FIRST SCHEDULE
Regulations 7(1)(a), 10D(1)(b), 10E(2)(a) and 3(a), 11(1)(b), (2), (4)(b) and (5), 11A(1)(b) and (2), 11B(2) and (4) and 11C(1)(b), (2), (4)(b) and (5) and Third Schedule
Derivatives information to be reported
Part 1
DERIVATIVES INFORMATION TO BE REPORTED FOR
EACH CLASS OF SPECIFIED DERIVATIVES CONTRACT
First column
Second column
Third column
Fourth column
Type of information
Data field
Description of data field
Class of specified derivatives
contract in relation to which item
of information is applicable
CR
IR
FX
EQ
CO
1.Counterparty information
Counterparty 1
Identifier of counterparty 1 to the contract.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
2.Counterparty information
Counterparty 2
Identifier of counterparty 2 to the contract.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
3.Counterparty information
Counterparty 2 identifier type
Indicator of whether LEI (including pre-LEI) was used to identify “Counterparty 2”.
Field value:
True
False
Y
Y
Y
Y
Y
4.Counterparty information
Trading capacity of specified person
To denote trading capacity of specified person.
Field value:
Principal
Agent
Y
Y
Y
Y
Y
5.Counterparty information
Direction
(where applicable)
Indicator of whether “Counterparty 1” is the buyer or the seller in the contract, where applicable.
Field value:
“BYER” = Buyer
“SLLR” = Seller
Y
Y
Y
Y
Y
6.Counterparty information
Direction of leg 1
(where applicable)
Indicator of whether “Counterparty 1” is the payer or the receiver of leg 1 in the contract, where applicable.
Field value:
“MAKE” = Payer
“TAKE” = Receiver
Y
Y
Y
Y
Y
7.Counterparty information
Direction of leg 2
(where applicable)
Indicator of whether “Counterparty 1” is the payer or the receiver of leg 2 in the contract, where applicable.
Field value:
“MAKE” = Payer
“TAKE” = Receiver
Y
Y
Y
Y
Y
8.Counterparty information
Reporting specified person
Identifier of the specified person with the reporting obligation in respect of the contract.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
9.Counterparty information
Data submitter
Identifier of the entity submitting information on the contract, which is reported to a licensed trade repository or licensed foreign trade repository.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
10.Contract information
Unique transaction identifier (UTI)
A unique identifier to denote the contract.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
11.Contract information
Unique product identifier (UPI)
An identifier to denote the product type.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
12.Contract information
Prior UTI
(where applicable)
To denote the previous UTI that immediately precedes the UTI that relates to this contract, where applicable.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
13.Contract information
Contract type
To denote the contract type of the derivatives contract.
Field value:
“CFDS” = Contract for difference
“FRAS” = Forward rate agreement
“FORW” = Forward
“OPTN” = Option
“SWAP” = Swap
“SWPT” = Swaption
“OTHR” = if none of the above are applicable
Y
Y
Y
Y
Y
14.Contract information
Asset class
To denote the asset class of the derivatives contract.
Field value:
“COMM” = Commodity
“CRDT” = Credit
“CURR” = Foreign exchange
“EQUI” = Equity
“INTR” = Interest rate
Y
Y
Y
Y
Y
15.Contract information
Underlying
(where applicable)
An identifier for the underlying thing to the contract, where applicable.
Field value:
Alphanumeric string
Y
Y
N
Y
Y
16.Contract information
Fixed rate of leg 1
(where applicable)
Per annum rate of the fixed rate of leg 1, where applicable.
Field value:
Positive and negative values expressed as decimal
Y
Y
N
Y
Y
17.Contract information
Identifier of the floating rate of leg 1
(where applicable)
Identifier of the rate used for leg 1 which is reset at predetermined intervals by reference to a market reference rate, where applicable.
Field value:
ISIN (12 alphanumeric digits)
Y
Y
N
Y
Y
18.Contract information
Name of the floating rate of leg 1
(where applicable)
Name of the rate used for leg 1 which is reset at predetermined intervals by reference to a market reference rate, where “Identifier of the floating rate of leg 1” is not available.
