Functional Change Document
Participant Functional Change Document
Initiative: Global Trade Repository
European Markets Infrastructure Regulation
(“EMIR”) Requirements
Enhanced Data Validations
Date:
Version:
Status:
Author:
5 November 2014
v1.5
Final
Clare Gehrhardt
Mark Steadman
Zeeshan Akram
The European Securities and Markets Authority (the "ESMA") have not approved or otherwise sanctioned the information contained in this document. The EMIR
business requirements detailed herein represent the DTCC GTR proposed implementation of trade reporting to enable firms to comply with EMIR. Readers
should not infer approval by ESMA of the content of this document.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
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Functional Change Document
Document Revision History
Date
26-September 2014
03-October 2014
By
Clare Gehrhardt
Mark Steadman
Zeeshan Akram
Clare Gehrhardt
Version
1.0
Description
Initial Publication
1.1
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Added “Party 2” to the rule set in
section 2, “When submitted as an
independent message, this would
be just for Party 1 or Party 2”
Modified the FC reference in section
3.1 for Trade Id to FC-32
Updated ESMA field naming for FC2 to Price/Rate in section 3.2-3.6
also updated the ‘Can be blank’
‘Can be N/A’ columns.
Re-labeled section 3 asset class
detail sections Credits from 3.2 to
3.3, Foreign Exchange from 3.3 to
3.4, Equities from 3.4 to 3.5,
Commodities from 3.5 to 3.6
Modified the Buyer mapping in
section 3.4 Foreign Exchange
Added lifecycle event applicability to
section 3.1 FC-29 “with a lifecycle
event of ValuationUpdate or EOD
Valuation”
Added section 2.3 on UTI
population in the OTC asset classes
and OTC Lite service
Adjusted Quantity FC-26 mapping in
section 3.6, Commodities
Adjusted FC-27 in section 2.1 from
Trade
Party
2 financial Entity
Jurisdiction
(duplicate) to Trade
Party
2 Non-financial Entity
Jurisdiction
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Updated ESMA field naming for FC2 to Price/Rate in section 4 and 5
and also updated the ‘Can be blank’
‘Can be N/A’ columns.
Added FC-30 to section 3.1 for
ESMA field Financial or non-financial
nature of the counterparty
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Added FC-31 Trade ID to section 5
Updated section 3.2 Price/Rate
Mappings for FC -2
Update section 3.2 Price Notation
Mappings for FC-3
Adjusted GTR field naming for
section 3.1 on Clearing Threshold,
FC-9 to Clearing Threshold Party 1 and
Clearing Threshold Party 2
Adjusted section 3.2 Notional Amount
FC-22, removed leg 2 fields
Updated section 3.3 FC-16 mapping for
CCP from Clearing DCO to Clearer
Prefix and Clearer Value
Updated section 3.4 FC-21,
removed: Option seller Prefix,
Option seller Value, Premium Payer
prefix, Premium Payer value.
Updated section 3.4 FC-16 – the
field has been updated to ‘Clearer
Value’
Removed functional references from
the Appendix for ESMA fields:
Valuation date, Valuation time,
Valuation type
Updated section 3.6 to reflect Can
be blank? N and Can be NA? N for
FC-11 Delivery Type
Updated Section 4 FC-1 Position from Optional to Conditional
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Updated Section 4 FC-2 PositionOptional to Required
Updated Section 4 FC-3 Position –
Optional to Required
Updated Section 4 FC-5 Added
condition description
Updated Section 4 FC-12 Added
FIA guidance notes
Updated Section 4 FC-13 Added
FIA guidance notes
Updated Section 4 FC-14 Added
FIA guidance notes
Updated Section 4 FC-15 Added
FIA guidance notes
Updated Section 4 FC-20 Added
FIA guidance notes
Updated Section 4 FC-28 Added
FIA guidance notes
Updated Section 4 FC-29 amended
existing comments
Added clarification in section 2.1 for
FC-13 Confirmation Timestamp to
populate 1900-01-01T00:00:00Z w hen
a timestamp is not available for
reporting
Section 3.6, modified field mappings to
align w ith upload template for FC-2, FC3, FC-21, FC-22, FC-26. FC-26 w ill be
defaulted to 1
Section 3.5, adjusted ESMA field
naming for FC-2 and FC-3
Section 3.5, FC-2 Remove warning
rule W:EQ:ESMA:00049 Field
Required - Underlying Asset Initial
Price Currency and added warning
rules, W:EQ:ESMA:00066 Field
Required - Declared Cash Dividend
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Percentage, W:EQ:ESMA:00067
Field Required - Declared Cash
Equivalent Dividend Percentage,
W:EQ:ESMA:00068 Field Required
- Material Non-Cash Dividend ,
W:EQ:ESMA:00069 Field Required
- Special Dividends
For Section 3.5 FC-3 added warning
rule, W:EQ:ESMA:00049 Field
Required - Underlying Asset Initial
Price Currency
For Section 3.5 FC-11 added
warning rule, W:EQ:ESMA:00038
Field Required - Settlement Method
For Section 3.5 FC-16 added
warning rule, W:X:ESMA:00038
Field Required - Clearer Value
For Section 3.5 FC-21 Changed
field naming from “Buyer LEI Value”
to “Buyer Value”
For
Section
3.5
Removed
“Underlying Fixed Rate Payer
(Buyer)” and Removed all warning
rules.
For Section 3.5 FC-22 added
warning rules: W:EQ:ESMA:00042
Field Required - Vega Notional
Currency, W:EQ:ESMA:00044 Field
Required - Lifecycle Change in
Vega
Notional
Currency,
W:EQ:ESMA:00047 Field Required
- Deal Notional Amount Currency,
W:EQ:ESMA:00059 Field Required
- Lifecycle Change in Deal Notional
Amount Currency
For Section 3.5 FC-23 added
warning rules: W:EQ:ESMA:00041
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Functional Change Document
10-October 2014
Clare Gehrhardt
1.2
Field Required - Vega Notional,
W:EQ:ESMA:00043 Field Required
- Lifecycle Change in Vega
Notional, W:EQ:ESMA:00046 Field
Required - Deal Notional Amount,
W:EQ:ESMA:00058 Field Required
- Lifecycle Change in Deal Notional
Amount
• For Section 3.5 FC-26 added
warning rules: W:EQ:ESMA:00034
Field Required - Number of Options,
W:EQ:ESMA:00064 Field Required
Variance
Amount,
W:EQ:ESMA:00045 Field Required
- Lifecycle Change in Variance
Amount, W:EQ:ESMA:00062 Field
Required - Number of Shares/Units,
W:EQ:ESMA:00060 Field Required
- Deal Units, W:EQ:ESMA:00061
Field Required - Lifecycle Change in
Deal Units
• In section 3.5 removed mappings
for FC-2, 4d) Material Non-Cash
Dividend (#300),
Dividends (#301)
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All material in this document is considered
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and
4e)
Special
In section 3.5 removed mappings
for FC-12 lifecycle event field
mappings
In section 3.6 adjusted the
mappings for FC-26 Quantity
In section 3.4 added in defaulting
logic for FC-11 Delivery Type
In section 3.6 added Option Strike
Price Per Unit Schedule Strike
Price Step(s) for FC-2
Modified section 2 to include new
rules associated with reporting
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V 1.3
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obligation
In section 3,2 added Notional
Currency - leg 1 to FC-22 mapping
(UAT-14800)
Adjusted sections 3.1-3.6 to make
FC-2, FC-6, FC-7 and FC-32 asset
specific. Added “Prefix” field to FC1 in section 3.1 (UAT-14792)
In section 2.1 and 3.1 added in FC14 Clearing Obligation, removed
previous edit of removal. Added in
additional clarity to FC-13 and FC14
In section 5 added in FC-24
Clearing Obligation
Modified section 4 in accordance
with ESMA guidance on ETD
positions. FC-1, FC-2, FC-3, FC-6,
FC-8, FC-9, FC-10, FC-11, FC-13,
FC-14, FC-15, FC-18, FC-20, FC23, FC-25, FC-28
Added
in
FC-24
Clearing
Obligation for section 4
Added new enumeration details to
FC-27 for section 4 and 5
Added clarity in section 3.2 and 3.5
on Delivery Type FC-11
Removed mappings for FC-26
Quantity in section 3.6
Added default logic in section 3.5
for FC-25 Price Multiplier
Updated Section 3.4 FC-22
mappings
In section 4 updated FC-6, FC-12,
FC-13 and FC-19
Added in verbiage to section 2 on
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V 1.4
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V 1.5
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warnings
Removed duplicate mapping from
section 3.6 ‘Option Strike Price Per
Unit Schedule Strike Price Step(s)’
is listed twice.
Adjusted
rule
for
FC-13
Confirmation Date time in section
2,1 and section 5
Section 3.6 added rules for delivery
type ( UAT 15138)
In section 3.5 added clarity to the
FC-3 default values
In section 3.2 added mappings for
FC-21 Counterparty Side
Removed
Commodities
from
section 2.1 FC-25 requirement
Updated Equity mapping in section
3.5 for FC-2 Price/Rate
Added clarification to section 2 on
ESMA – support
Added clarification to FC-11 and
FC-17 for section 2.1
Added section 1.1
Added implementation details to
section 1.2 Project Timeline
In section 2.1 added clarification on
“Rule Detail” for FC-2, FC-3, FC-4,
FC-5, FC-11, FC-13, FC-21, FC22, FC-27
In
section
3.2-3.6
added
clarification on FC-2 and FC-3
Added a notation on Warnings for
section 3, 4 and 5
In section 3.2 added detail to FC11 and FC-12 rule mappings
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Functional Change Document
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In section 3.2 adjusted mappings
for CCP, FC-16
In section 3.3 added mapping for
FC-21 Underlying Fixed Rate Payer
(Buyer).
In section 4 added clarity w here fields
are noted as No Change to add detail
that the field is required for FC-2, FC-3,
FC-10, FC-11, FC-20, FC-22, FC26
In section 4 adjusted FC-19 Field
Conditions
In section 4 added clarity to FC-24 FIA
guidance
In section 5 added default logic for
FC-24, FC-25, FC-28
In section 2.1 added a notation on
the impact of default values on
cross jurisdictional trades for FC-2
and FC-13
Added in wording in section 1 on
the applicability of this document
after the Level 1 release.
999999999999999,99999
Changed
references to 999999999999999.99999
to reflect GTR functionality.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 9 of 85
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Table of Contents
1
PROJECT SUMMARY............................................................................................................ 11
1.1 REFERENCE DOCUMENTS .................................................................................................... 11
1.2 PROJECT TIMELINE............................................................................................................. 11
1.2 NAMING CONVENTIONS AND DEFINITIONS..................................................................................... 12
2
LEVEL 1 DATA VALIDATIONS SUMMARY............................................................................... 14
2.1 CROSS ASSET AND SERVICE OVERVIEW .................................................................................. 16
2.2 TABLE GUIDES ................................................................................................................... 23
2.2.1 OTC CORE CROSS ASSET DETAILS TABLE ............................................................................. 23
2.2.2 CORE ASSET CLASS DETAILS TABLE ..................................................................................... 23
2.2.3 ETD AND OTC LITE DETAILS TABLE....................................................................................... 24
2.3 POPULATION OF THE UTI/USI IN THE OTC ASSET CLASSES.............................................................. 24
2.4 POPULATION OF USTI/USI ON OTC CORE VALUATION MESSAGES..................................................... 28
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OTC CORE DETAILS ............................................................................................................. 29
3.1 CROSS ASSET DETAILS ....................................................................................................... 29
3.2 RATES SPECIFIC CHANGE DETAILS......................................................................................... 34
3.3 CREDIT SPECIFIC CHANGE DETAILS ............................................................................................ 37
3.4 FOREIGN EXCHANGE SPECIFIC CHANGE DETAILS........................................................................... 39
3.5 EQUITIES SPECIFIC CHANGE DETAILS.......................................................................................... 42
3.6 COMMODITIES SPECIFIC CHANGE DETAILS ................................................................................... 48
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ETD DETAILS ....................................................................................................................... 52
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OTC LITE DETAILS ............................................................................................................... 60
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APPENDIX............................................................................................................................ 66
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
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Functional Change Document
1 Project Summary
This document is intended to describe the functional changes for the Level 1 Validations requested by ESMA. This document will be super seceded by the
message templates after the production release on November 30th. Please refer to the asset class message templates for the latest information.
Following the implementation of EMIR in February 2014, ESMA has requested that all TRs make the improvement of data quality and inter-TR reconciliation a
top priority.
To that end they have directed the trade repositories to reject ESMA reportable trades that do not conform to the EMIR mandatory field requirements known as
the Level 1 Validation Rules. A detailed field-by-field validation list has been circulated to the TR’s identifying these field requirement rules and this list is
reproduced in the appendix to this document. In some circumstances where a field is not available to the reporting entity at the time of reporting, a default value
(as supplied by ESMA) can be submitted until the data field is available for submission. These requirements are in line with ESMA’s EMIR Q&A No 20 on blank
and NA fields.
ESMA expect these Level 1 validations to be put in place by all of the TRs and that the TRs reject those reports, submitted to fulfil the reporting obligation under
EMIR, that do not meet the validation requirements set out.
Some of these data fields are already required by the GTR, whereas some of the data fields are currently optional and therefore will need to be changed to be
required fields by this date. DTCC has set out a change program to satisfy these latest set of requirements from ESMA.
1.1
Reference Documents
This document should be read in conjunction with the GTR message temples which are available on the GTR Clients Center http://dtcc.com/en/data-andrepository-services/global-trade-repository/gtr-us/client-center/client-center.aspx?gated=customers
1.2
Project Timeline
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All TR’s must have the level 1 Validations in place by 1st December 2014
GTR changes will be available for UAT from 10th November 2014
Changes will be migrated into production on 30th November 2014
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Level 1 validation rules will be deployed in production at the end of the standard weekend maintenance window on Sunday November 30th.
Any submission made up to the start of the maintenance window on Saturday night will be processed by GTR according to existing rules.
Firms can implement their own changes any time up to end of maintenance window on Sunday morning.
Users of the OTC Core asset classes can implement their own changes ahead of the GTR deployment.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
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Users of ETD and OTC Lite services that implement their own changes before the start of DTCC’s maintenance window should hold their
submissions and release them after the start of the maintenance window to avoid them being processed under existing rules. There are some
edge cases where a “new” submission could be rejected under the existing rules.
After the end of the maintenance window GTR is upgraded and brought up using the level 1 validation rule set.
Any submissions received after the start of the maintenance window will be processed after the GTR upgrade under the new level 1 validation
rules.
1.2 Naming Conventions and Definitions
BRD
Business Requirements Document
CABR
Cross Asset Business Requirement
CCP
Central Clearing Party
CFTC
Commodity Futures Trading Commission
CM
Clearing Member
COU
Central Operating Unit
DCM
Designated Contracts Market
DCO
Derivative Clearing Organisation
DDRL
DTCC Derivatives Repository Limited (a UK company regulated under the UK FSA)
DTCC
Depository Trust and Clearing Corporation
EC
European Commission
ECB
European Central Bank
EEA
European Economic Area
EMIR
European Markets Infrastructure Regulation
ESCB
European System of Central Banks
ESMA
European Securities and Markets Authority
ESRB
European Systemic Risk Board
EU
European Union
GTR
Global Trade Repository
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 12 of 85
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LEI
Legal Entity Identifier
MDRWG
Market Data Reporting Working Group
PET
Primary Economic Terms
RP
Reporting Party
SDO
DerivServ Operations for the DTCC GTR
TR
Trade Repository
UCI
Unique Counterparty Identifier
UPI
Unique Product Identifier
UTI
Unique Trade Identifier
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 13 of 85
Functional Change Document
2 Level 1 Data Validations Summary
The following sections will detail the Level 1 Data Validation rule changes that impact upon submissions to the GTR. These rules will apply to new messages
sent in to the GTR from 30th November 2014 onward. There will be no withholding of reporting on the exiting population to ESMA. All existing trades that are
warned are the responsibility of the participants to resolve.
