This is the message format for reporting transactions to ESMA - reference here. This adheres to the ISO 20022 message format auth.030.001.03.
Data within the XML is transformed and flattened to rows of data with the following fields. Data in repeated structures are flattened into concatenated text.
| Duco field name | Regulatory reporting field | Duco field type | Xpath | Repeating structure |
| ActionType | 2.151 - Action Type | Text | In /Document/DerivsTradRpt/TradData if .../Rpt/New exist, then "NEWT" if .../Rpt/Mod exist, then "MODI" if .../Rpt/Crrctn exist, then "CORR" if .../Rpt/Termntn exist, then "TERM" if .../Rpt/PosCmpnt exist, then "POSC" if .../Rpt/ValtnUpd exist, then "VALU" if .../Rpt/Err exist, then "EROR" if .../Rpt/Rvv exist, then "REVI" |
No |
| Counterparty1 | 1.4 - Counterparty 1 (Reporting counterparty) | Text | for each Action Type .../CtrPtySpcfcData/CtrPty/RptgCtrPty: .../Id/Lgl/Id/LEI |
No |
| Counterparty1_Nature | 1.5 - Nature of the counterparty 1 | Text | In .../CtrPtySpcfcData/CtrPty/RptgCtrPty/Ntr if .../FI exist, then "F" if .../NFI exist, then "N" if .../CntrlCntrPty exist, then "C" if .../Othr exist, then "O" |
No |
| Counterparty1_Sector | 1.6 - Corporate sector of the counterparty 1 | Text | In .../CtrPtySpcfcData/CtrPty/RptgCtrPty/Ntr if .../FI exists, then .../Sctr/Cd if .../NFI exists, then .../Sctr/Id if .../CntrlCntrPty exist, then .../CntrlCntrPty if .../Othr exist, then ../Othr |
Yes |
| Counterparty1_ClearingThreshold | 1.7 - Clearing threshold of counterparty 1 | Boolean | In .../CtrPtySpcfcData/CtrPty/RptgCtrPty if .../Ntr/FI exists, then .../ClrThrshld if .../Ntr/NFI exists, then .../ClrThrshld |
No |
| DirectlyLinkedActivity | 1.20 - Directly linked to commercial activity or treasury financing | Boolean | .../CtrPtySpcfcData/CtrPty/RptgCtrPty/Ntr/NFI/DrctlyLkdActvty | No |
| DirectionOfLeg1 | 1.18 - Direction of leg 1 | Text | .../CtrPtySpcfcData/CtrPty/RptgCtrPty/DrctnOrSd/Drctn/DrctnOfTheFrstLeg | No |
| DirectionOfLeg2 | 1.19 - Direction of leg 2 | Text | .../CtrPtySpcfcData/CtrPty/RptgCtrPty/DrctnOrSd/Drctn/DrctnOfTheScndLeg | No |
| Direction | 1.17 - Direction | Text | .../CtrPtySpcfcData/CtrPty/RptgCtrPty/DrctnOrSd/CtrPtySd | No |
| Counterparty2_IdType | 1.8 - Counterparty 2 identifier type | Boolean | In .../CtrPtySpcfcData/CtrPty/OthrCtrPty/IdTp if .../Lgl exists, then "True" if .../Ntrl exists, then "False" |
No |
| Counterparty2 | 1.9 - Counterparty 2 | Text | In .../CtrPtySpcfcData/CtrPty/OthrCtrPty/IdTp if .../IdTp/Lgl exists, then .../Id/LEI if .../IdTp/Ntrl exists, then .../Id/Id/Id |
No |
| Counterparty2_Country | 1.10 - Country of the counterparty 2 | Text | if .../IdTp/Ntrl exists, then: .../Ctry |
No |
| Counterparty2_Nature | 1.11 - Nature of the counterparty 2 | Text | In .../CtrPtySpcfcData/CtrPty/OthrCtrPty/Ntr if .../FI exist, then "F" if .../NFI exist, then "N" if .../CntrlCntrPty exist, then "C" if .../Othr exist, then "O" |
No |
| Counterparty2_Sector | 1.12 - Corporate sector of the counterparty 2 | Text | In ...CtrPtySpcfcData/CtrPty/OthrCtrPty/Ntr if .../FI exists, then .../Sctr/Cd if .../NFI exists, then .../Sctr/Id |
Yes |
| Counterparty2_ClearingThreshold | 1.13 - Clearing threshold of counterparty 2 | Boolean | In .../CtrPtySpcfcData/CtrPty/OthrCtrPty OR .../Ntr/FI/ClrThrshld OR .../Ntr/NFI/ClrThrshld |
No |
| Counterparty2_ReportingObligation | 1.14 - Reporting obligation of the counterparty 2 | Boolean | .../CtrPtySpcfcData/CtrPty/OthrCtrPty/RptgOblgtn | No |
| BrokerID | 1.15 - Broker ID | Text | .../CtrPtySpcfcData/CtrPty/Brkr/LEI | No |
| ReportSubmittingEntityID | 1.2 - Report submitting entity ID | Text | .../CtrPtySpcfcData/CtrPty/SubmitgAgt/LEI | No |
| ClearingMember | 1.16 - Clearing member | Text | .../CtrPtySpcfcData/CtrPty/ClrMmb/Lgl/Id/LEI | No |
| EntityResponsibleForReporting | 1.3 - Entity responsible for reporting | Text | .../CtrPtySpcfcData/CtrPty/NttyRspnsblForRpt/LEI | No |
| ValuationAmount | 2.21 - Valuation amount | Decimal | In .../CtrPtySpcfcData/Valtn/CtrctVal/ if .../Sgn = False: -1 * .../Amt, else: .../Amt |
No |
| ValuationCurrency | 2.22 - Valuation currency | Text | .../CtrPtySpcfcData/Valtn/CtrctVal/Amt/@Ccy | No |
| ValuationTimestamp | 2.23 - Valuation timestamp | DateTime | .../CtrPtySpcfcData/Valtn/TmStmp | No |