Field value:
Alphanumeric string
Y
Y
N
Y
Y
19.Contract information
Spread of leg 1
(where applicable)
For leg 1 of the contract, where applicable, the spread on the floating rate index reference price of leg 1, or the difference between the reference prices of 2 floating rate indexes.
Field value:
Any value if “Spread notation of leg 1” = 1
Any value expressed as decimal, if “Spread notation of leg 1” = 3
Any integer value expressed in basis points, if “Spread notation of leg 1” = 4
Y
Y
N
Y
Y
20.Contract information
Spread notation of leg 1
(where applicable)
Manner in which “Spread of leg 1” is expressed, where applicable.
Field value:
1 = Monetary amount
3 = Decimal
4 = Basis points
Y
Y
N
Y
Y
21.Contract information
Spread currency of leg 1
(where applicable)
Currency in which “Spread of leg 1” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
N
Y
Y
22.Contract information
Fixed rate of leg 2
(where applicable)
Per annum rate of the fixed rate of leg 2, where applicable.
Field value:
Positive and negative values expressed as decimal
Y
Y
N
Y
Y
23.Contract information
Identifier of the floating rate of leg 2
(where applicable)
Identifier of the rate used for leg 2 which is reset at predetermined intervals by reference to a market reference rate, where applicable.
Field value:
ISIN (12 alphanumeric digits)
Y
Y
N
Y
Y
24.Contract information
Name of the floating rate of leg 2
(where applicable)
Name of the rate used for leg 2 which is reset at predetermined intervals by reference to a market reference rate, where “Identifier of the floating rate of leg 2” is not available.
Field value:
Alphanumeric string
Y
Y
N
Y
Y
25.Contract information
Spread of leg 2
(where applicable)
For leg 2 of the contract, where applicable, the spread on the floating rate index reference price of leg 2, or the difference between the reference prices of the 2 floating rate indexes.
Field value:
Any value if “Spread notation of leg 2” = 1
Any value expressed as decimal, if “Spread notation of leg 2” = 3
Any integer value expressed in basis points, if “Spread notation of leg 2” = 4
Y
Y
N
Y
Y
26.Contract information
Spread notation of leg 2
(where applicable)
Manner in which “Spread of leg 2” is expressed, where applicable.
Field value:
1 = Monetary amount
3 = Decimal
4 = Basis points
Y
Y
N
Y
Y
27.Contract information
Spread currency of leg 2
(where applicable)
Currency in which “Spread of leg 2” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
N
Y
Y
28.Contract information
Option type
(where applicable)
To denote the type of option, where applicable.
Field value:
“CALL” = Call
“PUTO” = Put
“OTHR” = where it cannot be determined whether it is a “CALL” or “PUTO”
Y
Y
Y
Y
Y
29.Contract information
Option style
(where applicable)
To indicate whether the option can be exercised on a fixed date or any time during the life of the contract, where applicable.
Field value:
“AMER” = American
“EURO” = European
“BERM” = Bermudan
“ASIA” = Asian
Y
Y
Y
Y
Y
30.Contract information
First exercise date
(where applicable)
First unadjusted date during the exercise period in which an option can be exercised, where applicable.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
31.Contract information
Effective date
Unadjusted date at which obligations under the contract come into effect.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
32.Contract information
Expiration date
Unadjusted date at which obligations under the contract stop being effective.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
33.Contract information
Swap link ID
(where applicable)
The identifier that links both legs of a foreign exchange swap, where applicable.
Field value:
Alphanumeric string
N
N
Y
N
N
34.Contract information
Package Identifier
(where applicable)
The identifier (determined by the reporting counterparty) in order to connect 2 or more derivatives contracts in the same package, where applicable.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
35.Settlement
Delivery type
To indicate whether the contract is settled physically or in cash.