The Level 1 rules will only be applied in the EUTR and will be applied only to those trade sides indicating a reporting obligation of ESMA. To ensure that all
ESMA reportable messages received in the EUTR undergo necessary validation, changes will be made to the usage of the Reporting Obligation field. In the
EUTR a Reporting Obligation of ESMA will be required for at least one of the parties on whose behalf the trade has been submitted. The below rule set will be
applied to the Core, Lite and ETD Asset Classes:
• If Submitted For Party 1 - Party 1 Reporting Obligation is required and must include ESMA and the Party 2 Reporting Obligation is ignored.
• If Submitted For Party 2 - Party 2 Reporting Obligation is required and must include ESMA and the Party 1 Reporting Obligation is ignored.
• If Submitted For Both - either Party 1 Reporting Obligation or Party 2 Reporting Obligation must include ESMA. A blank value for one obligation will be
allowed if the other obligation includes ESMA. A non-ESMA value will be allowed in one obligation if the other obligation includes ESMA.
• Support for the +ESMA construct will be discontinued. +ESMA is the same as ESMA so is not required. (Does not apply to Lite and ETD)
• Support for the -ESMA construct will continue to be supported in the credit, interest rate and equity asset classes.
The reporting obligation field still drives regulatory reporting. If a submission is subjected to Level 1 validations, and does not note the obligation to ESMA, the
report will not be made to ESMA. Please see the tables below for details:
OTC Lite and ETD Reporting Scenarios
Submitted For
Party 1
Party 2
Both
Party1
Obligation
ESMA
Blank
ESMA
Party2
Obligation
Blank
ESMA
ESMA
Both
ESMA
Blank
Both
Blank
ESMA
Counterparty
Field Validation
Party 1 Fields
Party 2 Fields
Party 1 Fields &
Party 2 Fields
Party 1 Fields &
Party 2 Fields
Party 1 Fields &
Party 2 Fields
All material in this document is considered
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Reported to
ESMA
Party 1 side
Party 2 side
Party 1 side &
Party 2 side
Party 1 side
Party 2 side
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Functional Change Document
OTC Core
Submitted For
Party 1
Party 2
Both
Party1
Obligation
ESMA
Blank/NonESMA
ESMA
Party2
Obligation
Blank/NonESMA*
ESMA
ESMA
Both
Both
ESMA
Blank/NonESMA
Blank/NonESMA
ESMA
Counterparty
Field Validation
Party 1 Fields
Party 2 Fields
Party 1 Fields &
Party 2 Fields
Party 1 Fields
Party 2 Fields
Reported to
ESMA
Party 1 side
Party 2 side
Party 1 side &
Party 2 side
Party 1 side
Party 2 side
Negative Cases, all services
Submitted For
Party1 Obligation
Party2 Obligation
Result
Party 1
Blank/NonESMA
Blank/NonESMA
Submission gets rejected because Party 1
Obligation is not equal to ESMA
Party 2
Blank/NonESMA
Blank/NonESMA
Submission gets rejected because Party 2
Obligation is not equal to ESMA
Both
Blank/NonESMA
Blank/NonESMA
Submission gets rejected because Party 1 nor
Party 2 Obligation is equal to ESMA. 1 obligation
must equal ESMA
*NonESMA refers to a reporting jurisdiction other than ESMA and can only be submitted to the Core Asset Classes
New validations will apply to new trades that are ESMA reportable as of 30th November 2014 onwards. DTCC will not retrospectively reject the existing
population, however will apply the level 1 rules to existing trades as soon as any update to a trade is submitted on or after the date when the Level 1 rules are
implemented.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
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Level 1 data Validation rules will be applied to the message types in the table below:
OTC Core
PET***
Confirm***
Snapshot***
ETD****
Transaction
OTC Lite
Position
***All combinations of these message types (including any RT combos) will also be validated.
****ETD positions are not subject to the Level 1 Data Validation rules; however some additional validation is being implemented for ETD positions. These
additional validations are documented in section 4 of this document.
For cancelations, exits, standalone valuation messages, and short format snapshot (Core only) will not be subjected to the new validations, only the existing
validations will apply.
2.1
Cross Asset and Service Overview
The table below gives a high level overview of the impact of the level 1 validation rules across services and asset classes. This table is provided as a
reference, the following subsequent sections will provide additional detail of any impact per asset class and service…
FC Reference ESMA Fields
FC-1
FC-2
FC-3
Beneficiary ID
Price/Rate
Price Notation
GTR Fields Applicable
Rule detail
1. Beneficiary ID Party 1
2. Beneficiary ID Party 2
Reject when blank
Price Notation
Refer to section 3, 4 and 5.
Price Notation Type
If a trade is reportable under more then one
jurisdiction and a value of
999999999999999.99999 has been provided on
the inbound message then this value will be
reported to the applicable regulators.
Refer to section 3, 4 and 5.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Applicable asset
classes
OTC Core (All)
OTC Lite
ETD
OTC Core (All)
OTC Lite
ETD
OTC Core (All)
OTC Lite
ETD
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FC Reference ESMA Fields
FC-4
Domicile of the counterparty
GTR Fields Applicable
1. Trade Party 1 Domicile
2. Trade Party 2 Domicile
Rule detail
Applicable asset
classes
Where the trade party is identified by a LEI
OTC Core (All)
on the message or on their GTR account, the OTC Lite
field can be blank.
ETD
If the trade party cannot be identified with a
LEI and this field is not populated then the
submission will be rejected.
FC-5
Corporate sector of the
counterparty
1. Trade Party 1 Corporate Sector
2. Trade Party 2 Corporate Sector
Note that even when reporting using a LEI,
the existing WACK rule for OTC Core and
Warnings for ETD and OTCL will continue to
apply to this field.
Where the trade party is identified by a LEI
on the message or on their GTR account the
field can be blank.
OTC Core (All)
OTC Lite
ETD
Where the field Trade Party Non-Financial
Entity includes “ESMA” the corporate sector
field can be blank
If the above two conditions are not true then
the submission will be rejected.
FC-6
Trading Capacity
1. Trading Capacity Party1
2. Trading Capacity Party 2
FC-7
Contract w ith non-EEA
counterparty
1. Counterparty Region
2. Region
Note that even when reporting using a LEI,
the existing WACK rules for OTC Core and
Warnings for ETD and OTCL will continue to
apply to this field.
Reject when blank
Reject when blank
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DTCC Confidential and is copyright © 2014 DTCC
OTC Core (All)
OTC Lite
ETD
OTC Core (All)
OTC Lite
ETD
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FC Reference ESMA Fields
GTR Fields Applicable
Rule detail
Reject when blank and the relevant trade
party is a non-financial entity
FC-8
Directly
linked
to
commercial
activity or treasury financing
FC-9
Clearing threshold
1. Directly linked to commercial
activity or treasury financing
Party 1
2. Directly linked to commercial
activity or treasury financing
Party 2
Clearing threshold
FC-10
Venue of execution
Execution Venue
Reject if not a MIC code, XOFF or XXXX.
FC-11
Delivery Type
Delivery Type
Reject when blank
FC-12
Effective Date
Effective date
Refer to section 3 for additional detail.
Reject when blank
Reject when blank and the relevant trade
party is a non-financial entity
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Applicable asset
classes
OTC Core (All)
OTC Lite
ETD
OTC Core (All)
OTC Lite
ETD
ETD
OTC Core (All)
OTC Lite
ETD
OTC Core (All)
OTC Lite
ETD
Page 18 of 85
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FC Reference ESMA Fields
FC-13
Confirmation Timestamp
GTR Fields Applicable
Rule detail
Confirmation Date Time
If Confirmation Date Time is provided it will be
mapped to Confirmation Timestamp.
Applicable asset
classes
OTC Core (All)
OTC Lite
ETD
If Confirmation Date Time is blank and
Confirmation Type equals "Electronic" or
"Non-Electronic" then "1900-0101T00:00:00Z“ will be mapped to
Confirmation Timestamp.
If Confirmation Date Time is blank and
Confirmation Type equals “NotConfirmed”
then Confirmation Timestamp will be blank.
Note that the existing WACK rule for OTC
Core and Warning for ETD and OTCL will
continue to apply to this field.
FC-14
Confirmation Means
Confirmation Type
FC-15
Clearing Timestamp
Clearing timestamp
FC-16
CCP
Clearing DCO
If a trade is reportable under more then one
jurisdiction and a value of “1900-0101T00:00:00Z“ has been provided on the
inbound message then this value will be
reported to the applicable regulators.
Allowable values:
• "Electronic"
• "Non-Electronic“
• "NotConfirmed“
If Confirmation Type is not one of the above
values the submission will be rejected.
Reject when blank and the trade has been
indicated as having been cleared
Reject when blank and the trade has been
indicated as having been cleared
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
OTC Core (All)
OTC Lite
ETD ( open question
to FIA)
OTC Core (All)
OTC Lite
ETD
OTC Core (All)
OTC Lite
ETD
Page 19 of 85
Functional Change Document
FC Reference ESMA Fields
FC-17
Action Type
GTR Fields Applicable
Rule detail
Lifecycle Event
Reject when blank on Snapshot messages.
This field is not available on PET and
CONFIRM messages.
Reject when blank on Position messages.
OTC Lite
Reject when blank on Position and
Transaction messages.
ETD
OTC Core (All)
OTC Lite
ETD
OTC Core (All)
OTC Lite
FC-18
Cleared
Clearing Status
Reject when blank
FC-19
Intragroup
Intragroup
Reject when blank
FC-20
Execution Timestamp
Execution Timestamp
Reject when blank
FC-21
Counterparty side
Counterparty side (Buy / Sell. Asset
class variations)
Refer to section 3, 4 and 5
FC-22
Notional Currency
Amount
Refer to section 3.
FC-23
Compression
1. Notional Currency1
2. Notional Amount 1
Compressed Trade
1 & Notional
Applicable asset
classes
OTC Core (All)
Reject when blank
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
OTC Core (All)
OTC Lite
ETD
OTC Core
(Commodities, Rates
and FX)
OTC Lite
ETD
OTC Core (Equities,
Commodities and FX)
OTC Core (All)
OTC Lite
ETD
Page 20 of 85
Functional Change Document
FC Reference ESMA Fields
FC-24
FC-25
FC-26
Clearing Obligation
Price Multiplier
Quantity
FC-27
Financial or non-financial nature of
the counterparty
FC-28
Transaction reference number
GTR Fields Applicable
Rule detail
Mandatory Clearing Indicator
Allowable values:
• ESMA-Y
• ESMA-N
• ESMA-X
No change.
• A value of ESMA indicates a clearing
obligation of “Y”.
• Leaving this field blank indicates no
clearing obligation. Until such time as
the list of products subject to
mandatory clearing is published a
value of “X” will be included on
regulatory reports.
Reject when blank.(OTC Lite, ETD, and
Equities)
Price Multiplier
Quantity
1. Trade Party 1 financial Entity
Jurisdiction
2. Trade Party 1 Non-financial
Entity Jurisdiction
3. Trade Party 2 financial Entity
Jurisdiction
4. Trade Party 2 Non-financial
Entity Jurisdiction.
Transaction Reference Number
For Commodities Credits, Rates and FX GTR
will default this field to 1 for reporting.
Reject when blank (OTC Lite, ETD,
Commodities and Equities)
For Credits, Rates and FX GTR will default
this field to 1 for reporting.
If the Trade Party financial Entity Jurisdiction
AND the Trade Party Non-financial Entity
Jurisdiction fields are both blank then reject
(i.e. all parties must identify themselves as
either a FC, NFC or indicate that the field is
NA)
Reject when blanks.
Field is not available on OTC Core templates
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Applicable asset
classes
OTC Lite
ETD
OTC Core (All)
OTC Core (All)
OTC Lite
ETD
OTC Core (All)
OTC Lite
ETD
OTC Core (All)
OTC Lite
ETD
OTC Lite
ETD
Page 21 of 85
Functional Change Document
FC Reference ESMA Fields
GTR Fields Applicable
Rule detail
Applicable asset
classes
OTC Core (All)
OTC Lite
ETD
FC-29
Mark to market value of contract
1. MTM Value Party 1
2. MTM Value Party 2
3. MTM CCP Value
If the Position Message is submitted with
Lifecycle Event “Valuation Update” or EOD
Valuation Update” and none of the MTM
value fields are populated then reject.
FC-30
Financial or non-financial nature of
the counterparty
1. Trade Party 1 financial Entity
Jurisdiction
2. Trade Party 1 Non-financial
Entity Jurisdiction
3. Trade Party 2 financial Entity
Jurisdiction
4. Trade Party 2 Non-financial
Entity Jurisdiction.
• Where there is a value of ESMA CCP,
map as an X on regulator and participant
reports
OTC Lite
ETD
FC-31
Trade ID
UTI Value
Reject when blank
OTC Lite
FC-32
Trade ID
USI or UTI Value
Reject when both are blank.
OTC Core (All)
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 22 of 85
Functional Change Document
2.2 Table guides
3. The following sections will detail the impact of the Level 1 rules on each asset class and service. The below detail describes how to read the tables in
sections 3, 4 and 5.
2.2.1 OTC Core Cross Asset Details Table
ESMA Level 1 Validation
Functional
Reference
A DTCC created
reference
ESMA Field
The field listed as per
the Regulatory
Technical Standards
Can be blank?
Can be NA?
Specific guidance from ESMA
as to w hat can be blank. Valid
values are Y =Yes (Can be
Blank) and N =No (cannot be
blank)
Specific guidance
from ESMA as to
w hat can be ‘not
available’ at the time
of reporting. Valid
values are Y =Yes
(Can be not
available) and N
=No (cannot be
unavailable)
GTR Fields Im pacted
The field name from
the GTR Core
message template.
Where “Asset Specific
Detail Applies” is
noted, see the asset
class details section
GTR Changes
Asset Class
Applicable
The applicable core
asset classes. Valid
Values are Credit,
Commodities, Equity,
Rates, FX
Existing Warnings
Applicable
Cross Asset Warnings
that exist today for this
data field. These are
provided to allow users
to view existing breaks
on their w arning
reports
2.2.2 Core Asset Class Details Table
ESMA Level 1 Validation
Functional
Reference
ESMA Field
Can be blank?
Can be NA?
A DTCC created
reference
The field listed as per
the Regulatory
Technical Standards
Specific guidance from ESMA
as to w hat can be blank. Valid
values are Y =Yes (Can be
Blank) and N =No (cannot be
blank)
Specific guidance from ESMA as to
w hat can be ‘not available’ at the time
of reporting. Valid values are Y =Yes
(Can be not available) and N =No
(cannot be unavailable)
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
GTR Changes
Rates Specific
Field Mappings
Where the field
naming diverges
from the cross
asset, it w ill be
listed here.
Existing Warnings Applicable
Where there is an asset class
specific w arning that does not apply
cross asset, it w ill be listed here
Page 23 of 85
Functional Change Document
2.2.3 ETD and OTC Lite details table
ESMA Level 1 Validation
Functional
Reference
A DTCC created
reference
GTR Changes
ESMA Field
Can be blank?
Can be NA?
GTR Fields
Im pacted
The field listed as per
the Regulatory
Technical Standards
Specific guidance from ESMA
as to w hat can be blank. Valid
values are Y =Yes (Can be
Blank) and N =No (cannot be
blank)
Specific guidance from ESMA as to
w hat can be ‘not available’ at the
time of reporting. Valid values are Y
=Yes (Can be not available) and N
=No (cannot be unavailable)
The OTC Lite and
ETD field
message template
naming
Field Changes
Current Warning
Provided
Details on the existing
functionality and the
change for L1
The Warning that
exists for this field
today.
