[F1ANNEX U.K.

Textual Amendments

Table 1

Counterparty Data

a

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

b

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

c

Directive 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council and repealing Council Directive 93/22/EEC ( OJ L 145, 30.4.2004, p. 1 ).

d

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

e

Directive 2003/41/EC of the European Parliament and of the Council of 3 June 2003 on the activities and supervision of institutions for occupational retirement provision ( OJ L 235, 23.9.2003, p. 10 ).

f

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

g

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

Field Format
Parties to the contract
1 Reporting timestamp ISO 8601 date in the format and Coordinated Universal Time (UTC) time format YYYY-MM-DDThh:mm:ssZ
2 Reporting Counterparty ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.
3 Type of ID of the other Counterparty

‘ LEI ’ for ISO 17442 Legal Entity Identifier (LEI)

‘ CLC ’ for Client code

4 ID of the other Counterparty

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.

Client code (up to 50 alphanumerical digits).

5 Country of the other Counterparty ISO 3166 – 2 character country code
6 Corporate sector of the reporting counterparty

Taxonomy for Financial Counterparties:

A = Assurance undertaking authorised in accordance with Directive 2009/138/EC of the European Parliament and of the Council a

C = Credit institution authorised in accordance with Directive 2013/36/EU of the European Parliament and of the Council b

F = Investment firm authorised in accordance with Directive 2004/39/EC of the European Parliament and of the Council c

I = Insurance undertaking authorised in accordance with Directive 2009/138/EC

L = Alternative investment fund managed by Alternative Investment Fund Managers (AIFMs) authorised or registered in accordance with Directive 2011/61/EU of the European Parliament and of the Council d

O = Institution for occupational retirement provision within the meaning of Article 6(a) of Directive 2003/41/EC of the European Parliament and of the Council e

R = Reinsurance undertaking authorised in accordance with Directive 2009/138/EC

U = Undertakings for the Collective Investment in Transferable Securities (UCITS)and its management company, authorised in accordance with Directive 2009/65/EC of the European Parliament and of the Council f

Taxonomy for Non-Financial Counterparties. The following categories correspond to the main sections of Statistical classification of economic activities in the European Community (NACE) as defined in Regulation (EC) No 1893/2006 of the European Parliament and of the Council g

1 = Agriculture, forestry and fishing

2 = Mining and quarrying

3 = Manufacturing

4 = Electricity, gas, steam and air conditioning supply

5 = Water supply, sewerage, waste management and remediation activities

6 = Construction

7 = Wholesale and retail trade, repair of motor vehicles and motorcycles

8 = Transportation and storage

9 = Accommodation and food service activities

10 = Information and communication

11 = Financial and insurance activities

12 = Real estate activities

13 = Professional, scientific and technical activities

14 = Administrative and support service activities

15 = Public administration and defence; compulsory social security

16 = Education

17 = Human health and social work activities

18 = Arts, entertainment and recreation

19 = Other service activities

20 = Activities of households as employers; undifferentiated goods – and services –producing activities of households for own use

21 = Activities of extraterritorial organisations and bodies

Where more than one activity is reported, list the codes in order of the relative importance of the corresponding activities, separating them with a ‘ - ’ .

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

7 Nature of the reporting counterparty

F = Financial Counterparty

N = Non-Financial Counterparty

C = Central Counterparty

O = Other

8 Broker ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code.
9 Report submitting entity ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code)
10 Clearing member ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code
11 Type of ID of the Beneficiary

‘ LEI ’ for ISO 17442 Legal Entity Identifier (LEI)

‘ CLC ’ for Client code

12 Beneficiary ID ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code or up to 50 alphanumerical character client code in the case where the client is not eligible for a Legal Entity Identifier
13 Trading capacity

P = Principal

A = Agent

14 Counterparty side

B = Buyer

S = Seller

Populated in accordance with Article 3a

15 Directly linked to commercial activity or treasury financing

Y = Yes

N = No

16 Clearing threshold

Y = Above the threshold

N = Below the threshold

17 Value of contract

Up to 20 numerical characters including decimals.

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

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

18 Currency of the value ISO 4217 Currency Code, 3 alphabetical characters
19 Valuation timestamp ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
20 Valuation type

M = Mark-to-market

O = Mark-to-model

C = CCP's valuation.

21 Collateralisation

U = uncollateralised

PC = partially collateralised

OC = one way collateralised

FC = fully collateralised

Populated in accordance with Article 3b

22 Collateral portfolio

Y = Yes

N = No

23 Collateral portfolio code

Up to 52 alphanumerical characters including four special characters: ‘ . - _. ’

Special characters are not allowed at the beginning and at the end of the code. No space allowed.