Field value:
“CASH” = Cash
“PHYS” = Physical
“OPTL” = Optional
Y
Y
Y
Y
Y
36.Settlement
Settlement currency of the contract or leg 1
(where applicable)
For multicurrency contracts that do not net, the settlement currency of leg 1. For all other contracts, the currency for the cash settlement of the contract, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
37.Settlement
Settlement currency of leg 2
(where applicable)
For multicurrency contracts that do not net, the cash settlement currency of leg 2, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
38.Settlement
Final contractual settlement date
Unadjusted date as per the contract, by which all transfer of cash or assets should take place and the counterparties should no longer have any outstanding obligations to each other under that contract.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
39.Clearing
Cleared
Indicator of whether the contract has been cleared, or is intended to be cleared, by a central counterparty.
Field values:
“Y” = Yes, centrally cleared
“N” = No, not centrally cleared
“I” = Intent to clear
Y
Y
Y
Y
Y
40.Clearing
Central counterparty
(where applicable)
Identifier of the central counterparty that cleared the contract, where applicable.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
41.Clearing
Clearing member
(where applicable)
Identifier of the clearing member through which a contract was cleared at a central counterparty, where applicable.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
42.Clearing
Clearing timestamp
(where applicable)
The date when the clearing of the contract took place, where applicable.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
43.Execution and related information
Platform identifier
Identifier of the trading facility on which the contract was executed.
Field value:
ISO 10383 Segment Market Identifier Code (MIC), or
if no trading facility was involved in the transaction:
“XOFF”, for contracts in listed instruments
“XXXX”, for contracts in instruments that are not listed in any venue
“BILT”, if the reporting counterparty cannot determine whether the instrument is listed or not, as per jurisdictional requirements
Y
Y
Y
Y
Y
44.Execution and related information
Reporting obligation of specified person
(where applicable)
To indicate the jurisdiction(s), other than Singapore, to which the specified person has a reporting obligation, where applicable.
Field value:
ISO 3166 1 alpha 2 country code
Y
Y
Y
Y
Y
45.Execution and related information
Booking location
Where the contract is booked in Singapore, to use country code for Singapore “SG”.
Where the contract is not booked in Singapore, to denote the country where the contract was booked.
Field value:
ISO 3166 1 alpha 2 country code
Y
Y
Y
Y
Y
46.Execution and related information
Trader location
Where the contract is traded in Singapore, to use country code for Singapore “SG”.
Where the contract is not traded in Singapore, to denote the country where the trader which executed the contract is located.
Field value:
ISO 3166 1 alpha 2 country code
Y
Y
Y
Y
Y
47.Execution and related information
Confirmed
To indicate whether the legally binding terms of a contract were documented and agreed upon (confirmed) or not (unconfirmed).
Field value:
“NCNF” = Unconfirmed
“ECNF” = Electronic
“YCNF” = Non-electronic
Y
Y
Y
Y
Y
48.Execution and related information
Confirmation timestamp
(where applicable)
The date when the contract is confirmed, where applicable.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
49.Execution and related information
Execution timestamp
Date and time a contract was originally executed, resulting in the generation of a new UTI.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
50.Execution and related information
Reporting timestamp
Date and time when the contract was reported to the trade repository.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
51.Custom basket
Identifier of the basket's constituents
(where applicable)
Underliers that represent the constituents of a custom basket, where applicable.
Y
Y
Y
Y
Y
52.Custom basket
Source of the identifier of the basket constituents
(where applicable)
Source of the underliers’ identifiers that represent the constituents of a custom basket, where applicable.
Y
Y
Y
Y
Y
53.Valuation
Valuation amount
Current monetary value of the outstanding contract.
Field value:
Any value
Y
Y
Y
Y
Y
54.Valuation
Valuation currency
Currency in which “Valuation amount” is denominated.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
55.Valuation
Valuation method
Source and method used for the valuation of the contract by the “Reporting specified person”.
