Part 16 Swaps Daily Price

and Volume Activity -

Interim Standard

Technical Specifications

October 21, 2016 Version 1.3

CFTC

Division of Market Oversight

Office of Data and Technology

Office of the Chief Economist
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 2 of 24

Change Log 

Change

Date

Version # Change Description

5/16/2014 1.0 First Draft version to Reporting markets (30-day window for feedback

05/12/16 1.1 or Final suggestions). Version 1.1

07/27/16 1.2 Updates/proposed changes to version 1.1; Added instructions

10/21/16 1.3 Added Validations and FAQ in appendix

08/23/18 1.3 Updated URL for CFTC account creation
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 3 of 24

Table of Contents 

TABLE OF CONTENTS.......................................................................................................................................... 3

GENERAL REQUIREMENTS ................................................................................................................................. 4

INSTRUCTIONS .................................................................................................................................................... 5

TECHNICAL SPECIFICATIONS............................................................................................................................. 7

REQUESTED FILE FORMAT (PIPE DELIMITED EXAMPLE)............................................................................... 9

APPENDIX A: DELIVERY METHOD & TECHNICAL REQUIREMENTS.............................................................. 10

A) FORMATS .........................................................................................................................................................10

B) ELECTRONIC DATA TRANSMISSION PROCEDURES................................................................................................10

1. Formatting Data for Transmission ......................................................................................................10

2. Assembly and Compression ...................................................................................................................11

3. Secure FTP Account Registration..........................................................................................................11

C) TECHNICAL SUPPORT........................................................................................................................................16

APPENDIX B: VALIDATIONS............................................................................................................................. 17

APPENDIX C: FREQUENTLY ASKED QUESTIONS............................................................................................. 24
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 4 of 24

General Requirements

Under the delegation of authority granted in section 16.07 of the Commission’s regulations, the 

Director of the Division of Market Oversight of the Commodity Futures Trading Commission (“CFTC” 

or “Commission”), has approved the following format, coding structure, and electronic data submission 

procedures with respect to the provision by swap execution facilities (“SEFs”) and designated contract 

markets (“DCMs”) of price and volume data for swaps or classes of swaps (including options on swaps 

or classes of options on swaps) for each trading session to the Commission pursuant to Part 16 of the 

Commission’s regulations. 

Pursuant to Section 16.01 of the Commission’s regulations, the reporting specification set forth in this 

document is limited to reporting markets (as defined in part 15) that list swaps for trading. The 

specification provided in this document is an approved interim standard and will be updated and/or 

modified, as necessary and appropriate, on an ongoing basis. The interim standard is subject to 

modification due to changes including, but not limited to, types of products traded on reporting 

markets or the evolution of data schema and reporting formatting. 

The interim file format is a pipe ( | ) delimited text file. An example is provided below. Please note 

that fields for which no values are provided (e.g., null values) should be represented by an empty pipe 

delimiter; do not skip a pipe delimiter in cases where no value is provided in a given field. Feedback or

suggestions should be provided via email to Part16TechSupport@cftc.gov with a subject line that 

begins with ‘Part16 Reporting:’

Reporting markets should only report swaps that are subject to the jurisdiction of the CFTC. Reporting 

markets should also ensure that the sum total of the transactions reported matches information 

published on their respective websites. 

The reporting standard contained herein, and Technical Specifications below, address Part 16 of the 

Commission’s regulations only and do not represent or suggest a designation of the unique product 

identifier and product classification system pursuant to CFTC regulation 45.7. The requirements and 

the technical specifications contained in this document are not intended to be relied upon by 

reporting markets for purposes of swap data reporting requirements contained in parts 43 or 45 of

the Commission’s regulations. 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 5 of 24

Instructions

All provided notional amounts and trade count should be one-sided and not double counted. If two 

parties transact on a reporting market, then the notional is reported one time and not double counted to 

represent the notional of the buy and the sell side of the transaction. Certain fields below (27 – 32) 

require the notional to be reported in USD. Reporting markets should use an exchange rate consistent 

with current market conditions to convert traded currencies to USD. 

