Committee on
Payments and Market
Infrastructures
Board of the International
Organization of Securities
Commissions
Technical GuidanceHarmonisation of critical
OTC derivatives data
elements (other than UTI
and UPI)

April 2018

This publication is available on the BIS website (www.bis.org) and the IOSCO website (www.iosco.org).

©

Bank for International Settlements and International Organization of Securities Commissions 2018. All
rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.

ISBN 978-92-9259-153-3

Contents
1.

2.

Introduction ...................................................................................................................................................................... 7
1.1

Background .............................................................................................................................................................. 7

1.2

Technical Guidance on the harmonisation of Critical Data Elements, other than UTI and
UPI ............................................................................................................................................................................... 7

1.3

Formats used in the CDE Technical Guidance .......................................................................................... 10

1.4

Structure of the report....................................................................................................................................... 11
Harmonisation of critical data elements other than the UTI and UPI ...................................................... 12

Data elements related to dates and timestamps ...................................................................................................... 12
2.1

Effective date ................................................................................................................................................ 12

2.2

Expiration date ............................................................................................................................................. 13

2.3

Early termination date .............................................................................................................................. 14

2.4

Reporting timestamp ................................................................................................................................ 15

2.5

Execution timestamp................................................................................................................................. 16

Data elements related to counterparties and beneficiaries .................................................................................. 17
2.6Counterparty 1 (reporting counterparty) .......................................................................................... 17

2.7Counterparty 2............................................................................................................................................. 18

2.8Counterparty 2 identifier type ............................................................................................................... 19

2.9

Beneficiary 1 ................................................................................................................................................. 20

2.10

Beneficiary 1 type ....................................................................................................................................... 21

2.11

Beneficiary 2 ................................................................................................................................................. 22

2.12

Beneficiary 2 type ....................................................................................................................................... 23

2.13

Direction ......................................................................................................................................................... 24
2.13.1 Direction 1 or Buyer identifier and Seller identifier ......................................................... 24
2.13.2 Direction 2 or Payer identifier and Receiver identifier ................................................... 25

Data elements related to clearing, trading, confirmation and settlement ...................................................... 27
2.14

Cleared ............................................................................................................................................................ 27

2.15

Central counterparty ................................................................................................................................. 28

2.16

Clearing member ........................................................................................................................................ 29

2.17

Platform identifier ...................................................................................................................................... 30

2.18

Confirmed ...................................................................................................................................................... 31

2.19

Final contractual settlement date......................................................................................................... 32

2.20

Settlement currency .................................................................................................................................. 33

2.21

Settlement location.................................................................................................................................... 34

Data elements related to regular payments................................................................................................................ 35

CPMI-IOSCO - Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

iii

2.22

Day count convention ...............................................................................................................................35

2.23

Payment frequency period......................................................................................................................36

2.24

Payment frequency period multiplier .................................................................................................37

Data elements related to valuation .................................................................................................................................38
2.25

Valuation amount .......................................................................................................................................38

2.26

Valuation currency......................................................................................................................................39

2.27

Valuation timestamp .................................................................................................................................40

2.28

Valuation method .......................................................................................................................................41

Data elements related to collateral and margins ......................................................................................................43
2.29

Collateral portfolio indicator ..................................................................................................................43

2.30

Collateral portfolio code ..........................................................................................................................44

2.31

Initial margin posted by the reporting counterparty (pre-haircut).........................................45

2.32

Initial margin posted by the reporting counterparty (post-haircut) ......................................46

2.33

Currency of initial margin posted.........................................................................................................47

2.34

Initial margin collected by the reporting counterparty (pre-haircut) ....................................48

2.35

Initial margin collected by the reporting counterparty (post-haircut) .................................. 49

2.36

Currency of initial margin collected ....................................................................................................50

2.37

Variation margin posted by the reporting counterparty (pre-haircut) ................................. 51

2.38

Variation margin posted by the reporting counterparty (post-haircut) ............................... 52

2.39

Currency of variation margin posted ..................................................................................................53

2.40

Variation margin collected by the reporting counterparty (pre-haircut) ............................. 54

2.41

Variation margin collected by the reporting counterparty (post-haircut) ........................... 55

2.42

Currency of variation margin collected .............................................................................................. 56

2.43

Excess collateral posted by the reporting counterparty ............................................................. 57

2.44

Currency of excess collateral posted ..................................................................................................58

2.45

Excess collateral collected by the reporting counterparty .........................................................59

2.46

Currency of excess collateral collected .............................................................................................. 60

2.47

Collateralisation category ........................................................................................................................61

Data elements related to counterparty rating triggers ...........................................................................................62
2.48

Counterparty rating trigger indicator .................................................................................................62

2.49

Counterparty rating threshold indicator ...........................................................................................63

Data elements related to prices .......................................................................................................................................64

iv

2.50

Price.................................................................................................................................................................. 64

2.51

Price currency ...............................................................................................................................................66

2.52

Price notation ...............................................................................................................................................67

2.53

Price unit of measure ................................................................................................................................68

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

2.54

Price schedule .............................................................................................................................................. 69
2.54.1: Unadjusted effective date of the price.......................................................................................... 69
2.54.2: Unadjusted end date of the price ................................................................................................... 69
2.54.3: Price in effect between the unadjusted effective and end date ......................................... 69

2.55

Fixed rate ....................................................................................................................................................... 70

2.56

Fixed rate notation ..................................................................................................................................... 71

2.57

Spread ............................................................................................................................................................. 72

2.58

Spread currency .......................................................................................................................................... 73

2.59

Spread notation .......................................................................................................................................... 74

2.60

Strike price..................................................................................................................................................... 75

2.61

Strike price currency/currency pair...................................................................................................... 76

2.62

Strike price notation .................................................................................................................................. 77

2.63

Strike price schedule ................................................................................................................................. 78
2.63.1: Effective date of the strike price ...................................................................................................... 78
2.63.2: End date of the strike price ............................................................................................................... 78
2.63.3: Strike price in effect on associated effective date.. .................................................................. 78

2.64

Option premium amount ........................................................................................................................ 79

2.65

Option premium currency ....................................................................................................................... 80

2.66

Option premium payment date ............................................................................................................ 81

2.67

First exercise date ....................................................................................................................................... 82

2.68

Exchange rate ............................................................................................................................................... 83

2.69

Exchange rate basis ................................................................................................................................... 84

Data elements related to notional amounts and quantities ................................................................................. 85
2.70

Notional amount......................................................................................................................................... 85

2.71

Delta................................................................................................................................................................. 87

2.72

Call amount ................................................................................................................................................... 88

2.73

Put amount ................................................................................................................................................... 89

2.74

Notional currency ....................................................................................................................................... 90

2.75

Call currency ................................................................................................................................................. 91

2.76

Put currency .................................................................................................................................................. 92

2.77

Quantity unit of measure ........................................................................................................................ 93

2.78

Notional amount schedule ..................................................................................................................... 94
2.78.1: Effective date of the notional amount .......................................................................................... 94
2.78.2: End date of the notional amount .................................................................................................... 94
2.78.3: Notional amount in effect on associated effective date. ....................................................... 94

2.79

Total notional quantity ............................................................................................................................. 95

CPMI-IOSCO - Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018v

2.80 Notional quantity schedule .............................................................................................................................96
2.80.1: Effective date of the notional quantity..........................................................................................96
2.80.2: End date of the notional quantity ...................................................................................................96
2.80.3: Notional quantity in effect on associated effective date. ...................................................... 96
CDS index attachment and detachment point ...........................................................................................................97
2.81

CDS index attachment point ..................................................................................................................97

2.82

CDS index detachment point .................................................................................................................98

Data elements related to other payments ...................................................................................................................99
2.83

Other payment amount ...........................................................................................................................99

2.84

Other payment type ............................................................................................................................... 100

2.85

Other payment currency ....................................................................................................................... 101

2.86

Other payment date ............................................................................................................................... 102

2.87

Other payment payer ............................................................................................................................. 103

2.88

Other payment receiver ........................................................................................................................ 104

Data element related to packages and links ............................................................................................................ 105
2.89

Package identifier .................................................................................................................................... 105

2.90

Package transaction price .................................................................................................................... 106

2.91

Package transaction price currency .................................................................................................. 107

2.92

Package transaction price notation .................................................................................................. 108

2.93

Package transaction spread................................................................................................................. 109

2.94

Package transaction spread currency .............................................................................................. 110

2.95

Package transaction spread notation .............................................................................................. 111

2.96

Prior UTI (for one-to-one and one-to-many relations between transactions)................ 112

Data elements related to custom baskets ................................................................................................................. 113
2.97

Custom basket code ............................................................................................................................... 113

2.98

Identifier of the basket’s constituents ............................................................................................. 114

2.99

Basket constituent's unit of measure ............................................................................................... 115

2.100

Basket constituent’s number of units .............................................................................................. 116

2.101

Source of the identifier of the basket’s constituents ................................................................. 117

Annex 1 ........................................................................................................................................................................................... 118
Table 2: Illustration of different reporting scenarios ............................................................................................. 118
Table 3: Data elements supporting authorities’ functional mandates: examples ...................................... 122
Table 4: Mapping of Day count convention allowable values to ISO 20022, FpML and FixML
values ..................................................................................................................................................................... 128
Annex 2: Working group participants .................................................................................................................................. 140

vi

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

1.

Introduction

1.1

Background

The G20 Leaders agreed in 2009 that all over-the-counter (OTC) derivative transactions should be reported
to trade repositories (TRs) to further the goals of improving transparency, mitigating systemic risk andpreventing market abuse. 1 Aggregation of the data being reported across TRs will help authorities toobtain a comprehensive view of the OTC derivatives market and its activity. Such aggregation is feasible if“the work on standardisation and harmonisation of important data elements [is] completed”. 2
Since November 2014, the CPMI and IOSCO working group for the harmonisation of key OTC
derivatives data elements (Harmonisation Group) has worked to develop global guidance regarding thedefinition, format and usage of key OTC derivatives data elements reported to TRs, including the UniqueTransaction Identifier (UTI), the Unique Product Identifier (UPI) and other critical data elements. Technical
Guidance on the Harmonisation of the Unique Transaction Identifier (UTI) was published in February 2017 3
and Technical Guidance on the Harmonisation of the Unique Product Identifier (UPI) was published in
September 2017. 4 The CPMI and IOSCO also published consultative reports on a first, a second and a third
batch of critical data elements other than UTI and UPI in September 2015, October 2016 and June 2017,
respectively. 5

1.2

Technical Guidance on the harmonisation of Critical Data Elements, other than
UTI and UPIContent
This document provides technical guidance on the definition, format and allowable values of critical data
elements, other than UTI and UPI (CDE), reported to TRs and important to aggregation by authorities.
This CDE Technical Guidance is provided to authorities. It is not a set of rules to be followed
directly by market participants. The responsibility for issuing requirements for market participants on thereporting of OTC derivative transactions to TRs falls within the remit of the relevant authorities. Therefore,
this document does not represent guidance on which critical data elements will be required to be reported
in a given jurisdiction. Rather, if such data elements are required to be reported in a given jurisdiction, thisdocument represents guidance to the authorities in that jurisdiction on the definition, the format and theallowable values that would facilitate consistent aggregation at a global level. The critical data elements,
other than UTI and UPI, harmonised in this document were selected from the list included in Annex 2(“Illustrative list of potential data fields for OTC derivatives”) of the January 2012 CPSS-IOSCO Report on
OTC derivatives data reporting and aggregation requirements and were enriched taking into consideration
authorities’ experience, interaction with the industry and feedback from the public consultations. The listof critical data elements (other than the UTI and UPI) does not encompass the UPI reference data defined1

TRs are also known as swap data repositories (SDRs) in the United States.

2

See Financial Stability Board, Feasibility study on approaches to aggregate OTC derivatives data, September 2014,www.financialstabilityboard.org/wp-content/uploads/r_140919.pdf.

3

See www.bis.org/cpmi/publ/d158.pdf.

4

See www.bis.org/cpmi/publ/d169.pdf.

5

See www.bis.org/cpmi/publ/d132.pdf, www.bis.org/cpmi/publ/d153.pdf and www.bis.org/cpmi/publ/d160.pdf.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 20187

by the CPMI-IOSCO Technical Guidance on the Harmonisation of the Unique Product Identifier (UPI). 6 Table
3 in Annex 1 illustrates some of the reasons for which the CPMI and IOSCO consider data elements
included in the CDE Technical Guidance to be important to global aggregation, having in mind the G20
goal of improving transparency, mitigating systemic risk and preventing market abuse on the global OTC
derivatives market and authorities’ functional mandates outlined in the 2013 CPSS-IOSCO report
Authorities’ access to trade repository data. 7
The nature of this CDE Guidance is technical. The CPMI and IOSCO are aware that the definition,
the allowable values and possibly also the format of critical data elements will need maintenance in orderto ensure that these remain up-to-date and evolve according to market practices and regulatory needs.
In 2018 the CPMI and IOSCO will develop a framework for maintenance and governance of the critical
data elements covered by the CDE Technical Guidance. The CPMI and IOSCO do not address other issues
that are planned or are already covered by other international workstreams, such as the legal, regulatory
and technological issues related to the implementation of a global aggregation mechanism. 8
The technical harmonisation of definitions, formats and allowable values is – where meaningful
and appropriate – consistent across data elements with the same characteristics (eg, dates, currencies oramounts) and across asset classes. In several instances, the definition clarifies how a data element should
be interpreted for a specific asset class or instrument, and if it is not applicable to others. Cross-references
identify interdependencies between data elements to signal that information from interdependent data
elements can be meaningfully combined. Whenever possible, the CDE Technical Guidance references
existing industry standards that are agnostic from communication protocols and that can be implemented
in any existing syntax. 9
The CDE Technical Guidance does not include harmonisation of data elements related to lifecycle
events, because of the existence of different conceptual models to meet authorities’ needs. Data elements
related to lifecycle events may be addressed as part of the maintenance process of critical data elements.
Guiding principles
In developing this CDE Technical Guidance, the CPMI and IOSCO have applied the following principles:-

This CDE Technical Guidance and the ones on the harmonisation of the UTI and on theharmonisation of the UPI are closely linked. The terms “UTI”, “UPI”, “Transaction”,“Instrument”, “Product” and “Underlier”, as used throughout this CDE Technical Guidance,need to be understood as defined by the UTI Technical Guidance and the UPI Technical
Guidance respectively. For instance the term “transaction”, as used throughout this CDE
Technical Guidance, is used to cover any OTC derivative transaction that is required to bereported to TRs.

-

The CPMI and IOSCO assume that the existing jurisdictional differences in the scope of whichtransactions are reportable, in the reporting requirements (for example the reporting timing)and in the modalities of reporting will not be harmonised among jurisdictions for the time
being. The guidance does not cover harmonising data reported from TRs to authorities.

6

Settlement currency is included in both the UPI reference data included in the UPI Technical Guidance and in this CDE Technical
Guidance, because the former is applicable to FX non-deliverables only whereas the latter is applicable to all OTC derivative
products. The CDE Technical Guidance also includes Exchange rate basis, even though the UPI reference data already include
Currency pair (applicable to FX products only), because Exchange rate basis is broader than Currency pair.

7

See www.bis.org/cpmi/publ/d110.pdf.

8

The FSB has published recommendations regarding the governance arrangements and implementation plan for the UTI in
December 2017 and continues to work on developing conclusions for the UPI governance arrangements.

9

In particular, since the CPMI and IOSCO are mandated to harmonise data elements and not messages, Business Components
and Business Elements are indicated as existing industry standard but not Message Components.
8

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

-The mandate for the CPMI and IOSCO to harmonise critical data elements was for OTC
derivatives only. It is possible that some authorities might wish to use the CDE Technical
Guidance (as well as the UTI and UPI Technical Guidances) for other transactions that are not
OTC derivatives. Furthermore, additional data elements may be required for a jurisdiction as
determined by the applicable authority to meet its particular regulatory needs.

-

Data elements are harmonised in a way that is independent of the chosen communication
protocol and can be implemented within multiple syntaxes. Practices within individual
communication syntaxes have been taken into account when harmonising critical data
elements.

-

In harmonising critical data elements, the CPMI and IOSCO took into account TRs’ practices, 10
jurisdictional reporting rules and other relevant data harmonisation efforts (provided thatthey can be implemented by existing communication protocols), such as standards andbusiness elements developed by the International Organization for Standardisation (ISO),
including the Legal Entity Identifier (LEI). As acknowledged in the 2014 FSB Feasibility study
on approaches to aggregate OTC derivatives data, 11 the global introduction of the LEI is a
critical step to be undertaken for global aggregation. The CPMI and IOSCO strive to ensurethat their work is consistent with the work of other international bodies. The CPMI and IOSCO
consider the consistent use of LEI codes in OTC derivative transactions reported to TRs to be
crucial to achieve global consistency and meaningful aggregation of OTC derivativetransactions reported to TRs. Therefore, the CPMI and IOSCO strongly encourage authorities
to require the use of LEI codes as published by the Global LEI Foundation (GLEIF) 12 for theidentification of legal entities in the data reported to TRs.

-

The CPMI and IOSCO sought industry’s feedback on its harmonisation proposals of critical
data elements through public consultations, industry workshops and conference calls. 13

Overview of main comments on public consultations and response from the CPMI and IOSCOIn developing this CDE Technical Guidance, the CPMI and IOSCO have taken into account the responses
to public consultations on three batches of CDE, and related industry workshops and conference calls. 14
In several instances the responses highlighted the complexity of the proposed harmonisation, suggestingthat the result could have been low data quality. In most of these cases, the CPMI and IOSCO did not
retain these data elements in the final CDE Technical Guidance. In some other instances, comments led toslight revisions to the data elements or to the addition of new data elements.

10

The Harmonisation Group conducted three surveys among TRs on critical data elements other than UTI and UPI, in December
2014, July 2015 and June 2016, respectively.

11

www.financialstabilityboard.org/wp-content/uploads/r_140919.pdf.

12

As a measure to improve data quality, regulators may require LEIs to have a “current” status as defined by LEI Regulatory
Oversight Committee (ROC).