2.3 Population of the UTI/USI in the OTC asset classes
The ESMA Level 1 validations reinforce the regulation that an agreed Trade ID must be provided on all submissions. In response to this the trade identifier
validation provided in GTR will be tightened. The existing functionality allows a user to populate a Party 1 Transaction ID or a USI while the UTI is being paired
and shared. Going forward the following rules will be applied.
In order to submit a valid record (receive an acknowledgement) into the GTR a user must:
•
•
•
•
Submissions to the OTC Core asset classes must include the USI* and/or UTI.
Submission to OTC Lite must include the UTI.
UTI Prefix remains optional for both services.
Note that the UTI is already required on all submissions to the ETD service.
*Once a value has been provided in the USI fields and / or in the UTI fields then these values must be included on all subsequent submissions of that trade,
including cancelations, exits, standalone valuation messages and short format snapshot messages.
The ESMA Level 2 validations (currently under consultation) reinforce the regulation that a Trade ID cannot be amended once it has been reported. Below is a
description of the functionality supported by GTR to cater for the correction of an incorrectly reported Trade ID.
For OTC Core and OTC Lite services:
•
•
Users of the OTC Core asset classes should submit an Exit transaction with a Lifecycle Event of Error on the original trade. A new trade should be
submitted for the new UTI.
Additionally, users of the FX and Equity asset classes can submit a GlobalCancel transaction on the original trade. A new trade should be submitted for
the new UTI.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 24 of 85
Functional Change Document
•
Users of the OTC Lite service should submit a PositionCancel transaction with a Lifecycle Event of Error on the initial trade. A new trade should be
submitted for the new UTI.
If submitting on behalf of both, the same process should be followed and submitted for should reflect “Both”.
The below functional guidance is given to ensure that activity is captured correctly on the ESMA activity report. Adding in a UTI on a regular message or
submitting a UTI via snapshot format will not capture this update accurately.
For instance:
Scenario 1: OTC Core User single sided submission
Bank A is an OTC Core user. Day 1 they submit a cross jurisdictional message to the EU and US TR with a USI. Day 2 they want to submit a message with a
different UTI inserted.
Day
Sent To
Submitted By
Submitted For
Message Type
USI
UTI
ESMA Reported
Identifier
1
DTCCUS;
DTCCEU
DTCCEU
Bank A
Bank A
Snapshot
ABC
<none>
ABC
Non-ESMA
Reported
Identifier
ABC
Bank A
Bank A
ABC
<none>
<none>
<none>
DTCCUS;
DTCCEU
Bank A
Bank A
Exit (with
lifecycle event
Error)
Snapshot
ABC
DEF
DEF
ABC
2
2
Note: Line 2 gets reported to ESMA as a part of the activity log. Line 2 can be sent to the US and EU, but this will have an impact on any report in that data
center.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 25 of 85
Functional Change Document
OR for asset classes where global cancel is supported (Credits, FX, Equities):
Day
Sent To
Submitted By
Submitted For
Message Type
USI
UTI
ESMA Reported
Identifier
1
DTCCUS;
DTCCEU
DTCCEU
DTCCUS;
DTCCEU
Bank A
Bank A
Snapshot
ABC
<none>
ABC
Non-ESMA
Reported
Identifier
ABC
Bank A
Bank A
Bank A
Bank A
GlobalCancel
Snapshot
ABC
ABC
<none>
DEF
<none>
DEF
<none>
ABC
2
2
Note: For Credits, FX and Equities, both methods outlined may be used. For Rates and Commodities only the first scenario can be used.
Scenario 2: OTC Core User Dual sided submission
Bank A is an OTC Core user and is submitting on behalf of Fund B. Day 1 they submit a cross jurisdictional message to the EU and US TR with a USI. Day 2
they want to submit a message with a UTI inserted.
Day
Sent To
Submitted By
Submitted For
Message Type
Execution
Agent
USI
UTI
1
DTCCUS;
DTCCEU
DTCCEU
Bank A
Bank A; Fund
B
Bank A; Fund
B
Snapshot
Manager C
ABC
Manager C
DTCCUS;
DTCCEU
Bank A
Exit (with
lifecycle event
Error)
Snapshot
Manager C
2
2
Bank A
Bank A; Fund
B
<none>
ESMA
Reported
Identifier
ABC
Non-ESMA
Reported
Identifier
ABC
ABC
<none>
<none>
<none>
ABC
DEF
DEF
ABC
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 26 of 85
Functional Change Document
OR for asset classes where global cancel is supported (Credits, FX, Equities):
Day
Sent To
Submitted By
Submitted For
Message Type
Execution
Agent
USI
UTI
1
DTCCUS;
DTCCEU
DTCCEU
Bank A
Snapshot
Manager C
ABC
GlobalCancel
Manager C
DTCCUS;
DTCCEU
Bank A
Bank A; Fund
B
Bank A; Fund
B
Bank A; Fund
B
Snapshot
Manager C
2
2
Bank A
<none>
ESMA
Reported
Identifier
ABC
Non-ESMA
Reported
Identifier
ABC
ABC
<none>
<none>
<none>
ABC
DEF
DEF
ABC
Note: For Credits, FX and Equities, both methods outlined may be used. For Rates and Commodities only the first scenario can be used.
Scenario 3: OTC Lite User Single Sided Submission
Corporate A uses OTC Lite. Day 1 they submit a message to the EU TR with a UTI. Day 2 they wish to report a new UTI on the same deal:
Day
Sent To
Submitted By
Submitted For
Transaction Type
Message Type
UTI
1
2
DTCCEU
DTCCEU
Corporate A
Corporate A
Corporate A
Corporate A
New
Position
Position
ABC
ABC
ESMA Reported
Identifier
ABC
<none>
2
DTCCEU
Corporate A
Corporate A
New
Position
DEF
DEF
Day
Sent To
Submitted By
Submitted For
Transaction Type
Message Type
UTI
1
2
DTCCEU
DTCCEU
Corporate A
Corporate A
Corporate A
Corporate A
ABC
ABC
2
DTCCEU
Corporate A
Corporate A
New
Position
PositionCancel
Position
(with lifecycle event
Error)
New
Position
ESMA Reported
Identifier
ABC
<none>
DEF
DEF
Exit (with lifecycle
event Error)
OR
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 27 of 85
Functional Change Document
Scenario 4: OTC Lite User Dual Sided Submission
Bank A is an OTC Lite and is submitting on behalf of Fund B. Day 1 they submit a message to the EU TR with a UTI. Day 2 they wish to report a new UTI on the
same deal:
Day
Sent To
Submitted By
Submitted For
Execution Agent
Transaction Type
Message Type
UTI
1
2
DTCCEU
DTCCEU
Bank A
Bank A
Bank A; Fund B
Bank A; Fund B
Manager C
Manager C
Position
Position
ABC
ABC
2
DTCCEU
Bank A
Bank A; Fund B
Manager C
New
PositionCancel (with
lifecycle event Error)
New
ESMA Reported
Identifier
ABC
<none>
Position
DEF
DEF
Day
OR
Sent To
Submitted By
Submitted For
Execution Agent
Transaction Type
Message Type
UTI
1
2
DTCCEU
DTCCEU
Bank A
Bank A
Bank A; Fund B
Bank A; Fund B
Manager C
Manager C
Position
Position
ABC
ABC
2
DTCCEU
Bank A
Bank A; Fund B
Manager C
New
PositionCancel (with
lifecycle event Error)
New
ESMA Reported
Identifier
ABC
<none>
Position
DEF
DEF
2.4 Population of USTI/USI on OTC Core valuation messages
Following implementation of the Level 1 Validation Rules trades will exist in GTR without a UTI or USI because they will have previously been stored under the
Trade Party 1 Transaction ID. In order to enable valuation messages to be submitted for these trades, valuation messages will continue to be accepted without a
USI or UTI, but with Trade Party 1 Transaction ID populated. Note that this relaxation of the rule applies only to those trades held in GTR without a USI or UTI, if
the trade is stored in the GTR with a USI and / or a UTI then the valuation message must also be submitted with those same identifiers populated.
The valuation warning report will highlight those trades against which a valuation has not been received, including non-receipt caused by incomplete or incorrect
identifiers being provided on the valuation message.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 28 of 85
Functional Change Document
3 OTC Core Details
This section will provide detail on the core asset classes. For more information on the formatting and definitions of the table headers, please see the previous
section, 2.2.1 and 2.2.2 for more detail.
Information found here will detail:
• The rule set given directly to us by ESMA, labeled “ESMA Level 1 Validations”.
• GTR Fields impacted are the field names used across all asset classes and will be consistent except where it is noted that “Asset Specific Detail
Applies”.
• Cross Asset Warnings that currently apply will be shown in the right hand column labeled “Existing Warnings Applicable”. Where it is noted that “Asset
Specific Detail Applies”, please refer to the asset classes mentioned for the divergence.
• Where a field has become required any warning message noted in the “Existing Warnings Applicable” column will not be generated intraday following the
implementation of the Level 1 Validation Rules. End of day warnings for existing trades that do not meet the level 1 requirements will still be generated.
The changes below will apply to PET, Confirm, Snapshot, and Combo messages. For more detailed information on the message specification please see the
asset class specific message specifications.
Where there is an asset class variation, those will be listed in the asset specific sections.
3.1
Cross Asset Details
Functional
Reference
FC-1
ESMA Level 1 Validation
Can be
ESMA Field
Can be NA?
blank?
Beneficiary ID
N
N
GTR Changes
GTR Fields Im pacted
Beneficiary
Prefix
Beneficiary
Beneficiary
Prefix
Beneficiary
ID Party 1
Asset Class Applicable
Applies to all asset classes
ID Party 1
ID Party 2
ID Party 2
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Existing Warnings
Applicable
W:X:ESMA:00043
Field Required - Beneficiary
ID Party 1 Value
W:X:ESMA:00044
Field Required - Beneficiary
ID Party 2 Value
Page 29 of 85
Functional Change Document
Functional
Reference
FC-4
ESMA Level 1 Validation
Can be
ESMA Field
Can be NA?
blank?
Domicile of the
Y
N
counterparty
GTR Changes
GTR Fields Im pacted
Trade Party 1 Domicile
Trade Party 2 Domicile
Asset Class Applicable
Applies to all asset classes
Existing Warnings
Applicable
W:X:ESMA:00007
Field Required - Trade Party 1
Domicile
Note that even when reporting
using a LEI, the existing WACK rule
W:X:ESMA:00008
will continue to apply to this field.
Field Required - Trade Party 2
Domicile
FC-5
Corporate
sector of the
counterparty
Y
FC-8
FC-9
Directly linked
to commercial
activity or
treasury
financing
Y
Y
Note: for
CCPs only
Given this is
a single value
field, 'X'
should be
used instead
of 'NA'
N
Clearing
threshold
Y
N
Trade Party 1 Corporate
Sector
Trade Party 2 Corporate
Sector
Applies to all asset classes
W:X:ESMA:00009
Field Required - Trade Party 1
Note that even when reporting
using a LEI, the existing WACK rule Corporate Sector
will continue to apply to this field.
W:X:ESMA:00010
Field Required - Trade Party 2
Corporate Sector
Directly linked to
commercial activity or
treasury financing Party 1
Directly linked to
commercial activity or
treasury financing Party 2
Applies to all asset classes
Clearing Threshold Party
1
Clearing Threshold Party
2
Applies to all asset classes
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
W:X:ESMA:00011
Field Required - Directly linked
to commercial activity or
treasury financing
W:X:ESMA:00012
Field Required - Directly linked
to commercial activity or
treasury financing Party 2
W:X:ESMA:00013
Field Required - Clearing
Threshold
W:X:ESMA:00014
Field Required - Clearing
Threshold Party 2
Page 30 of 85
Functional Change Document
Functional
Reference
FC-13
FC-14
FC-15
ESMA Level 1 Validation
Can be
ESMA Field
Can be NA?
blank?
Confirmation
Y
Timestamp
Y
Given this is
Note:
a numerical
only for
field, the
nonfollow ing
confirmed
expression
trades,
should be
i.e. if field
used instead
27 has a
of 'NA': 1900'N'
0101T00:00:00Z
Confirmation
Means
N
N
GTR Changes
GTR Fields Im pacted
Asset Class Applicable
Confirmation Date Time
Applies to all asset classes
Confirmation Type
Applies to all asset classes
Clearing timestamp
Applies to all asset classes
Clearing
Timestamp
Y
N
FC-17
Action Type
N
N
Lifecycle Event
Applies to all asset classes
FC-18
Cleared
N
N
Clearing Status
Applies to all asset classes
FC-19
Intragroup
Intragroup
Applies to all asset classes
FC-20
Execution
Timestamp
FC-23
Compression
Y
Note:
only if
field 10
contains
MIC or
XOFF
N
N
Existing Warnings
Applicable
W:X:ESMA:00040
Field Required - Confirmation
Timestamp
W:X:ESMA:00006
Field Required - Confirmation
Type
W:X:ESMA:00015
Field Required - Clearing
Timestamp
None
W:X:ESMA:00017
Field Required - Clearing
Status
W:X:ESMA:00039
Field Required - Intragroup
N
N
Execution Timestamp
Applies to all asset classes
N
Compressed Trade
Applies to all asset classes
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
W:X:ESMA:00037
Field Required - Execution
Timestamp
None
Page 31 of 85
Functional Change Document
Functional
Reference
FC-24
ESMA Level 1 Validation
Can be
ESMA Field
Can be NA?
blank?
Clearing
Obligation
N
FC-27
FC-30
Financial or
non-financial
nature of the
counterparty
N
FC-28
Transaction
Reference
N
GTR Changes
GTR Fields Im pacted
Mandatory Clearing
Indicator
Y
Note: for
CCPs and
entities falling
under Article
1(5) of EMIR
only
Given this is
a single value
field, 'X'
should be
used instead
of 'NA'
Y
Applies to all asset classes
No change.
• A value of ESMA indicates
a clearing obligation of “Y”.
• Leaving this field blank
indicates no clearing
obligation. Until such time
as the list of products
subject to mandatory
clearing is published a
value of “X” will be included
on regulatory reports.
Y
Note:
Given this is
a single value
field, 'X'
should be
used instead
of 'NA'
Existing Warnings
Applicable
Asset Class Applicable
Trade Party 1 financial
Entity Jurisdiction
Trade Party 1 Nonfinancial Entity Jurisdiction
Trade Party 2 financial
Entity Jurisdiction
Trade Party 2 financial
Entity Jurisdiction.
Applies to all asset classes
Not available on Core
templates
Applies to all asset classes
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
None
W:X:ESMA:00018
Either Trade Party 1 financial
Entity Jurisdiction OR Trade
Party 1 Non-financial Entity
Jurisdiction should be
populated for ESMA
W:X:ESMA:00019
Either Trade Party 2 financial
Entity Jurisdiction OR Trade
Party 2 Non-financial Entity
Jurisdiction should be
populated for ESMA
None
Page 32 of 85
Functional Change Document
Functional
Reference
FC–29
ESMA Level 1 Validation
Can be
ESMA Field
Can be NA?
blank?
Mark to market
"Y
N
value of
Note:
contract
only for
NFC-, i.e.
if CP field
16 has a
'N' "
GTR Changes
GTR Fields Im pacted
MTM Value Party 1
MTM Value Party 2
MTM CCP Value
Existing Warnings
Applicable
Asset Class Applicable
Applies to all asset classes
None
If submitted for Party 1: CCP
Values or Party 1 required
If submitted for both: CCP Values
required OR Party 1 and Party 2
required.
