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Technical Specification Document

Parts 43 and 45 swap reporting and public dissemination requirements

February 20, 2020

Version 1.2

This Technical Specification document (“Tech Spec”) provides technical specifications for reporting swap data to Swap Data Repositories (SDRs) under parts 43 and 45. 
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TABLE OF CONTENTS

INDEX OF DATA ELEMENTS ...........................................................................................................................................................................................III

1 INTRODUCTION.................................................................................................................................................................................................VI

1.1 BACKGROUND..................................................................................................................................................................................................................VI

1.2 STRUCTURE AND DESCRIPTION OF COLUMN HEADINGS............................................................................................................................................................VI

1.3 EXPLANATION OF DATA ELEMENT OR CATEGORY ....................................................................................................................................................................IX

1.4 UNIQUE PRODUCT IDENTIFIER (UPI).....................................................................................................................................................................................X

2 TECHNICAL SPECIFICATION AND VALIDATION RULES ......................................................................................................................................... 1

3 APPENDIX......................................................................................................................................................................................................... 36

A. ADDITIONAL DATA ELEMENTS PUBLICLY DISSEMINATED - REQUIREMENTS FOR SDRS ONLY............................................................................................................. 36

B. NOTIONAL AMOUNT ....................................................................................................................................................................................................... 37

C. MAPPING OF DAY COUNT CONVENTION ALLOWABLE VALUES TO ISO 20022, FPML, AND FIX/FIXML VALUES................................................................................ 38

D. VALUATION METHOD ...................................................................................................................................................................................................... 47

E. COLLATERALISATION CATEGORY......................................................................................................................................................................................... 48

F. EVENTS: SAMPLE SCENARIOS FOR PART 43 AND PART 45 REPORTING........................................................................................................................................ 49

4. REFERENCES ..................................................................................................................................................................................................... 58
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Index of Data Elements

A

Action type.................................................................................................................................................................. 7

Affiliated counterparty for margin and capital indicator ................................................................................................... 31

Allocation indicator..................................................................................................................................................... 25

B

Block trade election indicator....................................................................................................................................... 25

Buyer identifier ............................................................................................................................................................ 5

C

Call amount............................................................................................................................................................... 11

Call currency ............................................................................................................................................................. 11

CDS index attachment point........................................................................................................................................ 23

CDS index detachment point....................................................................................................................................... 24

Central counterparty..................................................................................................................................................... 1

Cleared....................................................................................................................................................................... 1

Clearing account origin................................................................................................................................................. 1

Clearing member ......................................................................................................................................................... 1

Clearing receipt timestamp ........................................................................................................................................... 3

Clearing swap USIs...................................................................................................................................................... 2

Clearing swap UTIs...................................................................................................................................................... 2

Collateral portfolio code .............................................................................................................................................. 31

Collateralisation category............................................................................................................................................ 31

Counterparty 1 (reporting counterparty).......................................................................................................................... 4

Counterparty 1 financial entity indicator.......................................................................................................................... 4

Counterparty 2............................................................................................................................................................. 4

Counterparty 2 financial entity indicator.......................................................................................................................... 5

Counterparty 2 identifier source..................................................................................................................................... 4

Currency of initial margin collected .............................................................................................................................. 34

Currency of initial margin posted.................................................................................................................................. 33

Currency of variation margin collected.......................................................................................................................... 35

Currency of variation margin posted............................................................................................................................. 34

Custom basket indicator ............................................................................................................................................... 6

D

Day count convention ................................................................................................................................................. 14

Delta ......................................................................................................................................................................... 10

Dissemination identifier ............................................................................................................................................... 36

Dissemination timestamp ............................................................................................................................................ 36

E

Effective date ............................................................................................................................................................. 25

Embedded option type ................................................................................................................................................ 24

Event identifier ............................................................................................................................................................. 9

Event timestamp .......................................................................................................................................................... 9

Event type ................................................................................................................................................................... 7

Exchange rate............................................................................................................................................................ 18

Exchange rate basis ................................................................................................................................................... 18

Execution timestamp................................................................................................................................................... 26

Expiration date ........................................................................................................................................................... 26

F

Final contractual settlement date..................................................................................................................................24

First exercise date ...................................................................................................................................................... 23

Fixed rate .................................................................................................................................................................. 18

Fixing date................................................................................................................................................................. 14

Floating rate reset frequency period .............................................................................................................................15

Floating rate reset frequency period multiplier................................................................................................................15

I

Index factor................................................................................................................................................................ 24

Initial margin collected by the reporting counterparty (post-haircut) ..................................................................................33

Initial margin collected by the reporting counterparty (pre-haircut)....................................................................................33

Initial margin posted by the reporting counterparty (post-haircut) .....................................................................................32

Initial margin posted by the reporting counterparty (pre-haircut).......................................................................................32
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J

Jurisdiction Indicator .................................................................................................................................................. 29

L

Last floating reference reset date................................................................................................................................. 29

Last floating reference value ....................................................................................................................................... 29

N

New SDR identifier..................................................................................................................................................... 29

Non-standardized pricing indicator............................................................................................................................... 25

Notional amount ........................................................................................................................................................ 10

Notional currency....................................................................................................................................................... 10

O

Option premium amount ............................................................................................................................................. 22

Option premium currency............................................................................................................................................ 23

Option premium payment date .................................................................................................................................... 23

Original dissemination identifier................................................................................................................................... 36

Original swap SDR identifier ......................................................................................................................................... 3

Original swap USI ........................................................................................................................................................ 2

Original swap UTI ........................................................................................................................................................ 3

Other clearing exemptions - Counterparty 1.................................................................................................................... 3

Other clearing exemptions – Counterparty 2 ................................................................................................................... 3

Other payment amount............................................................................................................................................... 16

Other payment currency ............................................................................................................................................. 16

Other payment date ................................................................................................................................................... 16

Other payment payer.................................................................................................................................................. 16

Other payment receiver .............................................................................................................................................. 17

Other payment type.................................................................................................................................................... 15

P

Package identifier ...................................................................................................................................................... 13

Package transaction price........................................................................................................................................... 13

Package transaction price currency ............................................................................................................................. 14

Package transaction price notation .............................................................................................................................. 14

Payer identifier ............................................................................................................................................................ 5

Payment frequency period .......................................................................................................................................... 17

Payment frequency period multiplier.............................................................................................................................17

Platform identifier ....................................................................................................................................................... 27

Portfolio containing non-reportable component indicator .................................................................................................31

Post-priced swap indicator........................................................................................................................................... 19

Price currency............................................................................................................................................................ 20

Price notation............................................................................................................................................................. 20

Price unit of measure .................................................................................................................................................. 20

Price,, ........................................................................................................................................................................ 19

Prime brokerage transaction identifier...........................................................................................................................27

Prime brokerage transaction indicator...........................................................................................................................27

Prior USI (for one-to-one and one-to-many relations between transactions) ......................................................................28

Prior UTI (for one-to-one and one-to-many relations between transactions) ......................................................................28

Put amount ................................................................................................................................................................ 11

Put currency .............................................................................................................................................................. 11

Q

Quantity frequency ..................................................................................................................................................... 12

Quantity frequency multiplier........................................................................................................................................12

Quantity unit of measure ............................................................................................................................................. 12

R

Receiver identifier......................................................................................................................................................... 6

Reporting timestamp................................................................................................................................................... 27

S

Seller identifier ............................................................................................................................................................. 5

Settlement currency.................................................................................................................................................... 25

Spread ...................................................................................................................................................................... 21

Spread currency......................................................................................................................................................... 21

Spread notation.......................................................................................................................................................... 21

Strike price ................................................................................................................................................................ 22

Strike price currency/currency pair ...............................................................................................................................22

Strike price notation .................................................................................................................................................... 22

Submitter identifier........................................................................................................................................................ 6

T

Total notional quantity ................................................................................................................................................. 12
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U

Unique product identifier (UPI) .................................................................................................................................... 24

Unique product identifier short name............................................................................................................................ 36

Unique swap identifier (USI)........................................................................................................................................ 28

Unique transaction identifier (UTI)................................................................................................................................ 28

V

Valuation amount ....................................................................................................................................................... 30

Valuation currency...................................................................................................................................................... 30

Valuation method ....................................................................................................................................................... 30

Valuation timestamp ................................................................................................................................................... 30

Variation margin collected by the reporting counterparty (pre-haircut)...............................................................................35

Variation margin posted by the reporting counterparty (pre-haircut)..................................................................................34
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1 Introduction

1.1 Background

Under the Dodd-Frank Wall Street Reform and Consumer Protection Act, the CFTC passed several data-related swaps rules, including 17 CFR parts 43 and 45, which mandated the reporting of 

swap data contracts to SDRs and the public dissemination of swap data, with the goal of bringing transparency to a previously opaque swaps market.

Internationally, in 2009 the G20 leaders agreed that all over-the-counter (OTC) derivatives contracts should be reported to trade repositories1 to further the goals of improving transparency, 

mitigating systemic risk and preventing market abuse. Aggregation of the data being reported across TRs would help authorities to obtain a comprehensive view of the OTC derivatives market and 

its activity. In September 2014, the Financial Stability Board (FSB) published the Aggregation Feasibility Study Group (AFSG) report, endorsing certain recommendations relating to the aggregation 

of TR data, including developing global guidance on harmonization of data elements that are reported to TRs and are important to global aggregation across jurisdictions. The CPMI-IOSCO 

working group for harmonization of critical OTC derivatives data elements was set up to implement some of the key recommendations of the 2014 FSB AFSG report and has developed global 

guidance regarding the definition, format and usage of critical OTC derivatives data elements reported to TRs, including the unique transaction identifier (UTI), the unique product identifier (UPI)

and other critical data elements (also known as CDE).

The CFTC’s Technical Specification uses the CPMI IOSCO Technical Guidance: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)2 (referred to as CDE Technical 

Guidance), as its base, with a majority of the data elements sourced from this CDE Technical Guidance.

This technical specification provides the definition, existing standard, format, allowable values and validation rules for the data elements that are required to be reported to the SDRs by reporting 

parties under the revised part 45. This technical specification also provides the data elements required to be reported and publicly disseminated under part 43, and any dissemination requirements 

for SDRs for public reporting.

1.2 Structure and Description of Column Headings

The Technical Specification and Validation Rules table starting on page 1 contains two main areas: Technical Specification and Validation Rules and Dissemination Rules. The details of these 

main areas are described in this section below.

1.2.1 Technical Specification

Technical Specification (9) Validation Rules and Dissemination Rules

(1) 

#

(2) 

Source

(3) 

Category

(4)

Data 

Element 

Name

(5)

Definition for 

Data Element

(6)

Existing 

Standard

(7)

Format

(8)

Allowable 

Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation and 

Dissemination 

Rules

CR

IR

FX

EQ

CO

 1 Throughout this technical specification, references to “trade repositories” in CDE data element should be read to mean SDRs. 2 See Harmonisation of critical OTC derivative data elements (other than UTI and UPI) – Technical Guidance, April 2018, https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf
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(1) # - all data elements are assigned a number for ease of reference. The data element number is referenced through the document and in the part 43 and part 45 rule appendices.

(2) Source: this column will contain either “CDE” or “CFTC”. “CDE” refers to a data element in the published Harmonisation of critical OTC derivative data elements (other than UTI and 

UPI) – Technical Guidance. “CFTC” refers to a data element sourced from the Division of Market Oversight (DMO).

(3) Category: data elements are grouped by topic or category.

(4) Data Element Name: data element names used in this document may be, but are not required to be, used literally. 

(5) Definition for Data Element: for CDE data elements, the definition is sourced from the CDE Technical Guidance, with footnotes added to provide clarity based on the CFTC’s 

regulations. For “CFTC” data elements, the definition is sourced to the specific rules/regulations.

(6) Existing Standard: this column specifies an existing standard when available for the listed format and allowable values for a given data element. When possible, the technical 

specification references ISO standards (for example, ISO 4217 for currency and ISO 17442 for Legal Entity Identifier) or the ISO 20022 data dictionary (for example, for ISO 20022 -

InterestCalculation/DayCountBasis for Day Count Convention). In some cases, a standard is not available and is labeled as “Not available.” 

(7) Format: see Table 1 below that illustrates the meaning of formats used throughout the technical specification.

Format Content in brief Additional Explanation Example(s)

YYYY-MM-DD Date YYYY = four-digit year 

MM = two-digit month 

DD = two-digit day 

2015-07-06 

(corresponds to 6 July 2015) 

YYYY-MMDDThh:mm:ssZ Date and time 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 time element. 

Z is fixed and indicates that times are expressed in UTC 

(Coordinated Universal Time) and not in local time. 

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 Eastern 

Standard Time) 

Num(25,5) Up to 25 numerical 

characters including up 

to five decimal places 

The length is not fixed but limited to 25 numerical characters 

including up to five numerical characters after the decimal 

point. 

Should the value have more than five digits after the decimal, 

reporting counterparties should round half-up. 

1352.67 

12345678901234567890.12345 

1234567890123456789012345 

12345678901234567890.12345 

0 

– 20000.25 

– 0.257 

Num(18,0) Up to eighteen 

numerical characters, 

no decimals are 

allowed 

The length is not fixed but limited to eighteen numerical 

characters. 

1234567890

12345

20 

Char(3) Three alphanumeric 

characters 

The length is fixed at three alphanumeric characters. USD 

X1X 

999 
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Varchar(25) Up to 25 alphanumeric 

characters 

The length is not fixed but limited at up to 25 alphanumerical 

characters. No special characters are permitted. If permitted, it 

would be explicitly stated in the format of the data element.

asgaGEH3268EFdsagtTRCF543 

aaaaaaaaaa 

x 

Boolean Boolean characters Either “True” or “False” True 

False 

Table 1 – Explanation of formats used in the technical specification

(8) Allowable Values: for each of the data elements, where applicable, only the specified allowable values are acceptable for submission to the SDR. Any value that is not in the 

allowable values list should be rejected by the SDRs’ data validation procedures. No translations or mappings are permitted, i.e., ‘Yes’ or ‘No’ should not be mapped to ‘True’ or 

‘False’. If the allowable value specifies a predefined structure such as LEI3 code followed by an identifier (i.e., Natural person identifier), the SDR’s validation must also include a check 

to ensure the LEI code is published by the GLEIF.

(9) Validation Rules and Dissemination Rules: see section 1.2.2 below.

1.2.2 Validation Rules and Dissemination Rules

This section explains the columns in (9) Validation Rules and Dissemination Rules.