13

The Harmonisation Group held workshops with stakeholders to discuss Critical Data Elements (and other items) on 5 March
2015 (in Basel, Switzerland), 10 February 2016 (in Washington DC), 13 July 2016 (in Toronto, Canada), 19 January 2017 (in Paris,
France), on 12 July 2017 (in Washington DC). Industry calls on Critical Data Elements took place on 16 March 2016, 12 May
2016, 9 June 2016, 6 September 2016 and on 30 November 2017. Stakeholders invited to the workshops and calls included
trade associations, TRs, other infrastructures, firms active in the market, standard-setting bodies and other individuals andentities that replied to any of the CPMI and IOSCO consultations resulting from the work of the Harmonisation Group.

14

Written submissions in response to the first CDE Consultative Report are available at the following links
www.bis.org/cpmi/publ/comments/d132/overview.htm and www.iosco.org/publications/?subsection=public_reports; to thesecondatwww.bis.org/cpmi/publ/comments/d153/overview.htm;
to
the
third
batch
at
http://www.bis.org/cpmi/publ/comments/d160/overview.htm.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 20189

For instance, in order to harmonise the manner in which the direction of the transaction isreported, the CDE Technical Guidance sets out a more articulated, but also more comprehensive andclearer harmonisation than the two alternatives on which it had initially consulted the public.
On the data elements related to entities involved in a transaction, the confusion stemming fromreferring to the “first” and “second” counterparty was addressed by linking their definition to the entitythat is or is not “fulfilling the reporting obligation via the report in question”. The term “obligor” wasreplaced with “beneficiary”, as suggested by several respondents. Table 2 in Annex 1 illustrates
relationships between data elements of OTC derivative transactions involved in both agency and principal
clearing, addressing the requests for more clarity on how some data element would relate to each other
under those scenarios.
Several data elements refer to currencies: their list of harmonised values has been narrowed down
to encompass ISO currencies only, and the CDE Technical Guidance also provides the harmonised manner
to report the settlement location.
For certain instruments that require a repeating structure to represent data elements foramortising/accreting notional amounts, the final guidance provides a harmonised manner to report agroup of additional data elements, such as Notional schedule that includes the effective date, end date,
and the notional amount for that period.
In response to consultation comments, the data elements related to margins include additional
language on margins in centrally cleared transactions and on collateral that is in transit and pending
settlement unless inclusion of such collateral is not allowed under the jurisdictional requirements. The CDE
Technical Guidance does not include a harmonised method for reporting data elements on margin
requirements but includes, as in the consultative report, a harmonised method for reporting both pre- andpost-haircut margin amounts posted or collected. Data elements on pre- and post-haircut collateralamounts allow authorities to calculate and monitor haircuts to support their needs as described in Annex
1, Table 3.
Comments on prices and quantities enabled to provide additional clarity for specific asset classes
and instruments.

1.3

Formats used in the CDE Technical Guidance

Table 1 illustrates the meaning of the formats used all through the CDE Technical Guidance.
Table 1: Format details
Format 15

Content in
brief

YYYY-MM-DD

Date

YYYY-MMDDThh:mm:ssZ

Date and time

Additional explanation
YYYY = four-digit year
MM = two-digit month
DD = two-digit day
YYYY, MM, DD as above
hh = two-digit hour (00 through 23) (am/pm NOT
allowed)mm = two-digit minute (00 through 59)
ss = two-digit second (00 through 59)
T is fixed and indicates the beginning of the timeelement.

Example(s)2015-07-06(corresponds to 6 July 2015)2014-11-05T13:15:30Z(corresponds to 5 November
2014, 1:15:30 pm, Coordinated
Universal time, or 5 November
2014, 8:15:30 am US EasternStandard Time)The numbers given in the formats Num(25,5), Char(3) and Varchar(25) are only examples; analogous formats (with different
numbers of characters) can be generated using the same logic.
15

10

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

Num(25,5)

Num(5)

Char(3)
Varchar(25)Boolean

Up to 25
numerical
characters
including up to
five decimal
placesUp to fivenumerical
characters, nodecimals areallowedThreealphanumericcharacters
Up to 25
alphanumericcharacters
Booleancharacters

Z is fixed and indicates that times are expressed in
UTC (Coordinated Universal Time) and not in local
time.
The length is not fixed but limited to 25 numericalcharacters including up to five numericalcharacters after the decimal point.
Should the value have more than five digits after thedecimal, reporting counterparties should roundhalf-up.
The length is not fixed but limited to five numericalcharacters.

The length is fixed at three alphanumericcharacters.
The length is not fixed but limited at up to 25
alphanumerical characters.
Either “True” or “False”

1352.6712345678901234567890.12345
1234567890123456789012345
12345678901234567890.12345
0– 20000.25– 0.257
12345
123
20
USD
X1X
999
asgaGEH3268EFdsagtTRCF543
aaaaaaaaaa
x
True
False

1.4 Structure of the report
This report is organised as follows. Section 2 sets outs a dedicated table for the harmonisation of eachcritical data element, grouped by common characteristics (eg dates and timestamps) or by topic (eg data
elements related to margins, to prices). In Annex 1, Table 2 illustrates the reporting of certain data elements
in different reporting scenarios (eg principal and agency central clearing). Table 3 gives a non-exhaustive
list of examples, for illustration, showing how each data element could be used to support authorities’
data needs and to achieve the G20 goal of improving transparency, mitigating systemic risk and preventing
market abuse in the global OTC derivatives markets. Table 4 maps the allowable values of the data element
Day count convention to ISO 20022, FpML and FixML values.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018

11

2.

Harmonisation of critical data elements other than the UTI and UPI

Data elements related to dates and timestamps
2.1 Effective dateDefinition

Unadjusted date at which obligations under the OTC derivative transaction come into effect, as
included in the confirmation.

Existing industry
standard

ISO 8601

FormatYYYY-MM-DD, based on UTC.

Allowable values

Any valid date.

Related data
elements/depen
dencies between

Expiration date; Early termination date.

data elements

12

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

2.2 Expiration dateDefinition

Unadjusted date at which obligations under the OTC derivative transaction stop being effective,
as included in the confirmation. Early termination does not affect this data element.

Existing industry
standard

ISO 8601

FormatYYYY-MM-DD, based on UTC.

Allowable values

Any valid date.

Related data
elements/depen
dencies between

Effective date; Early termination date; Execution timestamp. Expiration date is expected to fallon or after the Execution timestamp.

data elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 201813

2.3 Early termination dateDefinition

Effective date of the early termination (expiry) of the reported transaction.

This data element is applicable if the termination of the transaction occurs prior to its maturity
due to an ex-interim decision of a counterparty (or counterparties). Examples of earlyterminations (expiry) are: negotiated early termination; early termination under an optional
early termination provision (“mutual put”); novation; offsetting (netting) transaction; option
exercise; compression; early termination clause specified in the original contract which is acallable swap (bought embedded option); mutual credit break.

Existing industry
standard

ISO 8601

FormatYYYY-MM-DD, based on UTC.

Allowable values

Any valid date.

Related data
elements/depen
dencies between

Effective date; Expiration date; Execution timestamp. Early termination date (if applicable) is
expected to fall on or after the Execution timestamp, and earlier than the Expiration date.

data elements

14

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

2.4 Reporting timestamp
Definition

Date and time of the submission of the report to the trade repository.

Existing industry
standard

ISO 8601

FormatYYYY-MM-DDThh:mm:ssZ, based on UTC.

Allowable values

Any valid date/time.

Related data
elements/depen
dencies between

Execution timestamp. Reporting timestamp is expected to fall on or after the Execution
timestamp.

data elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 201815

2.5 Execution timestamp
Definition

Date and time a transaction was originally executed, resulting in the generation of a new UTI.
This data element remains unchanged throughout the life of the UTI.

Existing industry
standard

ISO 8601

FormatYYYY-MM-DDThh:mm:ssZ, based on UTC. If the time element is not required in a particularjurisdiction, time may be dropped given that – in the case of representations with reduced
accuracy – ISO 8601 allows the complete representation to be omitted, the omission startingfrom the extreme right-hand side (in the order from the least to the most significant).

Allowable values

Any valid date/time.

Related data
elements/depen
dencies between

Reporting timestamp; UTI as defined by the CPMI-IOSCO Technical Guidance: Harmonisationof the Unique Transaction Identifier. Execution timestamp is expected to fall before or on theReporting timestamp.

data elements

16

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Data elements related to counterparties and beneficiaries

2.6 Counterparty 1 (reporting counterparty)
Definition

Identifier of the counterparty to an OTC derivative transaction who is fulfilling its reporting
obligation via the report in question.

In jurisdictions where both parties must report the transaction, the identifier of Counterparty 1
always identifies the reporting counterparty.

In the case of an allocated derivative transaction executed by a fund manager on behalf of afund, the fund and not the fund manager is reported as the counterparty.
Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

FormatChar(20)

Allowable values

LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/).

Relateddata
elements/depen
dencies between
data elements

Direction 1; Buyer identifier; Seller identifier; Direction 2; Payer identifier; Receiver identifier;Other payment payer; Other payment receiver; Identifier of beneficiary 1: if Counterparty 1 isalso beneficiary of the transaction, the identifier of the counterparty is reported in both data
elements (Counterparty 1 and Beneficiary 1). Relationships between this data element andother data elements in agency and principal clearing are illustrated in Table 2 in the Annex.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 201817

2.7 Counterparty 2
Definition

Identifier of the second counterparty to an OTC derivative transaction.

Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

Format• Char(20)Allowable values• LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/).

In the case of an allocated derivative transaction executed by a fund manager on behalf of afund, the fund and not the fund manager is reported as the counterparty.

• Varchar(72), for natural persons who are acting as private individuals (not business entities).

• For natural persons who are acting as private individuals (not business entities): LEI of thereporting counterparty followed by a unique identifier assigned and maintained consistently
by the reporting counterparty for that natural person(s) for regulatory reporting purpose.

Related data
elements/depen
dencies between
data elements

18

Buyer ID; Seller identifier; Payer identifier; Receiver identifier; Other payment payer; Other
payment receiver; Identifier of beneficiary 2: if counterparty 2 is also beneficiary of thetransaction, the identifier of the counterparty is reported in both data elements (counterparty
2 and beneficiary 2). Counterparty 2 identifier type. Relationships between this data element
and other data elements in agency and principal clearing are illustrated in Table 2 in the Annex.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

2.8 Counterparty 2 identifier typeDefinition

Indicator of whether LEI was used to identify the Counterparty 2.

Existing industry
standard

Not available

FormatBooleanAllowable values• TrueRelated data
elements/depen
dencies between

Counterparty 2• False, for natural persons who are acting as private individuals (not business entities)

data elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 201819

2.9 Beneficiary 1
Definition

Identifier of the beneficiary of an OTC derivative transaction for Counterparty 1. For eachtransaction that is executed, this data element identifies the party that becomes subject to therights and obligations arising from the contract, rather than any party who executes thetransaction on behalf of or otherwise represents such party.
If a beneficiary is a structure such as trust or collective investment vehicle, this data element would
identify the structure, rather than the entities that hold ownership interests in the structure.

Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

Format• Char(20)Allowable values• LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/).

• Varchar(72), for natural persons who are acting as private individuals (not business entities).

• For natural persons who are acting as private individuals (not business entities): LEI of thereporting counterparty followed by a unique identifier assigned and maintained consistently
by the reporting counterparty for that natural person(s) for regulatory reporting purpose.

Related data
elements/depen
dencies between
data elements

Counterparty 1 (reporting counterparty): If beneficiary 1 is also counterparty to the transaction,
identifier of the beneficiary is populated in both data elements (counterparty 1 data element
and beneficiary 1 data element). Relationships between this data element and other data
elements in agency and principal clearing are illustrated in Table 2 in the Annex.
Direction 1 or Buyer identifier and Seller identifier ; Direction 2 or Payer identifier and Receiver
ID identifier.

If the entity which is subject to the rights and obligations arising from the contract (as specified
under the data element Beneficiary 1) is also the entity which has the responsibility to pay thepayment streams (as specified under the data element(s) Buyer and Seller identifier or Payer
and Receiver identifier), the same identifier is used in both the Beneficiary 1 and the direction
data elements (Buyer and Seller identifier or Payer and Receiver identifier).

20

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 20182.10

Beneficiary 1 typeDefinition

Indicator of whether LEI was used to identify the beneficiary 1.

Existing industry
standard

Not available

FormatBooleanAllowable values• TrueRelated data
elements/depen
dencies between

Beneficiary 1• False, for natural persons who are acting as private individuals (not business entities).

data elements

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21

2.11

Beneficiary 2

Definition

Identifier of the beneficiary on an OTC derivative transaction for the counterparty 2. For eachtransaction that is executed, this data element identifies the second party that becomes subject
to the rights and obligations arising from the contract, rather than any party who executes thetransaction on behalf of or otherwise represents such party.
If a beneficiary is a structure such as trust or collective investment vehicle, the beneficiary identifier
would identify the structure, rather than the entities that hold ownership interests in the structure.

Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

Format• Char(20)Allowable values• LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/) .

• Varchar(72), for natural persons who are acting as private individuals (not business entities).

• For natural persons who are acting as private individuals (not business entities): LEI of thereporting counterparty followed by a unique identifier assigned and maintained consistently
by the reporting counterparty for that natural person(s) for regulatory reporting purpose.
Related data
elements/depen
dencies between
data elements

Counterparty 2: If Beneficiary 2 is also counterparty to the transaction, identifier of thebeneficiary is populated in both data elements (Counterparty 2 data element and Beneficiary 2
data element). Relationships between this data element and other data elements in agency andprincipal clearing are illustrated in Table 2 in the Annex.
Direction 1 or Buyer identifier and Seller identifier; Direction 2 or Payer identifier and Receiver
identifier.

If the entity which is subject to the rights and obligations arising from the contract (as specified
under the data element Beneficiary 2) is also the entity which has the responsibility to pay thepayment streams (as specified under the data element(s) Buyer and Seller identifier or Payer
and Receiver identifier), the same identifier is used in both the Beneficiary 2 and the direction
data elements (Buyer and Seller identifier or Payer and Receiver identifier).

22

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 20182.12

Beneficiary 2 typeDefinition

Indicator of whether LEI was used to identify the beneficiary 2.

Existing industry
standard

Not available

FormatBooleanAllowable values• TrueRelated data
elements/depen
dencies between

Beneficiary 2• False, for natural persons who are acting as private individuals (not business entities).

data elements

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23

2.13

Direction

Reporting counterparties should use either:• the element Direction 1 or Buyer identifier and Seller identifier to identify the direction of the transaction for thereporting counterparty as “Buyer” or “Seller” (model 1); or• the element Direction 2 or Payer identifier and Receiver identifier to identify the payer and the receiver of eachleg (model 2).
Reporting counterparties should NOT use both approaches, but adopt the appropriate one for the type of instrument
concerned.
Model 1:
Buyer/Seller: flag or IDs

2.13.1

Direction 1 or Buyer identifier and Seller identifier

Definition

Indicator of whether the reporting counterparty is the buyer or the seller as determined at thetime of the transaction.
Or

Identifier of the counterparty that is the buyer and the counterparty that is the seller, as
determined at the time of the transaction.
A non-exhaustive list of examples of instruments for which this data element could apply are:• most forwards and forward-like contracts (except for foreign exchange forwards and foreignexchange non-deliverable forwards)• most options and option-like contracts including swaptions, caps and floors• credit default swaps (buyer/seller of protection)• variance, volatility and correlation swaps• contracts for difference and spreadbets

This data element is not applicable to instrument types covered by data elements Direction 2
or by Payer identifier and Receiver identifier.
Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

Format• Char(4)Or• Char(20)• Varchar(72), for natural persons who are acting as private individuals (not business entities).
Allowable values• BYER = buyer• SLLR = seller

Or• LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/).

• For natural persons who are acting as private individuals (not business entities): LEI of thereporting counterparty followed by a unique identifier assigned and maintained consistently
by the reporting counterparty for that natural person(s) for regulatory reporting purpose.

Related data
elements/depen
dencies between

Counterparty 1 (reporting counterparty); Counterparty 2.

data elements

24

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Model 2: For each leg, the payer and the receiver would be identified. Moreover to each leg a set of data elements
would be associated, some of which might be populated only for specific leg types.
A non-exhaustive list of data elements associated to both payer and receiver of each leg for interest rate swaps would
be:
•

Payer

•

Receiver•Notional amount•

Notional currency•

Fixed rate (not applicable for floating legs)•

Underlier ID for the Floating rate index (not applicable for fixed legs as defined within the UPI reference data
elements by the CPMI-IOSCO Technical Guidance Harmonisation of the Unique Product Identifier•

Spread (not applicable for fixed legs)•

Payment frequency period•

Payment frequency period multiplier•

Day count convention

Payer/Receiver: flag or IDs

2.13.2

Direction 2 or Payer identifier and Receiver identifier

Definition

Indicator of whether the reporting counterparty is the payer or the receiver of the leg as
determined at the time of the transaction.
Or

Identifier of the counterparty of the payer leg and the counterparty of the receiver leg as
determined at the time of the transaction.
A non-exhaustive list of examples of instruments for which this data element could apply are:• most swaps and swap-like contracts including interest rate swaps, credit total return swaps,
and equity swaps (except for credit default swaps, variance, volatility, and correlation swaps)• foreign exchange swaps, forwards, non-deliverable forwards

This data element is not applicable to instrument types covered by data elements Direction 1
or Buyer identifier and Seller identifier.
Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

Format•or••Allowable values

Char(4)Char(20)

Varchar (72), for natural persons who are acting as private individuals (not business entities).

• MAKE = payer (for each leg)

• TAKE = receiver (for each leg)

Or

• LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/). For natural persons who are acting as private individuals (not business
entities): LEI of the reporting counterparty followed by a unique identifier assigned andmaintained consistently by the reporting counterparty for that natural person(s) for
regulatory reporting purpose.

Related data
elements/depen
dencies between

Counterparty 1 (reporting counterparty); Counterparty 2.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 201825

data elements

26

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

Data elements related to clearing, trading, confirmation and settlement

2.14

ClearedDefinition

Indicator of whether the transaction has been cleared, or is intended to be cleared, by a central
counterparty.

Existing industry
standard

Not available

FormatChar(1)

Allowable values• Y= yes, centrally cleared, for beta and gamma transactions.
• N= no, not centrally cleared.