Applicable to all snapshot
messages with a lifecycle event of
ValuationUpdate or EOD Valuation
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 33 of 85
Functional Change Document
3.2
Rates Specific Change Details
Functional
Reference
FC-2
ESMA Level 1 Validation
Can be
Can be
ESMA Field
blank?
NA?
GTR Changes
Rates Specific Field Mappings
Existing Warnings
Applicable
ESMA requires one Price/Rate therefore at least one
field should be populated per product type on a
subm ission.
Price/Rate
N
Y
Given this
is a
numerical
field, the
follow ing
expression
should be
used
instead of
'NA':
999999999
999999.999
99
InterestRate:CrossCurrency:FixedFloat;
InterestRate:IRSw ap:FixedFloat;
InterestRate:IRSw ap:Inflation; InterestRate:IRSw ap:OIS;
InterestRate:Option:Sw aption;
InterestRate:FRA;
InterestRate:IRSw ap:FixedFixed;
InterestRate:CrossCurrency:FixedFixed;
InterestRate:IRSw ap:Inflation
For the above asset classes populate Fixed Rate (initial) leg 1 if present otherw ise Fixed Rate (initial) - leg 2
None
InterestRate:CrossCurrency:Basis;
InterestRate:IRSw ap:Basis
For the above asset classes populate Floating Rate
Spread (initial) - leg 1 if present otherw ise Floating Rate
Spread (initial) - leg 2
InterestRate:CapFloor populate Cap Rate – initial if present
otherw ise Floor Rate - initial
InterestRate:Option:DebtOption populate Strike Price
InterestRate:Exotic populate Exotic - price - leg1
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 34 of 85
Functional Change Document
Functional
Reference
FC-3
ESMA Level 1 Validation
Can be
Can be
ESMA Field
blank?
NA?
GTR Changes
Rates Specific Field Mappings
Existing Warnings
Applicable
For exotic products “Exotic - price units - leg1” must be
provided. Submission w ill be rejected if this field is not
provided.
Price Notation
FC-6
Trading Capacity
FC-7
Contract w ith non-EEA
counterparty
N
N
N
Y
N
For Debt options GTR w ill default to “Percentage of Par” for
reporting.
For all other products GTR w ill default to “Percent” for
reporting.
Trading Capacity Party 1
Trading Capacity Party 2
Counterparty Region
Party Region
N
FC-11
None
None
W:X:ESMA:00020
Field Required - Party Region
W:X:ESMA:00021 Field
Required - Counterparty
Region
For Sw aption, Debt Option and Exotic
Delivery Type
N
N
If
If
If
If
If
If
If
'Settlement
'Settlement
'Settlement
'Settlement
'Settlement
'Settlement
'Settlement
Type'
Type'
Type'
Type'
Type'
Type'
Type'
= "Cash" then 'C',
= "Physical" then 'P',
= "Election" then 'O',
= "Cash Settlement" then 'C',
= "Physical Settlement" then 'P',
= "CASH" then 'C',
= "Physical" then 'P'
W:IR:ESMA:00018
Field Required - Settlement
Type
For ALL other Rates product types the 'C'
FC-12
If "Product ID Value" = 'InterestRate:Option:DebtOption' use
"Execution Date".
Effective date
N
N
None
For ALL OTHER PRODUCTS use Effective Date - leg 1
FC-16
CCP
Y
N
Clearing DCO Prefix
Clearing DCO Value
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
W:X:ESMA:00038
Field Required - Clearer Value
Page 35 of 85
Functional Change Document
Functional
Reference
FC-17
FC-21
ESMA Level 1 Validation
Can be
Can be
ESMA Field
blank?
NA?
N
N
Action Type
Counterparty side (asset
class variations)
FC-22
N
N
N
N
Notional Currency 1 &
Notional Amount
FC-25
N
N
Price Multiplier
FC-26
N
N
N
N
Quantity
FC-32
Trade ID
GTR Changes
Rates Specific Field Mappings
Lifecycle Event
Buyer
Leg 1 Payer
Leg 2 Payer
Option Entitlement
Number of Options
Exotic - Notional amount - leg1
Notional Amount - leg 1 or Notional Amount (FRA)
Notional Currency - leg 1
This field is not applicable and therefore is not available on
the inbound message specification. GTR w ill be default to 1
for reporting
This field is not applicable and therefore is not available on
the inbound message specification. GTR w ill be default to 1
for reporting
UTI Prefix
UTI
USI Prefix
USI Value
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Existing Warnings
Applicable
W:IR:ESMA:00020
Field Required - Lifecycle
Event
None
None
None
None
W:X:ESMA:00004
Field Required – UTI
Page 36 of 85
Functional Change Document
3.3 Credit Specific Change Details
Functional
Reference
FC-2
FC-3
FC-6
ESMA Level 1 Validation
Can be
Can be
ESMA Field
blank?
NA?
Price/Rate
Y
Given this
is a
numerical
field, the
follow ing
expression
N
should be
used
instead of
'NA':
999999999
999999.999
99
Price Notation
N
Y
Trading Capacity
N
FC-7
N
Contract w ith non-EEA
counterparty
GTR Changes
Credits Specific Field Mappings
Price Notation - Price 1 must be provided for all products.
Submission w ill be rejected if this field is not provided.
None
Price Notation - Price Type 1 must be provided for all
products. Submission w ill be rejected if this field is not
provided.
Trading Capacity
Trading Capacity Party 2
Counterparty Region
Region
N
Existing Warnings Applicable
None
None
W:X:ESMA:00020
Field Required - Party Region
N
W:X:ESMA:00021 Field
Required - Counterparty Region
FC-11
Delivery Type
FC-12
N
N
Sw aption Settlement Style
Cash Settlement Only
Exercise Event Type
None
For non-option products, there is no inbound field applicable,
in this case, this field w ill be defaulted to “C” for Cash
Effective Date
Effective Date
N
N
None
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 37 of 85
Functional Change Document
Functional
Reference
FC-16
FC-21
FC-22
ESMA Level 1 Validation
Can be
Can be
ESMA Field
blank?
NA?
CCP
Y
N
Counterparty side
Notional Currency 1 &
Notional Amount
FC-25
Trade ID
Existing Warnings Applicable
Clearing DCO Prefix
Clearing DCO Value
None
N
Buyer LEI Value
Underlying Fixed Rate Payer (Buyer).
None
N
N
Notional Currency/Units 1
Notional Amount 1
None
N
N
N
N
N
N
Quantity
FC-32
Credits Specific Field Mappings
N
Price Multiplier
FC-26
GTR Changes
This field is not applicable and therefore is not available on
the inbound message specification. GTR w ill be default to 1
for reporting
This field is not applicable and therefore is not available on
the inbound message specification. GTR w ill be default to 1
for reporting
UTI Prefix
UTI Value
USI Prefix
USI Value
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
None
None
W:X:ESMA:00004
Field Required – UTI
Page 38 of 85
Functional Change Document
3.4 Foreign Exchange Specific Change Details
ESMA Level 1 Validation
Functional
Change Ref
FC-2
FC-3
ESMA Field
Can be
blank?
Price/Rate
Can be
NA?
N
Y
Given this
is
a
numerical
field, the
follow ing
expressio
n should
be
used
instead of
'NA':
99999999
9999999.9
9999
N
Y
N
N
Price Notation
FC-6
Trading Capacity
FC-7
Contract w ith non-EEA
counterparty
N
FC-11
GTR Changes
FX Specific Field Mappings
Price Notation - Price must be provided for all
products. Submission w ill be rejected if this field is
not provided.
W:FX:ESMA:00003
Field Required - Price Notation Price
Price Notation - Price Type must be provided for all
products. Submission w ill be rejected if this field is
not provided.
Trading Capacity Party 1
Trading Capacity Party 2
Counterparty Region
Party Region
W:FX:ESMA:00002
Field Required – Price Notation Price Type
None
W:X:ESMA:00020
Field Required - Party Region
N
Delivery Type
FX Delivery Type
Exotic - Settlement Type
N
Existing Warnings Applicable
N
W:X:ESMA:00021 Field Required - Counterparty
Region
None
For a NDO product type
(ForeignExchange:NDO) , this will be defaulted
to “Cash”
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 39 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Change Ref
FC-12
ESMA Field
GTR Changes
Can be
blank?
Can be
NA?
Effective Date
N
FC-16
CCP
FC-21
Counterparty side
N
Y
N
N
N
FX Specific Field Mappings
Effective Date
Option Effective Date
Exotic - Effective Date
Commencement Date
Exotic - Product Option Commencement Date
Observation Period Start
Clearer Prefix
Clearer Value
Exchanged Currency 1 Payer
Exchanged Currency 1 Payer
Exchanged Currency 2 Payer
Exchanged Currency 2 Payer
Option buyer Prefix
Option buyer Value
Exotic - Buyer Party Prefix
Exotic - Buyer Party Value
Existing Warnings Applicable
W:FX:ESMA:00001
Field Required - Effective date
W:FX:ESMA:00022
Field Required - Option Effective Date
W:FX:ESMA:00032
Field Required - Exotic Effective date
None
Prefix
Value
Prefix
Value
W:FX:ESMA:00015
Field Required - Option seller Value
W:FX:ESMA:00016
Field Required - Option buyer Value
W:FX:ESMA:00030
Field Required - Exotic Buyer Party Value
W:FX:ESMA:00031
Field Required - Exotic Seller Party Reference
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 40 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Change Ref
FC-22
ESMA Field
Can be
blank?
N
GTR Changes
Can be
NA?
N
Notional Currency 1 &
Notional Amount
FX Specific Field Mappings
Exchanged Currency 1 Amount
Exchanged Currency 1
Exchanged Currency 2 Amount
Exchanged Currency 2
Put Notional Amount
Put Notional Currency
Call Notional Amount
Call Notional Currency
Exotic - Notional amount
Exotic - Notional currency
Exotic – Currencies
Digital Option Payout Currency
Digital Option Payout Amount
Existing Warnings Applicable
W:FX:ESMA:00005
Field Required - Exchanged Currency 1 Amount
W:FX:ESMA:00006
Field Required - Exchanged Currency 1
W:FX:ESMA:00009
Field Required - Exchanged Currency 2
W:FX:ESMA:00010
Field Required - Exchanged Currency 2 Payer
Value
W:FX:ESMA:00017
Field Required - Put Notional Amount
W:FX:ESMA:00018
Field Required - Put Notional Currency
W:FX:ESMA:00019
Field Required - Call Notional Amount
W:FX:ESMA:00020
Field Required - Call Notional Currency
W:FX:ESMA:00034
Field Required - Exotic Notional amount
W:FX:ESMA:00035
Field Required - Exotic Notional currency
FC-25
Price Multiplier
N
N
FC-26
Quantity
N
N
This field is not applicable and therefore is not
available on the inbound message specification.
GTR w ill default to 1 for reporting.
This field is not applicable and therefore is not
available on the inbound message specification.
GTR w ill default to 1 for reporting.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
None
None
Page 41 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Change Ref
FC-32
Can be
blank?
N
ESMA Field
Trade ID
GTR Changes
Can be
NA?
N
FX Specific Field Mappings
UTI Prefix
UTI
USI Prefix
USI Value
Existing Warnings Applicable
W:X:ESMA:00004
Field Required – UTI
3.5 Equities Specific Change Details
ESMA Level 1 Validation
Functional
Reference
ESMA Field
Can be
blank?
GTR Changes
Can be NA?
FC-2
Equity Specific Field Mappings
Existing Warnings Applicable
ESMA requires one Price/Rate therefore at least one field
should be populated per product type on a subm ission
Where a “Default Value” is indicated, the GTR w ill provide the
value because the field is not applicable and therefore is not
available on the inbound message specification.
Price/Rate
N
Y
Given this is a numerical
field, the follow ing
expression should be
used instead of 'NA':
999999999999999.99999
1) Options:
1a) Premium (#292),.
1b) Lifecycle Payment Amount (#374) ,
1c) Strike Price (297) ,
1d) Forw ard Strike Percentage (298)
2) Variance Sw aps: Variance Strike Price (#297) or Volatility
Strike Price (#299)
3) PSA/CFD/Equity Sw aps:
3a) Lifecycle Underlying Asset Initial Price (#417),
3b) Underlying Asset Fixed Rate (#301),
3c) Underlying Asset Floating Leg Spread (#313),
3d) Underlying Asset Initial Price (#287),
3e) Underlying Asset Dividend Percentage (#353),
3f) Underlying Asset Declared Cash Dividend Percentage
(#354),
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
W:EQ:ESMA:00048
Field Required - Underlying Asset
Initial Price
W:EQ:ESMA:00066 Field Required
- Declared Cash Dividend
Percentage
W:EQ:ESMA:00067 Field Required
- Declared Cash Equivalent
Dividend Percentage
W:EQ:ESMA:00068 Field Required
- Material Non-Cash Dividend
W:EQ:ESMA:00069 Field Required
- Special Dividends
Page 42 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Reference
ESMA Field
Can be
blank?
GTR Changes
Can be NA?
Equity Specific Field Mappings
Existing Warnings Applicable
3g) Underlying Asset Declared Cash Equivalent Dividend
Percentage (#355),
3h) Fee Out (#324)
3i) Default value "999999999999999.99999"
3j) Default value "999999999999999.99999"
4) Dividend Sw aps:
4a) Period Fixed Strike-repeating (#293),
4b) Declared Cash Dividend Percentage, (#298),
4c) Declared Cash Equivalent Dividend Percentage (#299),
4d) Material Non-Cash Dividend (#300),
4e) Special Dividends (#301)
5) Forw ards: Forw ard Price (#287)
6) Structured Products: Price Notation (#291), Additional
Price Notation (#293)
The Price Notation Field describes the m anner in w hich
the Price/Rate field has been expressed. For each
Price/Rate populated the corresponding Price Notation
value below m ust be populated. For exam ple, if you
populate Price/Rate Options 1a) Prem ium then populate
“Price Notation Options 1a) Prem ium Currency.
FC-3
Price Notation
N
Y
Where a “Default Value” is indicated, the GTR w ill provide the
value because the field is not applicable and therefore is not
available on the inbound message specification.
1) Options:
1a) Premium Currency (#293),
1b) Lifecycle Payment Amount Currency (#375),
1c) Strike Price Currency (334)
1d) Default Value "Percentage"
2) Variance Sw aps: Default value "Level"
W:EQ:ESMA:00049 Field Required
- Underlying Asset Initial
Price Currency
3) PSA/CFD/Equity Sw aps:
3a) Lifecycle Underlying Asset Initial Price Currency (#418),
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 43 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Reference
ESMA Field
Can be
blank?
GTR Changes
Can be NA?
Equity Specific Field Mappings
Existing Warnings Applicable
3b) Default value "Percentage",
3c) Default value "Basis Points",
3d) Underlying Asset Initial Price Currency (#288),
3e) Default value "Percentage",
3f) Default value "Percentage",
3g) Default value "Percentage",
3h) Default value "Basis Points",
3i) Lifecycle Underlying Asset Initial Price Election (#419),
3j) Underlying Asset Initial Price Election (#365)
4) Dividend Sw aps:
4a) Default value "Level",
4b) Default value "Percentage",
4c) Default value "Percentage",
4d) Default value "Percentage",
4e) Default value "Percentage",
5) Forw ards: Forw ard Price Currency (#288),
FC-6
Trading
Capacity
FC-7
Contract w ith
non-EEA
counterparty
N
N
6) Structured Products: Price Notation Type (#290),
Additional Price Notation Type (#292)
Trading Capacity
Trading Capacity Party 2
Counterparty Region
Party Region
N
None
W:X:ESMA:00020
Field Required - Party Region
N
W:X:ESMA:00021 Field Required Counterparty Region
FC-11
Delivery Type
N
N
1)
2)
3)
4)
5)
6)
Options: Settlement Method (#368)
Variance Sw aps: Settlement Method (#321)
PSA/CFD/Equity Sw aps: Settlement Method (#393)
Dividend Sw aps: Settlement Method (#310)
Forw ards: Settlement Method (#327)
Structured Products: Settlement Method (#277)
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
W:EQ:ESMA:00038 Field Required
- Settlement Method
Page 44 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Reference
ESMA Field
FC-12
Effective Date
FC-16
CCP
FC-21
Counterparty
side
FC-22
Notional
Currency 1
Can be
blank?