Totals for notional and trade count, as well as price information, should be determined with respect to a 

number of variables that define the product along with other classifying variables. The SEF must provide 

information for each unique combination of the following list of variables: 

 SEF/DCM ID & Dates (field numbers 1 – 4) 

 SEF/DCM Internal Product ID & Description (field numbers 5 – 6)

 Swap Product (field numbers 7 – 16) 

 Derivatives Clearing Organization (field numbers 17 – 18)

 Premium_Volatility_Other_Flag (field number 19) 

 Traded_Currency (field number 24) 

Given the large number of variables listed above, the number of reported rows might change 

significantly from day to day depending on the mixture of products traded. For example, if all fields are 

the same except for the “Block_Flag” (field number 15), then there will be two reported rows. If instead 

the reporting market has 10 traded products and each product has block and option content across two 

traded currencies and all block/option/currency combinations are reported to three different DCOs, 

then the reporting market will need to submit 240 rows. From this information, the reporting market 

will also be able to sum across these rows to find the daily SEF totals (e.g., summing 

“Cleared_Notional_USD_DA” (field number 28) to find the daily SEF total cleared notional in USD). 

It is important to note, along with notional and trade count totals, these variables also will define the set 

of prices used to determine fields 20– 23. This will ensure comparable prices are combined together 

(e.g., ensure that block trade prices are not mixed with non-block trade prices). 

Regarding swap product information related to fields 7 – 13, reporting markets should refer to the Swap 

Product Matrix provided by the NFA. Some swaps may not be represented. In such instances, the SEF 

should use their best judgement in assigning a value.

1

 If a response is not available, then please use 

‘other.’ At this time, the CFTC does not expect to provide additional content to supplement the NFA 

Swap Product Matrix. 

With respect to options, when option transactions are conducted in terms of volatility rather than 

option premiums, reporting markets may report option prices (fields 20 – 23) to the Commission in

volatility terms. In such instances, reporting markets are instructed to include V in field 19. Notional value 

for options will be reported on a delta-adjusted and non-delta adjusted basis. 

 

1

 Suggested values here will help to ensure the product matrix is as up-to-date as possible. 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 6 of 24

Description: Daily trade activity for each swap. This report is a daily market

summary report.

Frequency: Daily trading business day, received 12:00 pm following business day.

Delivery Method: Refer to Appendix A.
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 7 of 24

Technical Specifications

For purposes of this interim standard, the following fields comprise the values approved to satisfy the 

standard for Part 16 Swaps Daily Price and Volume Activity Reporting. The fields identified in the column 

‘Required M/MA’ below are M => Mandatory; MA=> Mandatory where applicable. 

N Field Name Required 

M/MA

Data Type Description

SEF ID & Trade Date

1 SEF_DCM_Name M String (30) Reporting Market Name. (The reporting 

market is the SEF or the DCM that lists 

swaps for trading).

2 SEF_DCM_LEI M String(20) Use Legal Entity Identifier (LEI) of the 

reporting market.

3 Trade_Date M DATE 

(YYYYMMDD)

4 Effective_Date M DATE 

(YYYYMMDD)

Effective date is the date on which the 

terms of the swap become effective. 

SEF Internal Product ID & Description

5 Internal_Prod_ID M String (100) Reporting Market Internal Product ID

6 Internal_Prod_Des M String (500) Reporting Market Internal Product 

Description

Swap Product (NFA Swap Product Matrix Approved on Interim Basis)2

7 Asset_Class M String (10) CD - Credit Default Swaps

IR - Interest Rate Swaps

CO - Other Commodity Swaps

FX - Foreign Exchange Swaps3

EQ - Equity Swaps

8 Base_Prod MA String (10) Base Product, refer to NFA Swap Product 

Matrix

9 Sub_Prod MA String (10) Sub Product, refer to NFA Swap Product 

Matrix

10 Tran_Type MA String (30) Transaction Type, refer to NFA Swap 

Product Matrix

11 Contract_Type MA String (200) Contract Type, refer to NFA Swap Product 

Matrix

12 Curr_Code MA String (3) Currency Code, refer to NFA Swap Product 

Matrix. See ISO 4217 Alphabetic Codes.