• I= intent to clear, for alpha transactions that are planned to be submitted to clearing.
Related data
elements/depen
dencies between

Central counterparty; Clearing member. Relationships between this data element and otherdata elements in agency and principal clearing are illustrated in Table 2 in the Annex.

data elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018

27

2.15

Central counterparty

Definition

Identifier of the central counterparty (CCP) that cleared the transaction.

Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

FormatChar(20)

Allowable values

LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/).

Related data
elements/depen
dencies between

Cleared; Counterparty 1 (reporting counterparty) and Counterparty 2: the identifier of theCentral counterparty is reported in both data elements (Counterparty and Central
counterparty). Relationships between this data element and other data elements in agency
and principal clearing are illustrated in Table 2 in the Annex.

data elements

28This data element is not applicable if the value of the data element “Cleared” is “N” (“No, notcentrally cleared”) or “I” (“Intent to clear”).

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2.16

Clearing member

Definition

Identifier of the clearing member through which a derivative transaction was cleared at a central
counterparty.
This data element is applicable to cleared transactions under both the agency clearing modeland the principal clearing model.
• In the case of the principal clearing model, the clearing member is identified as clearing
member and also as a counterparty in both transactions resulting from clearing: (i) in thetransaction between the central counterparty and the clearing member; and (ii) in thetransaction between the clearing member and the counterparty to the original alphatransaction.
• In the case of the agency clearing model, the clearing member is identified as clearing
member but not as the counterparty to transactions resulting from clearing. Under thismodel, the counterparties are the central counterparty and the client.

This data element is not applicable if the value of the data element “Cleared” is “N” (“No, notcentrally cleared”) or “I” (“Intent to clear”).
Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

FormatChar(20)

Allowable values

LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/).

Related data
elements/depen
dencies between

Cleared; Counterparty 1 (reporting counterparty); Counterparty 2: if the clearing member is acounterparty to the transaction (principal clearing model), the identifier of the clearing member
is reported in both data elements (Counterparty and Clearing member). Relationships between
this data element and other data elements in agency and principal clearing are illustrated inTable 2 in the Annex.

data elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018

29

2.17

Platform identifier

Definition

Identifier of the trading facility (eg exchange, multilateral trading facility, swap execution
facility) on which the transaction was executed.

Existing industry
standard

ISO 10383 Segment Market Identifier Code (MIC)

FormatChar(4)

Allowable values

ISO 10383 segment MIC code.

If no trading facility was involved in the transaction:• XOFF, for transactions in listed instruments• XXXX, for transactions 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.

Related data
elements/depen
dencies between
data elements

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2.18

Confirmed

Definition

For new reportable transactions (as defined by the CPMI-IOSCO Technical Guidance:
Harmonisation of the Unique Transaction Identifier), whether the legally binding terms of an
OTC derivatives contract were documented and agreed upon (confirmed) or not (unconfirmed).
If documented and agreed, whether such confirmation was done:• via a shared confirmation facility or platform, or a private/bilateral electronic system(electronic);• via a human-readable written document, such as fax, paper or manually processed e-mails(non-electronic).
Existing industry
standard

ISO 20022: SecuritiesTradeStatus/TradeConfirmationStatus

FormatChar(4)

Allowable values• NCNF = unconfirmed• ECNF = electronic• YCNF = non-electronic
Related data
elements/depen
dencies between

UTI as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the UniqueTransaction Identifier.

data elements

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31

2.19

Final contractual settlement dateDefinition

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 underthat contract.
For products that may not have a final contractual settlement date (eg American options), thisdata element reflects the date by which the transfer of cash or asset would take place if
termination were to occur on the expiration date.

Existing industry
standard

ISO 8601

FormatYYYY-MM-DD, based on UTC.

Allowable values

Any valid date.

Related data
elements/depen
dencies between

Expiration date. Final contractual settlement date is expected to fall on or after the Expiration
date.

data elements

32

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2.20

Settlement currency

Definition

Currency for the cash settlement of the transaction when applicable.

For multicurrency products that do not net, the settlement currency of each leg.

This data element is not applicable for physically settled products (eg physically settled
swaptions).
Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Delivery type as defined within the UPI reference data elements by the CPMI-IOSCO Technical
Guidance Harmonisation of the Unique Product Identifier.

data elements

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33

2.21

Settlement location

Definition

Existing industry
standard
FormatPlace of settlement of the transaction as stipulated in the contract. This data element is only
applicable for transactions that involve an offshore currency (ie a currency which is not includedin the ISO 4217 currency list, for example CNH).
ISO 3166

Allowable values

ISO country code

Related data
elements/depen
dencies between

Notional currency; Call currency; Put currency.

data elements

34

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Data elements related to regular payments

2.22

Day count convention

Definition

For each leg of the transaction, where applicable: day count convention (often also referred toas day count fraction or day count basis or day count method) that determines how interest
payments are calculated. It is used to compute the year fraction of the calculation period, andindicates the number of days in the calculation period divided by the number of days in theyear.

Existing industry
standard

ISO 20022: Interest Calculation/Day Count Basis

FormatVarchar(4)Allowable values• A001• A002• A003• A004• A005• A006• A007• A008• A009• A010• A011• A012• A013• A014• A015• A016• A017• A018• A019• A020• NARRFor a description of the allowable values see Table 4 in Annex 1.

Related data
elements/depen
dencies between

Price- and payment-related data elements; Underlier ID within the UPI reference data
elements, as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the Unique
Product Identifier.

data elements

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35

2.23

Payment frequency period

Definition

For each leg of the transaction, where applicable: time unit associated with the frequency of
payments, eg day, week, month, year or term of the stream.

Existing industry
standard

ISO 20022: InterestCalculation/PaymentFrequency

FormatChar(4)

Allowable values• DAIL = daily• WEEK = weekly• MNTH = monthly• YEAR = yearly• ADHO = ad hoc which applies when payments are irregular• TERM = payment at term

Related data
elements/depen
dencies between

Payment frequency period multiplier.

data elements

36

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2.24

Payment frequency period multiplier

Definition

For each leg of the transaction, where applicable: number of time units (as expressed by thepayment frequency period) that determines the frequency at which periodic payment dates
occur. For example, a transaction with payments occurring every two months is represented
with a payment frequency period of “MNTH” (monthly) and a payment frequency period
multiplier of 2.

This data element is not applicable if the payment frequency period is “ADHO”. If payment
frequency period is “TERM”, then the payment frequency period multiplier is 1. If the payment
frequency is intraday, then the payment frequency period is “DAIL” and the payment frequency
multiplier is 0.
Existing industry
standard

Not available

FormatNum(18,0) 16

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Payment frequency period.

data elements

16

Table 1 in Section 1.3 clarifies the meaning of this format. Num(18,0) is equal to Num(18).

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 201837

Data elements related to valuation

2.25

Valuation amountDefinition

Current value of the outstanding contract.
Valuation amount is expressed as the exit cost of the contract or components of the contract, ie
the price that would be received to sell the contract (in the market in an orderly transaction at
the valuation date).

Existing industry
standard

Not available

FormatNum(25,5) 17

Allowable values

Any value.

Related data
elements/depen
dencies between

Valuation currency; Valuation timestamp; Valuation method.

data elements

17

Valuation amount and currency can be aggregated in a more meaningful way whenaccompanied by information that identifies the method used to create the valuation and thatdate and time on which the amount is calculated.

Table 1 in Section 1.3 clarifies the meaning of this format.

38

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2.26

Valuation currency

Definition

Currency in which the valuation amount is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Valuation amount; Valuation timestamp; Valuation method.

data elements

Valuation amount and currency can be aggregated in a more meaningful way whenaccompanied by information that identifies the method used to create the valuation and thatdate and time on which the amount is calculated.

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39

2.27

Valuation timestamp

Definition

Date and time of the last valuation marked to market, provided by the central counterparty(CCP) or calculated using the current or last available market price of the inputs. If for example
a currency exchange rate is the basis for a transaction’s valuation, then the valuation timestampreflects the moment in time that exchange rate was current.

Existing industry
standard

ISO 8601

FormatYYYY-MM-DDThh:mm:ssZ, based on UTC.

If the time element is not required in a particular jurisdiction, time may be dropped given that– in the case of representations with reduced accuracy – ISO 8601 allows the complete
representation to be omitted, the omission starting from the extreme right-hand side (in theorder from the least to the most significant).

Allowable values

Any valid date/time.

Related data
elements/depen
dencies between

Valuation amount; Valuation currency; Valuation method. Valuation timestamp is expected tofall on or after the Effective date.

data elements

40

Valuation amount and currency can be aggregated in a more meaningful way whenaccompanied by information that identifies the method used to create the valuation and thatdate and time on which the amount is calculated.

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2.28

Valuation method 18

Definition

Source and method used for the valuation of the transaction by the reporting counterparty.
If at least one valuation input is used that is classified as mark-to-model in the below table,
then the whole valuation is classified as mark-to-model.
If only inputs are used that are classified as mark-to-market in the table below, then thewhole valuation is classified as mark-to-market.

Existing industry
standard

Not available

FormatChar(1)

Allowable values• M= mark-to-market• O= mark-to-model• C= central counterparty’s valuation

Related data
elements/depen
dencies between
data elements

Valuation amount; Valuation currency; Valuation timestamp. Valuation amount and Valuation
currency can be aggregated in a more meaningful way when accompanied by information that
identifies the method used to create the valuation and that date and time on which the amountis calculated.

Classification of valuation inputs

BucketInputs used

Valuation method 19

1

Quoted prices in active markets for identical assets or liabilities thatthe entity can access at the measurement date [IFRS 13:76/ASC 82010-35-40]. A quoted market price in an active market provides themost reliable evidence of fair value and is used without adjustment
to measure fair value whenever available, with limited exceptions.
[IFRS 13:77/ASC 820-10-35-41]

Mark-to-market

An active market is a market in which transactions for the asset or
liability take place with sufficient frequency and volume to provide
pricing information on an ongoing basis. [IFRS 13: Appendix A/ASC
820-10-20].
2

Quoted prices for similar assets or liabilities in active markets [IFRS
13:81/ASC 820-10-35-47] (other than quoted market prices included
within bucket 1 that are observable for the asset or liability, either
directly or indirectly)

Mark-to-market

18

The primary purpose of the Technical Guidance is to harmonise data elements which are crucial to achieving
global consistency and meaningful aggregation of OTC derivative transactions reported to TRs. The CPMI andIOSCO acknowledge that authorities might deem the data element Valuation method relevant for monitoring
the level of reliability of the valuation, especially in the case of stress events, and for assessing the standardisationof certain segments of the derivative market. With a view to addressing the evolving needs of authorities andindustry, the harmonisation of this data element might be further refined as part of the future CDE maintenanceprocess.

19

The classification provided in this column is independent from IFRS 13/ASC 820 and is for the sole purpose of reporting critical
data elements of OTC derivative transactions.

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3

Quoted prices for identical or similar assets or liabilities in markets
that are not active [IFRS 13:81/ASC 820-10-35-48(b)] (other thanquoted market prices included within bucket 1 that are observable forthe asset or liability, either directly or indirectly).

Mark-to-model – historic prices
from inactive markets should not
be directly used

4

Inputs other than quoted prices that are observable for the asset or
liability, for example interest rates and yield curves observable atcommonly quoted intervals, implied volatilities, credit spreads [IFRS
13:81/ASC 820-10-35-48(c)] (other than quoted market prices
included within bucket 1 that are observable for the asset or liability,
either directly or indirectly)

Mark-to-market

5

Inputs that are derived principally from or corroborated by observable
market data by correlation or other means (“market-corroborated
inputs”) [IFRS 13:81/ASC 820-10-35-48(d)] (other than quoted market
prices included within bucket 1 that are observable for the asset or
liability, either directly or indirectly).

Mark-to-model – the inputs canbe derived “principally” fromobservable
marketdata,
meaning that unobservable
inputs can be used

6

Unobservable inputs for the asset or liability. [IFRS 13:86/ASC 820-1035-52]
Unobservable inputs are used to measure fair value to the extent that
relevant observable inputs are not available, thereby allowing forsituations in which there is little, if any, market activity for the asset or
liability at the measurement date. An entity develops unobservable
inputs using the best information available in the circumstances,which might include the entity’s own data, taking into account all
information about market participant assumptions that is reasonably
available. [IFRS 13:87-89/ASC 820-10-35-53 - 35-54A]

Mark-to-model – unobservable
inputs are used

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Data elements related to collateral and margins

2.29

Collateral portfolio indicator

Definition

Indicator of whether the collateralisation was performed on a portfolio basis. Under portfolio,
it is understood the set of transactions that are margined together (either on a net or a grossbasis) rather than an individual transaction.

Existing industry
standard

Not available

FormatBooleanAllowable values• True, if collateralised on a portfolio basis

Related data
elements/depen
dencies between

Collateral portfolio code

• False, if not part of a portfolio

data elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018

43

2.30

Collateral portfolio code

Definition.

If collateral is reported on a portfolio basis, unique code assigned by the reporting counterparty
to the portfolio. This data element is not applicable if the collateralisation was performed on atransaction level basis, or if there is no collateral agreement or if no collateral is posted or
received.

Existing industry
standard

ISO 20022 Portfolio/Identification

FormatVarchar(52)Allowable values

Up to 52 alphanumerical characters.

Related data
elements/depen
dencies between

Collateral portfolio indicator.

data elements

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2.31

Initial margin posted by the reporting counterparty (pre-haircut)

Definition

Monetary value of initial margin that has been posted by the reporting counterparty, including
any margin that is in transit and pending settlement unless inclusion of such margin is notallowed under the jurisdictional requirements.
If the collateralisation is performed at portfolio level, the initial margin posted relates to thewhole portfolio; if the collateralisation is performed for single transactions, the initial margin
posted relates to such single transaction.
This refers to the total current value of the initial margin, rather than to its daily change.

The data element refers both to uncleared and centrally cleared transactions.

For centrally cleared transactions, the data element does not include default fund contributions,nor collateral posted against liquidity provisions to the central counterparty, ie committed
credit lines.
If the initial margin posted is denominated in more than one currency, those amounts areconverted into a single currency chosen by the reporting counterparty and reported as one
total value.
Existing industry
standard

ISO 20022: MarginCall/InitialMargin (provisionally registered)

FormatNum(25,5) 20

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of initial margin posted; Initial margin posted by the reporting counterparty (posthaircut)

data elements

20

Table 1 in Section 1.3 clarifies the meaning of this format.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018

45

2.32

Initial margin posted by the reporting counterparty (post-haircut)

Definition

Monetary value of initial margin that has been posted by the reporting counterparty, including
any margin that is in transit and pending settlement unless inclusion of such margin is notallowed under the jurisdictional requirements.
If the collateralisation is performed at portfolio level, the initial margin posted relates to thewhole portfolio; if the collateralisation is performed for single transactions, the initial margin
posted relates to such single transaction.
This refers to the total current value of the initial margin after application of the haircut (ifapplicable), rather than to its daily change.

The data element refers both to uncleared and centrally cleared transactions. For centrally
cleared transactions, the data element does not include default fund contributions, nor
collateral posted against liquidity provisions to the central counterparty, ie committed credit
lines.

If the initial margin posted is denominated in more than one currency, those amounts areconverted into a single currency chosen by the reporting counterparty and reported as one
total value.
Existing industry
standard

ISO 20022: MarginCall/InitialMargin (provisionally registered)

FormatNum(25,5) 21

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of initial margin posted; Initial margin posted by the reporting counterparty (prehaircut).

data elements

21

Table 1 in Section 1.3 clarifies the meaning of this format.

46

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2.33

Currency of initial margin posted

Definition

Currency in which the initial margin posted is denominated.

If the initial margin posted is denominated in more than one currency, this data element reflects
one of those currencies into which the reporting counterparty has chosen to convert all thevalues of posted initial margins.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Initial margin posted by the reporting counterparty (pre-haircut); Initial margin posted by thereporting counterparty (post-haircut).

data elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018

47

2.34

Initial margin collected by the reporting counterparty (pre-haircut)

Definition

Monetary value of initial margin that has been collected by the reporting counterparty,
including any margin that is in transit and pending settlement unless inclusion of such margin
is not allowed under the jurisdictional requirements.

If the collateralisation is performed at portfolio level, the initial margin collected relates to thewhole portfolio; if the collateralisation is performed for single transactions, the initial margin
collected relates to such single transaction.
This refers to the total current value of the initial margin, rather than to its daily change.

The data element refers both to uncleared and centrally cleared transactions. For centrally
cleared transactions, the data element does not include collateral collected by the central
counterparty as part of its investment activity.

If the initial margin collected is denominated in more than one currency, those amounts areconverted into a single currency chosen by the reporting counterparty and reported as one
total value.
Existing industry
standard

ISO 20022: MarginCall/InitialMargin (provisionally registered)

FormatNum(25,5) 22

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of initial margin collected; Initial margin collected by the reporting counterparty(post-haircut).

data elements

22

Table 1 in Section 1.3 clarifies the meaning of this format.

48

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2.35

Initial margin collected by the reporting counterparty (post-haircut)

Definition

Monetary value of initial margin that has been collected by the reporting counterparty,
including any margin that is in transit and pending settlement unless inclusion of such margin
is not allowed under the jurisdictional requirements.

If the collateralisation is performed at portfolio level, the initial margin collected relates to thewhole portfolio; if the collateralisation is performed for single transactions, the initial margin
collected relates to such single transaction.
This refers to the total current value of the initial margin after application of the haircut (ifapplicable), rather than to its daily change.

The data element refers both to uncleared and centrally cleared transactions. For centrally
cleared transactions, the data element does not include collateral collected by the central
counterparty as part of its investment activity.
If the initial margin collected is denominated in more than one currency, those amounts areconverted into a single currency chosen by the reporting counterparty and reported as one
total value.
Existing industry
standard

ISO 20022: MarginCall/InitialMargin (provisionally registered)

FormatNum(25,5) 23

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of initial margin collected; Initial margin collected by the reporting counterparty (prehaircut).

data elements

23

Table 1 in Section 1.3 clarifies the meaning of this format.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018

49

2.36

Currency of initial margin collected

Definition

Currency in which the initial margin collected is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Initial margin collected by the reporting counterparty (pre-haircut); Initial margin collected by
the reporting counterparty (post-haircut).