GTR Changes
Can be NA?
N
N
Y
N
N
N
N
N
Equity Specific Field Mappings
1) Options: Trade Date (#283),
2) Variance Sw aps: Trade Date (#283),
3) PSA/CFD/Equity Sw aps: Trade Date (#293),
4) Dividend Sw aps: Trade Date (#287),
5) Forw ards: Trade Date (#283),
6) Structured Products: Trade Date (#274),
Clearing DCO Prefix
Clearing DCO Value
Buyer Value
1) Options: Notional Amount Currency (#337), Lifecycle
Change in Notional Amount Currency (#381)
2) Variance Sw aps: Vega Notional Currency (#290), Lifecycle
Change in Vega Notional Currency (#331)
3) PSA/CFD/Equity Sw aps: Deal Notional Amount Currency
(#285) or Underlying Asset Notional Currency (#276) or
Lifecycle Change in Deal Notional Amount Currency (#421)
or Lifecycle Change in Underlying Asset Notional Currency
(#415)
4) Dividend Sw aps: Notional Amount Currency (#290),
Lifecycle Change in Notional Amount Currency (#320)
5) Forw ards: Notional Amount Currency (#286), Lifecycle
Change in Notional Amount Currency (#340)
6) Structured Products: Deal Notional Amount Currency
(#272) or Underlying Asset Notional Currency (#270) or
Lifecycle Change in Deal Notional Amount Currency (#312)
or Lifecycle Change in Underlying Asset Notional Currency
(#310)
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Existing Warnings Applicable
None
W:X:ESMA:00038 Field Required Clearer Value
None
W:EQ:ESMA:00036
Field Required - Notional Amount
Currency
W:EQ:ESMA:00040
Field Required - Lifecycle Change
in Notional Amount Currency
W:EQ:ESMA:00042 Field Required
- Vega Notional Currency
W:EQ:ESMA:00044 Field Required
- Lifecycle Change in Vega Notional
Currency
W:EQ:ESMA:00047 Field Required
- Deal Notional Amount Currency
W:EQ:ESMA:00059 Field Required
- Lifecycle Change in Deal Notional
Amount Currency
Page 45 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Reference
ESMA Field
FC-22
GTR Changes
Can be
blank?
Can be NA?
N
N
Notional
Amount
FC-25
N
Existing Warnings Applicable
W:EQ:ESMA:00035
Field Required - Notional Amount
1) Options: Notional Amount (#336), Lifecycle Change in
Notional Amount (#380)
2) Variance Sw aps: Vega Notional Amount (#289), Lifecycle
Change in Vega Notional (#330)
3) PSA/CFD/Equity Sw aps: Deal Notional Amount (#284) or
Underlying Asset Notional (#275) or Lifecycle Change in Deal
Notional Amount (#420) or Lifecycle Change in Underlying
Asset Notional (#414), Floating Leg Notional Amount (#307)
4) Dividend Sw aps: Notional Amount (#289), Lifecycle
Change in Notional Amount (#319)
5) Forw ards: Notional Amount (#285), Lifecycle Change in
Notional Amount (#339)
6) Structured Products: Deal Notional Amount (#271) or
Underlying Asset Notional (#269) or Lifecycle Change in Deal
Notional Amount (#311) or Lifecycle Change in Underlying
Asset Notional (#309)
N
Price Multiplier
Equity Specific Field Mappings
W:EQ:ESMA:00039
Field Required - Lifecycle Change
in Notional Amount
W:EQ:ESMA:00041 Field Required
- Vega Notional
W:EQ:ESMA:00043 Field Required
- Lifecycle Change in Vega Notional
W:EQ:ESMA:00046 Field Required
- Deal Notional Amount
W:EQ:ESMA:00058 Field Required
- Lifecycle Change in Deal Notional
Amount
For Options w here Product ID Value is
“Equity:Option:PriceReturnBasic Performance:Singleindex"
the Multiplier (Index) (#289) must be provided.
For Options w here Product ID Value
is “Equity:Option:Pr iceReturnBasic Perfor mance:SingleName"
the Option Entitlement (Share) (#290) must be provided.
None
Only the 2 Product IDs above map to the Option Vanilla
template w hich supports these fields.
In all other cases and for all other products this field is not
applicable and therefore is not available on the inbound
message specification. GTR w ill default to 1 for reporting.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 46 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Reference
ESMA Field
FC-26
GTR Changes
Can be
blank?
Can be NA?
N
N
Equity Specific Field Mappings
W:EQ:ESMA:00034 Field Required
- Number of Options
Quantity
1) Options: Number of Options (#288), Lifecycle Change in
Number of Options (#377)
2) Variance Sw aps: Variance Amount (#293), Lifecycle
Change in Variance Amount (#332)
3) PSA/CFD/Equity Sw aps: Deal Units (#424) or Underlying
Asset Number of Units/Shares (#292), or Lifecycle Change in
Deal Units (#425) or Lifecycle Change in Underlying Asset
Number of Units/Shares (#416)
4) Dividend Sw aps: Number of Shares/Baskets (#288),
Lifecycle Change in Number of Shares/Baskets (#318)
5) Forw ards: Number of Shares/Units (#284), Lifecycle
Change in Number of Units/Shares (#338)
6) Structured Products: Deal Units (#366), Lifecycle Change
in Deal Units (#367)
FC-32
N
Trade ID
N
Existing Warnings Applicable
UTI
UTI
USI
USI
Prefix
Value
Prefix
Value
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
W:EQ:ESMA:00064 Field Required
- Variance Amount
W:EQ:ESMA:00045 Field Required
- Lifecycle Change in Variance
Amount
W:EQ:ESMA:00062 Field Required
- Number of Shares/Units
W:EQ:ESMA:00060 Field Required
- Deal Units
W:EQ:ESMA:00061 Field Required
- Lifecycle Change in Deal Units
W:X:ESMA:00004
Field Required – UTI
Page 47 of 85
Functional Change Document
3.6 Commodities Specific Change Details
Functional
Reference
FC-2
ESMA Level 1 Validation
Can be
ESMA Field
blank?
Price/Rate
N
GTR Changes
Can be
NA?
Y
Given
this is a
numerica
l field, the
follow ing
expressio
n should
be used
instead
of 'NA':
9999999
9999999
9.99999
FC-3
Price Notation
Type
FC-6
Trading Capacity
FC-7
Contract w ith
non-EEA
counterparty
N
Y
N
N
N
Com m odities Specific Field Mappings
Existing Warnings Applicable
Field requirements are dependent upon product type and
can be extracted from template tab “FpML to GTRfC
Data Element Map”.
•
Filter column X and select “Price/Rate”.
•
Columns AD to BG provide list of applicable
fields per product.
•
At least one of the applicable fields per product
must be populated.
•
If none of the applicable fields for a product are
populated then GTR is unable to derive the
Price and the submission w ill be rejected.
None
Field requirements are dependent upon product type and
can be extracted from template tab “FpML to GTRfC
Data Element Map”.
•
Filter column X and select “Price Notation”.
•
Columns AD to BG provide list of applicable
fields per product.
•
At least one of the applicable fields per product
must be populated.
•
If none of the applicable fields for a product are
populated then GTR is unable to derive the
Price Notation and the submission w ill be
rejected.
Trading Capacity
Trading Capacity Party 2
Counterparty Region
Party Region
None
None
W:X:ESMA:00020
Field Required - Party Region
N
W:X:ESMA:00021 Field Required - Counterparty
Region
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 48 of 85
Functional Change Document
Functional
Reference
FC-11
FC-12
FC-16
ESMA Level 1 Validation
Can be
ESMA Field
blank?
Delivery Type
GTR Changes
Can be
NA?
Existing Warnings Applicable
Generic Product Settlement Type
N
N
N
N
Y
N
Effective Date
CCP
Com m odities Specific Field Mappings
For all non-exotic products see the ISDA Taxonomy tab
on the commodities template.
Sw ap Effective Date Adjustable Date Unadjusted Date
Option Effective Date Adjustable Date Unadjusted Date
Option Exercise American Exercise Commencement
Date Adjustable Date Unadjusted Date
Option Physical Exercise American Exercise
Commencement Dates Adjustable Dates Unadjusted
Date(s)
Commodity Forw ard Value Date Adjustable Date
Unadjusted Date
Commodity Forw ard Average Price Leg Pricing Start
Date Adjustable Date Unadjusted Date
Generic Product Effective Date Unadjusted Date
Generic Product Commencement Date Unadjusted Date
Clearer Party ID Prefix
Clearer Party ID Value
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
W:CO:ESMA:00076
Field Required - Generic Product Settlement Type
None
None
Page 49 of 85
Functional Change Document
Functional
Reference
FC-21
ESMA Level 1 Validation
Can be
ESMA Field
blank?
Counterparty
N
side
GTR Changes
Can be
NA?
N
Com m odities Specific Field Mappings
Fixed Leg Fixed Rate Payer (Buyer)
Fixed Leg Fixed Rate Receiver (Seller)
Floating Leg 1 Party Payer Reference
Floating Leg 1 Party Receiver Reference
Floating Leg 2 Party Payer Reference
Floating Leg 2 Party Receiver Reference
Option Party Payer Reference (Payer of the Premium,
Buyer of the Option)
Option Party Receiver Reference (Receiver of the
Premium, Seller of the Option)
Commodity Forw ard Average Price Leg Party Payer
Reference
Commodity Forw ard Average Price Leg Party Receiver
Reference
Physical Bullion Party Payer Reference (Buyer of
Physical Bullion)
Physical Bullion Party Receiver Reference (Seller of
Physical Bullion)
Physical Coal Party Payer Reference (Buyer of Physical
Coal)
Physical Coal Party Receiver Reference (Seller of
Physical Coal)
Physical Gas Party Payer (Buyer of Physical Gas)
Physical Gas Party Receiver (Seller of Physical Gas)
Physical Oil Party Payer Reference (Buyer of Physical
Oil)
Physical Oil Party Receiver Reference (Seller of Physical
Oil)
Electricity Physical Leg Payer Party Reference
Electricity Physical Leg Receiver Party Reference
Generic Product Buyer Party Reference
Generic Product Seller Party Reference
Metal Physical Leg Party Payer Reference (Buyer of
Physical Metal)
Metal Physical Leg Party Receiver Reference (Seller of
Physical Metal)
Environmental Physical Leg Party Payer Reference
(Buyer of Allow ances)
Environmental Physical Leg Party Receiver Reference
(Seller of Allow ances)
All material
this1document
is considered
Weather inLeg
Payer Party
Reference
DTCC Weather
Confidential
is copyright
2014 DTCC
Leg and
1 Receiver
Party©Reference
Weather Leg 2 Payer Party Reference
Weather Leg 2 Receiver Party Reference
Existing Warnings Applicable
W:CO:ESMA:00049
Field Required - Generic Product Buyer Party
Reference
W:CO:ESMA:00050
Field Required - Generic Product Seller Party
Reference
Page 50 of 85
Functional Change Document
Functional
Reference
FC-22
FC-22
ESMA Level 1 Validation
Can be
ESMA Field
blank?
N
Notional
Currency 1
Notional Amount
N
GTR Changes
Can be
NA?
N
Com m odities Specific Field Mappings
Existing Warnings Applicable
Trade Notional Amount Currency
Generic Product Notional 1 Currency ,
Weather Leg 1 Weather Notional Amount Currency
Weather Leg 2 Weather Notional Amount Currency
W:CO:ESMA:00055
Field Required - Generic Product Notional 1
Currency
N
Trade Notional Amount
Generic Product Notional 1 Amount
Weather Leg 1 Weather Notional Amount Amount
Weather Leg 2 Weather Notional Amount Amount
FC-25
FC-26
FC-32
Price Multiplier
N
N
N
N
N
N
Quantity
Trade ID
This field is not applicable and therefore is not available
on the inbound message specification. GTR w ill default
to 1 for reporting.
This field is not applicable and therefore is not available
on the inbound message specification. GTR w ill default
to 1 for reporting.
UTI Prefix
UTI Value
USI Prefix
USI Value
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
W:CO:ESMA:00056
Field Required - Generic Product Notional 1 Units
W:CO:ESMA:00057
Field Required - Generic Product Notional 1
Amount
None
None
W:X:ESMA:00004
Field Required – UTI
Page 51 of 85
Functional Change Document
4 ETD Details
This section will provide detail on the ETD service. For more information on the formatting and definitions of the table headers, please see the previous section,
2.2.3 for more detail.
Information found here will detail:
• The rule set given directly to us by ESMA, labeled “ESMA Level 1 Validations”
• “GTR Fields Impacted” are the field naming’s for ETD
• “Field Changes” provides details on the changes for Transaction and Position Messages
• “Current Warning Provided” are the existing warnings received on the End of Day Warning Report.
• Where a current warning provided is listed, this will still be produced post Level 1 go live
ESMA has confirmed that the ETD Positions are out of scope for L1 Validation therefore we have removed most of the changes we had made for the position
messages but some of them are will remain mandatory. They are mainly related to the counterparty data and have been made mandatory to improve the quality
of data.
For more detailed information on the message specification please see the ETD specific message specifications.
ESMA Level 1 Validation
Functional
reference
FC-1
Beneficiary ID
FC-2
Price/Rate
GTR Changes
Can be
blank?
ESMA Field
Can be
NA?
N
N
N
Y
Given this
is
a
numerical
field,
the
follow ing
expression
should be
used
instead of
'NA':
99999999
GTR Fields Im pacted
Field Changes
Beneficiary ID Party 1 Value
(Field 49)
Beneficiary ID Party 2 Value
(Field 51)
Price Notation – Price (GTR
field 95)
Transaction – Party 1 No Change.
For party 2 Optional to Conditional.
No Warning
Transaction – No Change (already a
required field)
Price Notation – Price is required for
ESMA reporting
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Current Warning Provided
Page 52 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
reference
FC-3
Can be
blank?
ESMA Field
Price Notation
FC-4
Domicile
of
counterparty
FC-5
Corporate sector of
the counterparty
the
N
Y
Y
N
Y
FC-6
FC-7
GTR Changes
Can be
NA?
9999999.9
9999
Contract w ith nonEEA counterparty
N
N
N
N
Field Changes
Current Warning Provided
– Price Type
Transaction – No Change (already a
required field)
Price Notation Price Type is required for
ESMA reporting
Trade Party 1 Domicile field
(GTR filed 21) and the Trade
Party 2 Domicile field (GTR filed
21)
Transaction –Optional to Conditional
Position - Optional to Conditional
If the LEI is not provided on the
message and if GTR is also not able
to validate valid LEI w ithin the
application than the message w ill be
rejected.
Trade Party 2 Domicile is required w hen
reporting a Transaction on behalf of both
counterparties (for Transaction and
Positions both)
Trade Party 1 Corporate Sector
(GTR field 25) and the Trade
Party 2 Corporate Sector (GTR
field 26)
Transaction- For Party 1 No change.
For
Party 2 from Optional to
Conditional
Position - For Party 1 No change.
For
Party 2 from Optional to
Conditional
If you are a Financial entity and don’t
provide an LEI on Party 1 or Party 2
fields than required field. If LEI is
provided than can be left blank.