 

2

 With respect to a product classification system that may be used for purposes of reporting part 16 swap data, 

Commission staff approves, on an interim basis, using the NFA Swap Product Matrix as noted in the Technical 

Specification. The NFA SWAP Product Matrix is available at http://www.cftc.gov/Forms/index.htm.

3

 Commission staff notes that this specification differs from the NFA Swap Product Matrix, which denotes foreign 

exchange with “CU.”
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 8 of 24

13 Setl_Method MA String (4) Settlement Method, refer to NFA Swap 

Product Matrix.

14 UPI - - Unique Product Identifier (UPI). This field Is 

a placeholder reserved for use for a 

Commission designated UPI.

15 Block_Flag M String(1) Indicate Y for Block and N for Non-Block 

Trade.

16 Option_Flag M String(1) Indicate Y for Option and N for Non-Option.

Derivatives Clearing Organization

17 DCO_Name MA String (30) Name of the Derivatives Clearing 

Organization (DCO).

18 DCO_LEI MA String (20) LEI of the DCO.

Price Information

19 Premium_Volatility_Other_Flag M String(1) Indicate P if the price is represented as a 

premium and V if price is represented as a 

percentage and O for other 

representations. For example 12.5% should 

be sent as 12.5 for the fields 20-23.

20 First_Price M Number (20,8) First observed trade price for the day. 

21 High_Price M Number (20,8) High price of the day. 

22 Low_Price M Number (20,8) Low price of the day.

23 Last_Price M Number (20,8) Last observed trade price for the day. 

Notional Volume in Traded Currency 

24 Traded_Currency MA String(3) Currency code of the traded currency. See 

ISO 4217 Alphabetic Codes.

25 Notional_Traded_Currency_DA M Number (24,4) Notional in Traded Currency. For "Notional 

in Traded Currency DA", while reporting 

options, reporting markets are requested 

to report the notional value transacted 

with the delta adjustment (DA).

26 Notional_Traded_Currency_NDA M Number (24,4) Notional in Traded Currency. For "Notional 

in Traded Currency NDA", while reporting 

options, reporting markets are requested 

to report the notional value transacted 

without the delta adjustment (NDA). 

Notional Volume in USD, Delta-adjusted (DA) for options4

27 Total_Notional_USD_DA M Number (24,4) Notional converted to USD. For options, 

report notional with delta adjustment.

28 Cleared_Notional_USD_DA M Number (24,4) Cleared notional converted to USD. For 

options, report notional with delta 

adjustment.

 

4

 For options, reporting markets should report the delta-adjusted notional equivalent amount of the underlying 

instrument (e.g., the underlying swap, currency, index, etc.). 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 9 of 24

29 Un_Cleared_Notional_USD_DA M Number (24,4) Uncleared notional converted to USD. For 

options, report notional with delta 

adjustment.

Notional Volume in USD, Non Delta-adjusted (NDA) for options

30 Total_Notional_USD_NDA M Number (24,4) Notional converted to USD. For options, 

report notional without delta adjustment.

31 Cleared_Notional_USD_NDA M Number (24,4) Cleared notional converted to USD. For 

options, report notional without delta 

adjustment.

32 Un_Cleared_Notional_USD_NDA M Number (24,4) Uncleared notional converted to USD. For 

options, report notional without delta 

adjustment.

Trade Count

33 Total_Trade_Count M Int(24) Total count of all trades. 

34 Cleared_Trade_Count M Int(24) Total count of all cleared trades.

35 Un_Cleared_Trade_Count M Int(24) Total count of all uncleared trades.

Requested file format (pipe delimited example) 

SEF_DCM_Name|SEF_DCM_LEI|Trade_Date|Effective_Date|Internal_Prod_ID|Internal_Prod_Des|Asse

t_Class|Base_Prod|Sub_Prod|Tran_Type|Contract_Type|Curr_Code|Setl_Method|UPI|Block_Flag|Opt

ion_Flag|DCO_Name|DCO_LEI|Premium_Volatility_Other_Flag|First_Price|High_Price|Low_Price|Last