(9) Validation Rules and Dissemination Rules

(9a)

P43/P45

Asset Class

(9b)

Part 45 SDR Validation Rules

P45 End of Day (9c)P43 Reported (9d)

(9e)

Part 43 SDR Validation and 

Dissemination Rules

CR

IR

FX

EQ

CO

(9a) P43/P45 Asset Class: These five columns specify which asset class each data element is required to be reported. As referenced in part 45 NPRM Section V. B. Data to be Reported to 

the Swap Data Repositories, DMO is waiting to harmonize product-related data elements until the UPI is available. Because of that, asset class should be determined by referencing 

the Technical Guidance, Harmonisation of the Unique Product Identifier4 (referred to as UPI Technical Guidance). The UPI Technical Guidance refers to UPI reference data elements, 

including Asset Class, which is defined as an indication of “whether the asset, benchmark or another derivatives contract underlying a derivatives contract is, or references, an equity, 

rate, credit, commodity or foreign exchange asset.” These columns are applicable to publicly disseminated transactions (part 43) and both transaction reporting and end-of-day 

reporting (part 45).

For this Technical Specification, CR = credit, IR = rates, FX = foreign exchange, EQ = equities and CO = commodities.

(9b) Part 45 SDR Validation Rules: In accordance with part 49.10(c), SDRs must validate SDR data. This column specifies the validation rule(s) the SDRs must apply to each data element 

for transaction reporting, end of day valuation and collateral reporting for all asset classes. The validation rules may vary by asset class, transactions, and end-of-day submissions. For 

certain data elements, additional cross validation with other related data elements is also specified. For product-specific validation rules, see section 1.4 below. 

 3 Legal entity identifiers – refer to § 45.6 4 See Technical Guidance, Harmonisation of the Unique Product Identifier, September 2017 https://www.iosco.org/library/pubdocs/pdf/IOSCOPD580.pdf
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(9c) P45 End of Day: This column specifies the data elements that are required to be reported for end-of-day collateral and valuation reporting with a “Y” or “N”.

(9d) P43 Reported: In accordance with part 43, SDRs must publicly disseminate certain swap transaction and pricing data to enhance transparency and price discovery. This column 

indicates the data elements required to be reported to the SDR with a “Y”, and those not required to be reported with an “N”.

(9e) Part 43 SDR Validation and Dissemination Rules: For the data elements that are required to be publicly disseminated, this column specifies validation rules that the SDR must 

perform and certain rules that must be applied by the SDR when disseminating to the public. The dissemination rules include any differences from part 45 SDR validation rules in the 

format and allowable values. 

In order to increase consistency in reporting and improve the quality of swap data maintained at SDRs, a set of validation rules have been prescribed for each data element for all swap 

reporting. The SDRs are required to apply these validations as part of SDR’s acceptance of data pursuant to §49.10(c) – Duty to Validate SDR Data. Each data element is prescribed with 

Mandatory, Conditionally mandatory, Optional, and Not required along with validation rules. Below Table 2 provides definitions for each validation.

Value Definition

M Mandatory: The data element is strictly required. Any additional validation rules must also 

be applied, if specified.

C

Conditionally mandatory: The data element is required if the specific conditions set out in 

the validation rules are met. Any additional validation rules must also be applied, if 

specified.

O Optional: The data element may be reported if applicable for the transaction. Any 

additional validation rules specified may be applied, when populated.

NR Not required: The data element is not required to be reported.

Table 2 - Definitions of validations

1.3 Explanation of Data Element or Category

1.3.1 Direction

The CDE Technical Guidance provides two options/approaches for reporting Direction5. The CFTC has adopted the Buyer/Seller and Payer/Receiver approach and not the Direction 

1/Direction 2 approach. The reporting counterparty should NOT use both Buyer/Seller and Receiver/Payer for the transaction but instead adopt the appropriate data element(s) for the 

type of instrument reported.

1.3.2 Events Category

Harmonization of data elements related to lifecycle events was not included in the CDE Technical Guidance but is required under CFTC swaps reporting. Reporting of swaps life cycle events 

is identified by the combination of the action taken (Action type [#24]) for a transaction and the reason (Event type [#25]) for the action. Related transactions are linked using unique 

identifiers; for example, Prior USI [#91] and Prior UTI [#92] are used for linking one-to-one and one-to-many relationship between transactions. Event identifier [#26] is also used for linking 

many-to-many relationship between transactions for specified situations.

 5 Refer to data element, Direction (2.13) in Harmonisation of critical OTC derivative data elements (other than UTI and UPI) – Technical Guidance, April 2018, https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf
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Appendix – F illustrates how different lifecycle events should be reported in transaction reporting and end-of-day (valuation and collateral) reporting with 15 examples showing how Action 

type and Event type combinations should be used to report various events.

1.3.3 Payments Category – Other payments

A number of the data elements in the ‘Payment’ category (Other payment type [#48], Other payment amount [#49], Other payment currency [#50], Other payment date [#51], Other

payment payer [#52], and Other payment receiver [#53]) capture some types of payments 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 of multiple payments. The reporting counterparty must adhere to the implementation procedures established by the SDR for 

reporting multiple payments.

Unique 

transaction 

identifier (UTI) Other payment 

amount 1

Other 

payment 

type 1

Other 

payment 

currency 1

Other 

payment 

date 1

Other payment 

payer 1

Other payment 

receiver 1

Other payment 

amount 2

Other 

payment 

type 2

Other 

payment 

currency 2

Other payment 

date 2

Other payment 

payer 2

Other payment 

receiver 2

LEIRCP-1111 100 000 2 CCY 2019-03-01 LEI-COUNTERPTY1 LEI-COUNTERPTY2 50 000 3 CCY 2019-03-01 LEI-COUNTERPTY1 LEI-COUNTERPTY2

Table 3 - Example showing how a set of data elements are repeated

1.4 Unique Product Identifier (UPI)6

This Technical Specification includes Unique product identifier (UPI) [#78] and UPI short name [#D4] data elements as placeholders because the UPI is not available at the time of this 

document’s publication (although a UPI issuer has been announced)

7

. Also, to further clarify, the term “Unique product identifier” as used in the Technical Specification corresponds to the 

term “UPI code” in the UPI Technical Guidance. 

In the interim, the validation rules are based on the reference data elements defined in the UPI Technical Guidance. The SDRs should implement the validation rules based on that SDR’s 

equivalent data element that it receives for that product attribute. Refer to part 45 NPRM section V. B. Data to be Reported to SDRs for additional guidance.

These validation rules are specified for transaction, collateral, and valuation reporting in column 9b, Part 45 SDR Validation Rules.

The convention used to reference UPI reference data elements in the validation rule is “UPI.[reference data element name]”. In the example below, it uses UPI reference data element, 

Instrument Type, from UPI Technical Guidance to specify whether a transaction is an option transaction.

Data element name Validation rule Explanation

Call amount C if UPI.[Instrument type] =‘Option’, else {blank} Call amount is conditionally required to be populated if the transaction 

is an option, otherwise, it can be blank.

Table 4 - Example of product specific validation rule

 6 Refer to § 45.7 (Unique product identifiers) for more details

7 Financial Stability Board designates DSB as Unique Product Identifier (UPI) Service Provider https://www.fsb.org/2019/05/fsb-designates-dsb-as-unique-product-identifier-upi-service-provider/
Technical Specification Page 1

2 Technical Specification and Validation Rules

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

1 CDE Clearing Cleared Indicator of whether the transaction has been cleared, 

or is intended to be cleared, by a central counterparty8.

Not available Char(1) • Y = Yes, centrally cleared, for beta 

and gamma transactions.9

• N = No, not centrally cleared.

• I = Intent to clear, for alpha10

transactions that are planned to be 

submitted to clearing.

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

2 CDE Clearing Central 

counterparty

Identifier of the central counterparty (CCP) that cleared 

the transaction.

This data element is not applicable if the value of the 

data element “Cleared” is “N” (“No, not centrally 

cleared”) or “I” (“Intent to clear”).

ISO 17442 Legal 

Entity Identifier 

(LEI)

Char(20) LEI code that is included in the LEI 

data as published by the Global LEI 

Foundation (GLEIF, www.gleif.org/).

C C C C C Transaction

C if [Cleared] = ‘Y’; 

NR if [Cleared] = ‘N’ or ‘I’

If [Cleared] = ‘Y’, the value shall match 

the value in [Counterparty 1 (reporting 

counterparty)]

Collateral

NR

Valuation

NR

N N

3 CFTC Clearing Clearing account 

origin

Indicator of whether the clearing member acted as 

principal for a house trade or an agent for a customer 

trade.

ISO 20022: 

SecuritiesAccount/

ClearingAccountTy

pe

Char(4) • HOUS = House

• CLIE = Client

C C C C C Transaction

C if [Cleared] = ‘Y’; 

NR if [Cleared] = ‘N’ or ‘I’

Collateral

NR

Valuation

NR

N N

4 CDE Clearing Clearing member 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 model and the 

principal clearing model.11

• In the case of the principal clearing model, the 

clearing member is identified as clearing member and 

ISO 17442 Legal 

Entity Identifier 

(LEI)

Char(20) LEI code that is included in the LEI 

data as published by the Global LEI 

Foundation (GLEIF, www.gleif.org/).

C C C C C Transaction

C if [Cleared] = ‘Y’; 

NR if [Cleared] = ‘N’ or ‘I’

Collateral

NR

Valuation

NR

N N

 8 Throughout this technical specification, references to “central counterparty” in CDE data elements should be read to mean “derivatives clearing organizations” and “exempt derivatives clearing organizations.” 9 Throughout this technical specification, references to “beta and gamma transactions” in CDE data elements should be read to mean “clearing swaps.” 10 Throughout this technical specification, references to “alpha transactions” in CDE data elements should be read to mean “original swaps.” 11 DMO notes that for “clearing swaps,” reporting counterparties should report according to the agency clearing model.
Technical Specification Page 2

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

also as a counterparty in both transactions resulting 

from clearing: (i) in the transaction between the central 

counterparty and the clearing member; and (ii) in the 

transaction between the clearing member and the 

counterparty to the original alpha transaction. 

•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 this model, 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, not centrally 

cleared”) or “I” (“Intent to clear”).

5 CFTC Clearing Clearing swap 

USIs

The unique swap identifiers (USI) of each clearing 

swap that replaces the original swap that was 

submitted for clearing to the derivatives clearing 

organization, other than the USI for the swap currently 

being reported (as “USI” data element below).

CFTC USI Data 

Standard12

Varchar(42) Refer to: Existing Standard column C C C C C Transaction

C if [Cleared] = ‘I’ and [Clearing swap

UTIs] is not populated and [Action type] 

= ‘TERM’;

NR if [Cleared] = ‘N’ or ‘Y’

Collateral

NR

Valuation

NR

N N

6 CFTC Clearing Clearing swap 

UTIs

The unique transaction identifiers (UTI)13 of each 

clearing swap that replaces the original swap that was 

submitted for clearing to the derivatives clearing 

organization, other than the UTI for the swap currently 

being reported (as “UTI” data element below).

Not available Varchar(52) Up to 52 alphanumeric characters. 

New UTIs should be constructed 

solely from the upper-case alphabetic 

characters A–Z or the digits 0–9, 

inclusive in both cases.

C C C C C Transaction

C if [Cleared] = ‘I’ and [Clearing swap 

USIs] is not populated and [Action type] 

= ‘TERM’; 

NR if [Cleared] = ‘N’ or ‘Y’

Collateral

NR

Valuation

NR

N N

7 CFTC Clearing Original swap USI The unique swap identifier (USI) of the original swap 

submitted for clearing to the derivatives clearing 

organization that is replaced by clearing swaps.

CFTC USI Data 

Standard

Varchar(42) Refer to: Existing Standard column C C C C C Transaction

C if [Cleared] = ‘Y’ and [Original Swap 

UTI] is not populated; 

NR if [Cleared] = ‘N’ or ‘I’

Collateral

NR

Valuation

NR

N N

 12 Throughout this technical specification, references to “CFTC USI Data Standard” should refer to the Unique Swap Identifier (USI) Data Standard, https://www.cftc.gov/sites/default/files/idc/groups/public/@swaps/documents/dfsubmission/usidatastandards100112.pdf 13 For guidance on UTI related data elements throughout this technical specification, refer to Technical Guidance, Harmonization of the Unique Transaction Identifier, Feb 2017, https://www.iosco.org/library/pubdocs/pdf/IOSCOPD557.pdf
Technical Specification Page 3

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

8 CFTC Clearing Original swap UTI The unique transaction identifier (UTI) of the original 

swap submitted for clearing to the derivatives clearing 

organization that is replaced by clearing swaps.

Not available Varchar(52) Up to 52 alphanumeric characters. 

New UTIs should be constructed 

solely from the upper-case alphabetic 

characters A–Z or the digits 0–9, 

inclusive in both cases.

C C C C C Transaction

C if [Cleared] = ‘Y’ and [Original Swap 

USI] is not populated; 

NR if [Cleared] = ‘N’ or ‘I’

Collateral

NR

Valuation

NR

N N

9 CFTC Clearing Original swap SDR 

identifier

Identifier of the swap data repository (SDR) to which 

the original swap was reported.

ISO 17442 Legal 

Entity Identifier 

(LEI)

Char(20) LEI code that is included in the LEI 

data as published by the Global LEI 

Foundation (GLEIF, www.gleif.org/).

C C C C C Transaction

C if [Cleared] = ‘Y’ or ‘I’;

NR if [Cleared] = ‘N’ 

Collateral

NR

Valuation

NR

N N

10 CFTC Clearing Clearing receipt 

timestamp

The date and time, expressed in UTC, the original 

swap was received by the derivatives clearing 

organization (DCO) for clearing and recorded by the 

DCO’s system.

ISO 8601 YYYY-MMDDThh:mm:ssZ, 

based on UTC.

Any valid date/time. C C C C C Transaction

C if [Cleared] = ‘Y’ or if [Cleared] = ‘I’

and [Action type] = ‘TERM’, else 

{blank}; 

NR if [Cleared] = ‘N’

When populated the value shall be 

equal to or later than the value in 

[Execution timestamp]

Collateral

NR

Valuation

NR

N N

11 CFTC Clearing Clearing 

exceptions and 

exemptions -

Counterparty 1

Identifies the type of clearing exception or exemption 

that the Counterparty 1 has elected. 

All applicable exceptions and exemptions must be 

selected.

The values may be repeated as applicable. 

Not available Char(4) • ENDU = End-user exception, § 

50.50• AFFL = Inter-affiliate 

exemption, § 50.52• SMBK = Small 

bank exemption, § 50.50(d)• COOP = 

Cooperative exemption, § 50.51• 

NOAL = No-action Letter• OTHR = 

Other exceptions or exemptions, not 

including no-action letter relief

O O O O O Transaction

O if [Cleared] = ‘N’;

NR if [Cleared] = ‘Y’ or ‘I’

Collateral

NR

Valuation

NR

N N

12 CFTC Clearing Clearing 

exceptions and 

exemptions –

Counterparty 2

Identifies the type of the clearing exception or 

exemption that the Counterparty 2 has elected. 

