Reporting/Europe: conditional section

Occurrence:

• If the trade described in the CpMLDocument is reported for EMIR or REMIT, then this section is mandatory.

• Else, this section must be omitted.

Values:

• If ‘ReportingRole’ is set to “Clearing_Agent”, then the transaction details section must be ‘ETDTradeDetails’.

• If the transaction being reported is an intra-group transaction that is reported on behalf of another group entity and the reporting entity is a party to the transaction, then the ‘ReportingRole’ should be set to “CP_Agent”.

• If the reporting entity is not a party to the transaction, that is, the trade is between two other group entities or a group entity and an external organisation or two external organisations, then the ‘ReportingRole’ must be set to “Internal_Agent”.

Important: “CP_Agent” or “Clearing_Agent” must be a party to the transaction described in the transaction details section.
“Internal_Agent” or “Execution_Agent” must not be a party to the transaction described in the transaction details section.

Values:

• If the CpMLDocument is to be treated as back-loaded information, then this field must be set to “True”.

• Else, this field must be set to “False”.

Determines the type of report, for example, a new report or a contract termination.

Values:

• If the transaction details section is ‘ETDTradeDetails’ and the CpMLDocument is the first occurrence of the UTI, then this field must be set to “N” or “P”.

• If the transaction details section is not ‘ETDTradeDetails’ and the CpMLDocument is a first-time submission of a derivative transaction or post-trade event, then this field must be set to “N” (New).

• If ‘Backload’ is set to “True”, then this field must be set to “N” (New). This ensures that any back-loaded report is loaded as a new action.

• If the CpMLDocument is a modification of a previously reported derivative contract that is common to both counterparties (bilateral change), then this field must be set to “M” (Modify).

• If the CpMLDocument is a correction of a previously reported transaction without a modification of the trade details (unilateral change), then this field must be set to “R” (Revision).

• If the CpMLDocument is a nullification or an early termination of an existing contract, then this field must be set to “C” (Cancel).

• If the CpMLDocument is a removal of a wrongly submitted report, then this field must be set to “E” (Error).

• If the CpMLDocument is a compression of a previously reported contract, then this field must be set to “Z”.
  For ETDs that were previously reported with ‘ActionType’ set to “P”, the value “Z” may not be used to report the compression of the exchange-traded derivative into a position. This would be an unrequired repetition of the previous report, which already incorporated the compression of the ETD into a position.

Europe/EURegulatoryDetails: mandatory section

Values:

• If ‘ReportingRole’ is set to “Trader”, “CP_Agent” or “Clearing_Agent”, then this section must be completed from the perspective of the sender.

• If ‘Sender ID’ is set to “BuyerParty”, then the sender is the buyer.

• If ‘Sender ID’ is set to “SellerParty”, then the sender is the seller.

• If ‘ActingOnBehalfOf’ is set to “Buyer”, then this section must be completed from the perspective of the ‘BuyerParty’ in the transaction details section.

• If ‘ActingOnBehalfOf’ is set to “Seller”, then this section must be completed from the perspective of the ‘SellerParty’ in the transaction details section.

• If ‘ActingOnBehalfOf’ is set to “Buyer_And_Seller”, then this section must be completed from the perspective of the ‘BuyerParty’ in the transaction details section.

The identifier of the counterparty trader (reporting side) who initiates the trade event on the platform where the trade is booked.

If the trade is not executed through an OMP, then the Market Participant must supply this data.

EURegulatoryDetails/CPSectors: conditional section

Occurrence:

• If ‘CPFinancialNature’ is set to “F” or “N”, then this section is optional.

• Else, this section must be omitted.

Occurrence:

• If ‘CPFinancialNature’ is set to “N”, then this field is optional.

• Else, this field must be omitted.

Occurrence:

• If ‘CPFinancialNature’ is set to “F”, “N”, or “O”, then this field is optional.

• Else, this field must be omitted.

Occurrence:

• If ‘CollateralisationPortfolio’ is set to “False”, then this field must be omitted.