_Price|Traded_Currency|Notional_Traded_Currency_DA|Notional_Traded_Currency_NDA|Total_Notio

nal_USD_DA|Cleared_Notional_USD_DA|Un_Cleared_Notional_USD_DA|Total_Notional_USD_NDA|Cl

eared_Notional_USD_NDA|Un_Cleared_Notional_USD_NDA|Total_Trade_Count|Cleared_Trade_Count

|Un_Cleared_Trade_Count 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 10 of 24

Appendix A: Delivery Method & Technical Requirements 

a) Formats

The File Format for Part 16 Swaps Reporting is a pipe delimited text file. The field names provided in

the previous section should be included as the first row in each text file. 

b) Electronic Data Transmission Procedures 

The electronic formatted records will be transmitted to the Commission using Secure FTP (“SFTP”). 

1. Formatting Data for Transmission 

The records will be consolidated into a pipe-delimited text file as described in the previous 

sections. The file name for submission should be created in the following manner: 

File Naming Convention 

SEF16_[REPTYP] _[IDENT]_[YYYYMMDD].[FORMAT][.“TEST”].gz

SEF16_MKTDATA_ABC_20131219.csv.TEST.gz

Where: 

REPTYP: 

Report Type REPTYP in

Filename

Part 16.01 Market data MKTDATA

An earlier SFTP communication sent on 1/9/2014, the file naming convention included 

the asset class. Asset class is now included as a field in the interim standard, so it is no

longer part of the file naming convention. We are only requesting a single Part 16

Swaps MKTDATA file at this time. 

IDENT: Market Identifier Code (MIC) [http://www.iso15022.org/MIC/homepageMIC.htm] 

should be used in the file name for the [IDENT]. Note in the earlier SFTP communication sent 

on 1/9/2014 the 3-5 character identifier provided by the CFTC during the account registration 

process was part of the file naming convention if a SEF did not have a MIC at the time. The 

MIC is preferred as part of this standard and going forward. 

YYYYMMDD: This field is the Year (4 digits), Month and day of the report date. The date of the 

data, not the date the file is sent. 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 11 of 24

TEST: This field, if present (use the word “TEST”) tells the CFTC that this data is for testing 

purposes only, and will not be loaded into a production system. We will load the test data into 

our test systems, and can optionally provide feedback regarding the structure and content of

the file at the reporting markets request. 

2. Assembly and Compression 

After assembling the data file, it should be compressed using the GZIP or Winzip utility. The 

GZIP utility is freely available at http://www.gzip.org. Following the example provided above, 

the zipped file name would be SEF16_MKTDATA_ABC_20110922.gz. The file will then be 

transmitted to the CFTC using Secure FTP. The instructions for registering for a Secure FTP 

account follow. 

3. Secure FTP Account Registration 

The compressed files will be submitted to the CFTC via Secured File Transfer Protocol (SFTP). 

Many entities providing Part 16 swap data reporting already have FTP or SFTP accounts. 

Reporting markets with SFTP accounts can continue to use those accounts for this reporting 

requirement. New reporters who do not already have an SFTP account, or reporters who only 

use non-secure FTP accounts, must request a Secure FTP account from the CFTC. The following 

steps describe the process for that request. 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 12 of 24

i) Registration Step 1:

Users will browse to the Account Creation Page on the Commission’s website 

( https://accountcreation.cftc.gov/CFTCAccount.aspx). Users will be presented with a

CFTC Usage Agreement for review. 

Users will be required to confirm that they have read the agreement and agree to abide by

its terms by clicking the checkbox and pressing the “Agree” button. 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 13 of 24

ii) Registration Step 2:

Users will be presented with the Account Creation page where they will be asked to supply: 

(1) First Name – The first name of the user requesting the account 

(2) Last Name – The last name (or surname) of the user requesting the account 

(3) Company Name – The Company that will be supplying the data to the CFTC 

(4) Email Address – The email address of the contact. The email address must be from 

the domain that will be submitting data; the Reporting markets domain. Third party 

email domains (e.g., Hotmail, Yahoo!, Gmail, etc.) will not be accepted. 