All applicable exceptions and exemptions must be 

selected.

The values may be repeated as applicable.

Not available Char(4) • ENDU = End-user exception, § 

50.50• AFFL = Inter-affiliate 

exemption, § 50.52• SMBK = Small 

bank exemption, § 50.50(d)• COOP = 

Cooperative exemption, § 50.51• 

NOAL = No-action letter• OTHR = 

Other exceptions or exemptions, not 

O O O O O Transaction

O if [Cleared] = ‘N’;

NR if [Cleared] = ‘Y’ or ‘I’

Collateral

NR

N N
Technical Specification Page 4

Technical Specification Validation Rules and Dissemination Rules

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Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

including no-action letter relief Valuation

NR

13 CDE Counterparty Counterparty 1 

(reporting 

counterparty)

Identifier of the counterparty to an OTC derivative 

transaction14 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 a fund, the 

fund and not the fund manager is reported as the 

counterparty.

ISO 17442 Legal 

Entity Identifier 

(LEI)

Char(20) LEI code that is included in the LEI 

data as published by the Global LEI 

Foundation (GLEIF, www.gleif.org/).

M M M M M Transaction

M

Collateral

M

Valuation

M

Y Y Validation

Same as part 45 (Transaction)

Dissemination

Do not disseminate

14 CDE Counterparty Counterparty 215 Identifier of the second counterparty16 to an OTC 

derivative transaction.

In the case of an allocated derivative transaction 

executed by a fund manager on behalf of a fund, the 

fund and not the fund manager is reported as the 

counterparty.

ISO 17442 Legal 

Entity Identifier 

(LEI)

• Char(20) 

or

• Varchar(72), for 

natural persons 

who are acting as 

private individuals 

(not business 

entities) and for 

Privacy Law 

Identifier (PLI).

• 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 and maintained 

consistently by the reporting 

counterparty for that natural person(s) 

for regulatory reporting purpose.• 

Privacy Law Identifier (PLI)17

M M M M M Transaction

M

Collateral

M

Valuation

M

Y Y Validation:

Same as part 45 (Transaction)

Dissemination

Do not disseminate

15 CFTC Counterparty Counterparty 2 

identifier source

Source used to identify the Counterparty 2. Not available Char(4) • LEID = Legal Entity Identifier• NPID 

= Natural Person Identifier, to identify 

person who are acting as private 

individuals, not business entities• 

PLID = Privacy Law Identifier18

M M M M M Transaction

M

Collateral

M

Valuation

M

Y Y Validation

Same as part 45 (Transaction)

Dissemination

Do not disseminate

16 CFTC Counterparty Counterparty 1 

financial entity 

indicator

Indicator of whether Counterparty 1 is a financial entity 

as defined in CEA § 2(h)(7)(C).

Not available Boolean • True• False C C C C C Transaction

C if [Cleared] = ‘N’ or ‘I’;

NR if [Cleared] = ‘Y’

Collateral

NR

Valuation

N N

 14 Throughout this technical specification, references to “OTC derivatives” in CDE data elements should be read to mean swaps. 15 In the case of a swap transaction for pre-allocated block executed by a fund manager on behalf of a fund, the fund manager is reported as the counterparty. 16 Only one counterparty should be reported. In cases where multiple counterparties are legally responsible as the second counterparty (such as an obligated group, for example), report only one of the counterparties. 17 Throughout this technical specification, DMO has added Privacy Law Identifier (PLI) as an allowable value for all Counterparty 2 (#14) associated data elements 18 Throughout this technical specification, for references to “Privacy Law Identifiers,” refer to DMO Letter No. 17-16, http://www.cftc.gov/idc/groups/public/@lrlettergeneral/documents/letter/17-16.pdf
Technical Specification Page 5

Technical Specification Validation Rules and Dissemination Rules

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Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

NR

17 CFTC Counterparty Counterparty 2 

financial entity 

indicator

Indicator of whether Counterparty 2 is a financial entity 

as defined in CEA § 2(h)(7)(C).

Not available Boolean • True

• False

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N N

18 CDE Counterparty Buyer identifier Identifier of the counterparty that is the buyer, 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 foreign exchange nondeliverable 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 Payer identifier and 

Receiver identifier.

ISO 17442 Legal 

Entity Identifier 

(LEI)

• Char(20)

or

• Varchar(72), for 

natural persons 

who are acting as 

private individuals 

(not business 

entities) and for 

Privacy Law 

Identifier (PLI).

• 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 and maintained 

consistently by the reporting 

counterparty for that natural person(s) 

for regulatory reporting purpose.

• Privacy Law Identifier (PLI) 

C C C C C Transaction

C if [Payer identifier] and [Receiver 

identifier] are not populated, else 

{blank}

When populated, the value shall match 

the value in [Counterparty 1 (reporting 

counterparty)] or [Counterparty 2]

Collateral

NR

Valuation

NR

N N

19 CDE Counterparty Seller identifier Identifier of 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 foreign exchange nondeliverable 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 Payer identifier and 

Receiver identifier.

ISO 17442 Legal 

Entity Identifier 

(LEI)

• Char(20)

or

• Varchar(72), for 

natural persons 

who are acting as 

private individuals 

(not business 

entities) and for 

Privacy Law 

Identifier (PLI).

• 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 and maintained 

consistently by the reporting 

counterparty for that natural person(s) 

for regulatory reporting purpose.

• Privacy Law Identifier (PLI)

C C C C C Transaction

C if [Payer identifier] and [Receiver 

identifier] are not populated, else 

{blank}

When populated, the value shall match 

the value in [Counterparty 1 (reporting 

counterparty)] or [Counterparty 2]

Collateral

NR

Valuation

NR

N N

20 CDE Counterparty Payer identifier Identifier of the counterparty of the payer 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:

ISO 17442 Legal 

Entity Identifier 

(LEI)

• Char(20)

or

• Varchar(72), for 

natural persons 

who are acting as 

• 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 

C C C C C Transaction

C if [Buyer identifier] and [Seller 

identifier] are not populated, else 

{blank} 

N N
Technical Specification Page 6

Technical Specification Validation Rules and Dissemination Rules

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Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

• most swaps and swap-like contracts including 

interest rate swaps19, 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 Buyer identifier and Seller 

identifier.

private individuals 

(not business 

entities) and for 

Privacy Law 

Identifier (PLI).

entities): LEI of the reporting 

counterparty followed by a unique 

identifier assigned and maintained 

consistently by the reporting 

counterparty for that natural person(s) 

for regulatory reporting purpose.

• Privacy Law Identifier (PLI)

When populated, the value shall match 

the value in [Counterparty 1 (reporting 

counterparty)] or [Counterparty 2]

Collateral

NR

Valuation

NR

21 CDE Counterparty Receiver identifier Identifier of 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 swaps20, 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 Buyer identifier and Seller 

identifier.

ISO 17442 Legal 

Entity Identifier 

(LEI)

• Char(20)

or

• Varchar(72), for 

natural persons 

who are acting as 

private individuals 

(not business 

entities) and for 

Privacy Law 

Identifier (PLI).

• 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 and maintained 

consistently by the reporting 

counterparty for that natural person(s) 

for regulatory reporting purpose.

• Privacy Law Identifier (PLI)

C C C C C Transaction

C if [Buyer identifier] and [Seller 

identifier] are not populated, else 

{blank}

When populated, the value shall match 

the value in [Counterparty 1 (reporting 

counterparty)] or [Counterparty 2]

Collateral

NR

Valuation

NR

N N

22 CFTC Counterparty Submitter identifier Identifier of the entity submitting the data to the swap 

data repository (SDR).

The Submitter identifier will be the same as the 

reporting counterparty or swap execution facility (SEF), 

unless they use a third-party service provider to submit 

the data to SDR in which case, report the identifier of 

the third-party service provider.

ISO 17442 Legal 

Entity Identifier 

(LEI)

Char(20) LEI code that is included in the LEI 

data as published by the Global LEI 

Foundation (GLEIF, www.gleif.org/).

M M M M M Transaction

M

Collateral

M

Valuation

M

Y Y Validation

Same as part 45 (Transaction)

Dissemination

Do not disseminate

23 CFTC Custom 

baskets

Custom basket 

indicator

Indicator that the swap is based on a custom basket. Not available Boolean • True

• False

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

 19 For fixed-floating interest rate swaps, the payer is the counterparty paying the fixed rate 20 For fixed-floating interest rate swaps, the receiver is the counterparty receiving the fixed rate
Technical Specification Page 7

Technical Specification Validation Rules and Dissemination Rules

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Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

24 CFTC Events Action type Type of action taken on the transaction reporting or 

end of day reporting.

New: An action that reports a new swap transaction. It 

applies to the first message relating to a new USI or 

UTI.

Modify: An action that modifies the state of a 

previously submitted transaction (e.g., credit event) or 

changes a term of a previously submitted transaction 

due to a newly negotiated modification (amendment) 

or updates previously missing information (e.g., post 

price swap). It does not include correction of a 

previous transaction.

Correct: An action that corrects erroneous data of a 

previously submitted transaction. 

Error: An action of cancellation of a wrongly submitted 

entire transaction in case it never came into existence 

or was not subject to part 43/part 45 reporting 

requirements but was reported erroneously.

Terminate: An action that closes an existing 

transaction because of a new event (e.g.,

Compression, Novation). This does not apply to 

transactions that terminate at contractual maturity 

date.

Port out: An action that transfers swap transaction 

from one SDR to another SDR (change of swap data 

repository).

Valuation: An update to valuation data. There will be 

no corresponding Event type.

Collateral: An update to collateral margin data. There 

will be no corresponding Event type.

Refer to appendix F for event model sample scenarios.

Not available Char(4) • NEWT = New

• MODI = Modify

• CORR = Correct

• EROR = Error

• TERM = Terminate

• PRTO = Port out

• VALU = Valuation

• COLU = Collateral

M M M M M Transaction

M

For valid Action type and Event type 

Combination, see table in Appendix F.

Collateral

M

Must equal ‘COLU’

Valuation

M

Must equal ‘VALU’

Y Y Validation

Same as part 45 (Transaction)

Dissemination

For valid Action type and Event 

type Combination, see table in 

Appendix F.

25 CFTC Events Event type Explanation or reason for the action being taken on the 

transaction reporting. 

Trade: A creation, modification, or termination of a 

transaction.

Novation21: A novation legally moves partial or all of 

the financial risks of a swap from a transferor to a 

Not available Char(4) • TRDE = Trade

• NOVT = Novation

• COMP = Compression or Risk 

Reduction

• EART = Early termination

• CLRG = Clearing

• EXER = Exercise

M M M M M Transaction

M

For valid Action type and Event type 

Combination, see table in Appendix F.

Collateral

N Y Validation

Same as part 45 (Transaction)

Dissemination

For valid Action type and Event 

type Combination, see table in 

Appendix F

 21 Novation – see definition in § 45.1(a)
Technical Specification Page 8

Technical Specification Validation Rules and Dissemination Rules

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Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

transferee and has the effect of terminating/modifying 

the original transaction and creating a new transaction 

to identify the exposure between the 

transferor/transferee and remaining party.

Compression or Risk Reduction Exercise: 

Compressions and risk reduction exercises generally 

have the effect of terminating or modifying (i.e.,

reducing the notional value) a set of existing 

transactions and of creating a set of new 

transaction(s). These processes result in largely the 

same exposure of market risk that existed prior to the 

event for the counterparty.

Early termination: Termination of an existing swap 

transaction prior to scheduled termination or maturity 

date.

Clearing: Central clearing is a process where a 

derivatives clearing organization interposes itself 

between counterparties to contracts, becoming the 

buyer to every seller and the seller to every buyer. It 

has the effect of terminating an existing transaction 

between the buyer and the seller and thereby ensuring 

the performance of open contracts. 

Exercise: The process by which a counterparty fully or 

partially exercises their rights specified in the contract 

of an option or a swaption.

Allocation22: The process by which an agent, having 

facilitated a single swap transaction on behalf of 

several clients, allocates a portion of the executed 

swap to the clients.

Clearing and Allocation: A simultaneous clearing and 

allocation event in a derivatives clearing organization.

CDS Credit: An event or trigger that results in the 

modification of the state of a previously submitted 

credit derivative transaction. Applies only to credit 

derivatives.

Porting23: The process by which a swap is transferred 

to another SDR that r has the effect of the closing of 

the swap transaction at one SDR or opening of the 

same swap transaction using the same UTI/USI in a 

• ALOC = Allocation

• CLAL = Clearing & Allocation

• CRDT = CDS Credit

• PORT = Porting

NR

Valuation

NR

 22 Allocation – see definition in § 45.1(a) 23 Porting – A reporting counterparty may change the swap data repository to which the transaction is reported pursuant to rule § 45.10(d).
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Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

different SDR (new).

26 CFTC Events Event identifier Unique identifier to link transactions resulting when 

Event type is either COMP (Compression) or CRDT

(CDS Credit). The unique identifier may be assigned 

by the reporting counterparty or a service provider.

Not available Varchar(52) LEI code of the entity assigning the 

event identifier followed by a unique 

identifier up to 32 characters. 

C C C C C Transaction

C if [Event type] = ‘COMP’ or ‘CRDT’, 

else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate if [Event type] = 

‘CRDT’ or [Action type] = ‘TERM’ 

and [Event type] = ‘COMP’, else 

{blank}

27 CFTC Events Event timestamp Date and time of occurrence of the event as 

determined by the reporting counterparty or a service 

provider.

In the case of a clearing event, date and time when the 

original swap is accepted by the derivative clearing 

organization (DCO) for clearing and recorded by the 

DCO’s system should be reported in this data element.

The time element is as specific as technologically 

practicable.

ISO 8601 YYYY-MMDDThh:mm:ssZ, 

based on UTC. If 

the time element is 

not available for 

the event lifecycle, 

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 

the order from the 

least to the most 

significant).

Any valid date/time. M M M M M Transaction

M

The date element of the timestamp is 

always available and shall be 

populated for all transactions/events. 

The time element shall be populated 

for all new and amended transactions. 

For complex multilateral events (such 

as Compressions) the time element 

may be omitted, starting from the 

extreme right-hand side (in the order 

from the least to the most significant) 

as allowed by ISO 8601. 

The value shall be equal to or later 

than the value in [Execution timestamp]

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

28 CDE Notional 

amounts and 

quantities

Notional amount24 For each leg of the transaction, where applicable:

- for OTC derivative transactions negotiated in 

monetary amounts, amount specified in the contract.