Field value:
“MTMA” = Mark-to-market
“MTMO” = Mark-to-model
“CCPV” = Central counterparty’s valuation
Y
Y
Y
Y
Y
56.Valuation
Valuation timestamp
Date and time of the last valuation, whether by “mark-to-market”, “mark-to-model” or provided by the central counterparty, as the case may be.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
57.Collateral and margin
Collateral portfolio indicator
Indicator of whether the collateralisation was performed on a portfolio basis.
Field value:
True, if collateralised on a portfolio basis
False, if not on a portfolio basis
Y
Y
Y
Y
Y
58.Collateral and margin
Collateral portfolio code
(where applicable)
Unique code assigned by “Counterparty 1” to the portfolio when collateral is reported on a portfolio basis, where applicable.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
59.Collateral and margin
Initial margin posted by Counterparty 1 (pre-haircut)
(where applicable)
Monetary value of initial margin that has been posted by “Counterparty 1”, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
60.Collateral and margin
Initial margin posted by Counterparty 1 (post-haircut)
(where applicable)
Monetary value of initial margin that has been posted by “Counterparty 1” after application of the haircut, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
61.Collateral and margin
Currency of initial margin posted
(where applicable)
Currency in which the initial margin (both pre-haircut and post-haircut) posted by “Counterparty 1” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
62.Collateral and margin
Initial margin collected by Counterparty 1 (pre-haircut)
(where applicable)
Monetary value of initial margin that has been collected by “Counterparty 1”, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
63.Collateral and margin
Initial margin collected by Counterparty 1 (post-haircut)
(where applicable)
Monetary value of initial margin that has been collected by “Counterparty 1” after application of the haircut, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
64.Collateral and margin
Currency of initial margin collected
(where applicable)
Currency in which the initial margin (both pre-haircut and post-haircut) collected by “Counterparty 1” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
65.Collateral and margin
Variation margin posted by Counterparty 1 (pre-haircut)
(where applicable)
Monetary value of the variation margin posted by “Counterparty 1”, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
66.Collateral and margin
Variation margin posted by Counterparty 1 (post-haircut)
(where applicable)
Monetary value of the variation margin posted by “Counterparty 1” after application of the haircut, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
67.Collateral and margin
Currency of variation margin posted
(where applicable)
Currency in which the variation margin (both pre-haircut and post-haircut) posted is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
68.Collateral and margin
Variation margin collected by Counterparty 1 (pre-haircut)
(where applicable)
Monetary value of the variation margin collected by “Counterparty 1”, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
69.Collateral and margin
Variation margin collected by Counterparty 1 (post-haircut)
(where applicable)
Monetary value of the variation margin collected by “Counterparty 1” after application of the haircut, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
70.Collateral and margin
Currency of variation margin collected
(where applicable)
Currency in which the variation margin (both pre-haircut and post-haircut) collected by “Counterparty 1” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
71.Collateral and margin
Excess collateral posted by Counterparty 1
(where applicable)
Monetary value of any additional collateral posted by “Counterparty 1” which is separate and independent from initial and variation margin, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
72.Collateral and margin
Currency of excess collateral posted
(where applicable)
Currency in which “Excess collateral posted by Counterparty 1” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
73.Collateral and margin
Excess collateral collected by Counterparty 1
(where applicable)
Monetary value of any additional collateral collected by “Counterparty 1” which is separate and independent from initial margin and variation margin, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
74.Collateral and margin
Currency of excess collateral collected
(where applicable)
Currency in which “Excess collateral collected by Counterparty 1” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
75.Collateral and margin
Collateralisation category
(where applicable)
Indicator of whether a collateral agreement (or collateral agreements) between the counterparties exists (uncollateralised/partially collateralised/one-way collateralised/fully collateralised), where applicable.
