[F1ANNEX III U.K. Reporting scheme for money market statistics relating to derivatives transactions

Textual Amendments

PART 2 U.K. TYPE OF DATA

1. Type of transaction-based data (1) for foreign exchange swap transactions to be reported for each transaction: U.K.

Field Description of data Alternative reporting option (if any) and other qualifications
Reported transaction status This attribute specifies whether the transaction is a new transaction, an amendment of a previously reported transaction, a cancellation or a correction of a previously reported transaction.
Novation status This attribute specifies whether the transaction is a novation.
Unique transaction identifier The unique code that allows a transaction in the respective market segment to be identified. Reporting of this field is required if available.
Proprietary transaction identification The unique internal transaction identifier used by the reporting agent for each transaction. The proprietary transaction identification is unique for any transaction reported per money market segment and reporting agent.
Related proprietary transaction identification The unique internal transaction identifier used by the reporting agent for the initial trade that has been subsequently novated. Reporting of this field is mandatory where applicable.
Counterparty proprietary transaction identification The proprietary transaction identification assigned by the counterparty of the reporting agent to the same transaction. Reporting of this field is required if available.
Counterparty identification An identification code used to recognise the counterparty of the reporting agent for the reported transaction. The Legal Entity Identifier (LEI) code must be used in all circumstances where the counterparty has been assigned such an identifier. The counterparty sector and counterparty location must be reported if an LEI code is not assigned.
Counterparty sector The counterparty institutional sector. Mandatory if the counterparty identification is not provided.
Counterparty location The International Organisation for Standardisation (ISO) country code of the country in which the counterparty is incorporated. Mandatory if the counterparty identification is not provided.
Reporting date The start and end date and time of the period to which the transaction data in the file refers.
Electronic time stamp The time at which a transaction is concluded or booked.
Trade date The date on which the parties enter into the reported financial transaction.
Spot value date The date on which one party sells to the other a specified amount of a specified currency against payment of an agreed amount of a specified different currency based on an agreed foreign exchange rate known as a foreign exchange spot rate.
Maturity date The date on which the foreign exchange swap transaction expires and the currency sold on the spot value date is repurchased.
Foreign exchange transaction type

This attribute specifies whether the euro amount reported under the transactional nominal amount is bought or sold on the spot value date.

This should refer to euro spot, i.e. whether euro is bought or sold on the spot value date.

Transaction nominal amount The nominal amount in euro of the foreign exchange swap.
Foreign currency code The international three-digit ISO code of the currency bought/sold in exchange for euro.
Foreign exchange spot rate The foreign exchange rate between the euro and the foreign currency applicable to the first leg of the foreign exchange swap transaction.
Foreign exchange forward points The difference between the foreign exchange forward rate and the foreign exchange spot rate expressed in basis points quoted in accordance with the prevailing market conventions for the respective currency pair.

2. Type of transaction-based data for OIS transactions to be reported for each transaction: U.K.

Field Description of data Alternative reporting option (if any) and other qualifications
Reported transaction status This attribute specifies whether the transaction is a new transaction, an amendment of a previously reported transaction, a cancellation or a correction of a previously reported transaction.
Novation status This attribute specifies whether the transaction is a novation.
Unique transaction identifier The unique code that allows a transaction in the respective market segment to be identified. Reporting of this field is required if available.
Proprietary transaction identification The unique internal transaction identifier used by the reporting agent for each transaction. The proprietary transaction identification is unique for any transaction reported per money market segment and reporting agent.
Related proprietary transaction identification The unique internal transaction identifier used by the reporting agent for the initial trade that has been subsequently novated. Reporting of this field is mandatory where applicable.
Counterparty proprietary transaction identification The proprietary transaction identification assigned by the counterparty of the reporting agent to the same transaction. Reporting of this field is required if available.
Counterparty identification An identification code used to recognise the counterparty of the reporting agent for the reported transaction. The LEI code must be used in all circumstances where the counterparty has been assigned such an identifier. The counterparty sector and counterparty location must be reported if an LEI code is not assigned.
Counterparty sector The counterparty institutional sector. Mandatory if the counterparty identification is not provided.
Counterparty location The ISO country code of the country in which the counterparty is incorporated. Mandatory if the counterparty identification is not provided.
Reporting date The start and end date and time of the period to which the transaction data in the file refers.
Electronic time stamp The time at which a transaction is concluded or booked. Optional.
Trade date The date on which the parties enter into the financial transaction.
Start date The date on which the overnight rate of the floating leg is computed.
Maturity date The last date of the term over which the compounded overnight rate is calculated.
Fixed interest rate The fixed rate used in the calculation of the OIS pay out.
Transaction type This attribute specifies whether the fixed interest rate is paid or received by the reporting agent.
Transaction nominal amount The notional amount of the OIS.

3. Materiality threshold: U.K.

Transactions undertaken with non-financial corporations should only be reported when undertaken with non-financial corporations classified as ‘ wholesale ’ on the basis of the Basel III LCR Framework.]

(1)

[F1The electronic reporting standards and the technical specifications for the data are laid down separately. They are available on the ECB's website at: www.ecb.europa.eu.]

Textual Amendments