- for OTC derivative transactions negotiated in nonmonetary amounts, refer to appendix B for converting 

notional amounts for non-monetary amounts.

In addition:

• For OTC derivative transactions with a notional 

ISO 20022: 

Derivative/Notional

CurrencyAndAmou

nt

Num(25,5) Any value greater than or equal to 

zero. 25

M M M M M Transaction

M

For FX, if UPI.[Instrument type] = 

‘Option’, the value shall match the 

value in [Call amount] or [Put amount]

Collateral

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

Format: The disseminating SDR 

must round the disseminated 

value pursuant to 43.4(g) or 

successor provision.

 24 Notional amount for CDS should reflect the gross amount and not the net amount after reflecting version incrementing due to a credit event 25 “99999999999999999999.99999” is accepted when the value is not available at the time of reporting. 25 numerical characters including decimals.
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Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

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, 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 notional amount is updated 

as it becomes available. 

NR

Valuation

NR

Allowable Values: Any value 

greater than or equal to zero and 

less than or equal to the cap 

amount set out in 43.4(h) or 

successor provision.

29 CDE Notional 

amounts and 

quantities

Notional currency For each leg of the transaction, where applicable:

currency in which the notional amount is denominated.

ISO 4217 Char(3) Currencies included in ISO 4217. C C C C C Transaction

C if [Notional amount] is populated and 

when the values is not 

“99999999999999999999.99999”, else 

{blank}

For FX, if UPI.[Instrument type] = 

‘Option’, the value shall match the 

value in [Call currency] or [Put 

currency]

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

30 CDE Notional 

amounts and 

quantities

Delta The ratio of the absolute change in price of an OTC 

derivative transaction to the change in price of the 

underlier, at the time a new transaction is reported or 

when a change in the notional amount is reported.26

Not available Num(25,5) Any value between zero and one. C C C C C Transaction

C if [Action type] = ‘NEWT’ or ‘MODI’, 

else {blank}

Collateral

NR

Valuation

M

Y N

31 CDE Notional 

amounts and 

quantities

Call amount For foreign exchange options, the monetary amount 

that the option gives the right to buy.

ISO 20022: 

CurrencyOption/Ca

llAmount

Num(25,5) Any value greater than zero. N

R

N

R

C N

R

N

R

Transaction - FX

C if UPI.[Instrument type] = ‘Option’, 

else {blank}

Collateral

NR

Valuation

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

Format: The disseminating SDR 

must round the disseminated 

 26 DMO expects this to be also reported at the end of day with valuation reporting for each unique swap transaction. 
Technical Specification Page 11

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Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

NR value pursuant to 43.4(g) or 

successor provision.

Allowable Values: Any value 

greater than or equal to zero and 

less than or equal to the cap 

amount set out in 43.4(h) or 

successor provision.

32 CDE Notional 

amounts and 

quantities

Call currency For foreign exchange options, the currency in which 

the Call amount is denominated.

ISO 4217 Char(3) Currencies included in ISO 4217. N

R

N

R

C N

R

N

R

Transaction - FX

C if [Call amount] is populated, else 

{blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

33 CDE Notional 

amounts and 

quantities

Put amount For foreign exchange options, the monetary amount 

that the option gives the right to sell.

ISO 20022: 

CurrencyOption/Pu

tAmount

Num(25,5) Any value greater than zero. N

R

N

R

C N

R

N

R

Transaction - FX

C if UPI.[Instrument type] = ‘Option’, 

else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

Format: The disseminating SDR 

must round the disseminated 

value pursuant to 43.4(g) or 

successor provision.

Allowable Values: Any value 

greater than or equal to zero and 

less than or equal to the cap 

amount set out in 43.4(h) or 

successor provision.

34 CDE Notional 

amounts and 

quantities

Put currency For foreign exchange options, the currency in which 

the Put amount is denominated.

ISO 4217 Char(3) Currencies included in ISO 4217. N

R

N

R

C N

R

N

R

Transaction - FX

C if [Put amount] is populated, else 

{blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

35 CFTC Notional 

amounts and 

quantities

Notional quantity For each leg of the transaction, where applicable, for 

swap transactions negotiated in non-monetary 

amounts with fixed notional quantity for each schedule 

period (i.e., 50 barrels per month).

The frequency is reported in Quantity frequency and 

the unit of measure is reported in Quantity unit of 

measure.

Not available Num(25,5) Any value greater than or equal to 

zero.

N

R

N

R

N

R

N

R

O Transaction - CO

O

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

Format: The disseminating SDR 

must round the disseminated 

value pursuant to 43.4(g) or 

successor provision.
Technical Specification Page 12

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

Allowable Values: Any value 

greater than or equal to zero and 

less than or equal to the cap 

amount set out in 43.4(h) or 

successor provision.

36 CFTC Notional 

amounts and 

quantities

Quantity frequency The rate at which the quantity is quoted on the swap. 

e.g., hourly, daily, weekly, monthly.

Not available Char(4) • HOUR = Hourly

• DAIL = Daily

• WEEK = Weekly

• MNTH = Monthly

• QURT = Quarterly

• MIAN = Semi-Annual

• ONDE = OnDemand

• YEAR = Yearly 

• TERM = End of term

N

R

N

R

N

R

N

R

C Transaction - CO

C if [Notional quantity] is populated, 

else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

37 CFTC Notional 

amounts and 

quantities

Quantity frequency

multiplier

The number of time units for the Quantity frequency Not available Num(3,0) Any value greater than or equal to 

zero.

N

R

N

R

N

R

N

R

C Transaction - CO

C if [Quantity frequency] is populated, 

else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

38 CDE Notional 

amounts and 

quantities

Quantity unit of 

measure

For each leg of the transaction, where applicable: unit 

of measure in which the Total notional quantity and 

Notional quantity are expressed.

ISO 20022: 

ProductQuantity/U

nitOfMeasure

A list of allowable values and their format will be provided to 

the CDE maintenance and governance framework, which will 

be developed by the CPMI and IOSCO.27

N

R

N

R

N

R

M M Transaction – EQ/CO

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

39 CDE Notional 

amounts and 

quantities

Total notional 

quantity

For each leg of the transaction, where applicable: 

aggregate Notional quantity of the underlying 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 Num(25,5) Any value greater than or equal to 

zero.28

N

R

N

R

N

R

M M Transaction – EQ/CO

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

Format: The disseminating SDR 

must round the disseminated 

value pursuant to 43.4(g) or 

successor provision.

Allowable Values: Any value 

greater than or equal to zero and 

less than or equal to the cap 

amount set out in 43.4(h) or 

 27 DMO expects any allowable value in ISO 20022: UnitOfMeasureCode 28 ”99999999999999999999.99999” is accepted when the value is not available. 25 numerical characters including decimals.
Technical Specification Page 13

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

successor provision.

40 CDE Packages Package identifier Identifier (determined by the reporting counterparty) in 

order to connect 

• two or more transactions that are reported separately 

by the reporting counterparty, but that are 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 package29 may include reportable and nonreportable 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.

Not available Varchar(35) Up to 35 alphanumeric characters. O O O O O Transaction

O

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

41 CDE Packages Package 

transaction price

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.

Prices and related data elements of the transactions 

(Price currency, Price notation, Price unit of 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. 

ISO 20022: 

Price/Amount

• Num(18,13), if 

Package 

transaction price 

notation = 1

• Num(11,10), if 

Package 

transaction price 

notation = 3

• Any value, if Package transaction 

price notation = 1

• Any value expressed as decimal 

(e.g., 0.0257 instead of 2.57%), if 

Package transaction price notation = 

330 31

C C C C C Transaction

C if [Cleared] = ‘N’ and [Package 

identifier] is populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

42 CDE Packages Package 

transaction price 

currency

Currency in which the Package transaction price is 

denominated.

This data element is not applicable if: 

• no package is involved, or

• Package transaction price notation = 3

ISO 4217 Char(3) Currencies included in ISO 4217. C C C C C Transaction

C if [Package transaction price 

notation] = ‘1’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

 29 A “package transaction” is a transaction involving two or more instruments: (1) that is executed between two or more counterparties; (2) that is priced or quoted as one economic transaction with simultaneous or near simultaneous execution of all components; (3) that has at least one 

component that is a swap that is made available to trade and therefore is subject to the CEA § 2(h)(8) trade execution requirement; (4) where the execution of each component is contingent upon the execution of all other components; (5) where each component is assigned a Unique Swap 

Identifier; and (6) each component is reported separately. 30 The allowable values are restricted based on CFTC’s jurisdictional requirements. 31 “99999.9999999999999” is accepted when the value is not available. 18 numerical characters including 13 decimal places.
Technical Specification Page 14

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

43 CDE Packages Package 

transaction price 

notation

Manner in which the Package transaction price is 

expressed. 

This data element is not applicable if no package is 

involved

Not available Char(1) • 1 = Monetary amount 

• 3 = Decimal32

C C C C C Transaction

C if [Package transaction price] is 

populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

44 CDE Payments Day count 

convention

For each leg of the transaction, where applicable: day 

count convention (often also referred to as 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, and indicates the number of days in the 

calculation period divided by the number of days in the 

year.

ISO 20022: 

Interest 

Calculation/Day 

Count Basis

Varchar(4) • A001 

• A002 

• A003

• A004

• A005

• A006

• A007

• A008

• A009

• A010

• A011

• A012

• A013

• A014

• A015 

• A016

• A017

• A018

• A019

• A020

• NARR

For a description of the allowable 

values see Appendix C.

M M O O C Transaction – CR/IR

M

Transaction – FX/EQ

O

Transaction – CO

C if [Payment frequency period] is 

populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

45 CFTC Payments Fixing date Describes the specific date when a non-deliverable 

forward as well as various types of FX OTC options 

such as cash-settled options that will "fix" against a 

particular exchange rate, which will be used to 

compute the ultimate cash settlement.

ISO 8601 YYYY-MM-DD Any valid date. N

R

N

R

C N

R

N

R

Transaction - FX

C if UPI.[Instrument type] = ‘Forward’

and UPI.[Delivery type] = ‘Cash’ or 

UPI.[Instrument type] = ‘Option’ and 

UPI.[Delivery type] = ‘Cash’, else 

{blank}

Collateral

NR

Valuation

NR

N N

 32 The allowable values are restricted based on CFTC’s jurisdictional requirements.
Technical Specification Page 15

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

46 CFTC Payments Floating rate reset 

frequency period

For each floating leg of the transaction, where 

applicable, time unit associated with the frequency of 

resets, e.g., day, week, month, year or term of the 

stream.

ISO 20022: 

InterestCalculation/

CalculationFreque

ncy

Char(4) • DAIL = Daily

• WEEK = Weekly

• MNTH = Monthly

• QURT = Quarterly

• YEAR = Yearly

• ADHO = Ad hoc which applies when 

payments are irregular 

• TERM = Payment at term

O C O O O Transaction – CR/FX/EQ/CO

O

Transaction - IR

C if UPI.[Instrument type] = ‘Swap’ and 

UPI.[Underlying asset/contract type] ≠ 

‘Fixed - Fixed’, else {blank}

When populated with ‘TERM’, [Floating 

rate reset frequency period multiplier] 

must be ‘1’

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

47 CFTC Payments Floating rate reset 

frequency period 

multiplier

For each floating leg of the transaction, where 

applicable, number of time units (as expressed by the 

Floating rate reset frequency period) that determines 

the frequency at which periodic payment dates for 

reset occur. For example, a transaction with reset 

payments occurring every two months is represented 

with a Floating rate reset frequency period of “MNTH” 

(monthly) and a Floating rate reset frequency period 

multiplier of 2. 

This data element is not applicable if the Floating rate 

reset frequency period is “ADHO”. If Floating rate reset 

frequency period is “TERM”, then the Floating rate 

reset frequency period multiplier is 1. If the reset 

frequency period is intraday, then the Floating rate 

reset frequency period is “DAIL” and the Floating rate 

reset frequency period multiplier is 0.

Not available Num(3,0) Any value greater than or equal to 

zero.

O C O O O Transaction – CR/FX/EQ/CO

O

Transaction - IR

C if [Floating rate reset frequency 

period] ≠ ‘ADHO’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

48 CDE Payments Other payment 

type

Type of Other payment amount.

Option premium payment is not included as a payment 

type as premiums for option are reported using the 

option premium dedicated data element.

Not available Char(1) • 1 = Upfront Payment, i.e., the initial 

payment made by one of the 

counterparties either to bring a 

transaction to fair value or for any 

other reason that may be the cause of 

an off-market transaction

• 2 = Unwind or Full termination, i.e.,

the final settlement payment made 

when a transaction is unwound prior 

to its end date; Payments that may 

result due to full termination of 

derivative transaction(s)

• 3 = Principal Exchange, i.e.,

Exchange of notional values for 

cross-currency swaps

C O O O O Transaction - CR

C - At least one is required: [Fixed 

rate], [Spread], or [Other payment type] 

= ‘1’

Allowable values ‘2’ and ‘3’ are optional 

and independent of the above condition

Transaction – IR/FX/EQ/CO

O

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate
Technical Specification Page 16

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

49 CDE Payments Other payment 

amount33

Payment amounts with corresponding payment types 

to accommodate requirements of transaction 

descriptions from different asset classes.

Not available Num(25,5) Any value greater than or equal to 

zero.

C C C C C Transaction

C if [Other payment type] is populated, 

else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

50 CDE Payments Other payment 

currency

Currency in which Other payment amount is 

denominated.

ISO 4217 Char(3) Currencies included in ISO 4217. C C C C C Transaction

C if [Other payment amount] is 

populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

51 CDE Payments Other payment 

date

Unadjusted date on which the Other payment amount 

is paid.

ISO 8601 YYYY-MM-DD, 

based on UTC.

Any valid date. C C C C C Transaction

C if [Other payment amount] is

populated, else {blank}

Collateral

NR

Valuation

NR

N N

52 CDE Payments Other payment 

payer

Identifier of the payer of Other payment amount. ISO 17442 Legal 

Entity Identifier 

(LEI)

• Char(20)

or

• Varchar(72), for 

natural persons 

who are acting as 

private individuals 

(not business 

entities) and for 

Privacy Law 

Identifier (PLI).

• 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 and maintained 

consistently by the reporting 

counterparty for that natural person(s) 

for regulatory reporting purpose.

