARR = Narrative

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

The indication of the floating rate index. 4 alphabetic characters:

ESTR = €STR

SONA = SONIA

SOFR = SOFR

EONA = EONIA

EONS = EONIA SWAP

EURI = EURIBOR

EUUS = EURODOLLAR

EUCH = EuroSwiss

GCFR = GCF REPO

ISDA = ISDAFIX

LIBI = LIBID

LIBO = LIBOR

MAAA = Muni AAA

PFAN = Pfandbriefe

TIBO = TIBOR

STBO = STIBOR

BBSW = BBSW

JIBA = JIBAR

BUBO = BUBOR

CDOR = CDOR

CIBO = CIBOR

MOSP = MOSPRIM

NIBO = NIBOR

PRBO = PRIBOR

TLBO = TELBOR

WIBO = WIBOR

TREA = Treasury

SWAP = SWAP

FUSW = Future SWAP

EFFR = Effective Federal Funds Rate

OBFR = Overnight Bank Funding Rate

CZNA = CZEONIA

4 alphanumeric characters:

A001 = IC30360ISDAor30360AmericanBasicRule

A002 = IC30365

A003 = IC30Actual

A004 = Actual360

A005 = Actual365Fixed

A006 = ActualActualICMA

A007 = IC30E360orEuroBondBasismodel1

A008 = ActualActualISDA

A009 = Actual365LorActuActubasisRule

A010 = ActualActualAFB

A011 = IC30360ICMAor30360basicrule

A012 = IC30E2360orEurobondbasismodel2

A013 = IC30E3360orEurobondbasismodel3

A014 = Actual365NL

A015 = ActualActualUltimo

A016 = IC30EPlus360

A017 = Actual364

A018 = Business252

A019 = Actual360NL

A020 = 1/1

NARR = Narrative

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

— If spread is expressed as monetary amount - any value up to 18 numeric characters including up to 13 decimal places.

— If spread is expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).

— If spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 instead of 2.57%).

Positive and negative values, up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numeric character.

4 alphanumeric characters:

A001 = IC30360ISDAor30360AmericanBasicRule

A002 = IC30365

A003 = IC30Actual

A004 = Actual360

A005 = Actual365Fixed

A006 = ActualActualICMA

A007 = IC30E360orEuroBondBasismodel1

A008 = ActualActualISDA

A009 = Actual365LorActuActubasisRule

A010 = ActualActualAFB

A011 = IC30360ICMAor30360basicrule

A012 = IC30E2360orEurobondbasismodel2

A013 = IC30E3360orEurobondbasismodel3

A014 = Actual365NL

A015 = ActualActualUltimo

A016 = IC30EPlus360

A017 = Actual364

A018 = Business252

A019 = Actual360NL

A020 = 1/1

NARR = Narrative

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

The indication of the floating rate index. 4 alphabetic characters:

ESTR = €STR

SONA = SONIA

SOFR = SOFR

EONA = EONIA

EONS = EONIA SWAP

EURI = EURIBOR

EUUS = EURODOLLAR

EUCH = EuroSwiss

GCFR = GCF REPO

ISDA = ISDAFIX

LIBI = LIBID

LIBO = LIBOR

MAAA = Muni AAA

PFAN = Pfandbriefe

TIBO = TIBOR

STBO = STIBOR

BBSW = BBSW

JIBA = JIBAR

BUBO = BUBOR

CDOR = CDOR

CIBO = CIBOR

MOSP = MOSPRIM

NIBO = NIBOR

PRBO = PRIBOR

TLBO = TELBOR

WIBO = WIBOR

TREA = Treasury

SWAP = SWAP

FUSW = Future SWAP

EFFR = Effective Federal Funds Rate

OBFR = Overnight Bank Funding Rate

CZNA = CZEONIA

4 alphanumeric characters:

A001 = IC30360ISDAor30360AmericanBasicRule

A002 = IC30365

A003 = IC30Actual

A004 = Actual360

A005 = Actual365Fixed

A006 = ActualActualICMA

A007 = IC30E360orEuroBondBasismodel1

A008 = ActualActualISDA

A009 = Actual365LorActuActubasisRule

A010 = ActualActualAFB

A011 = IC30360ICMAor30360basicrule

A012 = IC30E2360orEurobondbasismodel2

A013 = IC30E3360orEurobondbasismodel3

A014 = Actual365NL

A015 = ActualActualUltimo

A016 = IC30EPlus360

A017 = Actual364

A018 = Business252

A019 = Actual360NL

A020 = 1/1

NARR = Narrative

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

4 alphabetic characters:

DAIL = daily

WEEK = weekly

MNTH = monthly

YEAR = yearly

ADHO = ad hoc which applies when payments are irregular

EXPI = payment at term

— If spread is expressed as monetary amount - any value up to 18 numeric characters including up to 13 decimal places.

— If spread is expressed as percentage - any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%).

— If spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 instead of 2.57%).

— If package transaction spread is expressed as monetary amount - positive and negative value up to 18 numeric characters including up to 13 decimal places. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

— If package transaction spread is expressed as percentage - positive and negative value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.57 instead of 2.57%). If the value has more than 10 digits after the decimal, reporting counterparties shall round half-up.

— If package transaction spread is expressed as basis points - any integer value up to 5 numeric characters expressed in basis points (e.g. 257 instead of 2.57%).

— The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

— The negative symbol, if populated, is not counted as a numeric character.

Any value greater than zero, up to 18 numeric digits including up to 13 decimal places.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than zero, up to 18 numeric digits including up to 13 decimal places.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

7 characters representing two ISO 4217 currency codes separated by ‘/’ without restricting the currency pair ordering.

The first currency code shall indicate the unit currency, and the second currency code shall indicate the quote currency.

Only values in the ‘Sub-product’ column of the classification of commodities

derivatives table are allowed.

Only values in the ‘Further sub-product’ of the classification of commodities

derivatives table are allowed.

EIC code, 16 character alphanumeric code

Repeatable field.

BSLD = Base Load

PKLD = Peak Load

OFFP = Off-Peak

HABH = Hour/Block Hours

SHPD = Shaped

GASD = Gas Day

OTHR = Other

MNUT=Minutes

HOUR= Hour

DASD= Day

WEEK=Week

MNTH=Month

QURT = Quarter

SEAS= Season

YEAR= Annual

OTHR=Other

WDAY = Weekdays

WEND = Weekend

MOND = Monday

TUED = Tuesday

WEDD = Wednesday

THUD = Thursday

FRID = Friday

SATD = Saturday

SUND = Sunday

XBHL - Excluding bank holidays

IBHL - Including bank holidays

Multiple values are permitted

Up to 20 numeric digits including decimals

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numeric character.

KWAT = KW

KWHH = KWh/h

KWHD = KWh/d

MWAT = MW

MWHH = MWh/h

MWHD = MWh/d

GWAT = GW

GWHH = GWh/h

GWHD = GWh/d

THMD = Therm/d

KTMD = Ktherm/d

MTMD = Mtherm/d

CMPD = cm/d

MCMD = mcm/d

BTUD = Btu/d

MBTD = MMBtu/d

MJDD = MJ/d

HMJD = 100MJ/d

MMJD = MMJ/d

GJDD = GJ/d

Up to 20 numeric characters including decimals.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

The negative symbol, if populated, is not counted as a numeric character.

4 alphabetic character:

PUTO = Put

CALL = Call

OTHR = where it cannot be determined whether it is a call or a put

4 alphabetic characters:

AMER = American

BERM = Bermudan

EURO = European

— If strike price is expressed as monetary amount: any value up to 18 numeric characters including up to 13 decimal places (e.g. USD 6.39, expressed as 6.39), for equity options, commodity options, foreign exchange options and similar products. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

— If strike price is expressed as percentage: any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.1 instead of 2.1%), for interest rate options, interest rate and credit swaptions quoted in spread, and similar products.