If the initial margin collected is denominated in more than one currency, this data element
reflects one of those currencies into which the reporting counterparty has chosen to convert
all the values of collected initial margins.

data elements

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2.37

Variation margin posted by the reporting counterparty (pre-haircut)

Definition

Monetary value of the variation margin posted by the reporting counterparty (including the
cash-settled one), and including any margin that is in transit and pending settlement unlessinclusion of such margin is not allowed under the jurisdictional requirements.
Contingent variation margin is not included.

If the collateralisation is performed at portfolio level, the variation margin posted relates to thewhole portfolio; if the collateralisation is performed for single transactions, the variation margin
posted relates to such single transaction.

This data element refers to the total current value of the variation margin, cumulated since thefirst reporting of variation margins posted for the portfolio/transaction.
If the variation margin posted is denominated in more than one currency, those amounts areconverted into a single currency chosen by the reporting counterparty and reported as one
total value.
Existing industry
standard

ISO 20022: MarginCall/VariationMargin (provisionally registered)

FormatNum(25,5) 24

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of the variation margin posted; Variation margin posted by the reporting counterparty(post-haircut)

data elements

24

Table 1 in Section 1.3 clarifies the meaning of this format.

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51

2.38

Variation margin posted by the reporting counterparty (post-haircut)

Definition

Monetary value of the variation margin posted by the reporting counterparty (including the
cash-settled one), and including any margin that is in transit and pending settlement unlessinclusion of such margin is not allowed under the jurisdictional requirements.
Contingent variation margin is not included.

If the collateralisation is performed at portfolio level, the variation margin posted relates to thewhole portfolio; if the collateralisation is performed for single transactions, the variation margin
posted relates to such single transaction.
This data element refers to the total current value of the variation margin after application of
the haircut (if applicable), cumulated since the first reporting of posted variation margins forthe portfolio /transaction.

If the variation margin posted is denominated in more than one currency, those amounts areconverted into a single currency chosen by the reporting counterparty and reported as one
total value.
Existing industry
standard

ISO 20022: MarginCall/VariationMargin (provisionally registered)

FormatNum(25,5) 25

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of the variation margin posted; Variation margin posted by the reporting counterparty(pre-haircut).

data elements

25

Table 1 in Section 1.3 clarifies the meaning of this format.

52

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2.39

Currency of variation margin posted

Definition

Currency in which the variation margin posted is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Variation margin posted by the reporting counterparty (pre-haircut); Variation margin posted
by the reporting counterparty (post-haircut).

If the variation margin posted is denominated in more than one currency, this data element
reflects one of those currencies into which the reporting counterparty has chosen to convert
all the values of posted variation margins.

data elements

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53

2.40

Variation margin collected by the reporting counterparty (pre-haircut)

Definition

Monetary value of the variation margin collected by the reporting counterparty (including the
cash-settled one), and including any margin that is in transit and pending settlement unlessinclusion of such margin is not allowed under the jurisdictional requirements.
Contingent variation margin is not included.

If the collateralisation is performed at portfolio level, the variation margin collected relates tothe whole portfolio; if the collateralisation is performed for single transactions, the variation
margin collected relates to such single transaction.
This refers to the total current value of the variation margin, cumulated since the first reportingof collected variation margins for the portfolio/transaction.

If the variation margin collected is denominated in more than one currency, those amounts areconverted into a single currency chosen by the reporting counterparty and reported as one
total value.

Existing industry
standard

ISO 20022: MarginCall/VariationMargin (provisionally registered)

FormatNum(25,5) 26

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of the variation margin collected; Variation margin collected by the reporting
counterparty (post-haircut).

data elements

26

Table 1 in Section 1.3 clarifies the meaning of this format.

54

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2.41

Variation margin collected by the reporting counterparty (post-haircut)

Definition

Monetary value of the variation margin collected by the reporting counterparty (including the
cash-settled one), and including any margin that is in transit and pending settlement unlessinclusion of such margin is not allowed under the jurisdictional requirements.
Contingent variation margin is not included.

If the collateralisation is performed at portfolio level, the variation margin collected relates tothe whole portfolio; if the collateralisation is performed for single transactions, the variation
margin collected relates to such single transaction.
This refers to the total current value of the variation margin collected after application of thehaircut (if applicable), cumulated since the first reporting of collected variation margins for the
portfolio /transaction.

If the variation margin collected is denominated in more than one currency, those amounts areconverted into a single currency chosen by the reporting counterparty and reported as one
total value.
Existing industry
standard

ISO 20022: MarginCall/VariationMargin (provisionally registered)

FormatNum(25,5) 27

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of the variation margin collected; Variation margin collected by the reporting
counterparty (pre-haircut).

data elements

27

Table 1 in Section 1.3 clarifies the meaning of this format.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018

55

2.42

Currency of variation margin collected

Definition

Currency in which the variation margin collected is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Variation margin collected by the reporting counterparty (pre-haircut); Variation margin
collected by the reporting counterparty (post-haircut).

If the variation margin collected is denominated in more than one currency, this data element
reflects one of those currencies into which the reporting counterparty has chosen to convert
all the values of collected variation margins.

data elements

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2.43

Excess collateral posted by the reporting counterparty

Definition

Monetary value of any additional collateral posted by the reporting counterparty separate andindependent from initial and variation margin. This refers to the total current value of the excess
collateral before application of the haircut (if applicable), rather than to its daily change.

Any initial or variation margin amount posted that exceeds the required initial margin or
required variation margin, is reported as part of the initial margin posted or variation margin
posted respectively rather than included as excess collateral posted.

For centrally cleared transactions, excess collateral is reported only to the extent it can be
assigned to a specific portfolio or transaction.
Existing industry
standard

Not available

FormatNum(25,5) 28

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of excess collateral posted.

data elements

28

Table 1 in Section 1.3 clarifies the meaning of this format.

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57

2.44

Currency of excess collateral posted

Definition

Currency in which the excess collateral posted is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Excess collateral posted by the reporting counterparty.

If the excess collateral posted is denominated in more than one currency, this data element
reflects one of those currencies into which the reporting counterparty has chosen to convert
all the values of posted excess collateral.

data elements

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2.45

Excess collateral collected by the reporting counterparty

Definition

Monetary value of any additional collateral collected by the reporting counterparty separate
and independent from initial and variation margin. This data element refers to the total current
value of the excess collateral before application of the haircut (if applicable), rather than to its
daily change.

Any initial or variation margin amount collected that exceeds the required initial margin or
required variation margin, is reported as part of the initial margin collected or variation margin
collected respectively, rather than included as excess collateral collected.

For centrally cleared transactions excess collateral is reported only to the extent it can be
assigned to a specific portfolio or transaction.
Existing industry
standard

Not available

FormatNum(25,5) 29

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Currency of the excess collateral collected.

data elements

29

Table 1 in Section 1.3 clarifies the meaning of this format.

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59

2.46

Currency of excess collateral collected

Definition

Currency in which the excess collateral collected is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Excess collateral collected by the reporting counterparty.

If the excess collateral is denominated in more than one currency, this data element reflects
one of those currencies into which the reporting counterparty has chosen to convert all thevalues of collected excess collateral

data elements

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2.47

Collateralisation category

Definition

Indicator of whether a collateral agreement (or collateral agreements) between the
counterparties exists (uncollateralised/partially collateralised/one-way collateralised/fully
collateralised). This data element is provided for each transaction or each portfolio, dependingon whether the collateralisation is performed at the transaction or portfolio level, and isapplicable to both cleared and uncleared transactions.

Existing industry
standard

Not available

FormatChar(4)

Allowable values
Value

Name

UNC
O

Uncollateralise
d

PAC1

PAC2

PACO

Partiallycollateralised

OWC
1

One-waycollateralised:
Counterparty 1
only

OWC
2

O1PC

O2PC

FULL
Related data
elements/depen
dencies between

Partiallycollateralised:
Counterparty 1
only
Partiallycollateralised:
Counterparty 2
only

One-waycollateralised:
Counterparty 2
only
Oneway/partiallycollateralised:
Counterparty 1
Oneway/partiallycollateralised:
Counterparty 2
Fully
collateralised

Definition
There is no collateral agreement between the counterparties orthe collateral agreement(s) between the counterparties stipulates
that no collateral (neither initial margin nor variation margin) has
to be posted with respect to the derivative transaction.
The collateral agreement(s) between the counterparties stipulates
that the reporting counterparty regularly posts only variation
margin and that the other counterparty does not post any margin
with respect to the derivative transaction.
The collateral agreement(s) between the counterparties stipulates
that the other counterparty regularly posts only variation margin
and that the reporting counterparty does not post any margin
with respect to the derivative transaction.
The collateral agreement(s) between the counterparties stipulates
that both counterparties regularly post only variation margin withrespect to the derivative transaction.
The collateral agreement(s) between the counterparties stipulates
that the reporting counterparty posts the initial margin andregularly posts variation margin and that the other counterparty
does not post any margin with respect to the derivativetransaction.
The collateral agreement(s) between the counterparties stipulates
that the other counterparty posts the initial margin and regularly
posts variation margin and that the reporting counterparty does
not post any margin with respect to the derivative transaction.
The collateral agreement(s) between the counterparties stipulates
that the reporting counterparty posts the initial margin andregularly posts variation margin and that the other counterparty
regularly posts only variation margin.
The collateral agreement(s) between the counterparties stipulates
that the other counterparty posts the initial margin and regularly
posts variation margin and that the reporting counterparty
regularly posts only variation margin.
The collateral agreement(s) between the counterparties stipulates
that both counterparties post initial margin and regularly post
variation margin with respect to the derivative transaction.

Counterparty 1, Counterparty 2

data elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 201861

Data elements related to counterparty rating triggers

2.48

Counterparty rating trigger indicator

Definition

Indicator of whether a counterparty rating trigger has been agreed by the counterparties forthe collateral posted by reporting counterparty

Existing industry
standard

Not available

FormatBooleanAllowable values• TrueRelated data
elements/depen
dencies between

Counterparty rating threshold indicator• Falsedata elements

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2.49

Counterparty rating threshold indicator

Definition

Indicator of whether the counterparty rating trigger(s) include one that increases collateralrequirements when the reporting counterparty falls below the threshold of single-A or
equivalent.
This data element is not applicable if the Counterparty rating trigger indicator is false.

Existing industry
standard

Not available

FormatBooleanAllowable values• TrueRelated data
elements/depen
dencies between

Counterparty rating trigger indicator• Falsedata elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 201863

Data elements related to prices

2.50

Price

Definition

Price specified in the OTC derivative transaction. It does not include fees, taxes or commissions.
For commodity fixed/float swaps and similar products with periodic payments, this data
element refers to the fixed price of the fixed leg(s).

For commodity and equity forwards and similar products, this data element refers to theforward price of the underlying or reference asset.
For equity swaps, portfolios swaps, and similar products, this data element refers to the initial
price of the underlying or reference asset.
For contracts for difference and similar products, this data element refers to the initial price of
the underlier.
This data element is not applicable to:• Interest rate swaps and forward rate agreements, as it is understood that the information
included in the data elements Fixed rate and Spread may be interpreted as the price of thetransaction.
• Interest rate options and interest rate swaptions, as it is understood that the information
included in the data elements Strike price and Option premium may be interpreted as theprice of the transaction.
• Commodity basis swaps and the floating leg of commodity fixed/float swaps, as it isunderstood that the information included in the data element Spread may be interpreted as
the price of the transaction.

• Foreign exchange swaps, forwards and options, as it is understood that the information
included in the data elements Exchange rate, Strike price, and Option premium may beinterpreted as the price of the transaction.
• Equity options, as it is understood that the information included in the data elements Strikeprice and Option premium may be interpreted as the price of the transaction.
• Credit default swaps and credit total return swaps, as it is understood that the information
included in the data elements Fixed rate, Spread and Upfront payment (Other payment type:
Upfront payment) may be interpreted as the price of the transaction.

• Commodity options, as it is understood that the information included in the data elements
Strike price and Option premium may be interpreted as the price of the transaction.

Where the price is not known when a new transaction is reported, the price is updated as it
becomes available.

For transactions that are part of a package, this data element contains the price of thecomponent transaction where applicable.
Existing industry
standard

ISO 20022: Price/Amount

Format• Num(18,13) 30, if Price notation = 1• Num(11,10), if Price notation = 2• Num(11,10), if Price notation = 3

Allowable values• Any value, if Price notation = 1• Any value expressed as percentage (eg 2.57 instead of 2.57%), if Price notation = 2• Any value expressed as decimal (eg 0.0257 instead of 2.57%), if Price notation = 330

Table 1 in Section 1.3 clarifies the meaning of this format.

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Related data
elements/depen
dencies between

Price currency; Price schedule; Price notation; Price unit of measure; Valuation amount; 31
Underlier ID within the UPI reference data elements, as defined by the CPMI-IOSCO Technical
Guidance: Harmonisation of the Unique Product Identifier.

data elements

31

While Price captures the prices at which counterparties negotiate contracts, market prices are reflected in the Valuation Amounts.

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65

2.51

Price currency

Definition

Currency in which the price is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Price; Price schedule; Price notation; Price unit of measure.

Price currency is only applicable if Price notation = 1.

data elements

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2.52

Price notation

Definition

Manner in which the price is expressed.

Existing industry
standard

Not available

FormatChar(1)

Allowable values• 1 = monetary amount• 2 = percentage• 3 = decimal

The above allowable values might be restricted based on jurisdictional requirements (eg certain
jurisdictions might require the value to be reported as a decimal instead of percentage).
Related data
elements/depen
dencies between

Price; Price currency; Price unit of measure; Price schedule; Spread notation; Packagetransaction price notation; Package transaction spread notation.

data elements

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67

2.53

Price unit of measure

Definition

Unit of measure in which the price is expressed.

Existing industry
standard

ISO 20022: Price/UnitOfMeasure

FormatAllowable values

A list of allowable values and their format will be provided to the CDE maintenance andgovernance framework, which will be developed by the CPMI and IOSCO.

Related data
elements/depen
dencies between

Price; Price currency; Price schedule; Price notation; Quantity unit of measure.

data elements

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2.54

Price scheduleDefinition

For OTC derivative transactions with prices varying throughout the life of the transaction:•
2.54.1: Unadjusted effective date of the price•2.54.2: Unadjusted end date of the price(not applicable if the unadjusted end date of a given schedule’s period is back-to-back withthe unadjusted effective date of the subsequent period)•

2.54.3: Price in effect between the unadjusted effective date and unadjusted end dateinclusive.

Price schedule is only applicable if the price varies per schedule.

The currency, notation, and unit of measure for the varying prices in the schedule are reported
in Price currency, Price notation, and Price unit of measure data elements.
Existing industry
standard• 2.54.1: ISO 8601
• 2.54.2: ISO 8601

• 2.54.3: ISO 20022: Price/Amount
Format• 2.54.1: YYYY-MM-DD, based on UTC• 2.54.2: YYYY-MM-DD, based on UTC• 2.54.3:- Num(18,13) 32, if Price notation = 1- Num(11,10), if Price notation = 2- Num(11,10), if Price notation = 3
Allowable values• 2.54.1: any valid date
• 2.54.2: any valid date
• 2.54.3:- Any value greater than zero, if Price notation = 1- Any value expressed as percentage (eg 2.57 instead of 2.57%), if Price notation = 2- Any value expressed as decimal (eg 0.0257 instead of 2.57%), if Price notation = 3
Related data
elements/depen
dencies between
data elements

32

Price; Price currency; Price notation; Price unit of measure; Underlier ID within the UPI reference
data elements, as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the Unique
Product Identifier

Table 1 in Section 1.3 clarifies the meaning of this format

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2.55

Fixed rate

Definition

For each leg of the transaction, where applicable: for OTC derivative transactions with periodic
payments, per annum rate of the fixed leg(s).

Existing industry
standard

ISO 20022: Interest/Rate

Format•Allowable values•

Num(11,10) 34, if Fixed rate notation = 2•

Positive and negative values expressed as percentage (eg 2.57 instead of 2.57%), if Fixed
rate notation = 1•
Related data
elements/depen
dencies between
data elements70

Num(11,10) 33, if Fixed rate notation = 1

Positive and negative values expressed as decimal (eg 0.0257 instead of 2.57%), if Fixed
rate notation = 2

Fixed rate notation; Day count convention; Underlier ID within the UPI reference data elements,
as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the Unique Product
Identifier.

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2.56

Fixed rate notation

Definition

For each leg of the transaction, where applicable: manner in which the fixed rate is expressed.

Existing industry
standard

Not available

FormatChar(1)

Allowable values• 1 = percentage• 2 = decimal

The above allowable values might be restricted based on jurisdictional requirements eg certain
jurisdictions might require the value to be reported as a decimal instead of percentage).
Related data
elements/depen
dencies between

Fixed rate.

data elements

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71

2.57

SpreadDefinition

For each leg of the transaction, where applicable: for OTC derivative transactions with periodic
payments (eg interest rate fixed/float swaps, interest rate basis swaps, commodity swaps),• spread on the individual floating leg(s) index reference price, in the case where there is aspread on a floating leg(s). For example, USD-LIBOR-BBA plus .03 or WTI minus USD 14.65;
or• difference between the reference prices of the two floating leg indexes. For example, the 9.00
USD “Spread” for a WCS vs. WTI basis swap where WCS is priced at 43 USD and WTI is priced
at 52 USD.
Existing industry
standard

ISO 20022: Spread/SpreadRate or ISO 20022: Spread/PriceOffset or ISO 20022:
Spread/BasisPointSpread

Format• Num(18,13) 35, if Spread notation = 1• Num(11,10), if Spread notation = 2• Num(11,10), if Spread notation = 3• Num(5), if Spread notation = 4

Allowable values• Any value, if Spread notation = 1• Any value expressed as percentage (eg 2.57 instead of 2.57%), if Spread notation = 2• Any value expressed as decimal (eg 0.0257 instead of 2.57%), if Spread notation = 3• Any integer value expressed in basis points (eg 257 instead of 2.57%), if Spread notation = 4

Related data
elements/depen
dencies between

Underlier ID as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the Unique
Product Identifier; Spread notation; Spread currency.

data elements

35

Table 1 in Section 1.3 clarifies the meaning of this format.