Trade Party 2 Corporate Sector is
required w hen Trade Party 2 Financial
Entity Jurisdiction and Trade Party 2 Nonfinancial Entity Jurisdiction are blank
Price Notation
(GTR field 96)
Y
Note:
for
CCPs only
Given this
is a single
value field,
'X' should
be
used
instead of
'NA'
Trading Capacity
GTR Fields Im pacted
NFCs do not need to populate this
field.
Trading Capacity 1 (GTR Field
52) and the Trading Capacity 2
(GTR Field 53)
Transaction – No Change for Party
1, party 2 changed from Optional
to conditional.
Trading Capacity Party 1 Value is
required for ESMA reporting.
Trading capacity Party 2 is required w hen
reporting a Transaction on behalf of both
counterparties
Party Region (GTR field 58) and
Counterparty Region (GTR field
59)
Transaction–Required to Conditional
Position - Optional to Conditional
Counterparty Region is required for
ESMA reporting (Trade w ith non-EEA
counterparty)
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Page 53 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
reference
FC-8
ESMA Field
FC-11
N
Delivery Type
N
FC-12
N
Venue of execution
N
Field Changes
Current Warning Provided
Directly Linked to Commercial
Activity or Treasury Financing
Party 1 (GTR field 60) and
Directly Linked to Commercial
Activity or Treasury Financing
Party 2 (GTR field 61)
Transaction
Conditional
-
From Optional
to
Clearing Threshold Party 1
(GTR field 141) and Clearing
Threshold Party 2 (GTR field
142)
Transaction
Conditional
-
From Optional
to
Execution Venue Value (GTR
field 93)
Transaction – No Change (already a
required field)
Delivery Type (GTR field 102)
Transaction – No Change (already a
required field)
Effective Date (GTR field 104)
Transaction – From N/A to Required
Positions – From N/A to Optional
The Directly linked to commercial activity
or treasury financing Party 2 is required
w hen Party 2 is a non-financial entity
Directly linked to commercial activity or
treasury financing Party 1 is required for
ESMA reporting
Directly linked to commercial activity or
treasury financing Party 2 is required
w hen Trade Party 2 Non-financial Entity
Jurisdiction is populated for ESMA
reporting
Execution Venue Value is required for
ESMA reporting
N
Effective Date
N
GTR Fields Im pacted
N
Clearing threshold
Y
FC-10
Can be
NA?
Directly
linked
to
commercial
activity
or treasury financing
Y
FC-9
GTR Changes
Can be
blank?
N
FIA Guidance:
Transactions: Populate the date the
day Transaction is executed.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 54 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
reference
FC-13
FC-14
Can be
NA?
Y
Note: only
for
nonconfirmed
trades, i.e.
if field 27
has a 'N'
Y
Given this
is
a
numerical
field,
the
follow ing
expression
should be
used
instead of
'NA': 19000101T00:00:
00Z
ESMA Field
Confirmation
Timestamp
Confirmation Means
N
FC-15
GTR Changes
Can be
blank?
N
Clearing Timestamp
GTR Fields Im pacted
Field Changes
Confirmation
field 144)
Date Time (GTR
Transaction - From Optional to
Conditional
FIA Guidance:
Transaction – Populate the time of
execution if not available than
populate the clearing timestamp
Confirmation
145)
Type (GTR field
Transaction – From Optional to
Required
FIA guidance is to populate this field
w ith value “Electronic”
Transaction – From Optional to
Conditional
Clearing Timestamp (GTR field
109)
“Condition is if the Cleared field = true
Required, if false leave blank”.
Y
N
Current Warning Provided
Clearing Timestamp is required for
Transaction message w hen trade is
cleared
Clearing Timestamp is required for EOD
Position message w hen trade is cleared
ETD participants should populate
these fields as per FIA guidance
below :
Transaction:
The
Clearing
Timestamp w ill be populated w ith the
timestamps provided by the CCP.
These timestamps w ill be the same
for trades cleared under the open
offer clearing model, or may differ
under the novation clearing model. If
not available default to time 23:59:00
(UTC)
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 55 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
reference
FC-16
GTR Changes
Can be
blank?
ESMA Field
Can be
NA?
CCP
GTR Fields Im pacted
Clearing DCO Value (GTR field
111)
Y
N
Field Changes
Transaction
Conditional
Position
Conditional.
–
Current Warning Provided
From Optional to
From
Optional
Clearing DCO Value is required for
Position message w hen trade is cleared
to
Condition is if the Cleared field = true
Required, if false leave blank”.
FC-17
Action Type
N
N
Lifecycle Event (GTR Field 118)
Transaction – From Optional to
Required
Position – No Change
Although the participants can send all
the discrete life cycle events on the
position
message
but on the
Transaction message they have to
populate this field as w ell and for ETD
it w ill be “Compression” in most cases
w here participants are submitting
positions.
A new enumerated value “New ”
added to the list of Lifecycle events.
FC-18
Cleared
N
FC-19
Intragroup
Y
Note: only
if field 10
contains
MIC
or
XOFF
N
Cleared (GTR field 108)
Transaction – No Change
Intragroup (GTR field 112)
Transaction –Optional
Cleared is required for ESMA reporting
for Position message as its an optional
field
N
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Page 56 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
reference
FC-20
FC-21
ESMA Field
Execution
Timestamp
Counterparty side
GTR Changes
Can be
blank?
N
N
Can be
NA?
N
N
FC-22
Notional Currency 1
& Notional Amount
N
N
FC-23
Compression
N
N
GTR Fields Im pacted
Field Changes
Execution Timestamp (GTR field
103)
Transaction – No Change (already a
required field)
Buyer Value Party 1 (GTR field
54) and Buyer Value Party 2
(GTR field 57)
Notional Currency (GTR Field
87)
Notional Amount (GTR Field 97)
Compression (GTR field 143)
FIA Guidance:
Transactions: Time w hen the trade
is executed
Transaction – No Change for Party
1. For Party 2 Optional to Conditional.
Required, If Submit For="BOTH".
Otherw ise Not Applicable.
Current Warning Provided
On
Position
Timestamp
is
reporting.
message:
Execution
required
for
ESMA
Buyer Value Party 2 is required w hen
reporting a Transaction on behalf of both
&
counterparties
(For
Position
Transaction)
Position – Optional to Conditional.
Required, If Submit For="BOTH".
Otherw ise Not Applicable.
Transaction – No Change
Position – No Change. (already a
required field)
Transaction – Optional to Required.
For ETD Transaction message this
field can be false because the
transaction itself is not a result of a
compression message. For Position
message the value should be
populated as “true” because the
Position is result of a compressed
transaction.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 57 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
reference
FC-24
GTR Changes
Can be
blank?
ESMA Field
Can be
NA?
Clearing Obligation
GTR Fields Im pacted
Mandatory Clearing
(GTR field 146)
N
Indicator
Field Changes
Transaction – Optional to Required
FIA guidance:
Since this field is not applicable to
ETD, the FIA guidance is that it
should be populated as ESMA-X for
CCP’s and all other firms should
populate ESMA-N
Y
Note:
Given this
is a single
value field,
'X' should
be
used
instead of
'NA'
New allowable values:
ESMA-Y
ESMA-N
ESMA-X
FC-25
Price Multiplier
N
N
Price Multiplier (GTR field 98)
Transaction – Optional to Required.
FC-26
Quantity
N
N
Quantity (GTR field 99)
Transaction – No Change
Position – No Change (already a
required field)
FC-27
Financial
or
nonfinancial nature of the
counterparty
Y
Note: for
CCPs and
entities
falling
under
Article 1(5)
of EMIR
only
Given this
is a single
value field,
'X' should
be used
instead of
'NA'
Trade Party 1 & 2 Financial and
Non Financial Jurisdiction (GTR
fields 27-30)
Transaction For Party 1 no change.
For Party 2 Optional to Conditional.
Position – Optional to Conditional.
N
Current Warning Provided
Trade Party 2 Financial Entity Jurisdiction
or Trade Party 2 Non-financial Entity
Jurisdiction is required w hen reporting on
behalf of both counterparties
A new enumeration of "ESMA-CCP"
has been added. GTR w ill map this
value to “X” on regulatory output.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 58 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
reference
FC-28
ESMA Field
Transaction
reference number
GTR Changes
Can be
blank?
N
Can be
NA?
Y
GTR Fields Im pacted
Transaction Reference ID (GTR
Field 91)
Field Changes
Current Warning Provided
Transaction –Optional to Required.
FIA guidance:
Populate if the TRN or an internal Ref
is available otherw ise can be NA if
not available
FC-29
Mark to market value
of contract
MTM
62),
Field
Field
Value Party 1 (GTR Field
MTM Value Party 2 (GTR
63) MTM CCP Value (GTR
64)
Transaction–No change
Position – Optional to Conditional.
One of the MTM value fields must be
provided if the Lifecycle Event is
“Valuation Update”
and “EOD
Valuation Update”
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
No valuation has been received
No valuation has been received for the
current day
Valuation message received on the UTI
w ithout any prior Position message
Page 59 of 85
Functional Change Document
5 OTC Lite Details
This section will provide detail on the OTC Lite impact for Level 1 Validations. For more information on the formatting and definitions of the table headers, please
see the previous section, 2.2.3 for more detail.
Information found here will detail:
• The rule set given directly by ESMA, labeled “ESMA Level 1 Validations”
• “GTR Fields Impacted” are the field naming’s for OTC Lite
• “Field Changes” provides details on the changes for Position Messages
• “Current Warning Provided” are the existing warnings received on the End of Day Warning Report.
• Where a current warning provided is listed, this will still be produced post Level 1 go live
For more detailed information on the message specification please see the OTC Lite specific message specifications.
ESMA Level 1 Validation
Functional
Reference
FC-1
Beneficiary ID
FC-2
Price/Rate
FC-3
ESMA Field
Price Notation
GTR Changes
Can be
blank?
Can be
NA?
N
N
N
Y
Given this
is
a
numerical
field,
the
follow ing
expression
should be
used
instead of
'NA':
99999999
9999999.9
9999
N
Y
GTR Fields Im pacted
Beneficiary ID Party 1 Value
(Field 49)
Beneficiary ID Party 2 Value
(Field 51)
Price Notation – Price (GTR
field 95)
Price Notation
(GTR field 96)
– Price Type
Field Changes – Position
Messages
Party 1 - Conditional to Required.
Party 2 – Optional to Required.
Optional to Required.
Optional to Required.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Current Warning Provided
Beneficiary ID Party 2 Value is required
for Trade Party 2 w hen reporting on
behalf of both counterparties and trading
capacity is Agent
Price Notation – Price is required for
ESMA reporting
Price Notation Price Type is required for
ESMA reporting
Page 60 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Reference
FC-4
FC-5
FC-6
FC-7
FC-8
ESMA Field
Domicile
of
counterparty
GTR Changes
Can be
blank?
the
Can be
NA?
Y
N
Y
Y
Note:
for
CCPs only
Given this
is a single
value field,
'X' should
be
used
instead of
'NA'
Corporate sector of
the counterparty
Trading Capacity
Contract w ith nonEEA counterparty
N
N
N
N
Y
N
Directly
linked
to
commercial
activity
or treasury financing
GTR Fields Im pacted
Trade Party 1 Domicile (GTR
field 21)
Trade Party 2 Domicile (GTR
field 22)
Trade Party 1 Corporate Sector
(GTR field 25)
Trade Party 2 Corporate Sector
(GTR field 26)
Trading Capacity Party 1 (GTR
Field 52)
Trading Capacity Party 2 (GTR
Field 53)
Party Region (GTR field 58)
Counterparty Region (GTR field
59)
Directly Linked to Commercial
Activity or Treasury Financing
Party 1 (GTR field 60)
Directly Linked to Commercial
Activity or Treasury Financing
Party 2 (GTR field 61)
Field Changes – Position
Messages
Party 1 - Optional to Conditional
Party 2 – Optional to Conditional
Current Warning Provided
Trade Party 2 Domicile is required w hen
reporting on behalf of both counterparties
Party 1 – No change
Party 2 – Optional to Conditional
Trade Party 2 Corporate Sector is
required w hen Trade Party 2 Financial
Entity Jurisdiction is blank and Trade
Party 2 Non-financial Entity Jurisdiction is
blank.
Trade Party 2 Corporate Sector is
required w hen Trade Party 2 Financial
Entity Jurisdiction is "ESMA".
Party 1 - No change.
Party 2 - Optional to Required.
Trading capacity Party 2 is required w hen
reporting on behalf of both counterparties
Party Region – No change.
Counterparty Region – Optional to
Required.
Party 1 - Optional to Conditional
Party 2 – Optional to Conditional
Counterparty Region is required for
ESMA reporting (Trade w ith non-EEA
counterparty)
The Directly linked to commercial activity
or treasury financing Party 2 is required to
be populated if Party 2 is a non-financial
entity
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 61 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Reference
FC-9
GTR Changes
Can be
blank?
ESMA Field
Can be
NA?
Clearing threshold
FC-10
Venue of execution
FC-11
Delivery Type
FC-12
Effective Date
FC-13
Confirmation
Timestamp
FC-14
Confirmation Means
FC-15
Clearing Timestamp
FC-16
CCP
GTR Fields Im pacted
Clearing Threshold
(GTR field 141)
Clearing Threshold
(GTR field 142)
Y
N
N
N
N
N
N
N
Y
Note: only
for
nonconfirmed
trades, i.e.
if field 27
has a 'N'
Y
Given this
is
a
numerical
field,
the
follow ing
expression
should be
used
instead of
'NA': 19000101T00:00:
00Z
N
N
Y
N
Y
N
Party
1
Party
2
Field Changes – Position
Messages
Party 1 - Optional to Conditional
Party 2 – Optional to Conditional
Current Warning Provided
Clearing Threshold Party 1 is required for
ESMA reporting.
Clearing Threshold Party 2 is required
w hen Trade Party 2 Non-financial Entity
Jurisdiction is "ESMA"
Execution Venue Value (GTR
field 94)
Delivery Type (GTR field 102)
Optional to Required.
Effective Date (GTR field 104)
Optional to Required.
Confirmation
field 144)
No change..
Effective Date is required field for ESMA
reporting
No Warning.
Optional to Required
No Warning.
Optional to Conditional.
Clearing Timestamp is required for ESMA
reporting.
Clearing DCO Value is required for ESMA
reporting.
Date Time (GTR
Confirmation Type (GTR field
145)
Clearing Timestamp (GTR field
109)
Clearing DCO Value (GTR field
111)
Optional to Required.
Optional to Conditional.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Execution Venue Value is required for
ESMA reporting
Delivery type is required for ESMA
reporting
Page 62 of 85
Functional Change Document
ESMA Level 1 Validation
GTR Changes
Functional
Reference
FC-17
Can be
blank?
Lifecycle Event (GTR Field 118)
Field Changes – Position
Messages
Optional to Required.
Action Type
N
N
No Warning.
FC-18
Cleared
N
N
Cleared (GTR field 108)
Optional to Required.
No Warning.
FC-19
Intragroup
Y
Note: only
if field 10
contains
MIC
or
XOFF
N
Intragroup (GTR field 112)
Optional to Required.
No Warning.
N
Execution Timestamp (GTR field
103)
Optional to Required.
Execution Timestamp
ESMA reporting.
N
N
No change
Buyer Value Party 2 is required w hen
reporting on behalf of both counterparties.
N
N
Buyer Value Party 1 (GTR field
55) Buyer Value Party 2 (GTR
field 57)
Notional Currency/Units (GTR
Field 87)
Notional Amount (GTR Field 97)
Notional Currency/Units – No change
Notional Amount – No change
No Warning.
N
N
Compression (GTR field 143)
Optional to Required.