— The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

— The negative symbol, if populated, is not counted as a numeric character.

— If strike price is expressed as monetary amount: any value up to 18 numeric characters including up to 13 decimal places (e.g. USD 6.39, expressed as 6.39), for equity options, commodity options, foreign exchange options and similar products. If the value has more than 13 digits after the decimal, reporting counterparties shall round half-up.

— If strike price is expressed as percentage: any value up to 11 numeric characters including up to 10 decimal places expressed as percentage (e.g. 2.1 instead of 2.1%), for interest rate options, interest rate and credit swaptions quoted in spread, and similar products.

— The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

— The negative symbol, if populated, is not counted as a numeric character.

ISO 4217 Currency Code, 3 alphabetic characters; or

for foreign exchange options: 7 characters representing two ISO 4217 currency codes separated by ‘/’ without restricting the currency pair ordering.

The first currency code shall indicate the base currency, and the second currency code shall indicate the quote currency.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

4 alphabetic characters:

SNDB = Senior, such as Senior Unsecured Debt (Corporate/Financial), Foreign Currency Sovereign Debt (Government),

SBOD = Subordinated, such as Subordinated or Lower Tier 2 Debt (Banks), Junior Subordinated or Upper Tier 2 Debt (Banks),

OTHR = Other, such as Preference Shares or Tier 1 Capital (Banks) or other credit derivatives

ISO 3166 Country Code - 2 character country code,

or

ISO 3166-2 Country Code - 2 character country code followed by dash ‘-’ and up to 3 alphanumeric character country subdivision code,

or

ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code

Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g. 0.05 instead of 5%) between 0 and 1 (including 0 and 1).

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Boolean value:

TRUE = Tranched

FALSE = Untranched

Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g. 0.05 instead of 5%) between 0 and 1 (including 0 and 1).

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value up to 11 numeric characters, including up to 10 decimal places, expressed as a decimal fraction (e.g. 0.05 instead of 5%) between 0 and 1 (including 0 and 1).

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

4 alphabetic characters:

NEWT = New

MODI = Modify

CORR = Correct

TERM = Terminate

EROR = Error

REVI = Revive

VALU = Valuation

POSC = Position component

4 alphabetic characters:

TRAD = Trade

NOVA = Step-in

COMP = PTRR

ETRM = Early termination

CLRG = Clearing

EXER = Exercise

ALOC = Allocation

CREV = Credit event

CORP=Corporate event

INCP = Inclusion in position

UPDT = Update

4 alphabetic characters:

TCTN = Trade

PSTN = Position

Boolean value:

— TRUE

— FALSE, for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

— ISO 17442 Legal Entity Identifier (LEI), 20 alphanumeric character code that is included in the LEI data as published by the Global LEI Foundation or up to 72 alphanumeric character code for natural persons who are acting as private individuals that are not eligible for an LEI per the ROC Statement.

— The code identifying a natural person shall be composed by the LEI of counterparty 1 followed by a unique identifier assigned and maintained consistently by counterparty 1 for that natural person(s) for regulatory reporting purpose.

Boolean value:

TRUE = collateralised on a portfolio basis

FALSE = not part of a portfolio

Up to 52 alphanumeric characters

Special characters are not allowed

4 alphabetic characters:

UNCL = uncollateralised

PRC1= partially collateralised: counterparty 1 only

PRC2= partially collateralised: counterparty 2 only

PRCL= partially collateralised

OWC1 = one way collateralised: counterparty 1 only

OWC2 = one way collateralised: counterparty 2 only

OWP1 = one way/partially collateralised: counterparty 1

OWP2 = one way/partially collateralised: counterparty 2

FLCL = fully collateralised

Populated in accordance with Article 5 of this Regulation

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

Any value greater than or equal to zero, up to 25 numeric characters including up to 5 decimal places. If the value has more than five digits after the decimal, reporting counterparties shall round half-up.

The decimal mark is not counted as a numeric character. If populated, it shall be represented by a dot.