| ValuationMethod | 2.24 - Valuation method | Text | .../CtrPtySpcfcData/Valtn/Tp | No |
| Delta | 2.25 - Delta | Decimal | .../CtrPtySpcfcData/Valtn/Dlta | No |
| ReportingTimestamp | 1.1 - Reporting timestamp | DateTime | .../CtrPtySpcfcData/RptgTmStmp | No |
| ContractType | 2.10 - Contract type | Text | .../CmonTradData/CtrctData/CtrctTp | No |
| AssetClass | 2.11 - Asset class | Text | .../CmonTradData/CtrctData/AsstClss | No |
| ProductClassification | 2.9 - Product classification | Text | .../CmonTradData/CtrctData/PdctClssfctn | No |
| ISIN | 2.7 - ISIN | Text | .../CmonTradData/CtrctData/PdctId/ISIN | No |
| UPI | 2.8 - Unique product identifier (UPI) | Text | .../CmonTradData/CtrctData/PdctId/UnqPdctIdr/Id | No |
| UnderlyingId_Type | 2.13 - Underlying identification type | Text | In .../CmonTradData/CtrctData/UndrlygInstrm if .../ISIN exists, then "I" if .../Bskt exists, then "B" if .../Indx exists, then "X" |
No |
| UnderlyingId_ISIN | 2.14 - Underlying identification | Text | In .../CmonTradData/CtrctData/UndrlygInstrm OR .../ISIN OR .../Indx/ISIN |
No |
| CustomBasketCode_Structurer | 2.17 - Custom basket code | Text | In .../CmonTradData/CtrctData/UndrlygInstrm if .../Bskt exists, then .../Strr |
No |
| CustomBasketCode_Id | 2.17 - Custom basket code | Text | In .../CmonTradData/CtrctData/UndrlygInstrm if .../Bskt exists, then .../Id |
No |
| IdentifierOfTheBasketsConstituents | 2.18 - Identifier of the basket’s constituents | Text | In .../CmonTradData/CtrctData/UndrlygInstrm if .../Bskt exists, then .../Cnsttnts/InstrmId/ISIN |
Yes |
| UnderlyingId_Index_Name | 2.16 - Name of the underlying index | Text | In .../CmonTradData/CtrctData/UndrlygInstrm if .../Indx exists, then .../Nm |
No |
| UnderlyingId_Index_Indicator | 2.15 - Indicator of the underlying index | Text | In .../CmonTradData/CtrctData/UndrlygInstrm if /Indx exists, then .../Indx |
No |
| SettlementCurrency1 | 2.19 - Settlement currency 1 | Text | .../CmonTradData/CtrctData/SttlmCcy/Ccy | No |
| SettlementCurrency2 | 2.20 - Settlement currency 2 | Text | .../CmonTradData/CtrctData/SttlmCcyScndLeg/Ccy | No |
| DerivativeBasedOnCryptoAssets | 2.12 - Derivative based on crypto-assets | Boolean | .../CmonTradData/CtrctData/DerivBasedOnCrptAsst | No |
| UTI | 2.1 - UTI | Text | In .../CmonTradData/TxData/TxId OR.../UnqTxIdr OR.../Prtry/Id |
No |
| PriorUTI | 2.3 - Prior UTI (for one-to-one and one-to-many relations between transactions) | Text | In .../CmonTradData/TxData/PrrTxId OR...UnqTxIdr OR.../Prtry/Id OR.../NotAvlbl |
No |
| SubsequentPositionUTI | 2.4 - Subsequent Position UTI | Text | In .../CmonTradData/TxData/SbsqntTxId OR...UnqTxIdr OR.../Prtry/Id OR.../NotAvlbl |
No |
| CollateralPortfolioIndicator | 2.26 - Collateral portfolio indicator | Boolean | In .../CmonTradData/TxData/CollPrtflCd/Prtfl if .../Cd exists, then "True" if .../NoPrtfl exists, then "False" |
No |
| CollateralPortfolioCode | 2.27 - Collateral portfolio code | Text | In .../CmonTradData/TxData/CollPrtflCd/Prtfl OR .../Cd OR .../NoPrtfl |
No |
| ReportTrackingNumber | 2.2 - Report tracking number | Text | .../CmonTradData/TxData/RptTrckgNb | No |
| VenueOfExecution | 2.41 - Venue of execution | Text | .../CmonTradData/TxData/PltfmIdr | No |
| TransactionPriceType | - | Text | In .../CmonTradData/TxData/TxPric/Pric if .../MntryVal exists, then "Monetary Value" if .../Pctg exists, then "Percentage" |
No |
| TransactionPrice | 2.48 - Price | Decimal | In .../CmonTradData/TxData/TxPric/Pric OR (if .../MntryVal/Sgn = False: -1 * .../MntryVal/Amt, else: .../MntryVal/Amt) OR .../Pctg |
No |
| TransactionPriceCurrency | 2.49 - Price currency | Text | In .../CmonTradData/TxData/TxPric/Pric if .../MntryVal exists, then .../Amt/@Ccy |
No |
| Unadjusted_EffectiveDate | 2.50 - Unadjusted effective date of the price | Text | .../CmonTradData/TxData/TxPric/SchdlPrd/UadjstdFctvDt | Yes |
| Unadjusted_EndDate | 2.51 - Unadjusted end date of the price | Text | .../CmonTradData/TxData/TxPric/SchdlPrd/UadjstdEndDt | Yes |
| SchedulePeriod_PriceType | - | Text | In .../CmonTradData/TxData/TxPric/SchdlPrd/Pric if.../MntryVal/Amt exists, then "Monetary Value" if.../Unit exists, then "Unit" if.../Pctg exists, then "Percentage" if.../Yld exists, then "Yield" if.../Dcml exists, then "Decimal" if.../PdgPric exists, then "Pending Price" if.../Othr/Val exists, then "Other" |
Yes |