No Warning.
Mandatory Clearing Indicator
Optional to Required.
No Warning.
N
Y
Note:
Given this
is a single
value field,
'X' should
be
used
instead of
'NA'
ESMA Field
FC-20
Execution
Timestamp
FC-21
Counterparty side
FC-22
Can be
NA?
Compression
FC-24
Clearing Obligation
Current Warning Provided
N
Notional Currency 1
& Notional Amount
FC-23
GTR Fields Im pacted
is
required
for
New allowable values:
ESMA-Y
ESMA-N
ESMA-X
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 63 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Reference
FC-25
ESMA Field
Price Multiplier
GTR Changes
Can be
blank?
N
Can be
NA?
N
GTR Fields Im pacted
Price Multiplier (GTR field 98)
Field Changes – Position
Messages
Optional to Required.
Current Warning Provided
No Warning.
Price Multiplier must be provided.
Submission w ill be rejected if this field
is not provided. For FX, Rates and
Credit trades a value of 1 should be
submitted by the data submitter.
FC-26
Quantity
N
N
Quantity (GTR field 99)
Optional to Required.
No Warning.
For Commodities Credits, Rates
and FX, this value will be
defaulted to 1
FC-27
Financial
or
nonfinancial nature of the
counterparty
N
FC-28
Transaction
reference number
N
Y
Note: for
CCPs and
entities
falling
under
Article 1(5)
of EMIR
only
Given this
is a single
value field,
'X' should
be used
instead of
'NA'
Trade Party 1 Financial Entity
Jurisdiction (GTR field 27)
Trade Party 1 Non-financial
Entity Jurisdiction (GTR field 28)
Trade Party 2 Financial Entity
Jurisdiction (GTR field 29)
Trade Party 2 Non-financial
Entity Jurisdiction (GTR field 30)
Y
Transaction Reference Number
(GTR Field 91)
Trade Party 1 Financial Entity
Jurisdiction
–
Conditional
to
Required.
Trade Party 1 Non-financial Entity
Jurisdiction – Optional to Required.
Trade Party 2 Financial Entity
Jurisdiction – Optional to Required.
Trade Party 2 Non-financial Entity
Jurisdiction (GTR field 30) – Optional
to Required.
Trade Party 2 Financial Entity Jurisdiction
or Trade Party 2 Non-financial Entity
Jurisdiction is required w hen reporting on
behalf of both counterparties.
A new enumeration of "ESMA-CCP"
has been added. GTR w ill map this
value to “X” on regulatory output.
Optional to Required.
No Warning.
Where not available populate ‘N/A’
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Page 64 of 85
Functional Change Document
ESMA Level 1 Validation
Functional
Reference
FC-29
ESMA Field
Mark to market value
of contract
GTR Changes
Can be
blank?
Y
Note: only
for NFC-,
i.e. if CP
field
16
has a 'N'
Can be
NA?
N
GTR Fields Im pacted
MTM
62),
Field
Field
Value Party 1 (GTR Field
MTM Value Party 2 (GTR
63) MTM Value CCP (GTR
64)
Field Changes – Position
Messages
MTM Value Party 1 – Optional to
Conditional
MTM Value Party 2 – Optional to
Conditional
MTM Value CCP – Optional to
Conditional
Current Warning Provided
No Warning.
If submitted for Party 1:
CCP Values or Party 1 required
If submitted for both:
CCP Values required OR Party 1
and Party 2 required.
FC-31
Trade ID
N
N
UTI Value
Applies to all asset classes
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
No Warning.
Page 65 of 85
Functional Change Document
6 Appendix
The below table is the list of all the Level 1 Validation requested by ESMA. The FR Reference column is also included to tie back to the functional change
reference detailed in this document. Where there is no functional reference mentioned, there is no requirement to change the existing implementation.
ESMA Level 1 Data Validation Rules
Table
Item
1
1
1
2
1
1
n/a
Section
n/a
Parties to the
contract
Parties to the
contract
Field
Details to be reported
Form at
Can be
blank?
Can be
NA?
FR
Ref
Reporting
timestamp
Date and time of reporting to the trade
repository.
ISO 8601 date format / UTC time format.
N
N
None
Counterparty
ID
Unique code identifying the reporting
counterparty. In case of an individual,
a client code shall be used.
Legal Entity Identifier (LEI) (20
alphanumerical digits), interim entity
identifier (20 alphanumerical digits), BIC
(11 alphanumerical digits) or a client code
(50 alphanumerical digits).
N
N
None
Legal Entity Identifier (LEI) (20
alphanumerical digits), interim entity
identifier (20 alphanumerical digits), BIC
(11 alphanumerical digits) or a client code
(50 alphanumerical digits).
N
N
None
Y
N
None
3
Parties to the
contract
ID of the other
counterparty
Unique code identifying the other
counterparty of the contract. This field
shall be filled from the perspective of
the reporting counterparty. In case of
an individual, a client code shall be
used.
4
Parties to the
contract
Name of the
counterparty
Corporate name of the reporting
counterparty. This field can be left
blank in case the counterparty ID
already contains this information.
100 alphanumerical digits or blank in case
of coverage by Legal Entity Identifier
(LEI).
n/a
Name of the
other
counterparty
Corporate name of the other
counterparty.
100 alphanumerical digits or blank in case
of coverage by Legal Entity Identifier
(LEI).
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
None
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Table
1
1
Item
Section
5
6
Parties to the
contract
Parties to the
contract
Field
Domicile of the
counterparty
Corporate
sector of the
counterparty
Form at
Can be
blank?
Can be
NA?
FR
Ref
Information on the registered office,
consisting of full address, city and
country of the reporting counterparty.
This field can be left blank in case the
counterparty ID already contains this
information.
500 alphanumerical digits or blank in case
of coverage by Legal Entity Identifier
(LEI).
Y
N
FC-4
Nature of the reporting counterparty’s
company activities (bank, insurance
company, etc.). This field can be left
blank in case the counterparty ID
already contains this information.
Taxonomy: A = Assurance undertaking
authorised in accordance w ith Directive
2002/83/EC; C = Credit institution
authorised in accordance w ith Directive
2006/48/EC; F = Investment firm in
accordance w ith Directive 2004/39/EC; I =
Insurance undertaking authorised in
accordance w ith Directive 73/239/EEC; L
= Alternative investment fund managed by
AIFMs authorised or registered in
accordance w ith Directive 2011/61/EU; O
= Institution for occupational retirement
provision w ithin the meaning of Article
6(a) of Directive 2003/41/EC; R =
Reinsurance undertaking authorised in
accordance w ith Directive 2005/68/EC; U
= UCITS and its management company,
authorised in accordance w ith Directive
2009/65/EC; or blank in case of coverage
by Legal Entity Identifier (LEI) or in case
of non-financial counterparties.
Y
Y
Note: for
CCPs
only
Given
this is a
single
value
field, 'X'
should
be used
instead
of 'NA'
FC-5
Details to be reported
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Table
Item
Section
Field
Details to be reported
Form at
Can be
blank?
Can be
NA?
FR
Ref
Y
1
1
7
8
Parties to the
contract
Parties to the
contract
Financial or
non-financial
nature of the
counterparty
Indicate if the reporting counterparty is
a financial or non-financial
counterparty in accordance w ith points
8 and 9 of Article 2 of Regulation (EU)
No 648/2012.
F=Financial Counterparty, N=NonFinancial Counterparty.
N
Broker ID
In case a broker acts as intermediary
for the reporting counterparty w ithout
becoming a counterparty, the reporting
counterparty shall identify this broker
by a unique code. In case of an
individual, a client code shall be used.
Legal Entity Identifier (LEI) (20
alphanumerical digits), interim entity
identifier (20 alphanumerical digits), BIC
(11 alphanumerical digits) or a client code
(50 alphanumerical digits).
Y
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Note:
for CCPs
and
entities
falling
under
Article
1(5) of
EMIR
only
Given
this is a
single
value
field, 'X'
should
be used
instead
of 'NA'
N
FC-27
FC-30
None
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Table
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1
Item
Section
9
10
Parties to the
contract
Parties to the
contract
Details to be reported
Form at
Can be
blank?
Can be
NA?
FR
Ref
Reporting
entity ID
In case the reporting counterparty has
delegated the submission of the report
to a third party or to the other
counterparty, this entity has to be
identified in this field by a unique code.
Otherw ise this field shall be left blank.
In case of an individual, a client code
shall be used, as assigned by the legal
entity used by the individual
counterparty to execute the trade.
Legal Entity Identifier (LEI) (20
alphanumerical digits), interim entity
identifier (20 alphanumerical digits), BIC
(11 alphanumerical digits) or a client code
(50 alphanumerical digits).
Y
N
None
Clearing
member ID
In case the reporting counterparty is
not a clearing member, its clearing
member shall be identified in this field
by a unique code. In case of an
individual, a client code, as assigned
by the CCP, shall be used.
Legal Entity Identifier (LEI) (20
alphanumerical digits), interim entity
identifier (20 alphanumerical digits), BIC
(11 alphanumerical digits) or a client code
(50 alphanumerical digits).
Y
N
None
Field
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Page 69 of 85
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Table
1
1
Item
11
12
Section
Parties to the
contract
Parties to the
contract
Field
Details to be reported
Form at
Can be
blank?
Can be
NA?
FR
Ref
Beneficiary ID
The party subject to the rights and
obligations arising from the contract.
Where the transaction is executed via
a structure, such as a trust or fund,
representing a number of
beneficiaries, the beneficiary should be
identified as that structure. If the
beneficiary of the contract is not a
counterparty to this contract, the
reporting counterparty has to identify
this beneficiary by a unique code or, in
case of individuals, by a client code as
assigned by the legal entity used by
the individual.
Legal Entity Identifier (LEI) (20
alphanumerical digits), interim entity
identifier (20 alphanumerical digits), BIC
(11 alphanumerical digits) or a client code
(50 alphanumerical digits).
N
N
FC-1
Trading
capacity
Identifies w hether the reporting
counterparty has concluded the
contract as principal on ow n account
(on ow n behalf or behalf of a client) or
as agent for the account of and on
behalf of a client.
P=Principal, A=Agent.
N
N
FC- 6
B=Buyer, S=Seller.
N
N
FC-21
Y=Yes, N=No.
N
N
FC-7
1
13
Parties to the
contract
Counterparty
side
Identifies w hether the contract w as a
buy or a sell. In the case of an interest
rate derivative contract, the buy side
w ill represent the payer of leg 1 and
the sell side w ill be the payer of leg 2.
1
14
Parties to the
contract
Contract w ith
non-EEA
counterparty
Indicates w hether the other
counterparty is domiciled outside the
EEA.
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Page 70 of 85
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Table
1
1
1
Item
15
16
17
Section
Parties to the
contract
Parties to the
contract
Parties to the
contract
Field
Details to be reported
Directly linked
to commercial
activity or
treasury
financing
Information on w hether the contract is
objectively measurable as directly
linked to the reporting counterparty’s
commercial or treasury financing
activity, as 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 point 8
of Article 2 Regulation (EU) No
648/2012.
Clearing
threshold
Information on w hether the reporting
counterparty is above the clearing
threshold as referred to in Article 10(2)
of Regulation (EU) No 648/2012. This
field shall be left blank in case the
reporting counterparty is a financial
counterparty, as referred to in point 8
of Article 2 Regulation (EU) No
648/2012.
Mark to
market value
of contract
Mark to market valuation of the
contract, or mark to model valuation
w here applicable under Article 11(2) of
Regulation (EU) No 648/2012.
Can be
blank?
Can be
NA?
FR
Ref
Y=Yes, N=No.
Y
N
FC-8
Y=Above, N=Below .
Y
N
FC-9
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N'
N
FC-29
Form at
Up to 20 numerical digits in the format
xxxx,yyyyy.
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DTCC Confidential and is copyright © 2014 DTCC
Page 71 of 85
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Table
1
1
1
1
Item
18
19
20
21
Section
Parties to the
contract
Parties to the
contract
Parties to the
contract
Parties to the
contract
Field
Currency of
mark to
market value
of the contract
Valuation date
Valuation time
Valuation type
Can be
NA?
FR
Ref
N
FC-29
ISO 8601 date format.
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N'
N
None
UTC time format.
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N'
N
None
M=mark to market / O=mark to model.
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N'
N
None
Details to be reported
The currency used for the mark to
market valuation of the contract, or
mark to model valuation w here
applicable under Article 11(2) of
Regulation (EU) No 648/2012.
Date of the last mark to market or
mark to model valuation.
Time of the last mark to market or
mark to model valuation.
Indicate w hether valuation w as
performed mark to market or mark to
model.
Form at
ISO 4217 Currency Code, 3 alphabetical
digits.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Can be
blank?
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N'
Page 72 of 85
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Table
1
1
1
1
Item
22
Section
Parties to the
contract
Field
Details to be reported
Form at
Collateralisatio
n
Whether collateralisation w as
performed.
U=uncollateralised, PC= partially
collateralised, OC=one w ay collateralised
or FC=fully collateralised.
Y=Yes, N=No.
23
Parties to the
contract
Collateral
portfolio
Whether the collateralisation w as
performed on a portfolio basis.
Portfolio means the collateral
calculated on the basis of net positions
resulting from a set of contracts, rather
than per trade.
24
Parties to the
contract
Collateral
portfolio code
If collateral is reported on a portfolio
basis, the portfolio should be identified
by a unique code determined by the
reporting counterparty.
Up to 10 numerical digits.
Value of the
collateral
Value of the collateral posted by the
reporting counterparty to the other
counterparty. Where collateral is
posted on a portfolio basis, this field
should include the value of all
collateral posted for the portfolio.
Specify the value the total amount of
collateral posted; up to 20 numerical digits
in the format xxxx,yyyyy.
25
Parties to the
contract
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Can be
blank?
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N'
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N' or if
CP field
22 has a
'U'
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N' or if
CP field
22 has a
'U'
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N' or if
CP field
22 has a
Can be
NA?
FR
Ref
N
none
N
none
N
none
N
none
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ESMA Level 1 Data Validation Rules
Table
Item
Section
Field
Details to be reported
Form at
Can be
blank?
'U'
Can be
NA?
FR
Ref
N
none
1
26
Parties to the
contract
Currency of
the collateral
value
Specify the value of the collateral for
field 25.
Specify the currency of field 25; ISO 4217
Currency Code, 3 alphabetical digits.
Y
Note:
only for
NFC-, i.e.
if CP field
16 has a
'N' or if
CP field
22 has a
'U'
2
1
2a - Contract
type
Taxonomy
used
The contract shall be identified by
using a product identifier.
Identify the taxonomy used: U = Product
Identifier [endorsed in Europe] I = ISIN/AII
+ CFI E = Interim taxonomy
N
N
none
The contract shall be identified by
using a product identifier.
For taxonomy = U: Product Identifier
(UPI), to be defined For taxonomy = I:
ISIN or AII, 12 digits alphanumerical code
For taxonomy = E: Derivative class: CO =
Commodity CR = Credit CU = Currency
EQ = Equity IR = Interest Rate OT = Other
N
N
none
2
2
2a - Contract
type
Product ID 1
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Page 74 of 85
Functional Change Document
ESMA Level 1 Data Validation Rules
Form at
Can be
blank?
Can be
NA?
FR
Ref
Product ID 2
The contract shall be identified by
using a product identifier.
For taxonomy = U Blank For taxonomy = I
CFI, 6 characters alphabetical code For
taxonomy = E: Derivative type: CD =
Contracts for difference FR = Forw ard rate
agreements FU = Futures FW = Forw ards
OP = Option SW = Sw ap OT = Other
Y
Note:
Only for
taxonomy
U
N
none
4
2a - Contract
type
Underlying
The underlying shall be identified by
using a unique identifier for this
underlying. In case of baskets or
indices, an indication for this basket or
index shall be used w here a unique
identifier does not exist.