Field value:
“UNCL” = Uncollateralised
“PRC1” = Partially collateralised: Counterparty 1 only
“PRC2” = Partially collateralised: Counterparty 2 only
“PRCL” = Partially collateralised
“OWC1” = One-way collateralised: Counterparty 1 only
“OWC2” = One-way collateralised: Counterparty 2 only
“OWP1” = One-way/partially collateralised: Counterparty 1
“OWP2” = One-way/partially collateralised: Counterparty 2
“FLCL” = Fully collateralised
Y
Y
Y
Y
Y
76.Notional
Notional amount of the contract or leg 1
The notional amount of the contract or leg 1 of the contract.
Field value:
Any value
Y
Y
Y
Y
Y
77.Notional
Notional currency of the contract or leg 1
Currency in which “Notional amount of the contract or leg 1” is denominated.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
78.Notional
Notional amount of leg 2
(where applicable)
The notional amount of leg 2 of the contract, where applicable.
Field value:
Any value
Y
Y
Y
Y
Y
79.Notional
Notional currency of leg 2
(where applicable)
Currency in which “Notional amount of leg 2” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
80.Notional
Total notional quantity of the contract or leg 1
(where applicable)
Aggregate notional quantity of the underlying thing to the contract, for the term of the contract or for leg 1 of the contract, where applicable.
Field value:
Any value greater than or equal to zero
N
N
N
Y
Y
81.Notional
Quantity unit of measure for the contract or leg 1
(where applicable)
Unit of measure in which “Total notional quantity of the contract or leg 1” and “Notional quantity of the contract or leg 1” are expressed, where applicable.
Field value:
Alphanumeric string
N
N
N
Y
Y
82.Notional
Notional quantity of the contract or leg 1
(where applicable)
The amount of the commodity (in quantity units) quoted on the contract or for leg 1 of the contract, where applicable.
Field value:
Any valid number
N
N
N
N
Y
83.Notional
Quantity frequency of the contract or leg 1
(where applicable)
The rate at which the quantity is quoted on the contract or for leg 1 of the contract (e.g. hourly, daily, weekly or monthly), where applicable.
Field value:
“HOUL” = Hourly
“DAIL” = Daily
“WEEK” = Weekly
“MNTH” = Monthly
“QURT” = Quarterly
“MIAN” = Semi-annually
“YEAR” = Yearly
“ODMD” = OnDemand
“EXPI” = End of term
“ADHO” = Ad-hoc
N
N
N
N
Y
84.Notional
Quantity frequency multiplier of the contract or leg 1
(where applicable)
The number of time units for the “Quantity frequency of the contract or leg 1”, where applicable.
Field value:
Any number greater than or equal to 0
N
N
N
N
Y
85.Notional
Total notional quantity of leg 2
(where applicable)
Aggregate notional quantity of the underlying thing for the term of leg 2 of the contract, where applicable.
Field value:
Any value greater than or equal to zero
N
N
N
Y
Y
86.Notional
Quantity unit of measure of leg 2
(where applicable)
Unit of measure in which “Total notional quantity of leg 2” and “Notional quantity of leg 2” are expressed, where applicable.
Field value:
Alphanumeric string
N
N
N
Y
Y
87.Notional
Notional quantity of leg 2
(where applicable)
The amount of the commodity (in quantity units) quoted for leg 2 of the contract, where applicable.
Field value:
Any valid number
N
N
N
N
Y
88.Notional
Quantity frequency of leg 2
(where applicable)
The rate at which the quantity is quoted for leg 2 of the contract (e.g. hourly, daily, weekly or monthly), where applicable.
Field value:
“HOUL” = Hourly
“DAIL” = Daily
“WEEK” = Weekly
“MNTH” = Monthly
“QURT” = Quarterly
“MIAN” = Semi-annually
“YEAR” = Yearly
“ODMD” = OnDemand
“EXPI” = End of term
“ADHO” = Ad-hoc
N
N
N
N
Y
89.Notional
Quantity frequency multiplier of leg 2
(where applicable)
The number of time units for the “Quantity frequency of leg 2”, where applicable.
Field value:
Any number greater than or equal to 0
N
N
N
N
Y
90.Notional
Call amount
(where applicable)
Monetary amount that the option gives “Counterparty 1” the right to buy, where applicable.