| SchedulePeriod_Price | 2.52 - Price in effect between the unadjusted effective and end date | Text | In .../CmonTradData/TxData/TxPric/SchdlPrd/Pric OR (if .../MntryVal/Sgn = False: -1 * .../MntryVal/Amt, else: .../MntryVal/Amt) OR.../Unit OR.../Pctg OR.../Yld OR.../Dcml OR.../PdgPric OR...(/Othr/Val (and/or) /Othr/Tp) |
Yes |
| SchedulePeriod_PriceCurrency | - | Text | In .../CmonTradData/TxData/TxPric/SchdlPrd/Pric if .../MntryVal exists, then .../Amt/@Ccy |
Yes |
| Leg1_NotionalAmount | 2.55 - Notional amount of leg 1 | Decimal | .../CmonTradData/TxData/NtnlAmt/FrstLeg/Amt/Amt | No |
| Leg1_NotionalCurrency | 2.56 - Notional currency 1 | Text | .../CmonTradData/TxData/NtnlAmt/FrstLeg/Amt/Amt/@Ccy | No |
| Leg1_NotionalAmountEffectiveDate | 2.57 - Effective date of the notional amount of leg 1 | Text | .../CmonTradData/TxData/NtnlAmt/FrstLeg/SchdlPrd/UadjstdFctvDt | Yes |
| Leg1_NotionalAmountEndDate | 2.58 - End date of the notional amount of leg 1 | Text | .../CmonTradData/TxData/NtnlAmt/FrstLeg/SchdlPrd/UadjstdEndDt | Yes |
| Leg1_NotionalAmountEffect | 2.59 - Notional amount in effect on associated effective date of leg 1 | Text | .../CmonTradData/TxData/NtnlAmt/FrstLeg/SchdlPrd/Amt/Amt | Yes |
| Leg1_NotionalAmountEffectCurrency | - | Text | .../CmonTradData/TxData/NtnlAmt/FrstLeg/SchdlPrd/Amt/Amt/@Ccy | Yes |
| Leg2_NotionalAmount | 2.64 - Notional amount of leg 2 | Decimal | .../CmonTradData/TxData/NtnlAmt/ScndLeg/Amt/Amt | No |
| Leg2_NotionalCurrency | 2.65 - Notional currency 2 | Text | .../CmonTradData/TxData/NtnlAmt/ScndLeg/Amt/Amt/@Ccy | No |
| Leg2_NotionalAmountEffectiveDate | 2.66 - Effective date of the notional amount of leg 2 | Text | .../CmonTradData/TxData/NtnlAmt/ScndLeg/SchdlPrd/UadjstdFctvDt | Yes |
| Leg2_NotionalAmountEndDate | 2.67 - End date of the notional amount of leg 2 | Text | .../CmonTradData/TxData/NtnlAmt/ScndLeg/SchdlPrd/UadjstdEndDt | Yes |
| Leg2_NotionalAmountEffect | 2.68 - Notional amount in effect on associated effective date of leg 2 | Text | .../CmonTradData/TxData/NtnlAmt/ScndLeg/SchdlPrd/Amt/Amt | Yes |
| Leg2_NotionalAmountEffectCurrency | - | Text | .../CmonTradData/TxData/NtnlAmt/ScndLeg/SchdlPrd/Amt/Amt/@Ccy | Yes |
| Leg1_NotionalQuantity_Total | 2.60 - Total notional quantity of leg 1 | Decimal | .../CmonTradData/TxData/NtnlQty/FrstLeg/TtlQty | No |
| Leg1_NotionalQuantity_Quantity | 2.63 - Notional quantity in effect on associated effective date of leg 1 | Text | .../CmonTradData/TxData/NtnlQty/FrstLeg/Dtls/SchdlPrd/Qty | Yes |
| Leg1_NotionalQuantity_EffectiveDate | 2.61 - Effective date of the notional quantity of leg 1 | Text | .../CmonTradData/TxData/NtnlQty/FrstLeg/Dtls/SchdlPrd/UadjstdFctvDt | Yes |
| Leg1_NotionalQuantity_EndDate | 2.62 - End date of the notional quantity of leg 1 | Text | .../CmonTradData/TxData/NtnlQty/FrstLeg/Dtls/SchdlPrd/UadjstdEndDt | Yes |
| Leg2_NotionalQuantity_Total | 2.69 - Total notional quantity of leg 2 | Decimal | .../CmonTradData/TxData/NtnlQty/ScndLeg/TtlQty | No |
| Leg2_NotionalQuantity_Quantity | 2.72 - Notional quantity in effect on associated effective date of leg 2 | Text | .../CmonTradData/TxData/NtnlQty/ScndLeg/Dtls/SchdlPrd/Qty | Yes |
| Leg2_NotionalQuantity_EffectiveDate | 2.70 - Effective date of the notional quantity of leg 2 | Text | .../CmonTradData/TxData/NtnlQty/ScndLeg/Dtls/SchdlPrd/UadjstdFctvDt | Yes |
| Leg2_NotionalQuantity_EndDate | 2.71 - End date of the notional quantity of leg 2 | Text | .../CmonTradData/TxData/NtnlQty/ScndLeg/Dtls/SchdlPrd/UadjstdEndDt | Yes |
| DeliveryType | 2.47 - Delivery type | Text | .../CmonTradData/TxData/DlvryTp | No |
| ExecutionTimestamp | 2.42 - Execution timestamp | DateTime | .../CmonTradData/TxData/ExctnTmStmp | No |
| EffectiveDate | 2.43 - Effective date | Date | .../CmonTradData/TxData/FctvDt | No |
| ExpirationDate | 2.44 - Expiration date | Date | .../CmonTradData/TxData/XprtnDt | No |
| EarlyTerminationDate | 2.45 - Early termination date | Date | .../CmonTradData/TxData/EarlyTermntnDt | No |
| SettlementDate | 2.46 - Final contractual settlement date | Date | .../CmonTradData/TxData/SttlmDt | No |
| MasterAgreementType | 2.34 - Master Agreement type | Text | .../CmonTradData/TxData/MstrAgrmt/Tp/Tp | No |
| MasterAgreementVersion | 2.36 - Master Agreement version | Text | .../CmonTradData/TxData/MstrAgrmt/Vrsn | No |