• Else, this field is optional.

Values:

• If ‘ReportingRole’ is set to “CP_Agent” or “Clearing_Agent” or if ‘ETDTradeDetails/ReportingRole’ is set to “Internal_Agent”, then this field must not contain the value “Buyer_And_Seller”.
  The reason is that the counterparty agent or clearing agent must be a party to the transaction that is reported (see ‘AgentID’).
  In the case of an ETD, the “Internal_Agent” cannot know the identity of the other counterparty since the trade is cleared and anonymous.

Rules for ‘SenderID’ in transaction details section:

• If ‘ReportingRole’ is set to “Internal_Agent” and ‘ActingOnBehalfOf’ is set to “Buyer” or “Buyer_And_Seller”, then ‘SenderID’ must be equal to ‘BuyerParty’.

• If ‘ReportingRole’ is set to “Execution_Agent” and the transaction details section is not ‘ETDTradeDetails’ and ‘ActingOnBehalfOf’ is set to “Buyer” or “Buyer_And_Seller”, then ‘SenderID’ must be equal to ‘BuyerParty’.

• If ‘ReportingRole’ is set to “Internal_Agent” and ‘ActingOnBehalfOf’ is set to “Seller”, then ‘SenderID’ must be equal to ‘SellerParty’.

• If ‘ReportingRole’ is set to “Execution_Agent” and the transaction details section is not ‘ETDTradeDetails’ and ‘ActingOnBehalfOf’ is set to “Seller”, then ‘SenderID’ must be equal to ‘SellerParty’.

ReportingOnBehalfOf/OtherCounterpartyDetails: conditional section

Occurrence:

• If ‘ReportingRole’ is set to “Execution_Agent” or “InternalAgent” and ‘ActingOnBehalfOf’ is set to “Buyer_And_Seller”, then this section is mandatory and must refer to the ‘SellerParty’ in the transaction details section.

• If ‘ReportingRole’ is set to “CP_Agent” or “Clearing_Agent” and ‘ActingOnBehalfOf’ is set to “Buyer”, then this section is mandatory and must refer to the ‘BuyerParty’ in the transaction details section.

• If ‘ReportingRole’ is set to “CP_Agent” or “Clearing_Agent” and ‘ActingOnBehalfOf’ is set to “Seller”, then this section is mandatory and must refer to the ‘SellerParty’ in the transaction details section.

• Else, this section must be omitted.

The trade repository for EMIR reporting.

Note: This field is not used by eRR when processing CpML submissions for REMIT.

OtherCounterpartyDetails/CPSectors: conditional section

Occurrence:

• If ‘CPFinancialNature’ is set to “F” or “N”, then this section is mandatory.

• Else, this section must be omitted.

Occurrence:

• If ‘CPFinancialNature’ is set to “N”, then this field is optional.

• Else, this field must be omitted.

Occurrence:

• If ‘CPFinancialNature’ is set to “F”, “N”, or “O”, then this field is optional.

• Else, this field must be omitted.

Occurrence:

• If ‘CollateralisationPortfolio’ is set to “False”, then this field must be omitted.

• Else, this field is optional.

Occurrence:

• If ‘VenueOfExecution’ is set to “XOFF”, then this field is mandatory.

• If ‘VenueOfExecution’ contains a MIC code classified as ISIN or Aii in the MiFID database (see ref ID [2]), then this field is mandatory.

• If ‘VenueOfExecution’ contains a MIC code that is either unclassified or classified as neither ISIN nor Aii in the MiFID database (see ref ID [2]), then this field must be omitted.

• If ‘VenueOfExecution’ is set to “XXXX”, then this field must be omitted.

Values:

• If ‘VenueOfExecution’ is set to “XOFF”, then this field must be set to “I”.

• If ‘VenueOfExecution’ contains a MIC code classified as ISIN, then this field must be set to “I”.

• If ‘VenueOfExecution’ contains a MIC code classified as Aii, then this field must be set to “A”.