72

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2.58

Spread currency

Definition
Existing industry
standard

For each leg of the transaction, where applicable: currency in which the spread is denominated.
This data element is only applicable if Spread notation = 1.
ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Spread; Spread notation.

data elements

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73

2.59

Spread notation

Definition
Existing industry
standard

For each leg of the transaction, where applicable: manner in which the spread is expressed.
Not available

FormatChar(1)

Allowable values• 1 = monetary amount• 2 = percentage• 3 = decimal• 4 = basis points

The above allowable values might be restricted based on jurisdictional requirements (eg certain
jurisdictions might require the value to be reported as a decimal instead of percentage).
Related data
elements/depen
dencies between

Spread; Spread currency.

data elements

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2.60

Strike priceDefinition• For options other than FX options, swaptions and similar products, price at which the ownerof an option can buy or sell the underlying asset of the option.

• For foreign exchange options, exchange rate at which the option can be exercised, expressedas the rate of exchange from converting the unit currency into the quoted currency. In theexample 0.9426 USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 =EUR 0.9426.Where the strike price is not known when a new transaction is reported, the strikeprice is updated as it becomes available.

• For volatility and variance swaps and similar products the volatility strike price is reported inthis data element.
Existing industry
standard

ISO 20022: Option/Strike Price

Format• Num(18,13) 36, if Strike price notation = 1• Num(11,10), if Strike price notation = 2• Num(11,10,) if Strike price notation = 3
Allowable values• Any value (eg USD 6.39) expressed as 6.39, for equity options, commodity options, foreignexchange options and similar products, if Strike price notation = 1.

• Any value expressed as percentage (eg 2.1 instead of 2.1%), for interest rate options, interest
rate and credit swaptions quoted in spread, and similar products, if Strike price notation = 2.
• Any value expressed as decimals (eg 0.021 instead of 2.1%), for interest rate options, interest
rate and credit swaptions quoted in spread, and similar products, if Strike price notation = 3.

Related data
elements/depen
dencies between

Strike price currency; Strike price notation; Strike price schedule; Underlier ID within the UPI
reference data elements, as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of
the Unique Product Identifier.

data elements

36

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.61

Strike price currency/currency pairDefinition

For equity options, commodity options, and similar products, currency in which the strike priceis denominated.

For foreign exchange options: Currency pair and order in which the strike price is expressed. It
is expressed as unit currency/quoted currency. In the example 0.9426 USD/EUR, USD is the unit
currency and EUR is the quoted currency, USD 1 = EUR 0.9426

Strike price currency/currency pair is only applicable if Strike price notation = 1.
Existing industry
standard

ISO 4217

Format• Char(3)Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between• For foreign exchange options: Char(3)/Char(3); [Unit currency/Quoted currency] without
restricting the currency pair ordering (ie the Strike price currency pair may be USD/EUR or
EUR/USD).
Strike price; Strike price notation; Strike price schedule; Underlier ID within the UPI reference
data elements, as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the Unique
Product Identifier.

data elements

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2.62

Strike price notation

Definition

Manner in which the Strike price is expressed.

Existing industry
standard

Not available

FormatChar(1)

Allowable values• 1 = monetary amount• 2 = percentage• 3=decimal

The above allowable values might be restricted based on jurisdictional requirements (eg certain
jurisdictions might require the value to be reported as a decimal instead of percentage).
Related data
elements/depen
dencies between

Strike price; Strike price currency; Strike price schedule.

data elements

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77

2.63

Strike price scheduleDefinition

For options, swaptions and similar products with strike prices varying throughout the life of thetransaction:•
2.63.1: Unadjusted effective date of the strike price•2.63.2: Unadjusted end date of the strike price(not applicable if the unadjusted end date of a given schedule’s period is back-to-back withthe unadjusted effective date of the subsequent period)•

2.63.3: Strike price in effect between the unadjusted effective date and unadjusted end dateinclusive.

Strike price schedule is only applicable if the strike price varies per schedule.

The currency for the varying strike prices in the schedule is reported in Strike price currency
data element.

Existing industry
standard• 2.63.1: ISO8601• 2.63.2: ISO8601• 2.63.3: ISO 20022 Option/Strike Price
Format• 2.63.1: YYYY-MM-DD, based on UTC• 2.63.2: YYYY-MM-DD, based on UTC• 2.63.3:- Num(18,13) 37, if Strike price notation = 1- Num(11,10), if Strike price notation = 2- Num(11,10) if Strike price notation = 3

Allowable values• 2.63.1: any valid date
• 2.63.2: any valid date

• 2.63.3: any value greater than zero

- Any value (eg USD 6.39) expressed as 6.39, for equity options, commodity options, foreignexchange options and similar products if Strike price notation = 1.

- Any value expressed as percentage (eg 2.1 instead of 2.1%), for interest rate options,interest rate and credit swaptions quoted in spread, and similar products, if Strike pricenotation = 2.

- Any value expressed as decimal (eg 0.021 instead of 2.1%), for interest rate options, interest
rate and credit swaptions quoted in spread, and similar products, if Strike price notation =3.
Related data
elements/depen
dencies between

Strike price; Strike price currency; Underlier ID within the UPI reference data elements, as
defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the Unique Product Identifier.

data elements

37

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.64

Option premium amountDefinition

For options and swaptions of all asset classes, monetary amount paid by the option buyer.

Existing industry
standard

Not available

FormatNum(25,5) 38

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

This data element is not applicable if the instrument is not an option or does not embed any
optionality.

Option premium payment date; Option premium currency; Underlier ID within the UPI
reference data elements, as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of
the Unique Product Identifier.

data elements

38

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.65

Option premium currency

Definition

For options and swaptions of all asset classes, currency in which the option premium amountis denominated. This data element is not applicable if the instrument is not an option or does
not embed any optionality.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Option premium amount; Option premium payment date; Underlier ID within the UPI reference
data elements, as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the Unique
Product Identifier.

data elements

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2.66

Option premium payment dateDefinition
Existing industry
standard
FormatAllowable values
Related data
elements/depen
dencies between

Unadjusted date on which the option premium is paid.
ISO 8601
YYYY-MM-DD, based on UTC.
Any valid date.
Option premium; Option premium currency; Effective date; Expiration date.

data elements

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2.67

First exercise dateDefinition

First unadjusted date during the exercise period in which an option can be exercised.

For European-style options, this date is same as the Expiration date. For American-style options,the first possible exercise date is the unadjusted date included in the execution timestamp.

For knock-in options, where the first exercise date is not known when a new transaction isreported, the first exercise date is updated as it becomes available.

This data element is not applicable if the instrument is not an option or does not embed any
optionality.
Existing industry
standard

ISO 8601

FormatYYYY-MM-DD, based on UTC

Allowable values

Any valid date.

Related data
elements/depen
dencies between

Effective date; Expiration date. First exercise date should not be earlier than the Effective date,or later than the Expiration date.

data elements

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2.68

Exchange rate

Definition

Exchange rate between the two different currencies specified in the OTC derivative transaction
agreed by the counterparties at the inception of the transaction, expressed as the rate ofexchange from converting the unit currency into the quoted currency. In the example 0.9426
USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 = EUR 0.9426.

Existing industry
standard

ISO 20022 CurrencyExchange/ExchangeRate

FormatNum(18,13) 39

Allowable values

Any value greater than zero.

Related data
elements/depen
dencies between

Exchange rate basis.

data elements

39

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.69

Exchange rate basis

Definition

Currency pair and order in which the exchange rate is denominated, expressed as unit
currency/quoted currency. In the example 0.9426 USD/EUR, USD is the unit currency and EUR
is the quoted currency, USD 1 = EUR 0.9426.

Existing industry
standard

Not available

FormatChar(3)/Char(3); [Unit currency/Quoted currency], without restricting the currency pair ordering(ie the exchange rate basis may be USD/EUR or EUR/USD).

Allowable values

Any pair of currencies included in ISO 4217.

Related data
elements/depen
dencies between

Exchange rate.

data elements

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Data elements related to notional amounts and quantities

2.70
Definition

Notional amountFor each leg of the transaction, where applicable:- for OTC derivative transactions negotiated in monetary amounts, amount specified in thecontract.
- for OTC derivative transactions negotiated in non-monetary amounts:
Product
Equity options and similar products
Equity forwards and similar products
Equity dividend swaps and similar
products
Equity swaps, portfolio swaps, andsimilar products
Equity variance swaps and similar
products
Equity volatility swaps and similar
products
Equity CFDs and similar products
Commodity options and similar
products
Commodity forwards and similar
products
Commodity fixed/float swaps and similar
products
Commodity basis swaps and similar
products
Commodity swaptions and similar
products
Commodity CFDs and similar products

Converted Amount
Product of the strike price and the number ofshares or index units
Product of the forward price and the numberof shares or index units
Product of the period fixed strike and thenumber of shares or index units
Product of the initial price and the number ofshares or index units
Variance amount
Vega notional amount
Product of the initial price and the number ofshares or index units
Product of the strike price, and the total
notional quantity
Product of the forward price and the total
notional quantity
Product of the fixed price and the total
notional quantity
Product of the last available spot price at thetime of the transaction of the underlying assetof the leg with no spread and the total
notional quantity of the leg with no spread
Notional amount of the underlying contract

Product of the initial price and the total
notional quantity
Notes to the conversion table for OTC derivative transactions negotiated in non-monetaryamounts:• Note 1: for transactions where the quantity unit of measure differs from the price unit ofmeasure, the price or total quantity is converted to a unified unit of measure.

• Note 2: if applicable to the transaction, the notional amount reflects any multipliers andoption entitlements.

• Note 3: for basket-type contracts, the notional amount of the transaction is the sum of thenotional amounts of each constituent of the basket.
In addition:• For OTC derivative transactions with a notional amount schedule, the initial notional amount,agreed by the counterparties at the inception of the transaction, is reported in this data
element.

• For OTC foreign exchange options, in addition to this data element, the amounts are reported
using the data elements Call amount and Put amount. For amendments or lifecycle events,

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 201885

the resulting outstanding notional amount is reported; (steps in notional amount schedules
are not considered to be amendments or lifecycle events);• Where the notional amount is not known when a new transaction is reported, the notionalamount is updated as it becomes available.
Existing industry
standard

ISO 20022: Derivative/NotionalCurrencyAndAmount

FormatNum(25,5) 40

Allowable values

Any value greater than or equal to zero

Related data
elements/depen
dencies between

Notional currency; Notional amount schedule; Call amount; Call currency; Put amount; Putcurrency.

data elements

40

86

Table 1 in Section 1.3 clarifies the meaning of this format.
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2.71

Delta

Definition

The ratio of the absolute change in price of an OTC derivative transaction to the change in priceof the underlier, at the time a new transaction is reported or when a change in the notionalamount is reported.

Existing industry
standard

Not available

FormatNum(25,5) 41

Allowable values

Any value between zero and one.

Related data
elements/depen
dencies between

Notional Currency; Notional Amount.

data elements

41

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.72

Call amountDefinition

For foreign exchange options, the monetary amount that the option gives the right to buy.

Existing industry
standard

ISO 20022: CurrencyOption/CallAmount

FormatNum(25,5) 42

Allowable values

Any value greater than zero

Related data
elements/depen
dencies between

Call currency; Notional amount.

data elements

42

88

Table 1 in Section 1.3 clarifies the meaning of this format.
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2.73

Put amountDefinition

For foreign exchange options, the monetary amount that the option gives the right to sell.

Existing industry
standard

ISO 20022: CurrencyOption/PutAmount

FormatNum(25,5) 43

Allowable values

Any value greater than zero.

Related data
elements/depen
dencies between

Put currency; Notional amount.

data elements

43

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.74

Notional currency

Definition

For each leg of the transaction, where applicable: currency in which the notional amount isdenominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Notional amount; Notional amount schedule; Call currency; Put currency; Settlement location.

data elements

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2.75

Call currency

Definition

For foreign exchange options, the currency in which the Call amount is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Call amount; Settlement location.

data elements

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91

2.76

Put currency

Definition

For foreign exchange options, the currency in which the Put amount is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Put amount; Settlement location.

data elements

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2.77

Quantity unit of measure

Definition
Existing industry
standard
FormatAllowable values
Related data
elements/depen
dencies between

For each leg of the transaction, where applicable: unit of measure in which the Total notional
quantity and the Notional quantity schedules are expressed.
ISO 20022: ProductQuantity/UnitOfMeasure

A list of allowable values and their format will be provided to the CDE maintenance andgovernance framework, which will be developed by the CPMI and IOSCO.
Total notional quantity; Notional quantity schedule.

data elements

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2.78

Notional amount scheduleDefinition

For each leg of the transaction, where applicable:

for OTC derivative transactions negotiated in monetary amounts with a notional amountschedule:••

2.78.1: Unadjusted date on which the associated notional amount becomes effective
2.78.2: Unadjusted end date of the notional amount(not applicable if the unadjusted end date of a given schedule’s period is back-to-back withthe unadjusted effective date of the subsequent period)•

2.78.3: Notional amount which becomes effective on the associated unadjusted effectivedate.

The initial notional amount and associated unadjusted effective and end date are reported as
the first values of the schedule.

This data element is not applicable to OTC derivative transactions with notional amounts thatare condition- or event-dependent. The currency of the varying notional amounts in theschedule is reported in Notional currency.
Existing industry
standard• 2.78.1: ISO 8601
• 2.78.2: ISO 8601

• 2.78.3: ISO 20022: Derivative/NotionalCurrencyAndAmount
Format• 2.78.1: YYYY-MM-DD, based on UTC• 2.78.2: YYYY-MM-DD, based on UTC• 2.78.3: Num(25,5) 44

Allowable values• 2.78.1: any valid date

• 2.78.2: any valid date

• 2.78.3: any value greater than or equal to zero

Related data
elements/depen
dencies between
data elements

44

Notional currency; Notional amount; Notional schedule within the UPI reference data elements,
as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the Unique Product
Identifier; Call amount; Call currency; Put amount; Put currency.

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.79

Total notional quantity

Definition

Existing industry
standard

For each leg of the transaction, where applicable: aggregate Notional quantity of theunderlying asset for the term of the transaction.
Where the Total notional quantity is not known when a new transaction is reported, the Total
notional quantity is updated as it becomes available.
Not available

FormatNum(25,5)38

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Quantity unit of measure; Notional quantity schedule.

data elements

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2.80 Notional quantity scheduleDefinition

For each leg of the transaction, where applicable: for OTC derivative transactions negotiatedin non-monetary amounts with a Notional quantity schedule•
2.80.1: Unadjusted date on which the associated notional quantity becomes effective•
2.80.2: Unadjusted end date of the notional quantity(not applicable if the unadjusted end date of a given schedule’s period is back-to-backwith the unadjusted effective date of the subsequent period);•

2.80.3: Notional quantity which becomes effective on the associated unadjusted effectivedate.

The initial notional quantity and associated unadjusted effective and end date are be reported
as the first values of the schedule.

This data element is not applicable to OTC derivative transactions with notional quantities thatare condition- or event-dependent.
The quantity unit of measure for the varying notional quantities in the schedule is reported in
Quantity unit of measure.

Existing industry
standard• 2.80.1: ISO 8601
• 2.80.2: ISO 8601

• 2.80.3: Not available
Format• 2.80.1: YYYY-MM-DD, based on UTC• 2.80.2: YYYY-MM-DD, based on UTC• 2.80.3: Num(25,5)37
Allowable values• 2.80.1: any valid date

• 2.80.2: any valid date

• 2.80.3: any value greater than or equal to zero
Related data
elements/depen
dencies between
data elements

96

Total notional quantity; Quantity unit of measure; Notional schedule within the UPI reference
data elements, as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the Unique
Product Identifier.

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CDS index attachment and detachment point

2.81

CDS index attachment point

Definition

Defined lower point at which the level of losses in the underlying portfolio reduces the notionalof a tranche. For example, the notional in a tranche with an attachment point of 3% will be
reduced after 3% of losses in the portfolio have occurred. This data element is not applicable
if the transaction is not a CDS tranche transaction (index or custom basket).

Existing industry
standard

ISO 20022: Tranche/AttachmentPoint (provisionally registered)

FormatNum(11,10) 45

Allowable values

Any value between 0 and 1 (including 0 and 1)expressed as decimal (eg 0.05 instead of 5%).

Related data
elements/depen
dencies between

CDS index detachment point, UPI as defined by the CPMI-IOSCO Technical Guidance:
Harmonisation of the Unique Product Identifier.

data elements

45

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.82

CDS index detachment point

Definition

Defined point beyond which losses in the underlying portfolio no longer reduce the notionalof a tranche. For example, the notional in a tranche with an attachment point of 3% and a
detachment point of 6% will be reduced after there have been 3% of losses in the portfolio. 6%
losses in the portfolio deplete the notional of the tranche. This data element is not applicable
if the transaction is not a CDS tranche transaction (index or custom basket).

Existing industry
standard

ISO 20022: Tranche/DetachmentPoint (provisionally registered)

FormatNum(11,10) 46

Allowable values

Any value between 0 and 1 (including 0 and 1), expressed as decimal (eg 0.05 instead of 5%).

Related data
elements/depen
dencies between

CDS index attachment point, UPI as defined by the CPMI-IOSCO Technical Guidance:
Harmonisation of the Unique Product Identifier.

data elements

46

Table 1 in Section 1.3 clarifies the meaning of this format.

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Data elements related to other payments
This set of data elements captures some types of payment linked to the derivative transaction but that are
not regular periodic payments. This set of data elements could be reported multiple times in the case ofmultiple payments.

2.83

Other payment amountDefinition

Payment amounts with corresponding payment types to accommodate requirements oftransaction descriptions from different asset classes.

Existing industry
standard

Not available

FormatNum(25,5) 47

Allowable values

Any value greater than or equal to zero.

Related data
elements/depen
dencies between

Other payment type; Other payment currency; Other payment date; Other payment payer;
Other payment receiver.

data elements

47

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.84

Other payment typeDefinition

Type of Other payment amount.

Existing industry
standard

Not available

FormatChar(1)

Allowable values• 1 = Upfront Payment, ie the initial payment made by one of the counterparties either to bringa transaction to fair value or for any other reason that may be the cause of an off-market
transaction

Option premium payment is not included as a payment type as premiums for option arereported using the option premium dedicated data element.