| OtherMasterAgreementType | 2.35 - Other master agreement type | Text | .../CmonTradData/TxData/MstrAgrmt/OthrMstrAgrmtDtls | No |
| PTRR | 2.38 - PTRR | Boolean | ../CmonTradData/TxData/PstTradRskRdctnFlg | No |
| PTRR_Technique | 2.39 - Type of PTRR technique | Text | if .../PstTradRskRdctnFlg is true, then .../CmonTradData/TxData/PstTradRskRdctnEvt/Tchnq |
No |
| PTRR_ServiceProvider | 2.40 - PTRR service provider | Text | if .../PstTradRskRdctnFlg is true, then .../CmonTradData/TxData/PstTradRskRdctnEvt/SvcPrvdr/LEI |
No |
| EventType | 2.152 - Event type | Text | .../CmonTradData/TxData/DerivEvt/Tp | No |
| PTRR_ID_Structurer | 2.5 - PTRR ID | Text | .../CmonTradData/TxData/DerivEvt/Id/PstTradRskRdctnIdr/Strr | No |
| PTRR_ID_Id | 2.5 - PTRR ID | Text | .../CmonTradData/TxData/DerivEvt/Id/PstTradRskRdctnIdr/Id | No |
| EventDate | 2.153 - Event date | Date | .../CmonTradData/TxData/DerivEvt/TmStmp/Dt | No |
| TradeConfirmation_Type | 2.29 - Confirmed | Text | In .../CmonTradData/TxData/TradConf OR .../Confd/Tp OR .../NonConfd/Tp |
No |
| TradeConfirmation_Timestamp | 2.28 - Confirmation timestamp | DateTime | if .../CmonTradData/TxData/TradConf/Confd exists, then: .../TmStmp |
No |
| ClearingObligation | 2.30 - Clearing obligation | Text | .../CmonTradData/TxData/TradClr/ClrOblgtn | No |
| Cleared | 2.31 - Cleared | Text | In .../CmonTradData/TxData/TradClr/ClrSts if .../Clrd exists, then "Y" if .../NonClrd exists, then "N" |
No |
| CentralCounterparty | 2.33 - Central counterparty | Text | In .../CmonTradData/TxData/TradClr/ClrSts if .../Clrd exists, then .../Dtls/CCP/LEI |
No |
| ClearingTimestamp | 2.32 - Clearing timestamp | DateTime | In .../CmonTradData/TxData/TradClr/ClrSts if .../Clrd exists, then .../Dtls/ClrDtTm |
No |
| Intragroup | 2.37 - Intragroup | Boolean | .../CmonTradData/TxData/TradClr/IntraGrp | No |
| Leg1_FixedRate | 2.79 - Fixed rate of leg 1 or coupon | Decimal | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fxd/Rate/Rate | No |
| Leg1_FixedRate_DayCount | 2.80 - Fixed rate or coupon day count convention leg 1 | Text | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fxd/DayCnt/Cd | No |
| Leg1_FixedRate_PaymentFrequency | 2.81 - Fixed rate or coupon payment frequency period leg 1 | Text | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fxd/PmtFrqcy/Term/Unit | No |
| Leg1_FixedRate_PaymentFrequency_PeriodMultiplier | 2.82 - Fixed rate or coupon payment frequency period multiplier leg 1 | Decimal | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fxd/PmtFrqcy/Term/Val | No |
| Leg1_FloatingRateID | 2.83 - Identifier of the floating rate of leg 1 | Text | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/Id | No |
| Leg1_FloatingRateName | 2.85 - Name of the floating rate of leg 1 | Text | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/Nm | No |
| Leg1_FloatingRateIndicator | 2.84 - Indicator of the floating rate of leg 1 | Text | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/Rate/Cd | No |
| Leg1_FloatingRate_TimePeriod | 2.89 - Floating rate reference period of leg 1 – time period | Text | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/RefPrd/Unit | No |
| Leg1_FloatingRate_Multiplier | 2.90 - Floating rate reference period of leg 1 – multiplier | Decimal | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/RefPrd/Val | No |
| Leg1_SpreadType | - | Text | In .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/Sprd if .../MntryVal exists, then "Monetary Value" if .../Pctg exissts, then "Percentage" if .../BsisPtSprd exists, then "Basis Point Spread" |
No |
| Leg1_Spread | 2.93 - Spread of leg 1 | Decimal | In .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/Sprd OR (if .../MntryVal/Sgn = False: -1 * .../MntryVal/Amt, else: .../MntryVal/Amt) OR .../Pctg OR .../BsisPtSprd |
No |
| Leg1_SpreadCurrency | 2.94 - Spread currency of leg 1 | Text | In .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/Sprd if .../MntryVal exists, then .../Amt/@Ccy |
No |
| Leg1_FloatingRate_DayCount | 2.86 - Floating rate day count convention of leg 1 | Text | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/DayCnt/Cd | No |
| Leg1_FloatingRate_PaymentFrequency | 2.87 - Floating rate payment frequency period of leg 1 | Text | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/PmtFrqcy/Term/Unit | No |