EURegulatoryDetails/LinkedTransactionInformation: optional section

This section indicates if two transactions are linked to each other or to transactions executed within the framework of non-standard contracts linked to the contract.

The ‘LinkedTransactionInformation’ section must be used in the following scenarios:

When a trade occurs across multiple products due to the nature of the product, for example, a product that is a spread of two or more products falling under the scope of REMIT. The trade for each product must be reported and the different trades must be linked to each other.

Usage scenarios:

• Clean and Dirty Spark Spreads: a trade that involves electricity and gas. The two contracts are reported separately: one leg for the electricity and one leg for the gas trade. The two legs must be linked using this field.

• Physical Swap: a trade that involves two gas or electricity trades. A geographical physical swap involves two trades: selling gas in a particular delivery point and buying it in another delivery point. If the trades are executed simultaneously, both trades must be reported separately and linked using this field.

• When a transaction is executed within the framework of a non-standard contract. The details of the transaction specifying at least an outright volume and price must be reported and linked to the non-standard contract ID.

• When a trade occurs due to a set of orders or a linked order, such as a block order or a linked order within a single product.

Values:

• If this transaction is executed on a Regulated Market or MTF, then this field must contain the MIC code of the venue.

• If the transaction is a listed derivative executed on a venue that is not a Regulated Market or MTF, then this field must be set to “XOFF”.

• Else, this field must be set to “XXXX”.

Start of conditional section

Occurrence:

• If there is an upfront payment to report, then this section is mandatory.

• Else, this section must be omitted.

Occurrence:

• Transaction details section is ‘TradeConfirmation’:

• If ‘TransactionType’ is set to “FOR”, “OPT”, “PHYS_INX” or “OPT_PHYS_INX” and ‘Commodity’ is set to “Power” or “Gas”, then this field is mandatory.

• If ‘TransactionType’ is a Financial Transaction, then the following applies:

  • If ‘EURegulatory­Details/Formula­Product­Information/Commodity­Detail’ is set to “EL” or “NG”, then this field is optional.

  • If ‘TradeConfirmation/FloatPriceInformation[1‑2]/
    Commodity­Reference[1-n]/IndexCommodity’ is set to “Electricity” or “Nat_Gas”, then this field is optional.

• Else, this field must be omitted.

The date and time of the confirmation of the transaction as defined under Commission Delegated Regulation No 149/2013 (1) indicating the time zone in which the confirmation has taken place.

Occurrence:

• If ‘ConfirmationMeans’ is set to “N”, then this field must be omitted.

• Else, this field is mandatory.

The termination date of the reported contract.

Occurrence:

• If ‘ActionType’ is set to “C” or “Z”, then this field is optional.

• Else, this field must be omitted.

EURegulatoryDetails/SettlementDates: conditional section

Occurrence:

• If the transaction details section is ‘TradeConfirmation’ and ‘TransactionType’ is set to “FOR” or “PHYS_INX”, then this section is mandatory.

• If the transaction details section is ‘ETDTradeDetails’, then this section is mandatory.

• If the transaction details section is ‘IRSTradeDetails’ and TransactionType is set to “FXD_SWP”, “FXD_FXD_SWP” or “FLT_SWP”, then this section is mandatory.

• Else, this section is optional.

Occurrence & Values:

• If ‘VenueOfExecution’ is set to “XOFF” and ‘ETDTradeDetails/PrimaryAssetClass’ is set to “ForeignExchange” or “Commodity”, then this field is mandatory and must be set “I”.

• If ‘VenueOfExecution’ is set to a MIC code that is listed in the MiFID database and for which an instrument identifier is specified, then this field is mandatory and must be set to “I” or “A”, depending on the relevant instrument classification scheme.

• Else, this field must be omitted.

The number of units of the financial instrument that are contained in a trading lot.

Example: the number of derivatives represented by one contract.

Details of the ‘CommodityBase’.

Occurrence:

• If ‘ETDTradeDetails/PrimaryAssetClass’ is set to “Commodity”, then this field is mandatory.