• Privacy Law Identifier (PLI) 

C C C C C Transaction

C if [Other payment amount] is 

populated, else {blank}

When populated, the value shall match 

the value in [Counterparty 1 (reporting 

counterparty)] or [Counterparty 2]

Collateral

NR

Valuation

NR

N N

53 CDE Payments Other payment 

receiver

Identifier of the receiver of Other payment amount. ISO 17442 Legal 

Entity Identifier 

(LEI)

• Char(20)

or

• Varchar(72), for 

natural persons 

who are acting as 

• 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 

C C C C C Transaction

C if [Other payment amount] is 

populated, else {blank}

When populated, the value shall match 

N N

 33 The set of data elements related to other payments (Other payment type [#48], Other payment amount [#49], Other payment currency [#50], Other payment date [#51], Other payment payer [#52], Other payment receiver [#53]) can be reported multiple times in the case of multiple 

payments.
Technical Specification Page 17

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

private individuals 

(not business 

entities) and for 

Privacy Law 

Identifier (PLI).

entities): LEI of the reporting 

counterparty followed by a unique 

identifier assigned and maintained 

consistently by the reporting 

counterparty for that natural person(s) 

for regulatory reporting purpose.

• Privacy Law Identifier (PLI)

the value in [Counterparty 1 (reporting 

counterparty)] or [Counterparty 2]

Collateral

NR

Valuation

NR

54 CDE Payments Payment frequency 

period34

For each leg of the transaction, where applicable: time 

unit associated with the frequency of payments, e.g.,

day, week, month, year or term of the stream.

ISO 20022: 

InterestCalculation/

PaymentFrequenc

y

Char(4) • DAIL = Daily

• WEEK = Weekly

• MNTH = Monthly

• QURT35 = Quarterly

• YEAR = Yearly

• ADHO = Ad hoc which applies when 

payments are irregular 

• TERM36 = Payment at term

M C N

R

O O Transaction –CR

M

Transaction - IR

C if UPI.[Instrument type] = ‘Swap’, 

else {blank}

When populated with ‘TERM’, 

[Payment frequency period multiplier] 

must be ‘1’

Transaction – EQ/CO

O

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

55 CDE Payments Payment frequency 

period multiplier

For each leg of the transaction, where applicable: 

number of time units (as expressed by the Payment 

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.

Not available Num(18,0) Any value greater than or equal to 

zero.

C C N

R

C C Transaction – CR/IR/EQ/CO

C if [Payment frequency period] ≠ 

‘‘ADHO’’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

56 CDE Prices Exchange rate37 Exchange rate between the two different currencies 

specified in the OTC derivative transaction agreed by 

the counterparties at the inception of the transaction, 

ISO 20022: 

CurrencyExchange

/ExchangeRate

Num(18,13) Any value greater than zero. N

R

N

R

M N

R

N

R

Transaction – FX

M

N Y Validation

Same as part 45 (Transaction)

 34 To represent semi-annual payment, report Payment frequency period = ‘MNTH’ and Payment frequency period multiplier = ‘6’. 35 DMO has added ‘Quarterly’ as an additional allowable value for Payment frequency period (#54). 36 Throughout this technical specification, for the allowable value ‘TERM’ in frequency period related data elements, two different descriptions ‘Payment at term’ and ‘End of term’ are being used which in essence has the same meaning and represents the frequency/rate of payment/quantity. 37 For FX, forward exchange rate would be reported in this data element.
Technical Specification Page 18

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

expressed as the rate of exchange 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.

Collateral

NR

Valuation

NR

Dissemination

Disseminate

57 CDE Prices Exchange rate 

basis

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.

Not available Char(3)/Char(3); 

[Unit 

currency/Quoted 

currency], without 

restricting the 

currency pair 

ordering (i.e., the 

exchange rate 

basis may be 

USD/EUR or 

EUR/USD.

Any pair of currencies included in ISO 

4217.

N

R

N

R

M N

R

N

R

Transaction – FX

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

58 CDE Prices Fixed rate For each leg of the transaction, where applicable: for 

OTC derivative transactions with periodic payments, 

per annum rate of the fixed leg(s).

ISO 20022: 

Interest/Rate

Num(11,10) Positive and negative values 

expressed as decimal (e.g., 0.0257 

instead of 2.57%)38

C C N

R

N

R

C Transaction - CR

C if [Spread] is not populated, and 

[Other payment type] ≠ ‘Upfront 

payment’, and [Post-priced swap 

indicator] = ‘False’, and UPI.[Instrument 

type] ≠ ‘Option’, else {blank}

Transaction - IR

C if [Spread] is not populated, and 

[Post-priced swap indicator] = ‘False’, 

and UPI.[Instrument type] ≠ ‘Option’, 

else {blank}

Transaction -CO

C if [Price] or [Spread] is not populated, 

and [Post-priced swap indicator] = 

‘False’, and UPI.[Instrument type] ≠ 

‘Option’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

59 CFTC Prices Post-priced swap 

indicator

An indication of whether a transaction satisfies the 

definition of “post-priced swap” in § 43.2(a).

Not available Boolean • True

• False

M M M M M Transaction

M

Collateral

NR

Valuation

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

 38 The allowable values are restricted based on CFTC’s jurisdictional requirements.
Technical Specification Page 19

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

NR

60 CDE Prices Price39,40 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 the forward 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 the transaction.

• 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 the price of the transaction.

• Commodity basis swaps and the floating leg of 

commodity fixed/float swaps as it is understood 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 be interpreted as the price of the 

transaction.

• Equity 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.

• 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.

ISO 20022: 

Price/Amount

• Num(18,13), if 

Price notation = 1

• Num(11,10), if 

Price notation = 3

• Any value, if Price notation = 1

• Any value expressed as decimal 

(e.g., 0.0257 instead of 2.57%), if 

Price notation = 341

N

R

N

R

N

R

C C Transaction - EQ

C if [Spread] is not populated, and 

[Post-priced swap indicator] = ‘False’, 

and UPI.[Instrument type] ≠ ‘Option’, 

else {blank} 

Transaction - CO

C if [Fixed rate] or [Spread] is not 

populated, and [Post-priced swap 

indicator] = ‘False’, and UPI.[Instrument 

type] ≠ ‘Option’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

 39 While Price (#60) captures the prices at which counterparties negotiate contracts, market prices are reflected in the valuation amounts. 40 For volatility and variance swaps and similar products, the volatility strike price is reported in this data element. 41 The allowable values are restricted based on CFTC’s jurisdictional requirements.
Technical Specification Page 20

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

• 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 the component 

transaction where applicable. 

61 CDE Prices Price currency Currency in which the price is denominated.

Price currency is only applicable if Price notation = 1.

ISO 4217 Char(3) Currencies included in ISO 4217. N

R

N

R

N

R

C C Transaction - EQ/CO

C if [Price notation] = ‘1’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

62 CDE Prices Price notation Manner in which the price is expressed. Not available Char(1) • 1 = Monetary amount 

• 3 = Decimal42

N

R

N

R

N

R

C C Transaction - EQ/CO

C if [Price] is populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

63 CDE Prices Price unit of 

measure

Unit of measure in which the price is expressed. ISO 20022: 

Price/UnitOfMeasu

re

A list of allowable values and their 

format will be provided to the CDE 

maintenance and governance 

framework, which will be developed 

by the CPMI and IOSCO.43

N

R

N

R

N

R

C C Transaction - EQ/CO

C if [Price] is populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

64 CDE Prices Spread44 For each leg of the transaction, where applicable: for 

OTC derivative transactions with periodic payments 

(e.g., 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 a spread on 

a floating leg(s). For example, USD-LIBOR-BBA plus 

.03 or WTI minus USD 14.65; or

ISO 20022: 

Spread/SpreadRat

e or 

ISO 20022: 

Spread/PriceOffset 

or 

ISO 20022: 

Spread/BasisPoint

• Num(18,13), if 

Spread notation = 

1 

• Num(11,10), if 

Spread notation = 

3 

• Num(5), if Spread 

notation = 4

• Any value, if Spread notation = 1 

• Any value expressed as decimal 

(e.g., 0.0257 instead of 2.57%), if 

Spread notation = 345

• Any integer value expressed in 

basis points (e.g., 257 instead of 

2.57%), if Spread notation = 4

C C N

R

C C Transaction - CR

C if [Fixed rate] is not populated, and 

[Other payment type] ≠ ‘Upfront 

payment’, and [Post-priced swap 

indicator] = ‘False’, and UPI.[Instrument 

type] ≠ ‘Option’, else {blank} 

Transaction - IR

C if [Fixed rate] is not populated, and 

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

.

 42 The allowable values are restricted based on CFTC’s jurisdictional requirements. 43 DMO expects any allowable value in ISO 20022: UnitOfMeasure Code 44 For equity swaps, portfolio swaps, and contract for difference (CFDs), report the weighted overall spread for the basket instead of individual legs. 45 The allowable values are restricted based on CFTC’s jurisdictional requirements.
Technical Specification Page 21

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

• 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.

Spread [Post-priced swap indicator] = ‘False’, 

and UPI.[Instrument type] ≠ ‘Option’, 

else {blank}

Transaction - EQ

C if [Price] is not populated, and [Postpriced swap indicator] = ‘False’, and 

UPI.[Instrument type] ≠ ‘Option’, else 

{blank}

Transaction - CO

C if [Price] or [Fixed rate] is not 

populated, and [Post-priced swap 

indicator] = ‘False’, and UPI.[Instrument 

type] ≠ ‘Option’, else {blank}

Collateral

NR

Valuation

NR

65 CDE Prices Spread currency 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 Char(3) Currencies included in ISO 4217. C C N

R

C C Transaction - CR/IR/EQ/CO

C if [Spread notation] = ‘1’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

66 CDE Prices Spread notation For each leg of the transaction, where applicable: 

manner in which the spread is expressed.

Not available Char(1) • 1 = Monetary amount 

• 3 = Decimal46

• 4 = Basis points

C C N

R

C C Transaction - CR/IR/EQ/CO

C if [Spread] is populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

67 CDE Prices Strike price47 • For options other than FX options, swaptions and 

similar products, price at which the owner of 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, expressed as the 

rate of exchange 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 

ISO 20022: 

Option/Strike Price

• Num(18,13), if 

Strike price 

notation = 1

• Num(11,10), if 

Strike price 

notation = 3

• Any value (e.g., USD 6.39) 

expressed as 6.39, for equity options, 

commodity options, foreign exchange 

options and similar products, if Strike 

price notation = 1

• Any value expressed as decimal 

(e.g., 0.021 instead of 2.1%), for 

interest rate options, interest rate and 

C C C C C Transaction

C if [Post-priced swap indicator] = 

‘False’ and UPI.[Instrument type] = 

‘Option’, else {blank}

Collateral

NR

Valuation

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

 46 The allowable values are restricted based on CFTC’s jurisdictional requirements. 47 This data element is not applicable if Price (#61) is reported.
Technical Specification Page 22

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

currency; USD 1 = EUR 0.9426.

Where the strike price is not known when a new 

transaction is reported, the strike price is updated as it 

becomes available.

• For volatility and variance swaps and similar 

products, the volatility strike price is reported in this 

data element.

credit swaptions quoted in spread, 

and similar products, if Strike price 

notation = 348

NR

68 CDE Prices Strike price 

currency/currency 

pair

For equity options, commodity options, and similar 

products, currency in which the strike price is 

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.

ISO 4217 • Char(3)

• For foreign 

exchange options: 

Char(3)/Char(3); 

[Unit 

currency/Quoted 

currency] without

restricting the 

currency pair 

ordering (i.e., the 

Strike price 

currency pair may 

be USD/EUR or 

EUR/USD).

Currencies included in ISO 4217. C C C C C Transaction

C if [Strike price notation] = ‘1’, else 

{blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

69 CDE Prices Strike price 

notation

Manner in which the strike price is expressed. Not available Char(1) • 1 = Monetary amount

• 3 = Decimal49

C C C C C Transaction

C if [Strike price] is populated, else 

{blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

70 CDE Prices Option premium 

amount

For options and swaptions of all asset classes, 

monetary amount paid by the option buyer. 

This data element is not applicable if the instrument is 

not an option or does not embed any optionality. 

Not available Num(25,5) Any value greater than or equal to

zero.

C C C C C Transaction

C if UPI.[Instrument type] = ‘Option’ or 

[Embedded option type] is populated, 

else {blank} 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

71 CDE Prices Option premium 

currency

For options and swaptions of all asset classes, 

currency in which the option premium amount is 

denominated. This data element is not applicable if the 

instrument is not an option or does not embed any 

ISO 4217 Char(3) Currencies included in ISO 4217. C C C C C Transaction

C if [Option premium amount] is 

populated, else {blank}

N Y Validation

Same as part 45 (Transaction)

Dissemination

 48 The allowable values are restricted based on CFTC’s jurisdictional requirements. 49 The allowable values are restricted based on CFTC’s jurisdictional requirements; DMO expects ‘1’ and ‘3’ only.
Technical Specification Page 23

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

optionality. Collateral

NR

Valuation

NR

Disseminate

72 CDE Prices Option premium 

payment date

Unadjusted date on which the option premium is paid. ISO 8601 YYYY-MM-DD, 

based on UTC.

Any valid date. C C C C C Transaction

C if [Option premium amount] is 

populated, else {blank}

Collateral

NR

Valuation

NR

N N

73 CDE Prices First exercise date 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 is reported, 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.

ISO 8601 YYYY-MM-DD, 

based on UTC.

Any valid date. O O O O O Transaction

O

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

74 CDE Product CDS index 

attachment point

Defined lower point at which the level of losses in the 

underlying portfolio reduces the notional of 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).

ISO 20022: 

Tranche/Attachme

ntPoint

Num(11,10) Any value between 0 and 1 (including 

0 and 1), expressed as decimal (e.g.,

0.05 instead of 5%).

C N

R

N

R

N

R

N

R

Transaction - CR

C if UPI.[Underlying asset/contract 

type] = ‘Index tranche’, else {blank}

When populated, the value shall be 

less than the value in [CDS index 

detachment point]

Collateral

NR

Valuation

NR

N N

75 CDE Product CDS index 

detachment point

Defined point beyond which losses in the underlying 

portfolio no longer reduce the notional of 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).

ISO 20022: 

Tranche/Detachme

ntPoint

Num(11,10) Any value between 0 and 1 (including 

0 and 1), expressed as decimal (e.g., 

0.05 instead of 5%).

C N

R

N

R

N

R

N

R

Transaction - CR

C if UPI.[Underlying asset/contract 

type] = ‘Index tranche’, else {blank}

When populated, the value shall be 

greater than the value in [CDS index 

attachment point]

Collateral

NR

Valuation

N N
Technical Specification Page 24

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

NR

76 CFTC Product Index factor The index version factor or percent, expressed as a 

decimal value, that multiplied by the Notional amount 

yields the notional amount covered by the seller of 

protection for credit default swap.