| Leg1_FloatingRate_PaymentFrequency_PeriodMultiplier | 2.88 - Floating rate payment frequency period multiplier of leg 1 | Decimal | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/PmtFrqcy/Term/Val | No |
| Leg1_FloatingRate_ResetFrequency | 2.91 - Floating rate reset frequency period of leg 1 | Text | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/RstFrqcy/Term/Unit | No |
| Leg1_FloatingRate_ResetFrequency_Multiplier | 2.92 - Floating rate reset frequency multiplier of leg 1 | Decimal | .../CmonTradData/TxData/IntrstRate/FrstLeg/Fltg/RstFrqcy/Term/Val | No |
| Leg2_FixedRate | 2.95 - Fixed rate of leg 2 | Decimal | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fxd/Rate/Rate | No |
| Leg2_FixedRate_DayCount | 2.96 - Fixed rate day count convention leg 2 | Text | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fxd/DayCnt/Cd | No |
| Leg2_FixedRate_PaymentFrequency | 2.97 - Fixed rate payment frequency period leg 2 | Text | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fxd/PmtFrqcy/Term/Unit | No |
| Leg2_FixedRate_PaymentFrequency_PeriodMultiplier | 2.98 - Fixed rate payment frequency period multiplier leg 2 | Decimal | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fxd/PmtFrqcy/Term/Val | No |
| Leg2_FloatingRateID | 2.99 - Identifier of the floating rate of leg 2 | Text | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/Id | No |
| Leg2_FloatingRateName | 2.101 - Name of the floating rate of leg 2 | Text | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/Nm | No |
| Leg2_FloatingRateIndicator | 2.100 - Indicator of the floating rate of leg 2 | Text | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/Rate/Cd | No |
| Leg2_FloatingRate_TimePeriod | 2.105 - Floating rate reference period of leg 2 – time period | Text | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/RefPrd/Unit | No |
| Leg2_FloatingRate_Multiplier | 2.106 - Floating rate reference period of leg 2 – multiplier | Decimal | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/RefPrd/Val | No |
| Leg2_SpreadType | - | Text | In .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/Sprd if .../MntryVal exists, then "Monetary Value" if .../Pctg exissts, then "Percentage" if .../BsisPtSprd exists, then "Basis Point Spread" |
No |
| Leg2_Spread | 2.109 - Spread of leg 2 | Decimal | In .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/Sprd OR (if .../MntryVal/Sgn = False: -1 * .../MntryVal/Amt, else: .../MntryVal/Amt) OR .../Pctg OR .../BsisPtSprd |
No |
| Leg2_SpreadCurrency | 2.110 - Spread currency of leg 2 | Text | In .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/Sprd if .../MntryVal exists, then .../Amt/@Ccy |
No |
| Leg2_FloatingRate_DayCount | 2.102 - Floating rate day count convention of leg 2 | Text | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/DayCnt/Cd | No |
| Leg2_FloatingRate_PaymentFrequency | 2.103 - Floating rate payment frequency period of leg 2 | Text | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/PmtFrqcy/Term/Unit | No |
| Leg2_FloatingRate_PaymentFrequency_PeriodMultiplier | 2.104 - Floating rate payment frequency period multiplier of leg 2 | Decimal | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/PmtFrqcy/Term/Val | No |
| Leg2_FloatingRate_ResetFrequency | 2.107 - Floating rate reset frequency period of leg 2 | Text | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/RstFrqcy/Term/Unit | No |
| Leg2_FloatingRate_ResetFrequency_Multiplier | 2.108 - Floating rate reset frequency multiplier of leg 2 | Decimal | .../CmonTradData/TxData/IntrstRate/ScndLeg/Fltg/RstFrqcy/Term/Val | No |
| ExchangeRate | 2.113 - Exchange rate 1 | Decimal | .../CmonTradData/TxData/Ccy/XchgRate | No |
| ForwardExchangeRate | 2.114 - Forward exchange rate | Decimal | .../CmonTradData/TxData/Ccy/FwdXchgRate | No |
| BaseCurrency | 2.115 - Exchange rate basis 2.138 - Strike price currency/currency pair |
Text | .../CmonTradData/TxData/Ccy/XchgRateBsis/CcyPair/BaseCcy | No |
| QuotedCurrency | 2.115 - Exchange rate basis 2.138 - Strike price currency/currency pair |
Text | .../CmonTradData/TxData/Ccy/XchgRateBsis/CcyPair/QtdCcy | No |
| BaseProduct | 2.116 - Base product | Text | .../CmonTradData/TxData/Cmmdty/.../.../BasePdct | No |
| SubProduct | 2.117 - Sub-product | Text | .../CmonTradData/TxData/Cmmdty/.../.../SubPdct | No |