(5) Contact Telephone Number – The requestor’s phone number, in case CFTC will need to

confirm the user via a phone call. 

(6) Contact FAX Number (not required) 

Once the user has submitted the data, the request will be passed to CFTC’s Office of Data and 

Technology for approval. 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 14 of 24

iii) Registration Step 3:

Once the account creation is approved, the user will be sent an email with a link to confirm 

the request. This email will include the three-letter Alpha Code that must be used for all 

data submissions made by this company to the CFTC. 

Clicking the link (or posting the URL into a browser) will bring users to the account confirmation 

screen where they will be asked to confirm the account creation request by typing in the threeletter Alpha Code supplied in the email. 

Once the user has confirmed the Alpha Code, the page will tell them that their request has been 

submitted. 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 15 of 24

iv) Registration Step 4:

The user will receive two follow-on emails from the CFTC. Each email will address 

guidelines for using this account. One email will contain the user’s new ID. It will also 

contain instructions on converting their FTP Account to a Secure FTP Account. All entities 

that are providing Part 16 swap reporting must use Secure FTP to transmit their data. 
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 16 of 24

v) Registration Step 5:

All reporting markets must exchange their Public Keys with the CFTC to activate their Secure 

FTP account. Please send your Public Key to FTPSupport@cftc.gov. The second email will 

contain the user’s new password for the FTP account. 

File Transmission 

Connect to the CFTC FTP site at traders.cftc.gov, and login using your account and password. 

At this point, the compressed file can be transferred using normal FTP commands. 

Upon file receipt, software at the CFTC will ingest the file through our firewall and begin 

processing of the data. 

c) Technical Support

Please forward questions regarding format, content, and transmission of Part 16 swap data 

submissions to the CFTC at Part16TechSupport@cftc.gov.
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 17 of 24

Appendix B: Validations 

Valid

ation 

Num

ber

Validation Requirement

Part 16 SEF 

Specification 

Element

1

Invalid Filename. Format must be 

SEF16_[REPTYP]_[IDENT]_[YYYYMMDD].[FORMAT][.“TEST”].gz or 

SEF16_[REPTYP]_[IDENT]_[YYYYMMDD].[FORMAT][.“TEST”].zip. 

Appendix A 

(b)(i)

2

Invalid File Header. Either the file header is missing or contains invalid header data.

The file must contain the header as specified in the "Report Column Headings Summary" 

section of the specification document. The header must look like as follows:

SEF_DCM_Name|SEF_DCM_LEI|Trade_Date|Effective_Date|Internal_Prod_ID|Internal_Prod_

Des|Asset_Class|Base_Prod|Sub_Prod|Tran_Type|Contract_Type|Curr_Code|Setl_Method|

UPI|Block_Flag|Option_Flag|DCO_Name|DCO_LEI|Premium_Volatility_Other_Flag|First_Pric

e|High_Price|Low_Price|Last_Price|Traded_Currency|Notional_Traded_Currency_DA|Notion

al_Traded_Currency_NDA|Total_Notional_USD_DA|Cleared_Notional_USD_DA|Un_Cleared_

Notional_USD_DA|Total_Notional_USD_NDA|Cleared_Notional_USD_NDA|Un_Cleared_Noti

onal_USD_NDA|Total_Trade_Count|Cleared_Trades_Count|Un_Cleared_Trades_Count

Report 

Column 

Headings 

Summary

3

Missing or Invalid SEF_DCM_Name. The SEF_DCM_Name cannot be longer than 30 

characters.

The document must contain a valid Reporting Market Name. 

1

4

Missing or Invalid SEF_DCM_LEI. The SEF_DCM_LEI should be identifiable in the LEI 

database.

The document must contain a valid Legal Entity Identifier (LEI) of the Reporting Market.

2

5

Missing Trade_Date or Invalid Trade_Date Format. The acceptable format is YYYYMMDD.