24 Initial margin posted

Up to 20 numerical characters including decimals.

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

25 Currency of the initial margin posted ISO 4217 Currency Code, 3 alphabetical characters
26 Variation margin posted

Up to 20 numerical characters including decimals.

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

27 Currency of the variation margins posted ISO 4217 Currency Code, 3 alphabetical characters
28 Initial margin received

Up to 20 numerical characters including decimals.

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

29 Currency of the initial margin received ISO 4217 Currency Code, 3 alphabetical characters
30 Variation margin received

Up to 20 numerical characters including decimals.

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

31 Currency of the variation margins received ISO 4217 Currency Code, 3 alphabetical characters
32 Excess collateral posted

Up to 20 numerical characters including decimals.

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

33 Currency of the excess collateral posted ISO 4217 Currency Code, 3 alphabetical characters
34 Excess collateral received

Up to 20 numerical characters including decimals.

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

35 Currency of the excess collateral received ISO 4217 Currency Code, 3 alphabetical characters

Table 2

Common Data

Field Format Applicable types of derivative contracts
Section 2a – Contract type All contracts
1 Contract type

CD = Financial contracts for difference

FR = Forward rate agreements

FU = Futures

FW = Forwards

OP = Option

SB = Spreadbet

SW = Swap

ST = Swaption

OT = Other

2 Asset class

CO = Commodity and emission allowances

CR = Credit

CU = Currency

EQ = Equity

IR = Interest Rate

Section 2b – Contract information All contracts
3 Product classification type C = CFI
4 Product classification ISO 10692 CFI, 6 characters alphabetical code
5 Product identification type

Specify the applicable identification:

I = ISIN

A = AII

6 Product identification

For product identifier type I: ISO 6166 ISIN 12 character alphanumerical code

For product identifier type A: Complete AII code

7 Underlying identification type

I = ISIN

A = AII

B = Basket

X = Index

8 Underlying identification

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

For underlying identification type A: complete AII code

For underlying identification type B: all individual components identification through ISO 6166 ISIN or complete AII code. Identifiers of individual components shall be separated with a dash ‘ - ’ .

For underlying identification type X: ISO 6166 ISIN if available, otherwise full name of the index as assigned by the index provider

9 Notional currency 1 ISO 4217 Currency Code, 3 alphabetical characters
10 Notional currency 2 ISO 4217 Currency Code, 3 alphabetical characters
11 Deliverable currency ISO 4217 Currency Code, 3 alphabetical characters
Section 2c – Details on the transaction All contracts
12 Trade ID

Up to 52 alphanumerical character code including four special characters: ‘ . - _. ’

Special characters are not allowed at the beginning and at the end of the code. No space allowed.

13 Report tracking number An alphanumeric field up to 52 characters
14 Complex trade component ID An alphanumeric field up to 35 characters
15 Venue of execution ISO 10383 Market Identifier Code (MIC), 4 alphanumerical characters, in accordance with Article 4(b).
16 Compression

Y = contract results from compression

N = contract does not result from compression

17 Price/rate

Up to 20 numerical characters including decimals.

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

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

In case the price is reported in percent values, it should be expressed as percentage where 100 % is represented as ‘ 100 ’

18 Price notation

U = Units

P = Percentage

Y = Yield

19 Currency of price ISO 4217 Currency Code, 3 alphabetic characters
20 Notional

Up to 20 numerical characters including decimals.

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

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

21 Price multiplier

Up to 20 numerical characters including decimals.

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

22 Quantity

Up to 20 numerical characters including decimals.

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

23 Up-front payment

Up to 20 numerical characters including decimals.

The negative symbol to be used to indicate that the payment was made, not received.

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

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

24 Delivery type

C = Cash

P = Physical

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

25 Execution timestamp ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
26 Effective date ISO 8601 date in the format YYYY-MM-DD
27 Maturity date ISO 8601 date in the format YYYY-MM-DD
28 Termination date ISO 8601 date in the format YYYY-MM-DD
29 Settlement date ISO 8601 date in the format YYYY-MM-DD
30 Master Agreement type Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any
31 Master Agreement version ISO 8601 date in the format YYYY
Section 2d – Risk mitigation/Reporting All contracts
32 Confirmation timestamp ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
33 Confirmation means

Y = Non-electronically confirmed

N = Non-confirmed

E = Electronically confirmed

Section 2e – Clearing All contracts
34 Clearing obligation

Y = Yes

N = No

35 Cleared

Y = Yes

N = No

36 Clearing timestamp ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
37 CCP

ISO 17442 Legal Entity Identifier (LEI)

20 alphanumerical character code

38 Intragroup

Y = Yes

N = No

Section 2f – Interest Rates Interest rate derivatives
39 Fixed rate of leg 1

Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘ 100 ’ .