Field value:
Any value greater than zero
N
N
Y
N
N
91.Notional
Call currency
(where applicable)
Currency in which “Call amount” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
N
N
Y
N
N
92.Notional
Put amount
(where applicable)
Monetary amount that the option gives “Counterparty 1” the right to sell, where applicable.
Field value:
Any value greater than zero
N
N
Y
N
N
93.Notional
Put currency
(where applicable)
Currency in which “Put amount” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
N
N
Y
N
N
94.Prices
Price
(where applicable)
Price specified in the contract, where applicable.
Field value:
Any monetary value, if Price notation = 1
Any value expressed as a decimal, if Price notation = 3
N
Y
N
Y
Y
95.Prices
Price currency
(where applicable)
Currency in which “Price” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
N
Y
N
Y
Y
96.Prices
Price notation
(where applicable)
Manner in which “Price” is expressed, where applicable.
Field value:
1 = Monetary amount
3 = Decimal
N
Y
N
Y
Y
97.Prices
Price unit of measure
(where applicable)
Unit of measure in which “Price” is expressed, where applicable.
N
Y
N
Y
Y
98.Prices
Unadjusted effective date of the price
(Price schedule)
(where applicable)
Unadjusted effective date of the price, where applicable.
Field value:
ISO 8601 date format, UTC time
N
Y
N
Y
Y
99.Prices
Unadjusted end date of the price
(Price schedule)
(where applicable)
Unadjusted end date of the price, where applicable.
Field value:
ISO 8601 date format, UTC time
N
Y
N
Y
Y
100.Prices
Price in effect between the unadjusted effective date and end date
(Price schedule)
(where applicable)
Price in effect between the unadjusted effective date and unadjusted end date inclusive, where applicable.
Field value:
Any monetary value, if the Price notation = 1
Any value expressed as a decimal, if the Price notation = 3
N
Y
N
Y
Y
101.Prices
Strike price
(where applicable)
The strike price of the option, where applicable.
Field value:
Any monetary value, if “Strike price notation” = 1
Any value expressed as a decimal, if “Strike price notation” = 3
Y
Y
Y
Y
Y
102.Contract information
Strike price currency/ currency pair
(where applicable)
The currency or currency pair in which “Strike price” of the option is denominated or expressed, where applicable.
Field value:
Currencies included in ISO 4217
For foreign exchange options, Unit currency/ Quoted currency
Y
Y
Y
Y
Y
103.Contract information
Strike price notation
(where applicable)
Manner in which “Strike price” is expressed, where applicable.
Field value:
1 = Monetary amount
3 = Decimal
Y
Y
Y
Y
Y
104.Prices
Effective date of strike price
(Strike price schedule)
(where applicable)
Unadjusted effective date of the strike price, where applicable.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
105.Prices
End date of strike price
(Strike price schedule)
(where applicable)
Unadjusted end date of the strike price, where applicable.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
106.Prices
Strike price in effect on associated effective date
(Strike price schedule)
(where applicable)
Strike price in effect between the unadjusted effective date and unadjusted end date inclusive, where applicable.
Field value:
Any monetary value, if Strike price notation = 1
Any value expressed as a decimal, if the Strike price notation = 3
Y
Y
Y
Y
Y
107.Prices
Option premium amount
(where applicable)
Monetary amount paid by the option buyer, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
108.Prices
Option premium currency
(where applicable)
Currency in which “Option premium amount” is denominated, where applicable
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
109.Prices
Exchange rate
Exchange rate between the 2 different currencies specified in the contract.
Field value:
Any value greater than 0
N
N
Y
N
N
110.Prices
Exchange rate basis
Currency pair and order in which “Exchange rate” and “Forward exchange rate”, where applicable, is denominated.
Field value:
Any pair of currencies included in ISO 4217
N
N
Y
N
N
111.Payment
Fixed rate day count convention of leg 1
(where applicable)
The actual number of days in the calculation period for the fixed rate of leg 1, where applicable.