The document must provide a valid Trade Date for each asset class.

3
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 18 of 24

6

Missing Effective_Date or Invalid Effective_Date Format. The acceptable format is 

YYYYMMDD.

The document must provide a valid Effective date on which the terms of the swap become 

effective. 

4 

7

Missing or Invalid Internal_Prod_ID. The Internal_Prod_ID cannot be longer than 100 

characters.

The document must contain a Reporting Market Internal Product ID. 

5

8

Missing or Invalid Internal_Prod_Des. Internal_Prod_Des cannot be longer than 500 

characters.

The document must contain a Reporting Market Internal Product Description.

6

9

Missing or Invalid The Asset_Class. The allowable values are: 

CD - Credit Default Swaps 

IR - Interest Rate Swaps 

CO - Other Commodity Swaps 

FX - Foreign Exchange Swaps 

EQ - Equity Swaps 

The document must provide a valid Asset Class code as specified in the NFA Swap Product 

Matrix v1.4. 

7

10

Invalid Curr_Code. Please refer to ISO 4217 Alphabetic Codes for valid values.

If Currency Code is provided in the document, the document must contain a valid Currency 

Code as specified in the ISO 4217 Alphabetic Codes list. 

12

11

Invalid or missing Block_Flag. The allowable values are: Y or N

The document must specify either Y or N for Block Flag. No other value will be accepted.

15

12

Invalid or missing Option_Flag. The allowable values are: Y or N

The document must specify either Y or N for Option Flag. No other value will be accepted.

16
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 19 of 24

13

DCO_Name is longer than 30 characters.

If Derivatives Clearing Organization (DCO) is provided in the document, it should be less than 

or equal to 30 characters

17

14

DCO_LEI could not be identified in the LEI database.

If provided, the document must contain a valid DCO Legal Entity Identifier (LEI) which could be 

identified in CFTC LEI database.

18

15

Missing or Invalid Premium_Volatility_Other_Flag. The allowable values are P, V or O

The document must specify P, V or O for Premium, Volatility or Other Flag as instructed in the 

specification document. No other values will be accepted. 

19

16

Missing or incorrectly formatted First_Price. The allowable format is Number (20, 8)

The document must provide valid First Price as instructed in the specification document. The 

acceptable format is Number (20, 8). That is, the total number of digits allowed is 20 of which 

12 digits are acceptable before the decimal point. If the number of digits after the decimal 

point is more than 8, the system will accept only the first 8 digits after the decimal point and 

ignore the rest.

20

17

Missing or incorrectly formatted High_Price. The allowable format is Number (20, 8)

The document must provide valid High Price of the day as instructed in the specification 

document. The acceptable format is Number (20, 8). That is, the total number of digits allowed 

is 20 of which 12 digits are acceptable before the decimal point. If the number of digits after 

the decimal point is more than 8, the system will accept only the first 8 digits after the decimal 

point and ignore the rest.

21

18

Missing or incorrectly formatted Low_Price. The allowable format is Number (20, 8)

The document must provide valid Low Price of the day as instructed in the specification 

document. The acceptable format is Number (20, 8). That is, the total number of digits allowed 

is 20 of which 12 digits are acceptable before the decimal point. If the number of digits after 

the decimal point is more than 8, the system will accept only the first 8 digits after the decimal 

point and ignore the rest.

22
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 20 of 24

19

Missing or incorrectly formatted Last_Price. The allowable format is Number (20, 8)

The document must provide valid Last Price as instructed in the specification document. The 

acceptable format is Number(20, 8). That is, the total number of digits allowed is 20 of which 

12 digits are acceptable before the decimal point. If the number of digits after the decimal 

point is more than 8, the system will accept only the first 8 digits after the decimal point and 

ignore the rest.

23

20

Invalid Traded_Currency. Please refer to ISO 4217 Alphabetic Codes.

If provided, the document must contain valid Traded Currency from ISO 4217 Alphabetic 

Codes list. 