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

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

40 Fixed rate of leg 2

Up to 10 numerical characters including decimals expressed as percentage where 100 % is represented as ‘ 100 ’ .

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

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

41 Fixed rate day count leg 1 Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘ Actual ’ , e.g. 30/360 or Actual/365
42 Fixed rate day count leg 2 Numerator/Denominator where both Numerator and Denominator are numerical characters or alphabetic expression ‘ Actual ’ , e.g. 30/360 or Actual/365
43 Fixed rate payment frequency leg 1 –time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

44 Fixed rate payment frequency leg 1 – multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

45 Fixed rate payment frequency leg 2 – time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

46 Fixed rate payment frequency leg 2 – multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

47 Floating rate payment frequency leg 1 – time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

48 Floating rate payment frequency leg 1 – multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

49 Floating rate payment frequency leg 2 – time period

Time period describing how often the counterparties exchange payments, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

50 Floating rate payment frequency leg 2 – multiplier

Integer multiplier of the time period describing how often the counterparties exchange payments.

Up to 3 numerical characters.

51 Floating rate reset frequency leg 1 – time period

Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

52 Floating rate reset frequency leg 1 – multiplier

Integer multiplier of the time period describing how often the counterparties reset the floating rate.

Up to 3 numerical characters.

53 Floating rate reset frequency leg 2 – time period

Time period describing how often the counterparties reset the floating rate, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

54 Floating rate reset frequency leg 2 – multiplier

Integer multiplier of the time period describing how often the counterparties reset the floating rate.

Up to 3 numerical characters.

55 Floating rate of leg 1

The name of the floating rate index

‘ EONA ’ – EONIA

‘ EONS ’ – EONIA SWAP

‘ EURI ’ – EURIBOR

‘ EUUS ’ – EURODOLLAR

‘ EUCH ’ – EuroSwiss

‘ GCFR ’ – GCF REPO

‘ ISDA ’ – ISDAFIX

‘ LIBI ’ – LIBID

‘ LIBO ’ – LIBOR

‘ MAAA ’ – Muni AAA

‘ PFAN ’ – Pfandbriefe

‘ TIBO ’ – TIBOR

‘ STBO ’ – STIBOR

‘ BBSW ’ – BBSW

‘ JIBA ’ – JIBAR

‘ BUBO ’ – BUBOR

‘ CDOR ’ – CDOR

‘ CIBO ’ – CIBOR

‘ MOSP ’ – MOSPRIM

‘ NIBO ’ – NIBOR

‘ PRBO ’ – PRIBOR

‘ TLBO ’ – TELBOR

‘ WIBO ’ – WIBOR

‘ TREA ’ – Treasury

‘ SWAP ’ – SWAP

‘ FUSW ’ – Future SWAP

Or up to 25 alphanumerical characters if the reference rate is not included in the above list

56 Floating rate reference period leg 1 – time period

Time period describing reference period, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

57 Floating rate reference period leg 1 – multiplier

Integer multiplier of the time period describing the reference period.

Up to 3 numerical characters.

58 Floating rate of leg 2

The name of the floating rate index

‘ EONA ’ – EONIA

‘ EONS ’ – EONIA SWAP

‘ EURI ’ – EURIBOR

‘ EUUS ’ – EURODOLLAR

‘ EUCH ’ – EuroSwiss

‘ GCFR ’ – GCF REPO

‘ ISDA ’ – ISDAFIX

‘ LIBI ’ – LIBID

‘ LIBO ’ – LIBOR

‘ MAAA ’ – Muni AAA

‘ PFAN ’ – Pfandbriefe

‘ TIBO ’ – TIBOR

‘ STBO ’ – STIBOR

‘ BBSW ’ – BBSW

‘ JIBA ’ – JIBAR

‘ BUBO ’ – BUBOR

‘ CDOR ’ – CDOR

‘ CIBO ’ – CIBOR

‘ MOSP ’ – MOSPRIM

‘ NIBO ’ – NIBOR

‘ PRBO ’ – PRIBOR

‘ TLBO ’ – TELBOR

‘ WIBO ’ – WIBOR

‘ TREA ’ – Treasury

‘ SWAP ’ – SWAP

‘ FUSW ’ – Future SWAP

Or up to 25 alphanumerical characters if the reference rate is not included in the above list

59 Floating rate reference period leg 2 – time period

Time period describing reference period, whereby the following abbreviations apply:

Y = Year

M = Month

W = Week

D = Day

60 Floating rate reference period leg 2 – multiplier

Integer multiplier of the time period describing the reference period.