• 2 = Unwind or Full termination, ie the final settlement payment made when a transaction is
unwound prior to its end date; Payments that may result due to full termination of derivativetransaction(s)• 3 = Principal Exchange, ie Exchange of notional values for cross-currency swaps

Related data
elements/depen
dencies between

Other payment amount; Other payment currency; Other payment date; Other payment payer;
Other payment receiver.

data elements

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2.85

Other payment currency

Definition

Currency in which Other payment amount is denominated.

Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Other payment type; Other payment amount; Other payment date; Other payment payer; Other
payment receiver.

data elements

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2.86

Other payment dateDefinition

Unadjusted date on which the other payment amount is paid.

Existing industry
standard

ISO 8601

FormatYYYY-MM-DD, based on UTC.

Allowable values

Any valid date

Related data
elements/depen
dencies between

Other payment type; Other payment currency; Other payment amount; Other payment payer;
Other payment receiver.

data elements

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2.87

Other payment payer

Definition

Identifier of the payer of Other payment amount.

Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

Format• Char(20)Allowable values• LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/).

• Varchar (72), for natural persons who are acting as private individuals (not business entities).

• For natural persons who are acting as private individuals (not business entities): LEI of thereporting counterparty followed by a unique identifier assigned and maintained consistently
by the reporting counterparty for that natural person(s) for regulatory reporting purpose.

Related data
elements/depen
dencies between
data elements

Other payment type; Other payment currency; Other payment date; Other payment amount;
Other payment receiver; Counterparty 1; Counterparty 2. It may differ from Counterparty 1 orCounterparty 2.

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2.88

Other payment receiver

Definition

Identifier of the receiver of Other payment amount.

Existing industry
standard

ISO 17442 Legal Entity Identifier (LEI)

Format• Char(20)Allowable values• LEI code that is included in the LEI data as published by the Global LEI Foundation (GLEIF,
www.gleif.org/).

• Varchar (72), for natural persons who are acting as private individuals (not business entities).

• For natural persons who are acting as private individuals (not business entities): LEI of thereporting counterparty followed by a unique identifier assigned and maintained consistently
by the reporting counterparty for that natural person(s) for regulatory reporting purpose.

Related data
elements/depen
dencies between
data elements

104

Other payment type; Other payment currency; Other payment date; Other payment payer;
Other payment amount; Counterparty 1; Counterparty 2. It may differ from Counterparty 1 orCounterparty 2.

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Data element related to packages and links

2.89

Package identifier

Definition

Identifier (determined by the reporting counterparty) in order to connect• two or more transactions that are reported separately by the reporting counterparty, but thatare negotiated together as the product of a single economic agreement.

• two or more reports pertaining to the same transaction whenever jurisdictional reporting
requirement does not allow the transaction to be reported with a single report to TRs.

A package may include reportable and non-reportable transactions.
This data element is not applicable• if no package is involved, or• to allocations

Where the package identifier is not known when a new transaction is reported, the package
identifier is updated as it becomes available.
Existing industry
standard

Not available

FormatVarchar(35)Allowable values

Up to 35 alphanumerical characters.

Related data
elements/depen
dencies between

Package transaction price; Package transaction price notation; Package transaction pricecurrency.

data elements

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105

2.90

Package transaction priceDefinition

Traded price of the entire package in which the reported derivative transaction is a component.
This data element is not applicable if• no package is involved, or• package transaction spread is used

Prices and related data elements of the transactions (P Price currency, Price notation, Price unitof measure) that represent individual components of the package are reported when available.

The package transaction price may not be known when a new transaction is reported but may
be updated later.
Existing industry
standard

ISO 20022: Price/Amount

Format• Num(18,13) 48, if Package transaction price notation = 1• Num(11,10), if Package transaction price notation = 2• Num(11,10), if Package transaction price notation = 3

Allowable values• Any value, if Package transaction price notation = 1• Any value expressed as percentage (eg 2.57 instead of 2.57%), if Package transaction pricenotation = 2• Any value expressed as decimal (eg 0.0257 instead of 2.57%), if Package transaction pricenotation = 3

Related data
elements/depen
dencies between

Package identifier; Package transaction price notation; Package transaction price currency;
Price; Spread.

data elements

48

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.91

Package transaction price currency

Definition

Currency in which the Package transaction price is denominated.
This data element is not applicable if• no package is involved, or• Package transaction spread is used, or• Package transaction price notation = 2 , or = 3
Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Package identifier; Package transaction price; Package transaction price notation; Pricecurrency.

data elements

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2.92

Package transaction price notation

Definition

Manner in which the Package transaction price is expressed.
This data element is not applicable if• no package is involved, or• Package transaction spread is used

Existing industry
standard

Not available

FormatChar(1)

Allowable values• 1 = monetary amount• 2 = percentage• 3 = decimal

The above allowable values might be restricted based on jurisdictional requirements (eg certain
jurisdictions might require the value to be reported as a decimal instead of percentage).
Related data
elements/depen
dencies between

Package identifier; Package transaction price; Package transaction price currency; Pricenotation.

data elements

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2.93

Package transaction spread

Definition

Traded price of the entire package in which the reported derivative transaction is a componentof a package transaction.

Package transaction price when the price of the package is expressed as a spread, difference
between two reference prices.
This data element is not applicable if• no package is involved, or• Package transaction price is used

Spread and related data elements of the transactions (spread currency, Spread notation) that
represent individual components of the package are reported when available.
Package transaction spread may not be known when a new transaction is reported but may be
updated later.
Existing industry
standard

ISO 20022: Spread/SpreadRate or ISO 20022: Spread/PriceOffset or ISO 20022: Spread:
BasisPointSpread

Format• Num(18,13) 49, if Package transaction spread notation = 1• Num(11,10), if Package transaction spread notation = 2• Num(11,10), if Package transaction spread notation = 3• Num(5), if Package transaction spread notation = 4

Allowable values• Any value, if Package transaction spread notation = 1• Any value expressed as a percentage (eg 2.57 instead of 2.57%), if Package transaction spread
notation = 2• Any value expressed as decimal (eg 0.0257 instead of 2.57%), Package spread price notation=3• Any integer value expressed in basis points (eg 257 instead of 2.57%), if Package transaction
spread notation = 4
Related data
elements/depen
dencies between

Spread; Package identifier; Package transaction spread currency; Package transaction spread
notation.

data elements

49

Table 1 in Section 1.3 clarifies the meaning of this format.

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2.94

Package transaction spread currency

Definition

Currency in which the Package transaction spread is denominated.
This data element is not applicable if• no package is involved, or• Package transaction price is used, or• Package transaction spread notation = 2, or = 3 or = 4
Existing industry
standard

ISO 4217

FormatChar(3)

Allowable values

Currencies included in ISO 4217.

Related data
elements/depen
dencies between

Package identifier; Package transaction spread; Package transaction spread notation; Spreadcurrency. It may differ from Notional currency of individual components.

data elements

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2.95

Package transaction spread notation

Definition

Manner in which the Package transaction spread is expressed. This data element is notapplicable if• no package is involved, or• Package transaction price is used

Existing industry
standard

Not available

FormatChar(1)

Allowable values• 1 = monetary amount• 2 = percentage• 3 = decimal• 4 = basis points

The above allowable values might be restricted based on jurisdictional requirements (example,
certain jurisdictions might require the value to be reported as a decimal instead of percentage).
Related data
elements/depen
dencies between

Package identifier; Package transaction spread; Package transaction spread currency; Spread
notation.

data elements

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2.96

Prior UTI (for one-to-one and one-to-many relations between transactions)Definition

Existing industry
standard
FormatAllowable values
Related data
elements/depen
dencies between

UTI assigned to the predecessor transaction that has given rise to the reported transaction due
to a lifecycle event, in a one-to-one relation between transactions (eg in the case of a novation,
when a transaction is terminated, and a new transaction is generated) or in a one-to-many
relation between transactions (eg in clearing or if a transaction is split into several different
transactions).
This data element is not applicable when reporting many-to-one and many-to-many relations
between transactions (eg in the case of a compression).
Not available
Varchar(52)Up to 52 alphanumerical characters.
New UTIs should be constructed solely from the upper-case alphabetic characters A–Z or thedigits 0–9, inclusive in both cases.
UTI as defined by the CPMI-IOSCO Technical Guidance: Harmonisation of the UniqueTransaction Identifier. Relationships between this data element and other data elements inagency and principal clearing are illustrated in Table 2 in the Annex.

data elements

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Data elements related to custom baskets

2.97

Custom basket code

Definition

If the OTC derivative transaction is based on a custom basket, unique code assigned by the
structurer of the custom basket to link its constituents. This data element is not applicable if nocustom basket is involved or no unique code has been assigned to it.

Existing industry
standard

Not available

FormatVarchar(72)Allowable values

LEI of the basket structurer followed by 52 alphanumeric characters.

Related data
elements/depen
dencies between

Basket constituent identifiers; Basket constituent number of units; Basket constituent unit ofmeasure.

data elements

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2.98
Definition

114

Identifier of the basket’s constituents
Underliers that represent the constituents of a custom basket, in line with the underlier ID
within the UPI reference data elements, as defined by the CPMI-IOSCO Technical Guidance:
Harmonisation of the Unique Product Identifier. This data element is not applicable if no custom
basket is involved.

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2.99

Basket constituent unit of measure

Definition
Existing industry
standard

Unit of measure in which the number of units of a particular custom basket constituent isexpressed. This data element is not applicable if no custom basket is involved.
ISO 20022: ProductQuantity/Unit Of Measure CodeFormatAllowable values
Related data
elements/depen
dencies between

A list of allowable values and their format will be provided to the CDE maintenance andgovernance framework, which will be developed by the CPMI and IOSCO.

Basket constituent identifiers; Basket constituent number of units; Custom basket code; Price
Unit of Measure: quantity Unity of Measuredata elements

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018115

2.100Basket constituent number of units

Definition

The number of units of a particular constituent in a custom basket. This data element is notapplicable if no custom basket is involved.

Existing industry
standard

Not available

FormatNum(18,13)

Allowable values

Any value greater than zero.

Related data
elements/depend
encies between
data elements

Basket constituent identifiers; Basket constituent unit of measure; Custom basket code.

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2.101
Definition

Source of the identifier of the basket constituents
Source of the underliers’ identifiers that represent the constituents of a custom basket, in linewith the underlier ID source within the UPI reference data elements, as defined by the CPMIIOSCO Technical Guidance: Harmonisation of the Unique Product Identifier. This data element is
not applicable if no custom basket is involved.

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Annex 1
Table 2: Illustration of different reporting scenarios
Description of the scenario
Scen Scenario
ario Name

Case

Description#Trans1

Principal
clearing
model

1

1 of 5 Counterparty
andBeneficiaryCounterparty
andBeneficiary

A

B

1

Principal
clearingmodel

1

2 of 5 Counterparty
andBeneficiaryCounterparty
andBeneficiaryand Clearing
MemberA

1

Principal
clearing
model

1

Only twocounterparties
involved, no
brokers,
beneficiaries
coincide withcounterparties
Only twocounterparties
involved, no
brokers,
beneficiaries
coincide withcounterparties(Client - Clearing
membertransaction)
Only twocounterparties
involved, no
brokers,
beneficiaries
coincide withcounterparties(Clearingmember – CCP
transaction)

3 of 5 Counterparty,
Clearing
Member andBeneficiaryCounterparty,
CCP andBeneficiary

CM1

118

Trading role
CP1

How data elements are expected under different scenarios
Trading role Counter- CounterCP2
party 1 party 2

CCP

Beneficiary1

Beneficiary Clearing Cleared2
MemberPrior UTI

-

A

B

-

I = intent
to clear

-

CM1

CCP1

A

CM1

CM1

Y = Yes,
centrallycleared

UTItransact
ion 1

CCP1

CCP1

CM1

CCP1

CM1

Y = Yes,
centrallycleared

UTItransact
ion 1

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Description of the scenario
Scen Scenario
ario Name

Case

Description#Trans1

Principal
clearing
model

1

1

Principal
clearing
model

1

2

Agencymodel

12

Agencymodel

1

Only twocounterparties
involved, no
brokers,
beneficiaries
coincide withcounterparties(Client - Clearing
membertransaction)
Only twocounterparties
involved, no
brokers,
beneficiaries
coincide withcounterparties(Clearingmember – CCP
transaction)Two
counterparties,
who are as well
the beneficiaries,
and that use
clearing
membersTwocounterparties,
who are as well
the beneficiaries,
and that use
clearing
members

Trading role
CP1

How data elements are expected under different scenarios
Trading role Counter- CounterCP2
party 1 party 2

CCP

Beneficiary1

Beneficiary Clearing Cleared2
MemberPrior UTI

4 of 5 Counterparty
andBeneficiaryCounterparty,
CCP,
Beneficiaryand Clearing
Member

B

CM2

CCP1

B

CM2

CM2

Y = Yes,
centrallycleared

UTItransact
ion 1

5 of 5 Counterparty,
CCP andBeneficiaryCounterpart
and Clearing
Member andBeneficiary

CCP1

CM2

CCP1

CCP1

CM2

CM2

Y = Yes,
centrallycleared

UTItransact
ion 1

1 of 3 Counterparty
andBeneficiaryCounterparty
andBeneficiary

A

B

-

A

B

-

I = intent
to clear-2 of 3 Counterparty
andBeneficiaryCounterparty,
CCP andBeneficiary

A

CCP1

CCP1

A

CCP1

CM1

Y = Yes,
centrallycleared

UTItransact
ion 1

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119

Description of the scenario
Scen Scenario
ario Name

Case

Description#Trans2

Agency
model

1

3

OTC
transaction(no central
clearing)

1

3

OTC
transaction(no central
clearing)

2

Twocounterparties,
who are as well
the beneficiaries,
and that use
clearing
members
Only twocounterparties
involved, no
brokers,
beneficiaries
coincide withcounterparties
Beneficiary 1 isdifferent thanCounterparty 1

3

OTC
transaction(no central
clearing)

3

3

OTC
transaction(no central
clearing)

4

Both
Beneficiaries aredifferent thanthecounterparties
A broker
supports
Counterparty 1

120

Trading role
CP1

How data elements are expected under different scenarios
Trading role Counter- CounterCP2
party 1 party 2

CCP

Beneficiary1

Beneficiary Clearing Cleared2
MemberPrior UTI

3 of 3 Counterparty,
CCP andBeneficiaryCounterparty
andBeneficiary

CCP1

B

CCP1

CCP1

B

CM2

Y = Yes,
centrallycleared

UTItransact
ion 1

1 of 1 Counterparty
andBeneficiaryCounterparty
andBeneficiary

A

B

-

A

B

-

N = No,notcentrallycleared-1 of 1 Counterparty

Counterparty
andBeneficiary

A

B

-

BN1

B

-

N = No,notcentrallycleared-1 of 1 Counterparty

Counterparty

A

B

-

BN1

BN2

-

N = No,notcentrallycleared-1 of 1 Counterparty
andBeneficiaryCounterparty
andBeneficiary

A

B

-

A

B

-

N = No,notcentrallycleared-

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

Description of the scenario
Trading role
CP1

How data elements are expected under different scenarios

Scen Scenario
ario Name

Case

Description#TransTrading role Counter- CounterCP2
party 1 party 2

3

OTCtransaction(no central
clearing)

5

Two brokers
support eachcounterparty

1 of 1 Counterparty
andBeneficiaryCounterparty
andBeneficiary

A

B

3

OTC
transaction(no central
clearing)

6

1 of 1 Counterparty

Counterparty
andBeneficiary

A

3

OTC
transaction(no central
clearing)

7

1 of 1 Counterparty

Counterparty

3

OTC
transaction(no central
clearing)

8

A broker
supports
Counterparty 1
and Beneficiary
1 is different
thanCounterparty 1
Broker supports
Counterparty 1
and Beneficiaries
are different
thancounterparties
Fund manager
executes thetransaction witha counterparty
B, on accountand on behalf offund A

1 of 1 Counterparty
andBeneficiaryCounterparty
andBeneficiary

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

CCP

Beneficiary1

Beneficiary Clearing Cleared2
MemberPrior UTI

-

A

B

-

N = No,notcentrallycleared

-

B

-

BN1

B

-

N = No,notcentrallycleared

-

A

B

-

BN1

BN2

-

N = No,notcentrallycleared

-

A

B

A

B

-

I = intent
to clear,-

121

Table 3: Data elements supporting authorities’ functional mandates: examples

Data element(s)Examples of authorities’functional mandates(from the Access Report)

Explanations of data elements’ relationships to authorities’functional mandates

Effective date, Expiration
date, Early termination date

Assessing systemic risk;
conducting market
surveillance andenforcement;
implementing monetary
policy“Effective date”, “Expiration date and Early termination date enable aggregation of payment obligations acrossderivatives contracts and market participants at a certain point in time because they provide information
about when a derivative contract comes into and ceases to be in force. Such aggregation is key for assessing
systemic risk in the market. Further, early termination reflects an economic decision to unwind exposure to a
derivative, potentially due to news releases or specific market events (eg a monetary policy announcement):
monitoring the impact of such economic decisions on the market is important for the smooth functioning offinancial markets, inter alia, for the implementation of monetary policy.

Reporting timestamp

Supervising market
participants

Reporting timestamp helps authorities to evaluate market participants’ compliance with business conductand other regulatory requirements and, more specifically, the timeliness of trade reporting. For example, thedifference between the execution timestamp and reporting timestamp will enable authorities to evaluate
whether market participants are reporting within the required time frames.

Execution timestamp

Conducting market
surveillance andenforcement

A harmonised execution timestamp would allow authorities to more precisely sequence transactions, enablingthem to monitor market activity for anomalous trading activity, including market and price manipulation,
insider trading, market rigging, front-running and other deceptive or manipulative conduct. For example,
detection of wash transactions or insider trading will typically require an execution timestamp.

Data elements related tocounterparties
andbeneficiaries

Assessing systemic risk;
supervising market
participants

Data elements related to counterparties enable the identification of parties that are exposed to OTC
derivatives contracts. Data elements related to beneficiaries enable identification of parties that incur
obligations under derivatives contracts. All these data elements enable aggregation of OTC derivatives
exposures for market participants, thus facilitating monitoring of size, concentration and interconnectedness.