| FurtherSubProduct | 2.118 - Further sub-product | Text | .../CmonTradData/TxData/Cmmdty/.../.../AddtlSubPdct | No |
| OptionType | 2.132 - Option type | Text | .../CmonTradData/TxData/Optn/Tp | No |
| OptionStyle | 2.133 - Option style | Text | .../CmonTradData/TxData/Optn/ExrcStyle | No |
| StrikePrice_Type | - | Text | In .../CmonTradData/TxData/Optn/StrkPric if .../MntryVal exists, then "Monetary Value" if .../Pctg exists, then "Percentage" |
No |
| StrikePrice | 2.134 - Strike price | Decimal | In .../CmonTradData/TxData/Optn/StrkPric OR (if .../MntryVal/Sgn = False: -1 * .../MntryVal/Amt, else: .../MntryVal/Amt) OR .../Pctg |
No |
| StrikePrice_Currency | - | Text | In .../CmonTradData/TxData/Optn/StrkPric if .../MntryVal exists, then .../Amt/@Ccy |
No |
| StrikePrice_EffectiveDate | 2.135 - Effective date of the strike price | Text | .../CmonTradData/TxData/Optn/StrkPricSchdl/UadjstdFctvDt | Yes |
| StrikePrice_EndDate | 2.136 - End date of the strike price | Text | .../CmonTradData/TxData/Optn/StrkPricSchdl/UadjstdEndDt | Yes |
| StrikePrice_AssociatedEffectiveDate_Type | - | Text | In .../CmonTradData/TxData/Optn/StrkPricSchdl/Pric if .../MntryVal exists, then "Monetary Value" if .../Pctg exists, then "Percentage" |
Yes |
| StrikePrice_AssociatedEffectiveDate | 2.137 - Strike price in effect on associated effective date | Text | In .../CmonTradData/TxData/Optn/StrkPricSchdl/Pric OR (if .../MntryVal/Sgn = False: -1 * .../MntryVal/Amt, else: .../MntryVal/Amt) OR .../Pctg |
Yes |
| StrikePrice_AssociatedEffectiveDate_Currency | - | Text | In .../CmonTradData/TxData/Optn/StrkPricSchdl/Pric if .../MntryVal exists, then .../Amt/@Ccy |
Yes |
| OptionPremiumAmount | 2.139 - Option premium amount | Decimal | .../CmonTradData/TxData/Optn/PrmAmt | No |
| OptionPremiumCurrency | 2.140 - Option premium currency | Text | .../CmonTradData/TxData/Optn/PrmAmt/@Ccy | No |
| UnderlyingPremiumPaymentDate | 2.141 - Option premium payment date | Date | .../CmonTradData/TxData/Optn/PrmPmtDt | No |
| UnderlyingMaturityDate | 2.142 - Maturity date of the underlying | Date | .../CmonTradData/TxData/Optn/MtrtyDtOfUndrlyg | No |
| DeliveryPoint | 2.119 - Delivery point or zone | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryPtOrZone/Cd | Yes |
| InterConnectionPoint | 2.120 - Inter Connection Point | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/IntrCnnctnPt/Cd | No |
| LoadType | 2.121 - Load type | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/LdTp | No |
| DeliveryInterval_StartTime | 2.122 - Delivery interval start time | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/DlvryIntrvl/FrTm | Yes |
| DeliveryInterval_EndTime | 2.123 - Delivery interval end time | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/DlvryIntrvl/ToTm | Yes |
| Delivery_StartDate | 2.124 - Delivery start date | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/DlvryDt/FrDt | Yes |
| Delivery_EndDate | 2.125 - Delivery end date | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/DlvryDt/ToDt | Yes |
| Duration | 2.126 - Duration | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/Drtn | Yes |
| Weekdays | 2.127 - Days of the week | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/WkDay | Yes |
| DeliveryCapacity | 2.128 - Delivery capacity | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/DlvryCpcty/Qty | Yes |
| QuantityUnit | 2.129 - Quantity Unit | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/QtyUnit/Cd | Yes |
| PriceTime_IntervalQuantity | 2.130 - Price/time interval quantity | Text | In .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/PricTmIntrvlQty if .../Sgn = False: -1 * .../Amt, else: .../Amt |
Yes |
| PriceTime_IntervalQuantity_Currency | 2.131 - Currency of the price/time interval quantity | Text | .../CmonTradData/TxData/NrgySpcfcAttrbts/DlvryAttr/PricTmIntrvlQty/Amt/@Ccy | Yes |
| Seniority | 2.143 - Seniority | Text | .../CmonTradData/TxData/Cdt/Snrty | No |
| ReferenceEntity | 2.144 - Reference entity | Text | In .../CmonTradData/TxData/Cdt/RefPty OR .../Ctry OR .../CtrySubDvsn OR .../LEI |
No |
| Series | 2.145 - Series | Decimal | .../CmonTradData/TxData/Cdt/Srs | No |
| Version | 2.146 - Version | Decimal | .../CmonTradData/TxData/Cdt/Vrsn | No |
| IndexFactor | 2.147 - Index factor | Decimal | .../CmonTradData/TxData/Cdt/IndxFctr | No |