• Else, this field must be omitted.

The borders or border points of a transportation contract.

Occurrence:

• If ‘Reporting/Europe/EURegulatoryDetails/ETD­Product­Information/CommodityDetail’ is set to “NG” or “EL”, then this field is mandatory.

• Else, this field must be omitted.

The full period of the notional or physical delivery period.

The value is always the largest unit that can be expressed as an integer.

Examples:

• If the duration is two weeks, the value must be “W” (week).

• If the duration is five weeks, the value must be “M” (month).

• If the duration is four months, the value must be “Q” (quarter).

Occurrence:

• If ‘Reporting/Europe/EURegulatoryDetails/ETD­Product­Information/CommodityDetail’ is set to “NG” or “EL”, then this field is mandatory.

• Else, this field must be omitted.

Repeatable field: (1-n)

The time interval for each block or shape in the local time of the delivery point or zone. The time intervals must be listed in ascending order.

The time intervals are indicated in pairs, marking the start and end time of an interval.

To indicate a complete day, it is sufficient to add a start time, which then corresponds to a 24 hour day. In this case, values less than or equal to 12:00 indicate a positive offset of the delivery schedule in relation to midnight. Values greater than 12:00 indicate a negative offset of the delivery schedule in relation to midnight. See also ‘DeliveryStartDate’ and ‘DeliveryEndDate’.

A daily or hourly quantity of the underlying commodity.

Occurrence:

• If ‘Reporting/Europe/EURegulatoryDetails/ETDProduct­Information/­CommodityDetail’ is set to “NG” or “EL”, then this field is mandatory.

• Else, this field must be omitted.

The end date of delivery.

For physically delivered products, this is the end of the physical delivery. For non-delivered products, this is the end of the notional delivery.

Note: For deliveries that are offset from midnight by a positive or negative number of hours as indicated in the ‘LoadDeliveryInterval’ field, the ‘DeliveryEndDate’ field must contain the date compliant with the market convention as described in the ETD product description.

Examples:

• The delivery schedule for the UK Electricity Day ends at 23:00 in local time, which represents a negative offset of one hour to the delivery end date. The physical delivery ends on 30 April 2017 at 23:00. ‘DeliveryEndDate’ is set to “2017-04-30” and ‘LoadDeliveryInterval’ is set to “23:00”.

The delivery schedule for the UK Gas Day ends at 05:00 in local time, which represents a positive offset of five hours to the delivery start date. The physical delivery ends on 01 May 2017 at 05:00. ‘DeliveryEndDate’ is set to “2017-04-30” and ‘LoadDeliveryInterval’ is set to “05:00”.Occurrence:

• If ‘Reporting/Europe/EURegulatoryDetails/­ETDProduct­Information/­CommodityDetail’ is set to “NG” or “EL”, then this field is mandatory.

• Else, this field must be omitted.

The contractual rate of exchange of the currencies.

Occurrence:

• If ‘ETDTradeDetails/PrimaryAssetClass’ is set to “ForeignExchange”, then this field is optional.

• Else, this field must be omitted.

The fixed rate of leg 2, if applicable.

Occurrence:

• If ‘ETDTradeDetails/PrimaryAssetClass’ is set to “InterestRate”, then this field is optional.

• Else, this field must be omitted.

The actual number of days in the relevant fixed rate payer calculation period, if applicable.

Occurrence:

• If ‘ETDTradeDetails/PrimaryAssetClass’ is set to “InterestRate”, then this field is optional.

• Else, this field must be omitted.

The frequency of payments for leg 2 of the fixed rate, if applicable.

Occurrence:

• If ‘ETDTradeDetails/PrimaryAssetClass’ is set to “InterestRate”, then this field is optional.

• Else, this field must be omitted.

The frequency of payments for leg 2 of the floating rate, if applicable.

Occurrence:

• If ‘ETDTradeDetails/PrimaryAssetClass’ is set to “InterestRate”, then this field is optional.

• Else, this field must be omitted.