Direction

Assessing systemic risk;
supervising market
participantsThis data element provides information about the direction of cash flows associated with derivatives contracts
and thus allows authorities to monitor exposures, the interconnectedness of market participants and identify
any potential build-up of risks, which are all important for assessing systemic risk. Such information could
also help authorities determine their supervisory focus.

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Examples of authorities’functional mandates(from the Access Report)

Explanations of data elements’ relationships to authorities’functional mandates

Cleared; Central
counterparty; Clearing
memberAssessing systemic risk;
general macroassessment; conducting
market surveillance andenforcement

The element Cleared enables identification of derivative transactions by clearing status, allowing the relative
contributions of cleared and uncleared transactions to systemic risk to be distinguished. The ability toconsistently identify the CCP involved in transactions submitted to multiple TRs would facilitate analysis of
the risks contained within CCPs and of the use of central clearing by market participants, and facilitate national
authorities’ assessment of compliance with central clearing mandates. The ability to consistently identify theclearing member would facilitate aggregation of CCP exposures to clearing members, understanding of whichclearing members represent the largest conduits for risk transmission and identification of how indirect
clearing members allocate their business across clearing members.

Platform identifier

Conducting market
surveillance andenforcement; generalmacro assessment;
supervising market
participants

Aggregating data along a platform identifier would allow national authorities to identify activity at a platform
and compare similar activity across multiple platforms. This could facilitate monitoring of compliance withregulatory requirements applied to platforms. The ability to identify platforms associated with transaction
activity would also allow for monitoring of trends in the use of platforms as well as compliance withtransaction execution requirements.

Confirmed;
Final contractual settlement
date;
Settlement location;
Day count convention

Assessing systemic risk;
regulating, supervisingor overseeing trading
venues and financial
market infrastructures;
supervising market
participants

These data elements are crucial for evaluating market activity including timely estimates of exposure analyses(per region, currency, dates), location and status of transactions through lifecycle events, and match-off
against collateral and margins. These allow regulators to assess settlement risk related to OTC derivatives and,more specifically, whether the actual transfer of cash or the underlying asset has been completed. Identifying
the exact currency for the transaction is critical and the settlement location data element helps differentiate
the onshore currency from the offshore currency.
A confirmed flag, for example, would enable authorities to determine and document the legal obligations ofan entity, which is in turn important eg for supervision of market participants and assessment of systemic risk.

Payment frequency period;
Payment frequency period
multiplier

Assessing systemic risk;
supervising market
participants

These data elements provide information about the frequency of cash flows associated with OTC derivatives
contracts. Hence, similar to the day count convention, these data elements are important for determining
exposures, which in turn facilitates the assessment of systemic risk and supervision of market participants.

Data element(s)CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018123

Data element(s)Data elements related tovaluation

Collateral portfolio;
Collateral portfolio code

124

Examples of authorities’functional mandates(from the Access Report)

Explanations of data elements’ relationships to authorities’functional mandates

Assessing systemic risk;
supervising market
participants

Valuation amount indicates the market value of a derivatives contract or its close proxy. Valuation currency,
the unit of measurement associated with valuation amount, is essential to correctly interpret and aggregate
valuation amounts Using this information, authorities can aggregate valuation amounts across market
participants to help assess the size of derivatives markets and exposures in terms of market values (or theirclose proxies). Hence, as in the case of notional amount, this data element is important for assessment ofsystemic risk. In addition, aggregation of valuation amounts at the participant level helps authorities assess
regulatory compliance.
Valuation timestamp provides information about the time at which valuations are obtained and thus
supplements the information in the data element Valuation amount and contributes to a better understandingof its content. For instance, if an event shocks market prices at a particular point in time, it is important toknow whether the valuation amount was obtained prior to or after such event.
Also Valuation method facilitates interpretation of the element Valuation amount and helps ensurecomparability across different asset classes and products.
Consequently, all these elements are important as a means of fulfilling mandates to assess systemic risk andsupervise market participants.

Assessing systemic risk;
supervising market
participants

Collateralisation of the OTC derivative transactions is often performed at the level of portfolio of netted
transactions, rather than for a single transaction. Monitoring exposures and systemic risk, could be facilitatedby collateral information that can be consistently linked to the information on the transactions included in the
netting set. This can be achieved through a harmonised Collateral portfolio data element which indicates
whether collateralisation was performed at the portfolio level and a Collateral portfolio code data element
which includes the identifier used to link the collateral information and relevant transaction. Although sometransactions may be connected to different CSAs covering different netting sets for Initial margin posted,
initial margin received and variation margin, reporting of one internal unique portfolio code appears to be
sufficient to analyse the ultimate exposure held by an entity vis-à-vis its counterparty. It is understood that,in the event of default, all the collateral provided under the given Master Agreement would be used to cover
the loss of the non-defaulting counterparty, irrespective of the fact that separate CSAs (for Initial margin
posted, initial margin received and variation margin) might be linked to that Master Agreement and that not
all the transactions concluded under that Master Agreement would be associated to each of these CSAs.

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Data element(s)Data elements related tomargins

Examples of authorities’functional mandates(from the Access Report)

Assessing systemic risk;
Supervising market
participants
Prudential supervision
on micro eg institution
level and on macro eg
systemic risk level

Explanations of data elements’ relationships to authorities’functional mandates
The data elements such as Initial and Variation margin posted (collected) and their currency, and the data
elements on excess collateral provide information on collateral backing OTC derivative transactions. Collateralrepresents one risk mitigation technique to address counterparty credit risk. Globally aggregated informationon collateral allows monitoring of counterparty risk exposures taking into account the amount of collateralthat backs those exposures.
Margins posted (collected) pre- and post-haircut provide valuable information to authorities as they allow
authorities to identify emerging risks on derivatives markets due to increases/decreases in the applied
haircuts. On an aggregated basis, they are also useful to determine the weighted average level of haircuts
applied per portfolio as well as its evolution over time. Such information helps authorities with metrics toassess the quality of the collateral to assess the evolution of leverage in the financial system and the potentialbuild-up of stress and systemic risk, from a financial stability point of view.

Harmonised data elements related to margins assist authorities in evaluating market participants’ compliancewith business conduct and with regulatory margin requirements. They give micro- and macroprudential
regulators inputs on the impact of margins on balance sheets and liquidity.
Collateralisation category

Assessing systemic risk
Supervising market
participants

A harmonised data element representing the collateralisation category can help, especially for non-centrally
cleared transactions, in identifying and monitoring undercollateralised sectors of the financial system or
products, which could be potential areas of systemic risks (eg non-bank credit intermediation 50). This data
element could also help authorities to monitor potentially risky activities, such as excessive risk-taking or lackof compliance with regulatory collateralisation requirements.

Data elements related tocounterparty rating triggers

Assessing systemic risk;
supervising market
participants

The presence of collateral rating triggers in collateral arrangements can add an important dimension to theeffects of such collateral because, in the event of market stress, such triggers can contribute to adverse
feedback in the market for the collateral asset. Aggregating information on the distribution, the pervasivenessand characteristics of collateral rating triggers can have significant value for authorities from a financial
stability perspective, and possibly from a market oversight perspective as well.

50 “Non-bank credit intermediation” is the FSB’s shortened term for “credit intermediation involving entities and activities (fully or partly) outside the regular banking system”(www.fsb.org/wp-content/uploads/r_111027a.pdf). While the FSB also has referred to non-bank credit intermediation as “shadow banking,” the FSB has noted that its use of theterm “shadow banking” is not intended to cast a pejorative tone on this system of credit intermediation. However, some authorities or market participants prefer to use terms
such as “non-bank credit intermediation” or “market-based financing” instead of “shadow banking.”
CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018125

Data element(s)Examples of authorities’functional mandates(from the Access Report)

Data elements related topricesSupervising market
participants; regulating,supervising oroverseeing trading
venues and financial
market infrastructures

Data elements related tonotional amounts andquantities

Assessing systemic risk;
general macroassessment

CDS index attachment pointand detachment point

Assessing systemic risk;
supervising market
participants

Data elements related toother payments

Conducting market
surveillance andenforcement;
supervising market
participants

126

Explanations of data elements’ relationships to authorities’functional mandates
These data elements are important for understanding the pricing of certain equity derivatives, commodity
derivatives, and other various products. With these data elements consistently reported to TRs, authorities
can compare the prices of similar products traded in different markets, which is useful for supervising market
participants and trading venues. More specifically, harmonised representations of these data elements would
allow authorities to evaluate, at an aggregate level, transactions costs and liquidity in the OTC derivatives
market.
Notional amounts are a key determinant of obligations associated with transactions denominated inmonetary amounts. Notional currencies, the unit of measurement associated with notional amounts, areessential to correctly interpreting and aggregate notional amounts. Notional quantities are a key
determinant of obligations associated with transactions denominated in non-monetary amounts such as
most commodity derivatives. Reporting of delta enables the regulators to assess delta-adjusted size of theposition held at a given point in time. Once aggregated, notional amounts/notional quantities are thus
essential for computing exposures between counterparties and the size of derivatives markets. Exposures
between counterparties and the market size are, in turn, important inputs to systemic risk analyses (egmonitoring the evolution of the market size and the concentration of exposures) and of generalmacroeconomic assessment.
The CDS index attachment point and CDS index detachment point data elements are vital to evaluating
counterparties’ exposures to CDS index tranches and thus allow authorities to examine the size, concentration,interconnectedness and structure of CDS index tranche markets. In addition, the data elements allow
authorities to more closely supervise market participants.
The six other payment data elements allow authorities to monitor derivatives-related cash flows between
entities that are not regularly scheduled. Finally, these data elements also allow authorities to perform
economic analysis and to analyse the OTC derivatives market structure.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

Data element(s)Data elements related to
packages and links

Data elements related tocustom baskets

Examples of authorities’functional mandates(from the Access Report)
Conducting market
surveillance andenforcement;
Supervising market
participants; Regulating,supervising oroverseeing trading
venues and financial
market infrastructure;
Conducting researchsupporting the above
functions
Assessing systemic risk
Conducting market
surveillance andenforcement
Supervising market
participants

Explanations of data elements’ relationships to authorities’functional mandates

A harmonised package identifier would facilitate aggregation of all of the components of packagetransactions reported to TRs. Information about related transactions would help authorities identify andunderstand (a) innovations in market practices and (b) when components of a package must be considered
together to understand the package transaction.
Since a package transaction represents a single economic negotiation, it generally has a single Packagetransaction price. Observing this price helps authorities to conduct market surveillance and enforcement, andto supervise market participants.
The data elements Package transaction price currency, Package transaction price notation and Packagetransaction spread, Package spread currency and Package spread notation are additional data elements thatcomplement the Package transaction price and are important for understanding the pricing of certain
packages.
The data element Custom basket code facilitates the identification of a specific custom basket as well as its
structurer, and provides a link that connects the constituents in that basket. Monitoring the activity on
individual custom basket codes allows it to be established whether a custom basket is negotiated with acertain frequency and from a certain number of market participants. It is understood that information entailingsingle Custom basket codes is not meant to be publicly disseminated. Identifying the constituents of custom
baskets will help the regulators with impact analysis (eg underlying bond default) and cross-basket analysis.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018127

Table 4: Mapping of Day count convention allowable values to ISO 20022, FpML and FIX/FIXML values
Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A001

IC30360IS
DAor3036
0American
BasicRule

Method whereby interest is
calculated based on a 30-day
month and a 360-day year.
Accrued interest to a value date on
the last day of a month shall be thesame as to the 30th calendar dayof the same month, except for
February, and provided that theinterest period started on a 30th ora 31st. This means that a 31st is
assumed to be a 30th if the period
started on a 30th or a 31st and the
28 Feb (or 29 Feb for a leap year) is
assumed to be the 28th (or 29th).
This is the most commonly used
30/360 method for US straight andconvertible bonds.

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

FIX/FIXML definition52

130/360(30U/360
Bond Basis)

Mainly used in the United States withthe following date adjustment rules:(1) If the investment is End-Of-Monthand Date1 is the last day of February
and Date2 is the last day of February,
then change Date2 to 30; (2) If theinvestment is End-Of-Month andDate1 is the last day of February, thenchange Date1 to 30;(3) If Date2 is 31
and Date1 is 30 or 31, then change
Date2 to 30;(4) If Date1 is 31, thenchange Date1 to 30. See also 2006
ISDA Definitions, Section 4.16. Day
Count Fraction, paragraph (f).

FpML
code

FpML definition 53

52[Symbolic name: ThirtyThreeSixtyUS]

30/360Per 2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (f) or
Annex to the 2000 ISDA Definitions (June2000 Version), Section 4.16. Day Count
Fraction,paragraph(e).
The number of days in the Calculation
Period or Compounding Period in respectof which payment is being made divided
by 360, calculated on a formula basis asfollows: Day Count Fraction = [360*(Y2Y1) + 30*(M2-M1) + (D2-D1)]/360 “D1” isthe first calendar day, expressed as anumber, of the Calculation Period or
Compounding Period, unless such
number would be 31, in which case D1,
will be 30; and “D2” is the calendar day,expressed as a number, immediately
following the last day included in the
Calculation Period or Compounding
Period, unless such number would be 31
and D1 is greater than 29, in which caseD2 will be 30. 54

51

The information contained in this column refers to the ISO 20022 data dictionary.

52

The source of information contained in this column is FIX Trading Community, http:/fiximate.fixtrading.org/latestEP/.

53

The definitions contained herein are copyright 2006 by International Swaps and Derivatives Association, Inc. (ISDA) and reproduced by permission of ISDA. All Rights Reserved.

54

Note that the algorithm defined for this day count fraction has changed between the 2000 ISDA Definitions and 2006 ISDA Definitions. See Introduction to the 2006 ISDA Definitions for further
information relating to this change.

128

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Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A002

IC30365

A003

IC30Actual

Method whereby interest is
calculated based on a 30-day
month in a way similar to the
30/360 (basic rule) and a 365-day
year. Accrued interest to a value
date on the last day of a monthshall be the same as to the 30th
calendar day of the same month,
except for February. This meansthat a 31st is assumed to be the30th and the 28 Feb (or 29 Feb fora leap year) is assumed to be the28th (or 29th).
Method whereby interest is
calculated based on a 30-day
month in a way similar to the
30/360 (basic rule) and theassumed number of days in a year
in a way similar to theActual/Actual (ICMA). Accrued
interest to a value date on the last
day of a month shall be the sameas to the 30th calendar day of thesame month, except for February.
This means that the 31st is
assumed to be the 30th and 28 Feb(or 29 Feb for a leap year) is
assumed to be the 28th (or 29th).
The assumed number of days in ayear is computed as the actual
number of days in the coupon
period multiplied by the number ofinterest payments in the year.

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

FIX/FIXML definition52

FpML
code

FpML definition 53

52

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Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A004

Actual360

Method whereby interest is
calculated based on the actual
number of accrued days in theinterest period and a 360-day year.

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

6

Act/360

FIX/FIXML definition52

FpML
code

FpML definition 53

The actual number of days between
Date1 and Date2, divided by 360. See
also 2006 ISDA Definitions, Section
4.16. Day Count Fraction, paragraph(e).

ACT/360

Per 2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (e) or
Annex to the 2000 ISDA Definitions (June2000 Version), Section 4.16. Day Count
Fraction, paragraph (d).
The actual number of days in the
Calculation Period or Compounding
Period in respect of which payment isbeing made divided by 360.
Per 2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (d) orAnnex to the 2000 ISDA Definitions (June2000 Version), Section 4.16. Day Count
Fraction, paragraph (c).
The actual number of days in the
Calculation Period or Compounding
Period in respect of which payment isbeing made divided by 365.

52

[Symolic name: ActThreeSixty]

A005

Actual365F
ixed

Method whereby interest is
calculated based on the actual
number of accrued days in theinterest period and a 365-day year.

7

Act/365(FIXED)

The actual number of days between
Date1 and Date2, divided by 365. See
also 2006 ISDA Definitions, Section
4.16. Day Count Fraction, paragraph(d).
[Symbolic name:
ActThreeSixtyFiveFixed]

130

ACT/365.FI
XED

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Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A006

ActualActu
alICMA

Method whereby interest is
calculated based on the actual
number of accrued days and theassumed number of days in a year,
ie, the actual number of days in the
coupon period multiplied by the
number of interest payments in theyear. If the coupon period isirregular (first or last coupon), it isextended or split into quasiinterest periods that have thelength of a regular coupon period
and the computation is operated
separately on each quasi-interest
period and the intermediate
results are summed up.

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

9

Act/Act(ICMA)

FIX/FIXML definition52

FpML
code

FpML definition 53

The denominator is the actual
number of days in the coupon period
multiplied by the number of coupon
periods in the year. Assumes that
regular coupons always fall on thesame day of the month where
possible. See also 2006 ISDA
Definitions, Section 4.16. Day Count
Fraction, paragraph (c).

ACT/ACT.IC
MA

Per 2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (c). This
day count fraction code is applicable fortransactions booked under the 2006 ISDA
Definitions. Transactions under the 2000
ISDA Definitions should use the
ACT/ACT.ISMA code instead.
A fraction equal to "number of days
accrued/number of days in year", as suchterms are used in Rule 251 of the statutes,
by-laws, rules and recommendations of
the International Capital Markets
Association (the “ICMA Rule Book”),
calculated in accordance with Rule 251 of
the ICMA Rule Book as applied to non-US
dollar-denominatedstraight
andconvertible bonds issued after 31
December 1998, as though the interest
coupon on a bond were being calculated
for a coupon period corresponding to the
Calculation Period or Compounding
Period in respect of which payment isbeing made.

52[Symbolic name: ActActICMA]

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018131

Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A007

IC30E360orEuroBond
Basismodel1

Method whereby interest is
calculated based on a 30-day
month and a 360-day year.
Accrued interest to a value date on
the last day of a month shall be thesame as to the 30th calendar dayof the same month. This meansthat the 31st is assumed to be the30th and the 28 Feb (or 29 Feb fora leap year) is assumed to beequivalent to 30 Feb. However, if
the last day of the maturity coupon
period is the last day of February, it
will not be assumed to be the 30th.
It is a variation of the 30/360(ICMA) method commonly used
for eurobonds. The usage of thisvariation is only relevant when the
coupon periods are scheduled to
end on the last day of the month.

