CFTC Technology Advisory Committee 

February 23, 2016

Swap Data Standardization & Harmonization Panel

September 2010 
1 

CFTC TAC – February 23, 2016 – Swap Data Standardization & Harmonization 

Draft Technical Specification Highlight as it Relates to Price 

The Draft Technical Specification proposes to normalize the reporting of price information through 4 fields 

Are alternative terms used (across asset 

classes, types of contracts) to represent the 

value exchange between parties? 

Do we need 

additional 

data 

elements? 

 Should other allowable 

values be added? 

 Should we have distinct 

allowable values per 

asset class? 

Where a swap uses “post pricing” (e.g., the pricing is determined by an average price over time, volumetric weighted average price, 

closing price, opening price), how should the Price data element be expressed before the numerical price value is determined for each 

type of post-priced swap? 
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CFTC TAC – February 23, 2016 – Swap Data Standardization & Harmonization 

Current State of Affairs 

 The CFTC Part 43 rule published in January 2012 introduces the concepts of Price Notation and Additional 

Price notation to report the price of swap products 

 Price Notation: The price, yield, coupon, etc. depending on the type of swap, which is calculated at affirmation. 

The pricing characteristic may not include any premiums associated with margin, collateral, independent 

amounts, reconcilable post-execution events, options on a swap, or other non-economic characteristic. The 

format in which the pricing characteristic is real-time reported to the public shall be the format commonly 

sought by market participants for each particular market or contract. 

 Additional Price Notation: The additional price notation shall include any premiums associated with 

reconcilable post-execution events, the presence of collateral, front-end payments, back-end payments, or 

other non-economic characteristics (e.g. counterparty credit risk) not illustrated in the reporting field for 

pricing characteristic. The additional price notation shall not include options are they are reported elsewhere. 

 In order to provide an orderly approach to compliance, ISDA worked with market participants to develop a 

standardized approach to map price information for non-option products into those respective fields. 

 This standardized approach was shared with the Commission staff. It takes the form of a multi-tabular 

spreadsheet which is organized by asset class and is available on the ISDA website 

http://www2.isda.org/search?headerSearch=1&keyword=price+notation 
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CFTC TAC – February 23, 2016 – Swap Data Standardization & Harmonization 

Current State of Affairs (cont’d)

 Snippet of the guidance provided in the case of credit derivatives: 

# Asset 

Class

Base Product Sub-Product Transaction Type Price Notation Price 

Type 1

Price Notation Price 1 

(Value)

Additional Price 

Notation - Price 

Type

Additional 

Price Notation - 

Price

1 Credit Single Name ABS CDS on CDO

2 Credit Single Name Corporate AsiaCorporate 

3 Credit Single Name Corporate Australia Corporate

4 Credit Single Name Corporate Emerging European Corporate

5 Credit Single Name Corporate Emerging European Corporate LPN

6 Credit Single Name Corporate European Corporate 

7 Credit Single Name Corporate Japan Corporate 

8 Credit Single Name Corporate Latin America Corporate

9 Credit Single Name Corporate Latin America Corporate Bond

10 Credit Single Name Corporate Latin America Corporate Bond Or Loan

11 Credit Single Name Corporate New Zealand Corporate

12 Credit Single Name Corporate North American Corporate

13 Credit Single Name Corporate Singapore Corporate 

14 Credit Single Name Corporate Standard Asia Corporate

15 Credit Single Name Corporate Standard Australia Corporate

16 Credit Single Name Corporate Standard Emerging European Corporate

17 Credit Single Name Corporate Standard Emerging European Corporate LPN

18 Credit Single Name Corporate Standard Japan Corporate

19 Credit Single Name Corporate Standard Latin America Corporate Bond

20 Credit Single Name Corporate Standard Latin America Corporate Bond Or Loan

21 Credit Single Name Corporate Standard New Zealand Corporate

22 Credit Single Name Corporate Standard North American Corporate

23 Credit Single Name Corporate Standard Singapore Corporate

24 Credit Single Name Corporate Standard Subordinated European Insurance Corporate

25 Credit Single Name Corporate Standard Sukuk Corporate

26 Credit Single Name Corporate Subordinated European Insurance Corporate

27 Credit Single Name Corporate Sukuk Corporate

28 Credit Single Name Corporate Standard European Corporate

29 Credit Single Name Recovery CDS Fixed Recovery Swaps

30 Credit Single Name Recovery CDS Recovery Locks

Upfront Points or the spread in Basis Points Addition Price is not usually 

used for these taxonomy types

Price is reported as the recovery price that the 

name is trading at quoted as a percentage of 

notional

Additional Price is not usually 

used fot these taxonomy types

NA IG CDX index : Quoted/Traded as Spread (for e.g. IG18 5yr is quoted as 102 bps), 

there is only one coupon of 100 bps : Should be reported as "IG18 index (100 coupon) traded at 102 bps" 

GTR submission: Price Notation Price Type: “BasisPoints”, Price Notation Price Value: 102

Price Quoting Credit examples (from CSC):
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CFTC TAC – February 23, 2016 – Swap Data Standardization & Harmonization 

Current State of Affairs (cont’d)

 DTCC sample analysis of public price reported data over a period of 3 months (Nov 2015-Jan 2016) shows 

that the adherence to the guidance is imperfect, and uneven across credit products: 

Top Disseminated

Credit Products

Basis PointsPercentagePriceUpfrontPointsAmount

Total

* ISDA Recommendation

Rate of Adherence

CMBX 17% 70% 12% 0% 1% 100%

*

Price 12%

iTraxx Europe 90% 5% 1% 1% 2% 100%

*

Basis Points 90%

CDX.HY 18% 8% 71% 3% 0% 100%

*

Price 71%

CDX.IG 85% 11% 0% 4% 0% 100%

*

Basis Points 85%

CDX.EM 48% 4% 46% 0% 2% 100%

*

Upfront / Basis Points 48%

IOS 0% 74% 26% 0% 0% 100%

*

Price 26%

iTraxx Asia 90% 4% 5% 0% 1% 100%

*

Basis Points 90%
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CFTC TAC – February 23, 2016 – Swap Data Standardization & Harmonization 

Proposed Recommendations 

 This analysis shows that the issue at stake is validation, not standardization 

 The CFTC has already provided a methodology for normalizing price information. As a follow-up from the rule, 

market participants have developed and published a detailed guidance in order to provide a common 

implementation of this provision. 

 What is needed at this point is a comprehensive validation framework to provide proper adherence to this 

existing standard. 

 For swaps that are priced post-execution, reporting should be postponed until such time that the price is 

known 

 An execution without price misses critical information for public purposes, while risks exposing the investment 

strategy of the market participants that rely on such products.