The reset frequency of leg 2 of the floating rate, if applicable.

Occurrence:

• If ‘ETDTradeDetails/PrimaryAssetClass’ is set to “InterestRate”, then this field is optional.

• Else, this field must be omitted.

The period of the interest rate of leg 1 that is reset at predetermined intervals by reference to a market reference rate, if applicable.

Occurrence:

• If ‘ETDTradeDetails/PrimaryAssetClass’ is set to “InterestRate”, then this field is optional.

• Else, this field must be omitted.

The period of the interest rate of leg 2 that is reset at predetermined intervals by reference to a market reference rate, if applicable.

Occurrence:

• If ‘ETDTradeDetails/PrimaryAssetClass’ is set to “InterestRate”, then this field is optional.

• Else, this field must be omitted.

EURegulatoryDetails/FormulaProductInformation: conditional section

Occurrence:

• If the transaction details section is ‘TradeConfirmation’ and contains a ‘FloatPriceInformation/FormulaID’ field, then this section is mandatory.

• Else, this section must be omitted.

EURegulatoryDetails/FinancialDeliveryInformation: conditional section

Occurrence:

• The transaction details section is ‘TradeConfirmation’ and ‘TransactionType’ is a Financial Transaction:

• If the ‘IndexCommodity’ field contained in any ‘FloatPriceInformation/CommodityReference’ section is set to “Electricity” or “Nat_Gas”, then this section is optional.

• If ‘EURegulatoryDetails/FormulaProductInformation/CommodityDetail’ is set to “EL” or “NG”, then this section is optional.

• Else, this section must be omitted.

The date is expressed in local time of the delivery point/area.

Note: For deliveries that are offset from midnight by a positive or negative number of hours as indicated in the ‘LoadDeliveryInterval’ field, the ‘DeliveryEndDate’ field must contain the date compliant with the market convention.

Examples:

• The delivery schedule for the UK Electricity Day ends at 23:00 in local time, which represents a negative offset of one hour to the delivery end date. The physical delivery ends on 30 April 2017 at 23:00. ‘DeliveryEndDate’ is set to “2017-04-30” and ‘LoadDeliveryInterval’ is set to “23:00”.

• The delivery schedule for the UK Gas Day ends at 05:00 in local time, which represents a positive offset of five hours to the delivery start date. The physical delivery ends on 01 May 2017 at 05:00. ‘DeliveryEndDate’ is set to “2017-04-30” and ‘LoadDeliveryInterval’ is set to “05:00”.

See also BR008.

FinancialDeliveryInformation/LoadDeliverySchedule: conditional, repeatable section (1-n)

For each delivery schedule pattern, one ‘LoadDeliverySchedule’ section must be present.

Values:

• The schedules described in the ‘LoadDeliverySchedule’ sections may not overlap in terms of times or days of the week. Each time schedule must start after the end of the previous time schedule. For each day of the week, there may only be one schedule, for example, there may not be one schedule for Mondays and another for weekdays.

Continuous delivery schedules with whole day deliveries must be described as follows: one ‘LoadDelivery­Schedule’ with one ‘LoadDeliveryInterval’ indicating the start time. Examples: Gas Day or base load.Examples:

• To indicate the Gas Day in UK, set ‘DaysOfTheWeek’ to “WD WN”, and add one ‘LoadDeliveryInterval’ field with the value “05:00”.

• To indicate an off-peak load, add two ‘LoadDeliverySchedule’ sections:

• [1]: Set ‘DaysOfTheWeek’ to “WD” and add four ‘LoadDeliveryInterval’ fields with the following values: “00:00”, “08:00”, “20:00” and “24:00”.

• [2]: Set ‘DaysOfTheWeek’ to “WN” and add one ‘LoadDeliveryInterval’ field with the value “00:00”.

The days of the week of the delivery. Multiple values can be used to indicate multiple days of the week, for example, “MO WE FR” for Mondays, Wednesdays and Fridays.

For each day of the week, there may only be one load delivery schedule.