132

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

530E/360(ISDA)

FIX/FIXML definition52

FpML
code

FpML definition 53

Date adjustment rules are: (1) if Date1
is the last day of the month, thenchange Date1 to 30; (2) if D2 is thelast day of the month (unless Date2 isthe maturity date and Date2 is in
February), then change Date2 to 30.
See also 2006 ISDA Definitions,
Section 4.16. Day Count Fraction,
paragraph (h).

30E/360.IS
DA

Per 2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (h). Notethe algorithm for this day count fraction
under the 2006 ISDA Definitions isdesigned to yield the same results inpractice as the version of the 30E/360 day
count fraction defined in the 2000 ISDA
Definitions. See Introduction to the 2006
ISDA Definitions for further information
relating to this change.
The number of days in the Calculation
Period or Compounding Period in respectof which payment is being made divided
by 360, calculated on a formula basis asfollows:Day Count Fraction = [360*(Y2Y1) + 30*(M2-M1) + (D2-D1)]/360. “D1”is the first calendar day, expressed as anumber, of the Calculation Period or
Compounding Period, unless such
number would be 31, in which case D1,
will be 30; “D2” is the calendar day,expressed as a number, immediately
following the last day included in the
Calculation Period or Compounding
Period, unless such number would be 31,
in which case D2 will be 30.

52[Symbolic name:ThirtyEThreeSixtyISDA]

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A008

ActualActu
alISDA

Method whereby interest is
calculated based on the actual
number of accrued days of theinterest period that fall (falling ona normal year, year) divided by
365, added to the actual number ofdays of the interest period that fall
(falling on a leap year, year)
divided by 366.

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

11

Act/Act(ISDA)

FIX/FIXML definition52

FpML
code

FpML definition 53

The denominator varies dependingon whether a portion of the relevant
calculation period falls within a leap
year. For the portion of thecalculation period falling in a leap
year, the denominator is 366 and forthe portion falling outside a leap year,
the denominator is 365. See also
2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (b).

ACT/ACT.IS
DA

Per 2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (b) orAnnex to the 2000 ISDA Definitions (June2000 Version), Section 4.16. Day Count
Fraction, paragraph (b). Note that goingfrom FpML 2.0 Recommendation to the
FpML 3.0 Trial Recommendation the code
in FpML 2.0 “ACT/365.ISDA” became“ACT/ACT.ISDA”.
The actual number of days in the
Calculation Period or Compounding
Period in respect of which payment isbeing made divided by 365 (or, if any
portion of that Calculation Period or
Compounding Period falls in a leap year,
the sum of (i) the actual number of daysin that portion of the Calculation Period
or Compounding Period falling in a leap
year divided by 366 and (ii) the actual
number of days in that portion of the
Calculation Period or Compounding
Period falling in a non-leap year divided
by 365).
Per 2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (i).
The actual number of days in the
Calculation Period or Compounding
Period in respect of which payment isbeing made divided by 365 (or, if the later
Period End Date of the Calculation Period
or Compounding Period falls in a leap
year, divided by 366). 55

52[Symbolic name: ActActISDA]

A009

Actual365L
orActuActu
basisRule

Method whereby interest is
calculated based on the actual
number of accrued days and a
365-day year (if the coupon
payment date is NOT in a leapyear) or a 366-day year (if the
coupon payment date is in a leapyear).

14

Act/365L

The number of days in a period equal
to the actual number of days .The
number of days in a year is 365, or if
the period ends in a leap year 366.
Used for sterling floating rate notes.
May also be referred to as ISMA Year.
See also 2006 ISDA Definitions,
Section 4.16. Day Count Fraction,
paragraph (i).

ACT/365L[Symbolic name: ActThreeSixtyFiveL]

55

Supplement 14 to the 2006 ISDA definitions (that were published in 2009) is available at www.isda.org/a/bOMDE/Supplement-No-14-to-2006Defs.pdf.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018133

Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A010

ActualActu
alAFB

Method whereby interest is
calculated based on the actual
number of accrued days and a
366-day year (if 29 Feb falls in the
coupon period) or a 365-day year
(if 29 Feb does not fall in the
coupon period). If a coupon period
is longer than one year, it is split byrepetitively separating full year
subperiods counting backwards
from the end of the coupon period(a year backwards from 28 Feb
being 29 Feb, if it exists). The firstof the subperiods starts on thestart date of the accrued interest
period and thus is possibly shorter
than a year. Then the interest
computationisoperated
separately on each subperiod andthe intermediate results are
summed up.

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

8

Act/Act(AFB)

FIX/FIXML definition52

FpML
code

FpML definition 53

The actual number of days between
Date1 and Date2, the denominator iseither 365 (if the calculation period
does not contain 29 February) or 366(if the calculation period includes 29
February). See also AFB Master
Agreement for Financial Transactions- Interest Rate Transactions (2004) in
Section 4. Calculation of Fixed
Amounts and Floating Amounts,
paragraph 7 Day Count Fraction,subparagraph (i).

ACT/ACT.A
FB

The Fixed/Floating Amount will becalculated in accordance with the "BASE
EXACT/EXACT" day count fraction, as
defined in the “Définitions Communes
plusieurs Additifs Techniques” publishedby the Association Francaise des Banques
in September 1994.
The denominator is either 365 (if thecalculation period does not contain 29
February) or 366 (if the calculation period
includes 29 February) – where a period of
longer than one year is involved, two or
more calculations are made: interest is
calculated for each full year, counting
backwards from the end of thecalculation period, and the remaining
initial stub period is treated in accordancewith the usual rule. When counting
backwards for this purpose, if the last dayof the relevant period is 28 February, thefull year should be counted back to theprevious 28 February unless 29 February
exists, in which case, 29 February should
be used. 56

52[Symbolic name: ActActAFB]

56 www.isda.org/a/AIJEE/1998-ISDA-memo-EMU-and-Market-Conventions-Recent-Developments.pdf, page 3.

134

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Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A011

IC30360IC
MAor3036
0basicrule

Method whereby interest is
calculated based on a 30-day
month and a 360-day year.
Accrued interest to a value date on
the last day of a month shall be thesame as to the 30th calendar dayof the same month, except for
February. This means that the 31st
is assumed to be the 30th and 28
Feb (or 29 Feb for a leap year) is
assumed to be the 28th (or 29th).
It is the most commonly used
30/360 method for non-US
straight and convertible bonds
issued before 1 January 1999.

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

FIX/FIXML definition52

430E/360(EurobondBasis)

Also known as 30/360.ISMA, 30S/360,
or Special German. Date adjustment
rules are: (1) If Date1 falls on the 31st,
then change it to the 30th; (2) If Date2
falls on the 31st, then change it to the
30th. See also 2006 ISDA Definitions,
Section 4.16. Day Count Fraction,
paragraph (g).

FpML
code

FpML definition 53

52[Symbolic name: ThirtyEThreeSixty]

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 201830E/360

Per 2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (g) orAnnex to the 2000 ISDA Definitions (June2000 Version), Section 4.16. Day Count
Fraction, paragraph (f). Note that thealgorithm defined for this day countfraction has changed between the 2000
ISDA Definitions and 2006 ISDA
Definitions. See Introduction to the 2006
ISDA Definitions for further information
relating to this change.

135

Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A012

IC30E2360
orEurobon
dbasismod
el2Method whereby interest is
calculated based on a 30-day
month and a 360-day year.
Accrued interest to a value date on
the last day of a month shall be thesame as to the 30th calendar dayof the same month, except for thelast day of February whose day ofthe month value shall be adapted
to the value of the first day of theinterest period if the latter is higher
and if the period is one of a regularschedule. This means that the 31st
is assumed to be the 30th and 28
Feb of a non-leap year is assumed
to be equivalent to 29 Feb when
the first day of the interest period
is the 29th, or to 30 Feb when thefirst day of the interest period isthe 30th or the 31st. The 29th day
of February in a leap year isassumed to be equivalent to 30
Feb when the first day of theinterest period is the 30th or the
31st. Similarly, if the coupon period
starts on the last day of February, it
is assumed to produce only one
day of interest in February as if it
was starting on 30 Feb when theend of the period is the 30th or the
31st, or two days of interest in
February when the end of theperiod is the 29th, or three days ofinterest in February when it is 28
Feb of a non-leap year and the endof the period is before the 29th.

136

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

FIX/FIXML definition52

FpML
code

FpML definition 53

52

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Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A013

IC30E3360
orEurobon
dbasismod
el3

A014

Actual365
NL

Method whereby interest is
calculated based on a 30-day
month and a 360-day year.
Accrued interest to a value date on
the last day of a month shall be thesame as to the 30th calendar dayof the same month. This meansthat the 31st is assumed to be the30th and 28 Feb (or 29 Feb for aleap year) is assumed to beequivalent to 30 Feb. It is avariation of the 30E/360 (orEurobond basis) method where thelast day of February is always
assumed to be the 30th, even if itis the last day of the maturity
coupon period.
Method whereby interest is
calculated based on the actual
number of accrued days in theinterest period, excluding any leap
day from the count, and a 365-day
year.

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

15

NL365

FIX/FIXML definition52

FpML
code

FpML definition 53

52

The number of days in a period equal
to the actual number of days, with the
exception of leap days (29 February)which are ignored. The number ofdays in a year is 365, even in a leap
year.
[Symbolic name: NLThreeSixtyFive]

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Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A015

ActualActu
alUltimo

A016

138

IC30EPlus3
60

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

Method whereby interest is
calculated based on the actual
number of days in the coupon
period divided by the actual
number of days in the year. Thismethod is a variation of theActualActualICMA method withthe exception that it assumes thatthe coupon always falls on the last
day of the month. Method equal to
ACT/ACT.ISMA in the FpML modeland Act/Act (ICMA Ultimo) in the
FIX/FIXML model.

10

Act/Act(ICMA
Ultimo)Method whereby interest is
calculated based on a 30-day
month and a 360-day year.
Accrued interest to a value date on
the last day of a month shall be thesame as to the 30th calendar dayof the same month. This meansthat the 31st is assumed to be the30th and 28 Feb (or 29 Feb for aleap year) is assumed to beequivalent to 30 Feb. This method
is a variation of the 30E360 methodwith the exception that if the
coupon falls on the last day of themonth, change it to 1 and increase
the month by 1 (ie next month).
Methodequal
toThirtyEPlusThreeSixty
inthe
FIX/FIXML model.

13

FIX/FIXML definition52

FpML
code

FpML definition 53

The Act/Act (ICMA Ultimo) differsfrom Act/Act (ICMA) method onlythat it assumes that regular coupons
always fall on the last day of themonth.

ACT/ACT.IS
MA

The Fixed/Floating Amount will becalculated in accordance with Rule 251 of
the statutes, by-laws, rules andrecommendations of the International
Securities
MarketAssociation,aspublished in April 1999, as applied tostraight and convertible bonds issued
after 31 December 1998, as though theFixed/Floating Amount were the interest
coupon on such a bond. This day countfractioncode
isapplicablefortransactions booked under the 2000 ISDA
Definitions. Transactions under the 2006
ISDA Definitions should use the
ACT/ACT.ICMA code instead.

52[Symbolic name: ActActISMAUltimo]

30E+/360

Variationon
30E/360.
Dateadjustment rules: (1) If Date1 falls on
the 31st, then change it to the 30th;(2) If Date2 falls on the 31st, thenchange it to 1 and increase Month2
by one, ie next month.
[Symbolic name:ThirtyEPlusThreeSixty]

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

Allow
able
value

ISO
20022
name 51

ISO 20022 definition51

A017

Actual364

Method whereby interest is
calculated based on the actual
number of accrued days in theinterest period divided by 364.
Method equal to Act364 in the
FIX/FIXML model.
Method whereby interest is
calculated based on the actual
number of business days in theinterest period divided by 252.
Usage: Brazilian Currency Swaps.
Method equal to BUS/252 in the
FpML model and BusTwoFiftyTwo
in the FIX/FIXML model.
Method whereby interest is
calculated based on the actual
number of accrued days in theinterest period, excluding any leap
day from the count, and a 360-day
year.
If parties specify the Day Count
Fraction to be 1/1 then incalculating the applicable amount,
1 is simply input into thecalculation as the relevant Day
Count Fraction. See also 2006 ISDA
Definitions, Section 4.16. Day
Count Fraction, paragraph (a).

A018

A019

Business25
2

Actual360
NL

A020

1/1

NARR

Narrative

Other method.

FIX/FIXML
code
value 52

FIX/FIXML
code value
description

17

Act/364

FIX/FIXML definition52

FpML
code

FpML definition 53

BUS/252

The number of Business Days in the
Calculation Period or Compounding
Period in respect of which payment isbeing made divided by 252.

1/1

Per 2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (a) or
Annex to the 2000 ISDA Definitions (June2000 Version), Section 4.16. Day Count
Fraction, paragraph (a).

52

The actual number of days between
Date1 and Date2, divided by 364.
[Symbolic name: Act364]

12

BUS/252

Used for Brazilian real swaps, which isbased on business days instead ofcalendar days. The number ofbusiness days divided by 252.
[Symbolic name: BusTwoFiftyTwo]

16

NL360

This is the same as Act/360, with the
exception of leap days (29 February)which are ignored.
[Symbolic name: NLThreeSixty]

0

1/1

If parties specify the Day Count
Fraction to be 1/1 then in calculating
the applicable amount, 1 is simply
input into the calculation as therelevant Day Count Fraction. See also
2006 ISDA Definitions, Section 4.16.
Day Count Fraction, paragraph (a).
[Symbolic name: OneOne]
Other FIX/FIXML code values notlisted above and FIX/FIXML codevalues that are reserved for user
extensions, in the range of integer
values of 100 and higher.

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018139

Annex 2: Working group participantsThis report was produced for the CPMI and IOSCO by the Working Group for the harmonisation of key
OTC derivatives data elements (Harmonisation Group).

Co-chairs:

Marc Bayle
European Central BankJohn Rogers (until May 2017)
US Commodity Futures Trading Commission
Dan Bucsa (since May 2017)
US Commodity Futures Trading Commission
Vice-chairs:

Markus Mayers
European Central Bank

Srinivas Bangarbale (until May 2017)
US Commodity Futures Trading Commission
Tom Guerin (since May 2017)
US Commodity Futures Trading Commission

Members:
CanadaSteve Badra-Quirion
Autorité des marchés financiers

Eli Adzogan (since September 2017)
Autorité des marchés financiersShaun Olson
Ontario Securities Commission

Yani Wu
Ontario Securities Commission
China

Xueqian Wang (since August 2016 to December 2016)
China Securities Regulatory Commission
Liu Rui (since January 2017)
China Securities Regulatory Commission

FranceFranck Lasry
Autorité des Marchés Financiers
Claudine Hurman
Bank of France

Laurent Kersenbaume (until October 2017)
Bank of France
Germany

Olaf Kurpiers
Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin)

Hong Kong SAR

Pansy Pang (until September 2017)
Hong Kong Monetary Authority

Polly Lee (since September 2017)
Hong Kong Monetary Authority

140

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

ItalyCarlo Bertucci
Bank of Italy

Japan

Daisuke Yamazaki (until June 2017)
Financial Services Agency

Tomoyoshi Teramura (since July 2017)
Financial Services Agency
MexicoRoberto Toledo-Cuevas
Bank of Mexico

Netherlands

Marinus Jeuken (until June 2017)
Netherlands Bank

RussiaDenis Grigorev (since September 2016)
Central Bank of the Russian Federation

Singapore

Justin Wong (until December 2016)
Monetary Authority of Singapore

Gael Soon (since January 2017)
Monetary Authority of Singapore
United Kingdom

Michael Yoganayagam (until October 2016)
Bank of England

John Tanner (until July 2017)
Bank of England

Sebastiano Daros (since July 2017)
Bank of England

Johnathan Wakefield (since September 2017)
Bank of EnglandUnited States

Celso Brunetti (until August 2017)
Board of Governors of the Federal Reserve System
Erik Heitfield (since October 2016)
Board of Governors of the Federal Reserve System
William Treacy (since May 2016)
Board of Governors of the Federal Reserve System
Scott Okrent (since February 2017)
Board of Governors of the Federal Reserve System

Kate Dolan (until May 2017)
Commodity Futures Trading Commission
Kate Mitchel
Commodity Futures Trading Commission

Janaki Naga (until May 2017)
Commodity Futures Trading Commission
Esen Onur
Commodity Futures Trading Commission
Robert Stowsky
Commodity Futures Trading Commission
Kim Allen (until February 2017)
Securities and Exchange Commission

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018141

Michael Gaw
Securities and Exchange Commission
Yee Cheng Loon (since April 2017)
Securities and Exchange Commission

William Katt (since February 2016)
Securities and Exchange Commission
Carol McGee
Securities and Exchange Commission

David Michehl (since November 2015)

Securities and Exchange Commission
Narahari Phatak (until March 2017)
Securities and Exchange Commission
European Central Bank

Linda Fache Rousová (until June 2016)
Christine Jozet (until August 2017)

Malgorzata Osiewicz (until September 2016)
Grzegorz Skrzypczynski
Olgerd Unger

Francesco Vacirca (since September 2016)
European Securities andMarkets Authority

Giulia Ferraris (until October 2016)

Joanna Lednicka
Olga Petrenko

Observers:
Thomas Brown
Office of Financial Research

United States

William Nichols
Office of Financial ResearchPaul D’Amico
Office of Financial Research

Justin Stekervetz (since January 2016 and until July 2017)
Office of Financial Research
Patrick Hoedjes

European Insurance andOccupational Pensions
Authority

Alessandro Fontana (since June 2017)

European Banking Authority

Giuseppe Cardi Gabriel

European Systemic Risk
Board

Roberto Stok (since October 2016)

FSB Secretariat

Laurence White (since July 2016)

Secretariats:
Committee on Payments andMarket Infrastructures

142

Cristina Picillo
Philippe Troussard

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI)– April 2018

International Organization of
Securities Commissions

Verinder Sharma (until December 2016)
Tim Pinkowsky (since January 2017)

CPMI-IOSCO – Technical Guidance - Harmonisation of critical OTC derivatives data (other than UTI and UPI) – April 2018143