Up to 3 numerical characters.

Section 2g – Foreign Exchange Currency derivatives
61 Delivery currency 2 ISO 4217 Currency Code, 3 alphabetical character code
62 Exchange rate 1

Up to 10 numerical digits including decimals.

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

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

63 Forward exchange rate

Up to 10 numerical characters including decimals.

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

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

64 Exchange rate basis Two ISO 4217 currency codes separated by ‘ / ’ . First currency code shall indicate the base currency, and the second currency code shall indicate the quote currency.
Section 2h – Commodities and emission allowances Commodity and emission allowance derivatives
General
65 Commodity base

AG = Agricultural

EN = Energy

FR = Freights

ME = Metals

IN = Index

EV = Environmental

EX = Exotic

OT = Other

66 Commodity details

Agricultural

GO = Grains oilseeds

DA = Dairy

LI = Livestock

FO = Forestry

SO = Softs

SF = Seafood

OT = Other

Energy

OI = Oil

NG = Natural gas

CO = Coal

EL = Electricity

IE = Inter-energy

OT = Other

Freights

DR = Dry

WT = Wet

OT = Other

Metals

PR = Precious

NP = Non-precious

Environmental

WE = Weather

EM = Emissions

OT = Other

Energy
67 Delivery point or zone

EIC code, 16 character alphanumeric code

Repeatable field.

68 Interconnection Point EIC code, 16 character alphanumeric code
69 Load type

BL = Base Load

PL = Peak Load

OP = Off-Peak

BH = Hour/Block Hours

SH = Shaped

GD = Gas Day

OT = Other

Repeatable section of fields 70 – 77
70 Load delivery intervals hh:mmZ
71 Delivery start date and time ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
72 Delivery end date and time ISO 8601 date in the UTC time format YYYY-MM-DDThh:mm:ssZ
73 Duration

N = Minutes

H = Hour

D = Day

W = Week

M = Month

Q = Quarter

S = Season

Y = Annual

O = Other

74 Days of the week

WD = Weekdays

WN = Weekend

MO = Monday

TU = Tuesday

WE = Wednesday

TH = Thursday

FR = Friday

SA = Saturday

SU = Sunday

Multiple values separated by ‘ / ’ are permitted

75 Delivery capacity

Up to 20 numerical digits including decimals

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

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

76 Quantity Unit

KW

KWh/h

KWh/d

MW

MWh/h

MWh/d

GW

GWh/h

GWh/d

Therm/d

KTherm/d

MTherm/d

cm/d

mcm/d

77 Price/time interval quantities

Up to 20 numerical characters including decimals.

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

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

Section 2i – Options Contracts that contain an option
78 Option type

P = Put

C = Call

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

79 Option exercise style

A = American

B = Bermudan

E = European

S = Asian

More than one value is allowed

80 Strike price (cap/floor rate)

Up to 20 numerical characters including decimals.

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

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

Where the strike price is reported in percent values, it should be expressed as percentage where 100 % is represented as ‘ 100 ’

81 Strike price notation

U = Units

P = Percentage

Y = Yield

82 Maturity date of the underlying ISO 8601 date in the format YYYY-MM-DD
Section 2j – Credit derivatives
83 Seniority

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

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

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

84 Reference entity

ISO 3166 – 2 character country code

or

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

or

ISO 17442 Legal Entity Identifier (LEI) 20 alphanumerical character code

85 Frequency of payment

MNTH = Monthly

QURT = Quarterly

MIAN = Semi-annually

YEAR = Yearly

86 The calculation basis Numerator/Denominator where both, Numerator and Denominator are numerical characters or alphabetic expression ‘ Actual ’ , e.g. 30/360 or Actual/365
87 Series Integer field up to 5 characters
88 Version Integer field up to 5 characters
89 Index factor

Up to 10 numerical characters including decimals.

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

90 Tranche

T = Tranched

U = Untranched

91 Attachment point

Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.

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

92 Detachment point

Up to 10 numerical characters including decimals expressed as a decimal fraction between 0 and 1.

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

Section 2k – Modifications to the contract
93 Action type

N = New

M = Modify

E = Error

C = Early Termination

R = Correction

Z = Compression

V = Valuation update

P = Position component

94 Level

T = Trade

P = Position

]