| Tranche | 2.148 - Tranche | Boolean | In .../CmonTradData/TxData/Cdt/Trch if .../Trnchd exists, then "True" if .../Utrnchd exists, then "False" |
No |
| CDS_AttachmentPoint | 2.149 - CDS index attachment point | Decimal | .../CmonTradData/TxData/Cdt/Trch/Trnchd/AttchmntPt | No |
| CDS_DetachmentPoint | 2.150 - CDS index detachment point | Decimal | .../CmonTradData/TxData/Cdt/Trch/Trnchd/DtchmntPt | No |
| OtherPayment_Amount | 2.74 - Other payment amount | Text | .../CmonTradData/TxData/OthrPmt/PmtAmt/Amt | Yes |
| OtherPayment_Currency | 2.75 - Other payment currency | Text | .../CmonTradData/TxData/OthrPmt/PmtAmt/Amt/@Ccy | Yes |
| OtherPayment_Type | 2.73 - Other payment type | Text | .../CmonTradData/TxData/OthrPmt/PmtTp/Tp | Yes |
| OtherPayment_Date | 2.76 - Other payment date | Text | .../CmonTradData/TxData/OthrPmt/PmtDt | Yes |
| OtherPayment_Payer | 2.77 - Other payment payer | Text | In .../CmonTradData/TxData/OthrPmt/PmtPyer if .../Lgl exists, then .../LEI if .../Ntrl exists, then .../Id/Id |
Yes |
| OtherPayment_Receiver | 2.78 - Other payment receiver | Text | In .../CmonTradData/TxData/OthrPmt/PmtRcvr if .../Lgl exists, then .../LEI if .../Ntrl exists, then .../Id/Id |
Yes |
| Package_Id | 2.6 - Package identifier | Text | .../CmonTradData/TxData/Packg/CmplxTradId | No |
| PackageTransaction_PriceType | - | Text | In .../CmonTradData/TxData/Packg/Pric if .../MntryVal exists, then "Monetary Value" if .../Pctg exists, then "Percentage" |
No |
| PackageTransaction_Price | 2.53 - Package transaction price | Decimal | In .../CmonTradData/TxData/Packg/Pric OR .../MntryVal exists OR .../Pctg |
No |
| PackageTransaction_PriceCurrency | 2.54 - Package transaction price currency | Text | In .../CmonTradData/TxData/Packg/Pric if .../MntryVal exists, then .../Amt/@Ccy |
No |
| PackageTransaction_SpreadType | - | Text | In .../CmonTradData/TxData/Packg/Sprd if .../MntryVal exists, then "Monetary Value" if .../Pctg exists, then "Percentage" if .../BsisPtSprd exists, then "Basis Point Spread" |
No |
| PackageTransaction_Spread | 2.111 - Package transaction spread | Decimal | In .../CmonTradData/TxData/Packg/Sprd OR (if .../MntryVal/Sgn = False: -1 * .../MntryVal/Amt, else: .../MntryVal/Amt) OR .../Pctg OR .../BsisPtSprd |
No |
| PackageTransaction_SpreadCurrency | 2.112 - Package transaction spread currency | Text | In .../CmonTradData/TxData/Packg/Sprd if .../MntryVal exists, then .../Amt/@Ccy |
No |
| Level | 2.154 - Level | Text | .../Lvl | No |
Notes:
- In repeating structures, when multiple values are present, they will appear in the CSV output as a pipe-separated list of values.
- Reported fields 2.115 - Exchange rate basis and 2.138 - Strike price currency/currency pair both represent the same currency pair of Base Currency and Quoted Currency. In the CSV output they are separated into BaseCurrency and QuotedCurrency.
- Fields 2.122 - Delivery interval start time, 2.123 - Delivery interval end time and 2.127 - Days of the week have a double-repeating structure. When multiple values are present, values within the first repeat will appear in the CSV output as a pipe-separated, values within the second repeat will appear in the CSV output as a slash-separated.
Example: THUD/FRID|SUND/SATD
EMIR REFIT - Derivatives Trade Margin Data Report
This is the message format for reporting transactions to ESMA - reference here. This adheres to the ISO 20022 message format auth.108.001.01.
Data within the XML is transformed and flattened to rows of data with the following fields. Data in repeated structures are flattened into concatenated text.
| CSV Field | Regulatory Reporting Field | Duco field type | Xpath | Repeating structure |
| ActionType | 3.28 - Action type | Text | In /Document/DerivsTradMrgnDataRpt/TradData if .../Rpt/MrgnUpd exist, then "MARU" if .../Rpt/Crrctn exist, then "CORR" |
No |
| ReportingTimestamp | 3.01 - Reporting timestamp | DateTime | .../RptgTmStmp | No |
| Counterparty1 | 3.04 - Counterparty 1 (Reporting counterparty) | Text | .../CtrPtyId/RptgCtrPty/Id/Lgl/Id/LEI | No |
| Counterparty2_IDType | 3.05 - Counterparty 2 identifier type | Boolean | In .../CtrPtyId/OthrCtrPty/IdTp if .../Lgl exists, then "True" if .../Ntrl exists, then "False" |
No |
| Counterparty2 | 3.06 - Counterparty 2 | Text | In .../CtrPtyId/OthrCtrPty/IdTp if .../Lgl exists, then .../Id/LEI if .../Ntrl exists, then .../Id/Id/Id |