‘MARU’ - Margin update

‘CORR’ - Correct

‘FWHT’ - Feed Wheat

‘SOYB’ - Soybeans

‘CORN’ - Maize

‘RPSD’ – Rapeseed

‘RICE’ - Rice

‘OTHR’ - Other

‘CCOA’ - Cocoa

‘ROBU’ - Robusta Coffee

‘WHSG’ - White Sugar

‘BRWN’ - Raw Sugar

‘OTHR’ - Other

‘LAMP’ – ‘Lampante’

‘OTHR’ - Other

‘MWHT’ - Milling Wheat

‘OTHR’ - Other

‘BSLD’- Base load

‘FITR’ - Financial Transmission Rights

‘PKLD’- Peak load

‘OFFP’- Off-peak

‘OTHR’- Other

‘GASP’- GASPOOL

‘LNGG’ - LNG

‘NBPG’ - NBP

‘NCGG’ - NCG

‘TTFG’ – TTF

‘OTHR’ - Other

‘BAKK’ - Bakken

‘BDSL’ - Biodiesel

‘BRNT’ - Brent

‘BRNX’ - Brent NX

‘CNDA’ - Canadian

‘COND’ - Condensate

‘DSEL’ - Diesel

‘DUBA’ - Dubai

‘ESPO’ - ESPO

‘ETHA’ - Ethanol

‘FUEL’ - Fuel

‘FOIL’ - Fuel Oil

‘GOIL’ - Gasoil

‘GSLN’ - Gasoline

‘HEAT’ - Heating Oil

‘JTFL’ - Jet Fuel

‘KERO’ - Kerosene

‘LLSO’ - Light Louisiana Sweet (LLS)

‘MARS’ - Mars

‘NAPH’ - Naphta

‘NGLO’ - NGL

‘TAPI’ - Tapis

‘URAL’ - Urals

‘WTIO’ – WTI

‘OTHR’ - Other

‘COAL’- Coal

‘INRG’ - Inter Energy

‘RNNG’ - Renewable energy

‘LGHT’ - Light ends

‘DIST’ – Distillates

‘OTHR’ - Other

‘CERE’ - CER

‘ERUE’ - ERU

‘EUAE’ - EUA

‘EUAA’– EUAA

‘OTHR’-Other

‘WTHR’ - Weather

‘CRBR’ - Carbon related’

‘OTHR’ - Other

‘TNKR’ –Tankers

‘OTHR’ - Other

‘DBCR’ - Dry bulk carriers

‘OTHR’ - Other

‘AMMO’ - Ammonia

‘DAPH’ - DAP (Diammonium Phosphate)

‘PTSH’ - Potash

‘SLPH’ - Sulphur

‘UREA’ - Urea

‘UAAN’ - UAN (urea and ammonium nitrate)

‘OTHR’ - Other

‘CSTR’ - Construction

‘MFTG’ - Manufacturing

‘ALUM’ - Aluminium

‘ALUA’ - Aluminium Alloy

‘CBLT’ - Cobalt

‘COPR’ - Copper

‘IRON’ - Iron ore

‘LEAD’ - Lead

‘MOLY’ - Molybdenum

‘NASC’ - NASAAC

‘NICK’ - Nickel

‘STEL’ - Steel

‘TINN’ - Tin

‘ZINC’ - Zinc

‘OTHR’ - Other

‘GOLD’ - Gold

‘SLVR’ - Silver

‘PTNM’ - Platinum

‘PLDM’ - Palladium

‘OTHR’ - Other

‘CBRD’ - Containerboard

‘NSPT’ - Newsprint

‘PULP’ - Pulp

‘RCVP’ - Recovered paper

‘OTHR’ - Other

‘PLST’ – Plastic

‘OTHR’ - Other

(1)

Commission Delegated Regulation (EU) 2017/583 of 14 July 2016 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards on transparency requirements for trading venues and investment firms in respect of bonds, structured finance products, emission allowances and derivatives (OJ L 87, 31.3.2017, p. 229).