Not available Num(11,10) Any value between 0 and 1 (including 

0 and 1), expressed as decimal (e.g.,

0.05 instead of 5%).

C N

R

N

R

N

R

N

R

Transaction - CR

C if UPI.[Underlying asset/contract 

type] = ‘Index’ or ‘Index tranche’

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

77 CFTC Product Embedded option 

type

Type of option or optional provision embedded in a 

contract.

Not available Char(4) • MDET = Mandatory early 

termination

• OPET = Optional early termination

• CANC = Cancelable

• EXTD = Extendible

• OTHR = Other 

O O O O O Transaction

O

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

78 CFTC Product Unique product 

identifier50

A unique set of characters that represents a particular 

OTC derivative. The Commission will designate a UPI 

pursuant to part 45.7.

Note: A Unique product identifier short name (D4), 

defined as, ‘When the Commission designates a UPI 

pursuant to part 45, disseminate a humanly readable 

description made available by the UPI issuer 

corresponding to the UPI’ must be disseminated by the 

SDR.

A list of allowable values and their format will be published by the UPI issuer. M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

79 CDE Settlement Final contractual 

settlement date

Unadjusted date as per the contract, by which all 

transfer of cash or assets should take place and the 

counterparties should no longer have any outstanding 

obligations to each other under that contract.

For products that may not have a final contractual 

settlement date (e.g., American options), this data 

element reflects the date by which the transfer of cash 

or asset would take place if termination were to occur 

on the expiration date.

ISO 8601 YYYY-MM-DD, 

based on UTC.

Any valid date. M M M M M Transaction

M

The value shall be equal to or later 

than the value in [Expiration date]

Collateral

NR

Valuation

NR

N N

80 CDE Settlement Settlement 

currency

Currency for the cash settlement of the transaction 

when applicable.

ISO 4217 Char(3) Currencies included in ISO 4217. C C C C C Transaction

C if UPI.[Delivery type] = ‘Cash’, else 

N Y Validation

Same as part 45 (Transaction)

 50 Until the Commission designates a UPI pursuant to part 45, continue reporting product data elements according to the internal product identifier or product description used by the swap data repository to which the swap is reported. When the Commission designates a UPI pursuant to 

part 45, report the UPI.
Technical Specification Page 25

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

For multi-currency products that do not net, the 

settlement currency of each leg. 

This data element is not applicable for physically 

settled products (e.g., physically settled swaptions). 

{blank}

Collateral

NR

Valuation

NR

Dissemination

Disseminate

81 CFTC Transaction 

related

Allocation indicator Indicator of whether the swap transaction is intended 

to be allocated, will not be allocated, or is a post 

allocation transaction. 

Not available Char(4) • POST = An indication that the 

transaction is the result of an 

allocation.

• PREA = An indication that the 

transaction is to be allocated.

• UNAL = An indication that the 

transaction is not a post-allocated 

transaction and/or is not to be 

allocated.

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N N

82 CFTC Transaction 

related

Non-standardized 

term indicator

Indicator of whether the swap has one or more 

additional term(s) or provision(s), other than those 

disseminated to the public pursuant to part 43, that 

materially affect(s) the price of the swap.

Not available Boolean • True

• False

C C C C C Transaction

C if [Cleared] = ‘N’; 

NR if [Cleared] = ‘Y’ or ‘I’

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

83 CFTC Transaction 

related

Block trade 

election indicator

Indicator of whether an election has been made to 

report the swap as a block swap either by the reporting 

counterparty or as calculated by the swap data 

repository acting as a third party for the reporting 

counterparty.

Not available Boolean • True

• False

C C C C C Transaction

C if [Cleared] = ‘N’; 

NR if [Cleared] = ‘Y’ or ‘I’

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

84 CDE Transaction 

related

Effective date51 Unadjusted date at which obligations under the OTC 

derivative transaction come into effect, as included in 

the confirmation.

ISO 8601 YYYY-MM-DD, 

based on UTC.

Any valid date. M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

85 CDE Transaction Expiration date52 Unadjusted date at which obligations under the swap ISO 8601 YYYY-MM-DD, Any valid date. M M M M M Transaction N Y Validation

 51 For commodities swaps, report the pricing start date. 
Technical Specification Page 26

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

related transaction stop being effective, as included in the 

confirmation. Early termination does not affect this 

data element. 

based on UTC. M

The value shall be equal to or later 

than the value in [Effective date]

Collateral

NR

Valuation

NR

Same as part 45 (Transaction)

Dissemination

Disseminate

86 CDE Transaction 

related

Execution 

timestamp

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.53

ISO 8601 YYYY-MMDDThh:mm:ssZ, 

based on UTC54. 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 

the order from the 

least to the most 

significant).

Any valid date/time. M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

87 CDE Transaction 

related

Reporting 

timestamp55

Date and time of the submission of the report to the 

trade repository.

ISO 8601 YYYY-MMDDThh:mm:ssZ, 

based on UTC.

Any valid date/time. M M M M M Transactions

M

The value shall be equal to or later 

than the value in [Execution timestamp]

Collateral

M

Y Y Validation

Same as part 45 (Transaction)

Dissemination

Do not disseminate

 52 For commodities swaps, report the pricing end date. 53 For clearing swaps, the execution timestamp is the date and time when the DCO accepts the original swap. 54 DMO requires date and time portion to be represented for high accuracy. 55 Reporting timestamp (#118) is recorded and reported by the submitter.
Technical Specification Page 27

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

Valuation

M

88 CDE Transaction 

related

Platform identifier Identifier of the trading facility (e.g., exchange, 

multilateral trading facility, swap execution facility) on 

which the transaction was executed.

ISO 10383 

Segment Market 

Identifier Code 

(MIC)

Char(4) 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.

C C C C C Transaction

C if [Cleared] = ‘N’ or ‘I’; 

NR if [Cleared] = ‘Y’.

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

89 CFTC Transaction 

related

Prime brokerage 

transaction 

identifier

Identifier in order to connect the prime broker 

executing broker (“PB-ED”) swap and the prime-broker 

counterparty(ies) swap(s) (“PB-CP”) in a Prime 

Brokerage transaction. 

The reporting counterparty to a PB-CP swap(s) shall 

identify that swap as part of a Prime Brokerage 

transaction by reporting the USI or UTI of the “PB-ED”

swap in the Prime brokerage transaction identifier data 

element. 

For USI: CFTC USI 

Data Standard56

For UTI: Not 

available57

Varchar(52) Up to 52 alphanumeric characters. C C C C C Transaction

C if [Prime brokerage transaction 

indicator] = ‘True’,

else {blank}

Collateral

NR

Valuation

NR

N N

90 CFTC Transaction 

related

Prime brokerage 

transaction 

indicator

Indicator of whether the swap is a Prime Brokerage 

transaction. 

Not available Boolean • True

• False

C C C C C Transaction

C if [Cleared] = ‘N’ or ‘I’;

NR if [Cleared] = ‘Y’

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 (Transaction)

Dissemination

Disseminate

91 CFTC Transaction 

related

Prior USI (for oneto-one and one-tomany relations 

between 

transactions)

Unique swap identifier (USI) assigned to the 

predecessor transaction that has given rise to the 

reported transaction due to a lifecycle event, in a oneto-one relation between transactions (e.g., 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 (e.g., in clearing or if a 

transaction is split into several different transactions).

This data element is not applicable when reporting 

CFTC USI Data 

Standard

Varchar(42) Refer to: Existing Standard column C C C C C Transaction

C if [Action type] = ‘NEWT’ and [Event 

type] = ‘NOVT’ or ‘CLRG’ or ‘EXER’ or 

‘ALOC’ or ‘CLAL’ and [Prior UTI (for 

one-to-one and one-to-many relations 

between transactions)] is not populated

Collateral

NR

N N

 56 Throughout this technical specification, references to “CFTC USI Data Standard” should refer to the Unique Swap Identifier (USI) Data Standard, https://www.cftc.gov/sites/default/files/idc/groups/public/@swaps/documents/dfsubmission/usidatastandards100112.pdf 57 For guidance on UTI related data elements throughout this technical specification, refer to Technical Guidance, Harmonization of the Unique Transaction Identifier, Feb 2017, https://www.iosco.org/library/pubdocs/pdf/IOSCOPD557.pdf
Technical Specification Page 28

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

many-to-one and many-to-many relations between 

transactions (e.g., in the case of a compression).

Valuation

NR

92 CDE Transaction 

related

Prior UTI (for oneto-one and one-tomany relations 

between 

transactions)

UTI58 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 

(e.g., 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 (e.g., 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 (e.g., in the case of a compression).

Not available Varchar(52) Up to 52 alphanumeric characters. 

New UTIs should be constructed 

solely from the upper-case alphabetic

characters A–Z or the digits 0–9, 

inclusive in both cases. 

C C C C C Transaction

C if [Action type] = ‘NEWT’ and [Event 

type] = ‘NOVT’ or ‘CLRG’ or ‘EXER’ or 

‘ALOC’ or ‘CLAL’ and [Prior USI (for 

one-to-one and one-to-many relations 

between transactions)] is not populated

Collateral

NR

Valuation

NR

N N

93 CFTC Transaction 

related

Unique swap 

identifier (USI)

The USI is a unique identifier assigned to all swap 

transactions which identifies the transaction (the swap

and its counterparties) uniquely throughout its 

duration. It consists of a namespace and a transaction 

identifier.

CFTC USI Data 

Standard59

Varchar(42) Refer to: Existing Standard column C C C C C Transaction

C if [Unique transaction identifier (UTI)] 

is not populated, else {blank}

Collateral

C if [Collateral portfolio code] = 

‘TRANSACTION-LEVEL’ and [Unique 

transaction identifier (UTI)] is not 

reported, else {blank}

Valuation

C if [Unique transaction identifier (UTI)] 

is not populated, else {blank}

Y Y Validation

Same as part 45 (Transaction)

Dissemination

Do not disseminate

94 CFTC Transaction 

related

Unique transaction 

identifier (UTI)

See Technical Guidance - Harmonisation of the 

Unique Transaction Identifier.

Not available Varchar(52) Up to 52 alphanumeric characters. 

New UTIs should be constructed 

solely from the upper-case alphabetic 

characters A–Z or the digits 0–9, 

inclusive in both cases.

C C C C C Transaction

C if [Unique swap identifier (USI)] is not 

populated, else {blank}

Collateral

C if [Collateral portfolio code] = 

‘TRANSACTION-LEVEL’ and [Unique 

swap identifier (USI)] is not reported, 

else {blank}

Valuation

C if [Unique swap identifier (USI)] is not 

populated, else {blank}

Y Y Validation 

Same as part 45 (Transaction)

Dissemination

Do not disseminate

95 CFTC Transaction 

related

Jurisdiction 

indicator

The jurisdiction(s) that is requiring the reporting of the 

transaction.

Not available Char(4) • AMFI = Association of Mutual Funds 

of India

M M M M M Transaction

M

Y N

 58 For guidance on UTI related data elements throughout this technical specification, refer to Technical Guidance, Harmonization of the Unique Transaction Identifier, Feb 2017, https://www.iosco.org/library/pubdocs/pdf/IOSCOPD557.pdf 59 Throughout this technical specification, references to “CFTC USI Data Standard” should refer to the USI Data Standard, https://www.cftc.gov/sites/default/files/idc/groups/public/@swaps/documents/dfsubmission/usidatastandards100112.pdf
Technical Specification Page 29

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

• ASIC = Australian Securities and 

Investments Commission

• BCSC = British Columbia Securities 

Commission 

• CFTC = Commodity Futures Trading 

Commission 

• ESMA = European Securities and 

Markets Authority 

• HKMA = Hong Kong Monetary 

Authority 

• JSFA = Japanese Financial 

Services Agency 

• MASI = Monetary Authority of 

Singapore 

• OSCO = Ontario Securities 

Commission 

Collateral

M

Valuation

M

96 CFTC Transfer New SDR identifier Identifier of the new swap data repository where the 

transaction is transferred to. 

ISO 17442 Legal 

Entity Identifier 

(LEI)

Char(20) LEI code that is included in the LEI 

data as published by the Global LEI 

Foundation (GLEIF, www.gleif.org/).

C C C C C Transaction

C if [Event type] = ‘PORT’, else {blank}

Collateral

NR

Valuation

NR

N N

97 CFTC Valuation Last floating 

reference value

The most recent sampling of the value of the floating 

reference for the purposes of determining cash flow. 

Ties to Last floating reference reset date data element.

Not available Num(11,10) Positive and negative values 

expressed as decimal (e.g., 0.0257 

instead of 2.57%)

C C C C C Transaction

NR

Collateral

NR

Valuation

C if UPI.[Underlier ID] is populated, 

else {blank}

Y N

98 CFTC Valuation Last floating 

reference reset 

date

The date of the most recent sampling of the floating 

reference for the purposes of determining cash flow. 

Ties to Last floating reference value data element.

ISO 8601 YYYY-MM-DD Any valid date. C C C C C Transaction

NR

Collateral

NR

Valuation

C if [Last floating reference value] is 

populated, else {blank}

Y N

99 CDE Valuation Valuation amount60 Current value of the outstanding contract. 

Valuation amount is expressed as the exit cost of the 

Not available Num(25,5) Any value. M M M M M Transaction

NR

Y N

 60 This data element must be reported daily regardless of whether there is a change in the value since the last reporting.
Technical Specification Page 30

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

contract or components of the contract, i.e., the price 

that would be received to sell the contract (in the 

market in an orderly transaction at the valuation date).

Collateral

NR

Valuation

M

100 CDE Valuation Valuation currency Currency in which the valuation amount is

denominated.

ISO 4217 Char(3) Currencies included in ISO 4217. M M M M M Transaction

NR

Collateral

NR

Valuation

M

Y N

101 CDE Valuation Valuation method 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 appendix D, then the whole 

valuation is classified as mark-to-model.

If only inputs are used that are classified as mark-tomarket in appendix D, then the whole valuation is 

classified as mark-to-market.

Not available Char(1) • M = Mark-to-market

• O = Mark-to-model 

• C = Central counterparty’s valuation

(Classification of valuation inputs are 

provided in Appendix D)

M M M M M Transaction

NR

Collateral

NR

Valuation

M

When populated with ‘C’, [Cleared] 

must be ‘Y’

Y N

102 CDE Valuation Valuation 

timestamp

Date and time of the last valuation marked to market, 

provided by the central counterparty (CCP)61 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 timestamp 

reflects the moment in time that exchange rate was 

current.

ISO 8601 YYYY-MMDDThh:mm:ssZ, 

based on UTC62. 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 

Any valid date/time. M M M M M Transaction

NR

Collateral

NR

Valuation

M

Y N

 61 Reported by the derivatives clearing organization (DCO) for cleared swaps and by the swap dealer for uncleared swaps 62 DMO does not require timestamp portion to be represented for Valuation timestamp.
Technical Specification Page 31

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

right-hand side (in 

the order from the 

least to the most 

significant).