Field value:
A001-A020 and “NARR”
Y
Y
Y
Y
Y
112.Payment
Fixed rate day count convention of leg 2
(where applicable)
The actual number of days in the calculation period for the fixed rate of leg 2, where applicable.
Field value:
A001-A020 and “NARR”
Y
Y
Y
Y
Y
113.Payment
Floating rate day count convention of leg 1
(where applicable)
The actual number of days in the calculation period for the floating rate of leg 1, where applicable.
Field value:
A001-A020 and “NARR”
Y
Y
Y
Y
Y
114.Payment
Floating rate day count convention of leg 2
(where applicable)
The actual number of days in the calculation period for the floating rate of leg 2, where applicable.
Field value:
A001-A020 and “NARR”
Y
Y
Y
Y
Y
115.Payment
Floating rate reset frequency period of leg 1
(where applicable)
Time unit associated with the frequency of resets of leg 1, where applicable.
Field value:
“DAIL” = daily
“WEEK” = weekly
“MNTH” = monthly
“QURT” = quarterly
“YEAR” = yearly
“ADHO” = ad hoc which applies when payments are irregular
“EXPI” = payment at term
Y
Y
Y
Y
Y
116.Payment
Floating rate reset frequency period multiplier of leg 1
(where applicable)
Number of time units (as expressed by “Floating rate reset frequency period of leg 1”) that determines the frequency at which periodic payment dates for reset occur for the floating rate of leg 1, where applicable.
Field value:
Any number greater than or equal to 0
Y
Y
Y
Y
Y
117.Payment
Floating rate reset frequency period of leg 2
(where applicable)
Time unit associated with the frequency of resets of leg 2, where applicable.
Field value:
“DAIL” = daily
“WEEK” = weekly
“MNTH” = monthly
“QURT” = quarterly
“YEAR” = yearly
“ADHO” = ad hoc which applies when payments are irregular
“EXPI” = payment at term
Y
Y
Y
Y
Y
118.Payment
Floating rate reset frequency period multiplier of leg 2
(where applicable)
Number of time units (as expressed by “Floating rate reset frequency period of leg 2”) that determines the frequency at which periodic payment dates for reset occur for the floating rate of leg 2, where applicable.
Field value:
Any number greater than or equal to 0
Y
Y
Y
Y
Y
119.Payment
Fixed rate payment frequency period of leg 1
(where applicable)
Time unit associated with the frequency of payments for “Fixed rate of leg 1”, where applicable.
Field value:
“DAIL” = daily
“WEEK” = weekly
“MNTH” = monthly
“QURT” = quarterly
“YEAR” = yearly
“ADHO” = ad hoc which applies when payments are irregular
“EXPI” = payment at term
Y
Y
N
Y
Y
120.Payment
Fixed rate payment frequency period multiplier of leg 1
(where applicable)
Number of time units (as expressed by “Fixed rate payment frequency period of leg 1”) that determines the frequency at which periodic payment dates occur for “Fixed rate of leg 1”, where applicable.
Field value:
Any value greater than or equal to 0
Y
Y
N
Y
Y
121.Payment
Fixed rate payment frequency period of leg 2
(where applicable)
Time unit associated with the frequency of payments for “Fixed rate of leg 2”, where applicable.
Field value:
“DAIL” = daily
“WEEK” = weekly
“MNTH” = monthly
“QURT” = quarterly
“YEAR = yearly
“ADHO” = ad hoc which applies when payments are irregular
“EXPI” = payment at term
Y
Y
N
Y
Y
122.Payment
Fixed rate payment frequency period multiplier of leg 2
(where applicable)
Number of time units (as expressed by “Fixed rate payment frequency period of leg 2”) that determines the frequency at which periodic payment dates occur for the “Fixed rate of leg 2”, where applicable.
Field value:
Any value greater than or equal to 0
Y
Y
N
Y
Y
123.Payment
Floating rate payment frequency period of leg 1
(where applicable)
Time unit associated with the frequency of payments for the floating rate of leg 1, where applicable.