ISIN (12 alphanumerical digits); LEI (20
alphanumerical digits); Interim entity
identifier (20 alphanumerical digits); UPI
(to be defined); B = Basket; I = Index.
Y
Y
none
5
2a - Contract
type
Notional
currency 1
The currency of the notional amount.
In the case of an interest rate
derivative contract, this w ill be the
notional currency of leg 1.
ISO 4217 Currency Code, 3 alphabetical
digits.
N
N
FC-22
2
6
2a - Contract
type
Notional
currency 2
The currency of the notional amount.
In the case of an interest rate
derivative contract, this w ill be the
notional currency of leg 2.
ISO 4217 Currency Code, 3 alphabetical
digits.
Y
N
none
2
7
2a - Contract
type
Deliverable
currency
The currency to be delivered.
ISO 4217 Currency Code, 3 alphabetical
digits.
Y
N
none
Table
2
2
2
Item
Section
3
2a - Contract
type
Field
Details to be reported
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Page 75 of 85
Functional Change Document
ESMA Level 1 Data Validation Rules
Table
2
2
Item
Section
Field
Details to be reported
Form at
Can be
blank?
Can be
NA?
FR
Ref
8
2b - Details on
the transaction
Trade ID
A Unique Trade ID agreed at the
European level, w hich is provided by
the reporting counterparty. If there is
no unique trade ID in place, a unique
code should be generated and agreed
w ith the other counterparty.
9
2b - Details on
the transaction
Transaction
reference
number
A unique identification number for the
transaction provided by the reporting
entity or a third party reporting on its
behalf.
An alphanumeric field up to 40 characters
N
Y
FC-28
Venue of
execution
The venue of execution shall be
identified by a unique code for this
venue. In case of a contract concluded
OTC, it has to be identified w hether
the respective instrument is admitted
to trading but traded OTC or not
admitted to trading and traded OTC.
ISO 10383 Market Identifier Code (MIC), 4
digits alphabetical. Where relevant, XOFF
for listed derivatives that are traded offexchange or XXXX for OTC derivatives.
N
N
FC-10
Compression
Identify w hether the contract results
from a compression exercise.
Y = if the contract results from
compression; N= if the contract does not
result from compression.
N
N
FC-23
2
10
2b - Details on
the transaction
2
11
2b - Details on
the transaction
Up to 52 alphanumerical digits.
N
N
FC-31
FC-32
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DTCC Confidential and is copyright © 2014 DTCC
Page 76 of 85
Functional Change Document
ESMA Level 1 Data Validation Rules
Table
Item
Section
Field
Details to be reported
Form at
Can be
blank?
Can be
NA?
Y
Given
this is a
numeric
al field,
the
follow in
g
expressi
on
should
be used
instead
of 'NA':
999999
999999
999.999
99
FR
Ref
2
12
2b - Details on
the transaction
Price/rate
The price per derivative excluding,
w here applicable, commission and
accrued interest.
Up to 20 numerical digits in the format
xxxx,yyyyy.
N
2
13
2b - Details on
the transaction
Price notation
The manner in w hich the price is
expressed.
E.g. ISO 4217 Currency Code, 3
alphabetical digits, percentage.
N
Y
FC-3
2
14
2b - Details on
the transaction
Notional
amount
Original value of the contract.
Up to 20 numerical digits in the format
xxxx,yyyyy.
N
N
FC-22
Up to 10 numerical digits.
N
N
FC-25
Up to 10 numerical digits.
N
N
FC-26
2
15
2b - Details on
the transaction
Price multiplier
The number of units of the financial
instrument w hich are contained in a
trading lot; for example, the number of
derivatives represented by one
contract.
2
16
2b - Details on
the transaction
Quantity
Number of contracts included in the
report, w here more than one derivative
contract is reported.
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DTCC Confidential and is copyright © 2014 DTCC
FC-2
Page 77 of 85
Functional Change Document
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Table
Item
Section
Field
Details to be reported
Form at
Can be
blank?
Can be
NA?
FR
Ref
Up to 10 numerical digits in the format
xxxx,yyyyy for payments made by the
reporting counterparty and in the format
xxxx,yyyyy for payments received by the
reporting counterparty.
Y
N
None
2
17
2b - Details on
the transaction
Up-front
payment
Amount of any up-front payment the
reporting counterparty made or
received.
2
18
2b - Details on
the transaction
Delivery type
Indicates w hether the contract is
settled physically or in cash.
C=Cash, P=Physical, O=Optional for
counterparty.
N
N
FC-11
2
19
2b - Details on
the transaction
Execution
timestamp
As defined in Article 1(2).
ISO 8601 date format / UTC time format.
N
N
FC-20
2
20
2b - Details on
the transaction
Effective date
Date w hen obligations under the
contract come into effect.
ISO 8601 date format.
N
N
FC-12
2
21
2b - Details on
the transaction
Maturity date
Original date of expiry of the reported
contract. An early termination shall not
be reported in this field.
ISO 8601 date format.
Y
N
None
2
22
2b - Details on
the transaction
Termination
date
Termination date of the reported
contract. If not different from maturity
date, this field shall be left blank.
ISO 8601 date format.
Y
N
None
2
23
2b - Details on
the transaction
Date of
Settlement
Date of settlement of the underlying. If
more than one, further fields may be
used (e.g. 23A, 23B, 23C, etc.).
ISO 8601 date format.
Y
N
None
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Functional Change Document
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Table
2
2
2
Item
Section
Field
Details to be reported
24
2b - Details on
the transaction
Master
Agreement
type
Reference to the name of the relevant
master agreement, if used for the
reported contract (e.g. ISDA Master
Agreement; Master Pow er Purchase
and Sale Agreement; International
ForEx Master Agreement; European
Master Agreement or any local Master
Agreements).
25
2b - Details on
the transaction
Master
Agreement
version
Reference to the year of the master
agreement version used for the
reported trade, if applicable (e.g. 1992,
2002, etc.).
26
2c - Risk
mitigation /
Reporting
Confirmation
timestamp
Date and time of the confirmation, as
defined under Commission Delegated
Regulation (EU) No 149/2013 ( 1 )
indicating time zone in w hich the
confirmation has taken place.
Form at
Can be
blank?
Can be
NA?
FR
Ref
Free Text, field of up to 50 characters,
identifying the name of the Master
Agreement used, if any.
Y
N
None
Year, xxxx.
Y
N
None
Y
Note:
only for
nonconfirme
d trades,
i.e. if field
27 has a
'N'
Y
Given
this is a
numeric
al field,
the
follow in
g
expressi
on
should
be used
instead
of 'NA':
19000101T00:0
0:00Z
FC-13
ISO 8601 date format, UTC time format.
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Functional Change Document
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Table
2
Item
27
Section
2c - Risk
mitigation /
Reporting
Field
Confirmation
means
Details to be reported
Whether the contract w as
electronically confirmed, nonelectronically confirmed or remains
unconfirmed.
Form at
Y=Non-electronically confirmed, N=Nonconfirmed, E=Electronically confirmed.
Can be
blank?
Can be
NA?
FR
Ref
N
N
FC-14
None
Indicates, w hether the reported
contract is subject to the clearing
obligation under Regulation (EU) No
648/2012.
Y=Yes, N=No.
N
Y
Note:
Given
this is a
single
value
field, 'X'
should
be used
instead
of 'NA'
2
28
2d - Clearing
Clearing
obligation
2
29
2d - Clearing
Cleared
Indicates, w hether clearing has taken
place.
Y=Yes, N=No.
N
N
FC-18
2
30
2d - Clearing
Clearing
timestamp
Time and date w hen clearing took
place.
ISO 8601 date format / UTC time format.
Y
N
FC-15
CCP
In case of a contract that has been
cleared, the unique code for the CCP
that has cleared the contract.
Legal Entity Identifier (LEI) (20
alphanumerical digits) or, if not available,
interim entity identifier (20 alphanumerical
digits) or, if not available, BIC (11
alphanumerical digits).
Y
N
FC-16
Y
Note:
only if
field 10
contains
MIC or
XOFF
N
FC-19
2
2
31
32
2d - Clearing
2d - Clearing
Intragroup
Indicates w hether the contract w as
entered into as an intragroup
transaction, defined in Article 3 of
Regulation (EU) No 648/2012.
Y=Yes, N=No.
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Page 80 of 85
Functional Change Document
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Table
Item
Section
Field
Details to be reported
Form at
Can be
blank?
Can be
NA?
FR
Ref
2
33
2e - Interest
Rates
Fixed rate of
leg 1
An indication of the fixed rate leg 1
used, if applicable.
Numerical digits in the format xxxx,yyyyy.
Y
N
none
2
34
2e - Interest
Rates
Fixed rate of
leg 2
An indication of the fixed rate leg 2
used, if applicable.
Numerical digits in the format xxxx,yyyyy.
Y
N
none
2
35
2e - Interest
Rates
Fixed rate day
count
The actual number of days in the
relevant fixed rate payer calculation
period, if applicable.
Actual/365, 30B/360 or Other.
Y
N
none
2
36
2e - Interest
Rates
Fixed leg
payment
frequency
Frequency of payments for the fixed
rate leg, if applicable.
An integer multiplier of a time period
describing how often the counterparties
exchange payments, e.g. 10D, 3M, 5Y.
Y
N
none
2
37
2e - Interest
Rates
Floating rate
payment
frequency
Frequency of payments for the floating
rate leg, if applicable.
An integer multiplier of a time period
describing how often the counterparties
exchange payments, e.g. 10D, 3M, 5Y.
Y
N
none
2
38
2e - Interest
Rates
Floating rate
reset
frequency
Frequency of floating rate leg resets, if
applicable.
D = An integer multiplier of a time period
describing how often the counterparties
exchange payments, e.g. 10D, 3M, 5Y.
Y
N
none
2
39
2e - Interest
Rates
Floating rate
of leg 1
An indication of the interest rates used
w hich are reset at predetermined
intervals by reference to a market
reference rate, if applicable.
The name of the floating rate index, e.g.
3M Euribor.
Y
N
none
40
2e - Interest
Rates
Floating rate
of leg 2
An indication of the interest rates used
w hich are reset at predetermined
intervals by reference to a market
reference rate, if applicable.
The name of the floating rate index, e.g.
3M Euribor.
Y
N
none
2
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DTCC Confidential and is copyright © 2014 DTCC
Page 81 of 85
Functional Change Document
ESMA Level 1 Data Validation Rules
Table
Item
Section
Field
Details to be reported
Form at
Can be
blank?
Can be
NA?
FR
Ref
2
41
2f - Foreign
Exchange
Currency 2
The cross currency, if different from
the currency of delivery.
ISO 4217 Currency Code, 3 alphabetical
digits.
Y
N
none
2
42
2f - Foreign
Exchange
Exchange rate
1
The contractual rate of exchange of
the currencies.
Up to 10 numerical digits in the format
xxxx,yyyyy.
Y
N
none
2
43
2f - Foreign
Exchange
Forw ard
exchange rate
Forw ard exchange rate on value date.
Up to 10 numerical digits in the format
xxxx,yyyyy.
Y
N
none
2
44
2f - Foreign
Exchange
Exchange rate
basis
Quote base for exchange rate.
E.g. EUR/USD or USD/EUR.
Y
N
none
2
45
2g Commodities
(General)
Commodity
base
Indicates the type of commodity
underlying the contract.
AG = Agricultural EN = Energy FR =
Freights ME = Metals IN = Index EV =
Environmental EX = Exotic
Y
N
none
Y
N
none
2
46
2g Commodities
(General)
Commodity
details
Details of the particular commodity
beyond field 45.
Agricultural GO = Grains oilseeds DA =
Dairy LI = Livestock FO = Forestry SO =
Softs Energy OI = Oil NG = Natural gas
CO = Coal EL = Electricity IE = Interenergy Metals PR = Precious NP = Nonprecious Environmental WE = Weather
EM = Emissions
2
47
2g Commodities
(Energy)
Delivery point
or zone
Delivery point(s) of market area(s).
EIC code, 16 character alphanumeric
code.
Y
N
none
2
48
2g Commodities
(Energy)
Interconnectio
n Point
Identification of the border(s) or border
point(s) of a transportation contract.
Free text, field of up to 50 characters.
Y
N
none
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DTCC Confidential and is copyright © 2014 DTCC
Page 82 of 85
Functional Change Document
ESMA Level 1 Data Validation Rules
Table
Item
Section
Field
Form at
Can be
blank?
Can be
NA?
FR
Ref
Repeatable section of fields 50-54 to
identify the product delivery profile w hich
correspond to the delivery periods of a
day; BL = Base Load PL = Peak Load OP
= Off-Peak BH = Block Hours OT = Other
Y
N
none
Details to be reported
Load type
Repeatable section of fields 50-54 to
identify the product delivery profile
w hich correspond to the delivery
periods of a day.
2
49
2g Commodities
(Energy)
2
50
2g Commodities
(Energy)
Delivery start
date and time
Start date and time of delivery.
ISO 8601 date format / UTC time format.
Y
N
none
2
51
2g Commodities
(Energy)
Delivery end
date and time
End date and time of delivery.
ISO 8601 date format / UTC time format.
Y
N
none
2
52
2g Commodities
(Energy)
Contract
capacity
Quantity per delivery time interval.
Free text, field of up to 50 characters.
Y
N
none
2
53
2g Commodities
(Energy)
Quantity Unit
Daily or hourly quantity in MWh or
kWh/d w hich corresponds to the
underlying commodity.
10 numerical digits in the format
xxxx,yyyyy.
Y
N
none
2
54
2g Commodities
(Energy)
Price/time
interval
quantities
If applicable, price per time interval
quantities.
10 numerical digits in the format
xxxx,yyyyy.
Y
N
none
2
55
2h - Options
Option type
Indicates w hether the contract is a call
or a put.
P=Put, C=Call.
Y
N
none
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Functional Change Document
ESMA Level 1 Data Validation Rules
Table
Item
Section
Field
Details to be reported
Form at
Can be
blank?
Can be
NA?
FR
Ref
2
56
2h - Options
Option style
(exercise)
Indicates w hether 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).
2
57
2h - Options
Strike price
(cap/floor rate)
The strike price of the option.
Up to 10 Numerical digits in the format
xxxx,yyyyy.
Y
N
none
Action type
Whether the report contains: — a
derivative contract or post-trade event
for the first time, in w hich case it w ill be
identified as ‘new ’; — a modification of
details of a previously reported
derivative contract, in w hich case it w ill
be identified as ‘modify’; — a
cancellation of a w rongly submitted
report, in w hich case, it w ill be
identified as ‘error’; — a termination of
an existing contract, in w hich case it
w ill be identified as ‘cancel’; — a
compression of the reported contract,
in w hich case it w ill be identified as
‘compression’; — an update of a
contract valuation, in w hich case it w ill
be identified as ‘valuation update’; —
any other amendment to the report, in
w hich case it w ill be identified as
‘other’.
N = New M = Modify E = Error, C =
Cancel, Z = Compression, V = Valuation
update, O = Other.
N
N
FC-17
2
58
2i Modifications
to the contract
A=American, B=Bermudan, E=European,
S=Asian.
Y
N
none
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Page 84 of 85
Functional Change Document
ESMA Level 1 Data Validation Rules
Table
2
Item
59
Section
2i Modifications
to the contract
Field
Details of
action type
Details to be reported
Where field 58 is reported as ‘other’
the details of such amendment should
be specified here.
Form at
Free text, field of up to 50 characters.
All material in this document is considered
DTCC Confidential and is copyright © 2014 DTCC
Can be
blank?
Can be
NA?
FR
Ref
Y
N
none
Page 85 of 85