103 CFTC Collateral and 

margins

Affiliated 

counterparty for 

margin and capital 

indicator

Indicator of whether the current counterparty is 

deemed an affiliate for the purposes of U.S. margin 

and capital rules (as per § 23.159).

Not available Boolean • True

• False

M M M M M Transaction

NR

Collateral

M

Valuation

NR

Y N

104 CDE Collateral and 

margins

Collateralisation 

category

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, 

depending on whether the collateralisation is 

performed at the transaction or portfolio level, and is 

applicable to both cleared and uncleared transactions.

Not available Char(4) • UNCO

• PAC1

• PAC2

• PACO 

• OWC1 

• OWC2

• O1PC 

• O2PC

• FULL

The names and definitions for these 

allowable values are provided in 

Appendix E

M M M M M Transaction

NR

Collateral

M

Valuation

NR

Y N

105 CDE Collateral and 

margins

Collateral portfolio 

code

If collateral is reported on a portfolio basis, unique 

code assigned by the reporting counterparty to the 

portfolio. 

ISO 20022: 

Portfolio/Identificati

on

Varchar(52) Up to 52 alphanumeric characters.63 M M M M M Transaction

M

Collateral

M

Valuation

M

Y N

106 CFTC Collateral and 

margins

Portfolio containing 

non-reportable 

component 

indicator

If collateral is reported on a portfolio basis, indicator of 

whether the collateral portfolio includes transactions 

exempt from reporting. 

Not available Boolean • True

• False

M M M M M Transaction

NR

Collateral

M

Valuation

NR

Y N

107 CDE Collateral and 

margins

Initial margin 

posted by the 

reporting 

Monetary value of initial margin that has been posted 

by the reporting counterparty, including any margin 

that is in transit and pending settlement unless 

ISO 20022: 

MarginCall/InitialM

argin

Num(25,5) Any value greater than or equal to 

zero.

C C C C C Transaction

NR

Y N

 63 If collateralization was performed on a transaction level basis, “TRANSACTION-LEVEL” is accepted.
Technical Specification Page 32

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

counterparty (posthaircut)inclusion of such margin is not allowed under the 

jurisdictional requirements.

If the collateralisation is performed at portfolio level, 

the initial margin posted relates to the whole 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 (if applicable), 

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, i.e.,

committed credit lines.

If the initial margin posted is denominated in more than 

one currency, those amounts are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

Collateral

C if [Collateralisation category] = 

‘OWC1’ or ‘O1PC’ or ‘FULL’, else 

{blank}

Valuation

NR

108 CDE Collateral and 

margins

Initial margin 

posted by the 

reporting 

counterparty (prehaircut)

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 not allowed under the 

jurisdictional requirements.

If the collateralisation is performed at portfolio level, 

the initial margin posted relates to the whole 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, i.e., committed credit lines.

If the initial margin posted is denominated in more than 

one currency, those amounts are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

ISO 20022: 

MarginCall/InitialM

argin

Num(25,5) Any value greater than or equal to 

zero.

C C C C C Transaction

NR

Collateral

C if [Collateralisation category] = 

‘OWC1’ or ‘O1PC’ or ‘FULL’, else 

{blank}

Valuation

NR

Y N

109 CDE Collateral and 

margins

Currency of initial 

margin posted64

Currency in which the initial margin posted is 

denominated.

If the initial margin posted is denominated in more than 

ISO 4217 Char(3) Currencies included in ISO 4217. C C C C C Transaction

NR

Y N

 64 For portfolio with multiple currencies, it must be converted in to a single currency chosen by the reporting counterparty and reported.
Technical Specification Page 33

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

one currency, this data element reflects one of those 

currencies into which the reporting counterparty has 

chosen to convert all the values of posted initial 

margins.

Collateral

C if [Initial margin posted by the 

reporting counterparty (post-haircut)] or 

[Initial margin posted by the reporting 

counterparty (pre-haircut)] is 

populated, else {blank}

Valuation

NR

110 CDE Collateral and 

margins

Initial margin 

collected by the 

reporting 

counterparty (posthaircut)

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 the whole 

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 (if applicable), 

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 are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

ISO 20022: 

MarginCall/InitialM

argin

Num(25,5) Any value greater than or equal to 

zero.

C C C C C Transaction

NR

Collateral

C if [Collateralisation category] = 

‘OWC2’ or ‘O2PC’ or ‘FULL’, else 

{blank}

Valuation

NR

Y N

111 CDE Collateral and 

margins

Initial margin 

collected by the 

reporting 

counterparty (prehaircut)

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 the whole 

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 

ISO 20022: 

MarginCall/InitialM

argin

Num(25,5) Any value greater than or equal to 

zero.

C C C C C Transaction

NR

Collateral

C if [Collateralisation category] = 

‘OWC2’ or ‘O2PC’ or ‘FULL’, else 

{blank}

Valuation

NR

Y N
Technical Specification Page 34

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

than one currency, those amounts are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

112 CDE Collateral and 

margins

Currency of initial 

margin collected65

Currency in which the initial margin collected is 

denominated.

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.

ISO 4217 Char(3) Currencies included in ISO 4217. C C C C C Transaction

NR

Collateral

C if [Initial margin collected by the 

reporting counterparty (post-haircut)] or 

[Initial margin collected by the reporting 

counterparty (pre-haircut)] is populated,

else {blank}

Valuation

NR

Y N

113 CDE Collateral and 

margins

Variation margin 

posted by the 

reporting 

counterparty (prehaircut)66

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 unless inclusion 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 the whole 

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 the first reporting 

of variation margins posted for the portfolio/transaction

If the variation margin posted is denominated in more 

than one currency, those amounts are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

ISO 20022: 

MarginCall/Variatio

nMargin

Num(25,5) Any value greater than or equal to 

zero.

C C C C C Transaction

NR

Collateral

C if [Collateralisation category] = 

‘PAC1’ or ‘PACO’ or ‘OWC1’ or ‘O1PC’

or ‘O2PC’ or ‘FULL’, else (blank}

Valuation

NR

Y N

114 CDE Collateral and 

margins

Currency of 

variation margin 

posted

Currency in which the variation margin posted is 

denominated.

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.

ISO 4217 Char(3) Currencies included in ISO 4217. C C C C C Transaction

NR

Collateral

C if [Variation margin posted by the 

reporting counterparty (pre- haircut)] is 

populated, else {blank}

Valuation

NR

Y N

115 CDE Collateral and Variation margin Monetary value of the variation margin collected by the ISO 20022: Num(25,5) Any value greater than or equal to C C C C C Transaction Y N

 65 For portfolio with multiple currencies, it must be converted in to a single currency chosen by the reporting counterparty and reported. 66 This data element must be reported daily regardless of whether there is a change in the value since the last reporting.
Technical Specification Page 35

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Existing Standard Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR Validation 

and Dissemination 

CR

IR

FX

Rules

EQ

CO

margins collected by the 

reporting 

counterparty (prehaircut)67

reporting counterparty (including the cash-settled one), 

and including any margin that is in transit and pending 

settlement unless inclusion 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 to the 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 reporting of collected 

variation margins for the portfolio/ transaction.

If the variation margin collected is denominated in 

more than one currency, those amounts are converted 

into a single currency chosen by the reporting 

counterparty and reported as one total value.

MarginCall/Variatio

nMargin

zero. NR

Collateral

C if [Collateralisation category] = 

‘PAC2’ or ‘PACO’ or ‘OWC2 or ‘O1PC’

or ‘O2PC’ or ‘FULL’, else {blank}

Valuation

NR

116 CDE Collateral and 

margins

Currency of 

variation margin 

collected

Currency in which the variation margin collected is 

denominated.

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.

ISO 4217 Char(3) Currencies included in ISO 4217. C C C C C Transaction

NR

Collateral

C if [Variation margin collected by the 

reporting counterparty (pre- haircut)] is 

populated, else {blank}

Valuation

NR

Y N

 67 This data element must be reported daily regardless of whether there is a change in the value since the last reporting.
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 36

3 Appendix

A. Additional data elements publicly disseminated - requirements for SDRs only

The following data elements are additional public dissemination requirements for the SDRs.

# Category Data Element Name Definition for Data Element Existing 

Standard Format Allowable Values

Asset Class

Dissemination Rule

CRIRFXEQCO

D1 Dissemination Related Dissemination identifier SDR generated unique and random identifier for each publicly disseminated 

message. 

Not available Varchar(52) Up to 52 alphanumeric characters M M M M M

D2 Dissemination Related Original dissemination identifier For action types other than “New”, this identifier will hold the Dissemination identifier

of the original, publicly-disseminated swap transaction and pricing data.

Not available Varchar(52) Up to 52 alphanumeric characters C C C C C C if Action type = ‘CORR’, ‘EROR’, 

‘TERM’, or ‘MODI’ 

D3 Dissemination Related Dissemination timestamp Date and time, to the nearest second, that an SDR publicly disseminates, as defined 

in § 43.2.

ISO 8601 YYYY-MM-DDThh:mm:ssZ, 

based on UTC

Any valid date/time. M M M M M

D4 Dissemination Related Unique product identifier short 

name

When the Commission designates a UPI pursuant to part 45, a humanly readable 

description made available by the UPI issuer68 corresponding to the UPI must be 

disseminated by the SDR.

A list of allowable values and their format will be published by the UPI issuer. M M M M M

 68 Financial Stability Board designates DSB as Unique Product Identifier (UPI) Service Provider https://www.fsb.org/2019/05/fsb-designates-dsb-as-unique-product-identifier-upi-service-provider/
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 37

B. Notional amount

From CPMI IOSCO Technical Guidance: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)69, 2.70 Notional amount.

Product Converted Amount

Equity options and similar products Product of the strike price and the number of shares or index units 

Equity forwards and similar products Product of the forward price and the number of shares or index units

Equity dividend swaps and similar products Product of the period fixed strike and the number of shares or index units

Equity swaps, portfolio swaps, and similar products Product of the initial price and the number of shares or index units

Equity variance swaps and similar products Variance amount

Equity volatility swaps and similar products Vega notional amount

Equity CFDs and similar products Product of the initial price and the number of shares or index units

Commodity options and similar products Product of the strike price, and the total notional quantity 

Commodity forwards and similar products Product of the forward price and the total notional quantity

Commodity fixed/float swaps and similar products Product of the fixed price and the total notional quantity

Commodity basis swaps and similar products Product of the last available spot price at the time of the transaction of the underlying 

asset of the leg with no spread and the total notional quantity of the leg with no spread

Commodity swaptions and similar products Notional amount of the underlying contract 

Commodity CFDs and similar products Product of the initial price and the total notional quantity

Notes to the conversion table for OTC derivative transactions negotiated in non-monetary amounts:

Note 1: for transactions where the quantity unit of measure differs from the price unit of measure, 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 and option entitlements.

Note 3: for basket-type contracts, the notional amount of the transaction is the sum of the notional amounts of each constituent of the basket.

 69 Technical Guidance, Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 38

C. Mapping of Day count convention allowable values to ISO 20022, FpML, and FIX/FIXML values

From CPMI IOSCO Technical Guidance: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)70, Annex 1, Table 4.

Allow

able 

value

ISO 20022 name ISO 20022 definition71

FIX/ 

FIXML72

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML73

code FpML definition

A001 IC30360ISDAor30360American

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 the same as to the 30th 

calendar day of the same month, except for 

February, and provided that the interest period 

started on a 30th or a 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 and convertible 

bonds.

1 30/360 

(30U/360 

Bond Basis)

Mainly used in the United States with 

the following date adjustment rules: (1) 

If the investment is End-Of-Month and 

Date1 is the last day of February and 

Date2 is the last day of February, then 

change Date2 to 30; (2) If the 

investment is End-Of-Month and Date1 

is the last day of February, then change 

Date1 to 30;(3) If Date2 is 31 and Date1 

is 30 or 31, then change Date2 to 30;(4) 

If Date1 is 31, then change Date1 to 30. 

See also 2006 ISDA Definitions, Section 

4.16. Day Count Fraction, paragraph (f).

[Symbolic name: ThirtyThreeSixtyUS]

30/360 Per 2006 ISDA Definitions, Section 4.16. Day 

Count Fraction, paragraph (f) or Annex to the 

2000 ISDA Definitions (June 2000 Version), 

Section 4.16. Day Count Fraction, paragraph (e).

The number of days in the Calculation Period or 

Compounding Period in respect of which payment 

is being made divided by 360, calculated on a 

formula basis as follows: Day Count Fraction = 

[360*(Y2-Y1) + 30*(M2-M1) + (D2-D1)]/360 “D1” 

is the first calendar day, expressed as a number, 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 

b 31 d D1 i t th 29 i hi h D2 

 A002 IC30365 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 month shall be the same as to the 30th 

calendar day of the same month, except for 

February. This means that a 31st is assumed to 

be the 30th and the 28 Feb (or 29 Feb for a 

leap year) is assumed to be the 28th (or 29th).

 70 https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf 71 The information contained in this column refers to the ISO 20022 data dictionary. 72 The source of information contained in this column is FIX Trading Community, http://fiximate.fixtrading.org/latestEP/ 73 The definitions contained herein are copyright 2006 by International Swaps and Derivatives Association, Inc. (ISDA) and reproduced by permission of ISDA. All Rights Reserved. 74 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.
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 39

Allow

able 

value

ISO 20022 name ISO 20022 definition71

FIX/ 

FIXML72

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML73

code FpML definition

A003 IC30Actual Method whereby interest is calculated based 

on a 30-day month in a way similar to the 

30/360 (basic rule) and the assumed number 

of days in a year in a way similar to the 

Actual/Actual (ICMA). Accrued interest to a 

value date on the last day of a month shall be 

the same as to the 30th calendar day of 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). The assumed number of 

days in a year is computed as the actual 

number of days in the coupon period 

multiplied by the number of interest payments 

in the year.

A004 Actual360 Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest period and a 360-day year.

6 Act/360 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).

[Symbolic name: ActThreeSixty]

ACT/360 Per 2006 ISDA Definitions, Section 4.16. Day 

Count Fraction, paragraph (e) or Annex to the 

2000 ISDA Definitions (June 2000 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 is being made divided by 360.

A005 Actual365Fixed Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest 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]

ACT/365

.FIXED

Per 2006 ISDA Definitions, Section 4.16. Day 

Count Fraction, paragraph (d) or Annex to the 

2000 ISDA Definitions (June 2000 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 is being made divided by 365.
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 40

Allow

able 

value

ISO 20022 name ISO 20022 definition71

FIX/ 

FIXML72

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML73

code FpML definition

A006 ActualActualICMA Method whereby interest is calculated based 

on the actual number of accrued days and the 

assumed number of days in a year, i.e., the 

actual number of days in the coupon period 

multiplied by the number of interest payments 

in the year. If the coupon period is irregular 

(first or last coupon), it is extended or split into 

quasi-interest periods that have the length of a 

regular coupon period and the computation is 

operated separately on each quasi-interest 

period and the intermediate results are 

summed up.