24

21

Missing or incorrectly formatted Notional_Traded_Currency_DA. The allowable format is 

Number (24, 4)

The document must provide valid Notional in Traded Currency (single count) as instructed in 

the specification document. The acceptable format is Number(24, 4). That is, the total number 

of digits allowed is 24 of which 20 digits are before the decimal point. If number of digits after 

the decimal point is more than 4, the system will accept only the first 4 digits after the decimal 

point and ignore the rest.

25

22

Missing or incorrectly formatted Notional_Traded_Currency_NDA. The allowable format is 

Number (24, 4)

The document must provide valid Notional in Traded Currency (Single count) as instructed in 

the specification document. The acceptable format is Number(24, 4). That is, the total number 

of digits allowed is 24 of which 20 digits are before the decimal point. If number of digits after 

the decimal point is more than 4, the system will accept only the first 4 digits after the decimal 

point and ignore the rest.

26

23

Missing or incorrectly formatted Total_Notional_USD_DA. The allowable format is Number 

(24, 4)

The document must provide this value as instructed in the specification document. The 

Total_Notional_USD_DA must be equal to sum of Cleared_Notional_USD_DA and 

Un_Cleared_Notional_USD_DA. The acceptable format for Total_Notional_USD_DA is 

Number(24, 4). That is, the total number of digits allowed is 24 of which 20 digits are before 

the decimal point. If number of digits after the decimal point is more than 4, the system will 

accept only the first 4 digits after the decimal point and ignore the rest.

27
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 21 of 24

24

Total_Notional_USD_DA should be the sum of Cleared_Notional_USD_DA and 

Un_Cleared_Notional_USD_DA

The document must provide this value as instructed in the specification document. The 

Total_Notional_USD_DA must be equal to sum of Cleared_Notional_USD_DA and 

Un_Cleared_Notional_USD_DA. The acceptable format for Total_Notional_USD_DA is 

Number(24, 4). That is, the total number of digits allowed is 24 of which 20 digits are before 

the decimal point. If number of digits after the decimal point is more than 4, the system will 

accept only the first 4 digits after the decimal point and ignore the rest.

27

25

Invalid or missing Cleared_Notional_USD_DA. The allowable format is Number (24, 4)

The document must provide valid value as instructed in the specification document. The 

acceptable format is Number(24, 4). That is, the total number of digits allowed is 24 of which 

20 digits are before the decimal point. If number of digits after the decimal point is more than 

4, the system will accept only the first 4 digits after the decimal point and ignore the rest.

28

26

Invalid or missing Un_Cleared_Notional_USD_DA. The allowable format is Number (24, 4)

The document must provide valid value as instructed in the specification document. The 

acceptable format is Number(24, 4). That is, the total number of digits allowed is 24 of which 

20 digits are before the decimal point. If number of digits after the decimal point is more than 

4, the system will accept only the first 4 digits after the decimal point and ignore the rest.

29

27

Missing or incorrectly formatted Total_Notional_USD_NDA. The allowable format is Number 

(24, 4)

The document must provide valid value as instructed in the specification document. The 

Total_Notional_USD_NDA must be equal to sum of Cleared_Notional_USD_NDA and 

Un_Cleared_Notional_USD_NDA. The acceptable format for Total_Notional_USD_NDA is 

Number(24, 4). That is, the total number of digits allowed is 24 of which 20 digits are before 

the decimal point. If number of digits after the decimal point is more than 4, the system will 

accept only the first 4 digits after the decimal point and ignore the rest.

30
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 22 of 24

28

Total_Notional_USD_NDA should be the sum of Cleared_Notional_USD_NDA and 

Un_Cleared_Notional_USD_NDA

The document must provide valid value as instructed in the specification document. The 

Total_Notional_USD_NDA must be equal to sum of Cleared_Notional_USD_NDA and 

Un_Cleared_Notional_USD_NDA. The acceptable format for Total_Notional_USD_NDA is 

Number(24, 4). That is, the total number of digits allowed is 24 of which 20 digits are before 

the decimal point. If number of digits after the decimal point is more than 4, the system will 

accept only the first 4 digits after the decimal point and ignore the rest.