No |
| ReportSubmittingEntityID | 3.02 - Report submitting entity ID | Text | .../CtrPtyId/SubmitgAgt/LEI | No |
| EntityResponsibleForReporting | 3.03 - Entity responsible for reporting | Text | .../CtrPtyId/NttyRspnsblForRpt/LEI | No |
| EventDate | 3.29 - Event date | Date | .../EvtDt | No |
| UTI | 3.10 - UTI | Text | .../TxId/UnqTxIdr | No |
| CollateralPortfolioIndicator | 3.08 - Collateral portfolio indicator | Boolean | In .../Coll/CollPrtflCd/Prtfl if .../Cd exists, then "True" if .../NoPrtfl exists, then "False" |
No |
| CollateralPortfolioCode | 3.09 - Collateral portfolio code | Text | .../Coll/CollPrtflCd/Prtfl/Cd | No |
| CollateralisationCategory | 3.11 - Collateralisation category | Text | .../Coll/CollstnCtgy | No |
| CollateralTimestamp | 3.07 - Collateral timestamp | DataTime | .../Coll/TmStmp | No |
| InitlMrgnPstd_PreHrcut | 3.12 - Initial margin posted by the counterparty 1 (pre-haircut) | Decimal | .../PstdMrgnOrColl/InitlMrgnPstdPreHrcut | No |
| Ccy_InitlMrgnPstd_PreHrcut | 3.14 - Currency of the initial margin posted | Text | .../PstdMrgnOrColl/InitlMrgnPstdPreHrcut/@Ccy | No |
| InitlMrgnPstd_PstHrcut | 3.13 - Initial margin posted by the counterparty 1 (post-haircut) | Decimal | .../PstdMrgnOrColl/InitlMrgnPstdPstHrcut | No |
| Ccy_InitlMrgnPstd_PstHrcut | 3.14 - Currency of the initial margin posted | Text | .../PstdMrgnOrColl/InitlMrgnPstdPstHrcut/@Ccy | No |
| VartnMrgnPstd_PreHrcut | 3.15 - Variation margin posted by the counterparty 1 (pre-haircut) | Decimal | .../PstdMrgnOrColl/VartnMrgnPstdPreHrcut | No |
| Ccy_VartnMrgnPstd_PreHrcut | 3.17 - Currency of the variation margins posted | Text | .../PstdMrgnOrColl/VartnMrgnPstdPreHrcut/@Ccy | No |
| VartnMrgnPstd_PstHrcut | 3.16 - Variation margin posted by the counterparty 1 (post-haircut) | Decimal | .../PstdMrgnOrColl/VartnMrgnPstdPstHrcut | No |
| Ccy_VartnMrgnPstd_PstHrcut | 3.17 - Currency of the variation margins posted | Text | .../PstdMrgnOrColl/VartnMrgnPstdPstHrcut/@Ccy | No |
| XcssCollPstd | 3.18 - Excess collateral posted by the counterparty 1 | Decimal | .../PstdMrgnOrColl/XcssCollPstd | No |
| Ccy_XcssCollPstd | 3.19 - Currency of the excess collateral posted | Text | .../PstdMrgnOrColl/XcssCollPstd/@Ccy | No |
| InitlMrgnRcvd_PreHrcut | 3.20 - Initial margin collected by the counterparty 1 (pre-haircut) | Decimal | .../RcvdMrgnOrColl/InitlMrgnRcvdPreHrcut | No |
| Ccy_InitlMrgnRcvd_PreHrcut | 3.22 - Currency of initial margin collected | Text | .../RcvdMrgnOrColl/InitlMrgnRcvdPreHrcut/@Ccy | No |
| InitlMrgnRcvd_PstHrcut | 3.21 - Initial margin collected by the counterparty 1 (post-haircut) | Decimal | .../RcvdMrgnOrColl/InitlMrgnRcvdPstHrcut | No |
| Ccy_InitlMrgnRcvd_PstHrcut | 3.22 - Currency of initial margin collected | Text | .../RcvdMrgnOrColl/InitlMrgnRcvdPstHrcut/@Ccy | No |
| VartnMrgnRcvd_PreHrcut | 3.23 - Variation margin collected by the counterparty 1 (pre-haircut) | Decimal | .../RcvdMrgnOrColl/VartnMrgnRcvdPreHrcut | No |
| Ccy_VartnMrgnRcvd_PreHrcut | 3.25 - Currency of variation margin collected | Text | .../RcvdMrgnOrColl/VartnMrgnRcvdPreHrcut/@Ccy | No |
| VartnMrgnRcvd_PstHrcut | 3.24 - Variation margin collected by the counterparty 1 (post-haircut) | Decimal | .../RcvdMrgnOrColl/VartnMrgnRcvdPstHrcut | No |
| Ccy_VartnMrgnRcvd_PstHrcut | 3.25 - Currency of variation margin collected | Text | .../RcvdMrgnOrColl/VartnMrgnRcvdPstHrcut/@Ccy | No |
| XcssCollRcvd | 3.26 - Excess collateral collected by the counterparty 1 | Decimal | .../RcvdMrgnOrColl/XcssCollRcvd | No |
| Ccy_XcssCollRcvd | 3.27 - Currency of excess collateral collected | Text | .../RcvdMrgnOrColl/XcssCollRcvd/Ccy | No |
Notes:
Currency regulatory fields were divided to match the schema division by Pre-haircut and Post-haircut:
- 3.14 - Currency of the initial margin posted regulatory field into:
- Ccy_InitlMrgnPstd_PreHrcut
- Ccy_InitlMrgnPstd_PstHrcut
- 3.17 - Currency of the variation margins posted regulatory field into:
- Ccy_VartnMrgnPstd_PreHrcut
- Ccy_VartnMrgnPstd_PstHrcut
- 3.22 - Currency of initial margin collected regulatory field into:
- Ccy_InitlMrgnRcvd_PreHrcut
- Ccy_InitlMrgnRcvd_PstHrcut
- 3.25 - Currency of variation margin collected regulatory field into:
- Ccy_VartnMrgnRcvd_PreHrcut
- Ccy_VartnMrgnRcvd_PstHrcut