Field value:
“DAIL” = daily
“WEEK” = weekly
“MNTH” = monthly
“QURT” = quarterly
“YEAR” = yearly
“ADHO” = ad hoc which applies when payments are irregular
“EXPI” = payment at term
Y
Y
N
Y
Y
124.Payment
Floating rate payment frequency period multiplier of leg 1
(where applicable)
Number of time units (as expressed by “Floating rate payment frequency period of leg 1”) that determines the frequency at which periodic payment dates occur for the floating rate of leg 1, where applicable.
Field value:
Any value greater than or equal to 0
Y
Y
N
Y
Y
125.Payment
Floating rate payment frequency period of leg 2
(where applicable)
Time unit associated with the frequency of payments for the floating rate of leg 2, where applicable.
Field value:
“DAIL” = daily
“WEEK” = weekly
“MNTH” = monthly
“QURT” = quarterly
“YEAR” = yearly
“ADHO” = ad hoc which applies when payments are irregular
“EXPI” = payment at term
Y
Y
N
Y
Y
126.Payment
Floating rate payment frequency period multiplier of leg 2
(where applicable)
Number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur for the floating rate of leg 2, where applicable.
Field value:
Any value greater than or equal to 0
Y
Y
N
Y
Y
127.Payment
Other payment type
(where applicable)
Type of “Other payment amount”, where applicable.
Field value:
“UFRO” = Upfront Payment
“UWIN” = Unwind or Full termination
“PEXH” = Principal Exchange
Y
Y
Y
Y
Y
128.Payment
Other payment amount
(where applicable)
Other payment amount based on “Other payment type”, where applicable.
Field value:
Any value greater than or equal to zero
Y
Y
Y
Y
Y
129.Payment
Other payment currency
(where applicable)
Currency in which “Other payment amount” is denominated, where applicable.
Field value:
Currencies included in ISO 4217
Y
Y
Y
Y
Y
130.Payment
Other payment date
(where applicable)
Unadjusted date on which the “Other payment amount” is paid.
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
131.Payment
Other payment payer
(where applicable)
Identifier of the payer of “Other payment amount”, where applicable.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
132.Payment
Other payment receiver
(where applicable)
Identifier of the receiver of “Other payment amount”, where applicable.
Field value:
Alphanumeric string
Y
Y
Y
Y
Y
133.Event
Action type
Type of action taken on the contract.
Field value:
4 alphabetic characters:
“NEWT” = New
“MODI” = Modify
“CORR” = Correct
“EROR” = Error
“TERM” = Terminate
“REVI” = Revive
“PRTO” = Transfer out
“VALU” = Valuation
“MARU” = Collateral/Margin update
Y
Y
Y
Y
Y
134.Event
Event type
(where applicable)
Explanation or reason for the action being taken on the contract, where applicable.
Field value:
4 alphabetic characters:
“TRAD” = Trade
“NOVA” = Novation
“COMP” = Compression or other risk reduction exercise
“ETRM” = Early termination
“CLRG” = Clearing
“EXER” = Exercise
“ALOC” = Allocation
“CLAL” = Clearing & Allocation
“CREV” = Credit event
“PTNG” = Transfer
“CORP” = Corporate Event
“INCP” = Inclusion in position
“UPDT” = Update
Y
Y
Y
Y
Y
135.Event
Event date
(where applicable)
Date of occurrence of the event
Field value:
ISO 8601 date format, UTC time
Y
Y
Y
Y
Y
Part 2
INTERPRETATION
  In this Schedule, the acronyms set out in the first column have the meanings set out opposite in the second column.
First column
Second column
Acronym
Meaning
CO
commodity derivatives contract
CR
credit derivatives contract
EQ
equity derivatives contract
FX
foreign exchange derivatives contract
IR
interest rate derivatives contract
N
not applicable
Y
applicable
[S 410/2024 wef 21/10/2024]
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Last updated 8 Sep 2024
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