30

29

Invalid or missing Cleared_Notional_USD_NDA. The allowable format is Number (24, 4)

The document must provide valid value as instructed in the specification document. The 

acceptable format is Number(24, 4). That is, the total number of digits allowed is 24 of which 

20 digits are before the decimal point. If number of digits after the decimal point is more than 

4, the system will accept only the first 4 digits after the decimal point and ignore the rest.

31

30

Invalid or missing Un_Cleared_Notional_USD_NDA. The allowable format is Number (24, 4)

The document must provide valid value as instructed in the specification document. The 

acceptable format is Number(24, 4). That is, the total number of digits allowed is 24 of which 

20 digits are before the decimal point. If number of digits after the decimal point is more than 

4, the system will accept only the first 4 digits after the decimal point and ignore the rest.

32

31

Invalid or missing Total_Trade_Count. The allowable format is Integer(24)

The document must provide valid value as instructed in the specification document. The 

Total_Trade_Count must be equal to sum of Cleared_Trades_Count and 

Un_Cleared_Trades_Count. The acceptable format for Total_Trade_Count is Number(24). That 

is, it cannot have more than 24 digits and it cannot have a decimal point. 

33
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 23 of 24

32

The Total_Trade_Count should be equal to the sum of Cleared_Trades_Count and 

Un_Cleared_Trades_Count.

The document must provide valid value as instructed in the specification document. The 

Total_Trade_Count must be equal to sum of Cleared_Trades_Count and 

Un_Cleared_Trades_Count. The acceptable format for Total_Trade_Count is Number(24). That 

is, it cannot have more than 24 digits and it cannot have a decimal point. 

33

33

Invalid or missing Cleared_Trades_Count. The allowable format is Number (24, 4)

If provided, the document must provide valid value as instructed in the specification 

document. The acceptable format for Cleared_Trades_Count is Number(24). That is, it cannot

have more than 24 digits and it cannot have a decimal point. 

34

34

Invalid or missing Un_Cleared_Trades_Count. The allowable format is Number (24, 4)

If provided, the document must provide valid value as instructed in the specification 

document. The acceptable format for Un_Cleared_Trades_Count is Number(24). That is, it 

cannot have more than 24 digits and it cannot have a decimal point. 

35
Part 16 Swaps Daily Price and Volume Activity- Version 1.3 

Page 24 of 24

Appendix C: Frequently Asked Questions 

1. Will other formats besides Pipe delimited be accepted? 

We will only accept pipe delimited files. 

2. What other file formats will you accept? 

We are currently accepting .gz and .zip files. 

3. Is the existing CFTC/traders directory sufficient? 

Yes.

4. Are there any restrictions to special characters (_, -, ’, @, &) for Internal_Prod_ID and 

Internal_Prod_Des? 

Characters 32-126 of ASCII code are acceptable for text fields. 

5. When the swap is not executed in $US, is there a specific site from which SEFs should 

be pulling the FX rates? 

The Commission has not designated a source of FX rates and is not doing so in this 

specification. The reporting market should use a reasonable, reputable source for FX 

rates. 

6. For FX rates, should SEFs be using the rate at the time of the trade (real-time) or at the 

time of aggregation at the end of the day? 

Staff suggests using time of aggregation at end of day. 

7. Are there any special instructions for SEFs when trades occur on a weekend or a 

holiday?

Reporting markets must submit data that corresponds with this specification in 

accordance with § 16.01 of the Commission’s regulations. Data must be submitted 

within the timeframes required by § 16.01(d) of the Commission’s regulations. Staff 

notes that “business day” is defined in § 1.3(b) of the Commission’s regulations as “any 

day other than a Sunday or holiday.”

8. What reporting obligation is there on trading days with no activity? Is a SEF required 

to send a blank file or send no file? 

Please send in a blank file with only the header row for all trading days with no activity. 

9. If the reporting party is both a SEF and DCM with the same LEI, can it file separately? 

Filing for the SEF and DCM separately is permitted. Ensure that the two file names are 

distinct by having 2 MIC codes or 2 CFTC issued codes, one for SEF and one for DCM.