9 Act/Act 

(ICMA)

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 the same day of the 

month where possible. See also 2006 

ISDA Definitions, Section 4.16. Day 

Count Fraction, paragraph (c).

[Symbolic name: ActActICMA]

ACT/AC

T.ICMA

Per 2006 ISDA Definitions, Section 4.16. Day 

Count Fraction, paragraph (c). This day count 

fraction code is applicable for transactions 

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 such terms 

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 dollardenominated straight and convertible bonds 

issued after 31 December 1998, as though the 

interest coupon on a bond were being calculated 

for a coupon period corresponding to the 

 

 

A007 IC30E360orEuroBondBasismod

el1

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 the same as to the 30th 

calendar day of the same month. This means 

that the 31st is assumed to be the 30th and 

the 28 Feb (or 29 Feb for a leap year) is 

assumed to be equivalent 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 this variation is only 

relevant when the coupon periods are 

scheduled to end on the last day of the month.

5 30E/360 

(ISDA)

Date adjustment rules are: (1) if Date1 

is the last day of the month, then 

change Date1 to 30; (2) if D2 is the last 

day of the month (unless Date2 is the 

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).

[Symbolic name: ThirtyEThreeSixtyISDA]

30E/360

.ISDA

Per 2006 ISDA Definitions, Section 4.16. Day 

Count Fraction, paragraph (h). Note the algorithm 

for this day count fraction under the 2006 ISDA 

Definitions is designed to yield the same results in 

practice 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 respect of which payment 

is being made divided by 360, calculated on a 

formula basis as follows: Day Count Fraction = 

[360*(Y2-Y1) + 30*(M2-M1) + (D2-D1)]/360. “D1” 

is the first calendar day, expressed as a number, 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 

b 31 i hi h 2 ill b 30
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 41

Allow

able 

value

ISO 20022 name ISO 20022 definition71

FIX/ 

FIXML72

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML73

code FpML definition

A008 ActualActualISDA Method whereby interest is calculated based 

on the actual number of accrued days of the 

interest period that fall (falling on a normal 

year, year) divided by 365, added to the actual 

number of days of the interest period that fall 

(falling on a leap year, year) divided by 366.

11 Act/Act 

(ISDA)

The denominator varies depending on 

whether a portion of the relevant 

calculation period falls within a leap 

year. For the portion of the calculation 

period falling in a leap year, the 

denominator is 366 and for the portion 

falling outside a leap year, the 

denominator is 365. See also 2006 ISDA 

Definitions, Section 4.16. Day Count 

Fraction, paragraph (b).

[Symbolic name: ActActISDA]

ACT/AC

T.ISDA

Per 2006 ISDA Definitions, Section 4.16. Day 

Count Fraction, paragraph (b) or Annex to the 

2000 ISDA Definitions (June 2000 Version), 

Section 4.16. Day Count Fraction, paragraph (b). 

Note that going from 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 is being 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 days in 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 

 

 

A009 Actual365LorActuActubasisRul

e

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 leap year) or a 366-day year (if the 

coupon payment date is in a leap year).

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).

[Symbolic name: ActThreeSixtyFiveL]

ACT/365

L

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 is being 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).
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 42

Allow

able 

value

ISO 20022 name ISO 20022 definition71

FIX/ 

FIXML72

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML73

code FpML definition

A010 ActualActualAFB 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 by repetitively 

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 first of the subperiods starts on 

the start date of the accrued interest period 

and thus is possibly shorter than a year. Then 

the interest computation is operated 

separately on each subperiod and the 

intermediate results are summed up.

8 Act/Act 

(AFB)

The actual number of days between 

Date1 and Date2, the denominator is 

either 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).

[Symbolic name: ActActAFB]

ACT/AC

T.AFB

The Fixed/Floating Amount will be calculated in 

accordance with the "BASE EXACT/EXACT" day 

count fraction, as defined in the “Définitions 

Communes plusieurs Additifs Techniques” 

published by the Association Francaise des 

Banques in September 1994.

The denominator is either 365 (if the calculation 

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 the calculation period, 

and the remaining initial stub period is treated in 

accordance with the usual rule. When counting 

backwards for this purpose, if the last day of the 

relevant period is 28 February, the full year should 

b t d b k t th i 28 F b 

 

 

A011 IC30360ICMAor30360basicrule 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 the same as to the 30th 

calendar day of 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.

4 30E/360 

(Eurobond 

Basis)

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).

[Symbolic name: ThirtyEThreeSixty]

30E/360 Per 2006 ISDA Definitions, Section 4.16. Day 

Count Fraction, paragraph (g) or Annex to the 

2000 ISDA Definitions (June 2000 Version), 

Section 4.16. Day Count Fraction, paragraph (f). 

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.
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 43

Allow

able 

value

ISO 20022 name ISO 20022 definition71

FIX/ 

FIXML72

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML73

code FpML definition

A012 IC30E2360orEurobondbasismo

del2

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 the same as to the 30th 

calendar day of the same month, except for 

the last day of February whose day of the 

month value shall be adapted to the value of 

the first day of the interest period if the latter 

is higher and if the period is one of a regular 

schedule. 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 the first day of the interest period 

is the 30th or the 31st. The 29th day of 

February in a leap year is assumed to be 

equivalent to 30 Feb when the first day of the 

interest 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 the end of the period is the 

30th or the 31st, or two days of interest in 

February when the end of the period is the 

29th, or three days of interest in February 

when it is 28 Feb of a non-leap year and the 

end of the period is before the 29th.
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 44

Allow

able 

value

ISO 20022 name ISO 20022 definition71

FIX/ 

FIXML72

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML73

code FpML definition

A013 IC30E3360orEurobondbasismo

del3

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 the same as to the 30th 

calendar day of the same month. 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 equivalent to 30 Feb. It is a variation of the 

30E/360 (or Eurobond basis) method where 

the last day of February is always assumed to 

be the 30th, even if it is the last day of the 

maturity coupon period.

A014 Actual365NL Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest period, excluding any leap day from 

the count, and a 365-day year.

15 NL365 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 of days 

in a year is 365, even in a leap year.

[Symbolic name: NLThreeSixtyFive]

A015 ActualActualUltimo 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. This method is a variation of the 

ActualActualICMA method with the exception 

that it assumes that the coupon always falls on 

the last day of the month. Method equal to 

ACT/ACT.ISMA in the FpML model and Act/Act 

(ICMA Ultimo) in the FIX/FIXML model.

10 Act/Act 

(ICMA 

Ultimo)

The Act/Act (ICMA Ultimo) differs from 

Act/Act (ICMA) method only that it 

assumes that regular coupons always 

fall on the last day of the month.

[Symbolic name: ActActISMAUltimo]

ACT/AC

T.ISMA

The Fixed/Floating Amount will be calculated in 

accordance with Rule 251 of the statutes, by-laws, 

rules and recommendations of the International 

Securities Market Association, as published in 

April 1999, as applied to straight and convertible 

bonds issued after 31 December 1998, as though 

the Fixed/Floating Amount were the interest 

coupon on such a bond. This day count fraction 

code is applicable for transactions booked under 

the 2000 ISDA Definitions. Transactions under the 

2006 ISDA Definitions should use the 

ACT/ACT ICMA d i t d
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 45

Allow

able 

value

ISO 20022 name ISO 20022 definition71

FIX/ 

FIXML72

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML73

code FpML definition

A016 IC30EPlus360 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 the same as to the 30th 

calendar day of the same month. 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 equivalent to 30 Feb. This method is a 

variation of the 30E360 method with the 

exception that if the coupon falls on the last 

day of the month, change it to 1 and increase 

the month by 1 (i.e., next month). Method 

equal to ThirtyEPlusThreeSixty in the FIX/FIXML 

model.

13 30E+/360 Variation on 30E/360. Date adjustment 

rules: (1) If Date1 falls on the 31st, then 

change it to the 30th; (2) If Date2 falls 

on the 31st, then change it to 1 and 

increase Month2 by one, i.e., next 

month.

[Symbolic name: ThirtyEPlusThreeSixty]

A017 Actual364 Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest period divided by 364. Method equal 

to Act364 in the FIX/FIXML model.

17 Act/364 The actual number of days between 

Date1 and Date2, divided by 364.

[Symbolic name: Act364]

A018 Business252 Method whereby interest is calculated based 

on the actual number of business days in the 

interest period divided by 252. Usage: Brazilian 

Currency Swaps. Method equal to BUS/252 in 

the FpML model and BusTwoFiftyTwo in the 

FIX/FIXML model.

12 BUS/252 Used for Brazilian real swaps, which is 

based on business days instead of 

calendar days. The number of business 

days divided by 252.

[Symbolic name: BusTwoFiftyTwo]

BUS/252 The number of Business Days in the Calculation 

Period or Compounding Period in respect of 

which payment is being made divided by 252.

A019 Actual360NL Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest period, excluding any leap day from 

the count, and a 360-day year.

16 NL360 This is the same as Act/360, with the 

exception of leap days (29 February) 

which are ignored.

[Symbolic name: NLThreeSixty]

A020 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 the 

relevant Day Count Fraction. See also 2006 

ISDA Definitions, Section 4.16. Day Count 

Fraction, paragraph (a).

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 the 

relevant Day Count Fraction. See also 

2006 ISDA Definitions, Section 4.16. 

Day Count Fraction, paragraph (a).

[Symbolic name: OneOne]

1/1 Per 2006 ISDA Definitions, Section 4.16. Day 

Count Fraction, paragraph (a) or Annex to the 

2000 ISDA Definitions (June 2000 Version), 

Section 4.16. Day Count Fraction, paragraph (a).
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 46

Allow

able 

value

ISO 20022 name ISO 20022 definition71

FIX/ 

FIXML72

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML73

code FpML definition

NARR Narrative Other method. Other FIX/FIXML code values not listed 

above and FIX/FIXML code values that 

are reserved for user extensions, in the 

range of integer values of 100 and 

higher.
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 47

D. Valuation method

From CPMI IOSCO Technical Guidance: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)75, 2.28 Valuation method.

Classification of valuation inputs

Bucket Input used Valuation method76

1 Quoted prices in active markets for identical assets or liabilities that the entity can access at the measurement date [IFRS 

13:76/ASC 820-10-35-40]. A quoted market price in an active market provides the most 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]

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].

Mark-to-market

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

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 than quoted market prices included within bucket 1 that are observable for the 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 at commonly 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 (“marketcorroborated 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 can be derived 

“principally” from observable market data, meaning 

that unobservable inputs can be used

6 Unobservable inputs for the asset or liability. [IFRS 13:86/ASC 820-10-35-52] 

Unobservable inputs are used to measure fair value to the extent that relevant observable inputs are not available, thereby 

allowing for situations 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

 75 Technical Guidance, Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf 76 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. 
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 48

E. Collateralisation category

From CPMI IOSCO Technical Guidance: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)77, 2.47 Collateralisation category.

Value Name Definition

UNCO Uncollateralised There is no collateral agreement between the counterparties or the 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.

PAC1 Partially collateralised: Counterparty 1 only 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.

PAC2 Partially collateralised: Counterparty 2 only 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.

PACO Partially collateralised The collateral agreement(s) between the counterparties stipulates that both counterparties regularly post only variation margin 

with respect to the derivative transaction.

OWC1 One-way collateralised: Counterparty 1 only The collateral agreement(s) between the counterparties stipulates that the reporting counterparty posts the initial margin and 

regularly posts variation margin and that the other counterparty does not post any margin with respect to the derivative 

transaction.

OWC2 One-way collateralised: Counterparty 2 only 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.

O1PC One-way/partially collateralised: Counterparty 1 The collateral agreement(s) between the counterparties stipulates that the reporting counterparty posts the initial margin and 

regularly posts variation margin and that the other counterparty regularly posts only variation margin.

O2PC One-way/partially collateralised: Counterparty 2 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.

FULL Fully collateralised 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.

 77 Technical Guidance, Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 49

F. Events: Sample scenarios for part 43 and part 45 reporting

This section provides examples of different action type and event type combinations for transaction reporting and end of day daily reporting. The examples also illustrate how different actions and events 

are publicly disseminated by the SDR pursuant to part 43 real-time public reporting.

Example 1 - New-Modify (amendment, update), Correction

Example 2 - Error

Example 3 - Early termination

Example 4 - Full novation

Example 5 - Partial novation

Example 6 - Clearing 

Example 7 - Compression

Example 8 - Exercise (Cash settled)

Example 9 - Exercise (Partially exercised, physically settled)

Example 10 - Exercise (Cancellable option)

Example 11 - Allocation

Example 12 - Credit event

Example 13 - Porting transaction from one SDR to another SDR

Example 14 - Daily Valuation reporting (Action type = VALU)

Example 15 - Daily Collateral and margin reporting (Action type = COLU)
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 50

The ‘Valid Action type and Event type combinations’ table displays all the possible combinations for ‘Action type’ and ‘Event type’ allowable values. Rows are used to list all allowable Action types and columns are 

used to list all allowable Event types. White and gray boxes with a check symbol () is used to indicate if the given combination is allowed for P43 and/or P45. See the guidance below the table to identify the 

allowed combinations.

Examples 1 through 13 illustrates how different lifecycle events are reported in transaction reporting. Each row represents a submission to the SDR with a sample of data elements represented for illustration 

purposes. The last 3 columns represent SDR generated data elements and are used in illustrating which submission shall be publicly disseminate by the SDR pursuant to part 43 reporting. 

Examples 14 and 15 illustrates end of day daily valuation reporting and collateral reporting. These submissions are not applicable for part 43 reporting.

** The examples do not include all data elements required to be reported and only include data elements relevant to illustrate the Action type and Event type combination.

Action type &

Event type

combinations

Event Type

Trade 

(TRDE)

Novation 

(NOVT)

Compression 

or Risk 

Reduction 

Exercise 

(COMP)

Early 

Termination 

(EART)

Clearing 

(CLRG)

Exercise 

(EXER)

Allocation

(ALOC)

Clearing 

& 

Allocation 

(CLAL)

CDS 

Credit 

(CRDT)

Porting 

(PORT)

Action Type

New (NEWT)        

Modify (MODI)      

Correct (CORR) 

Terminate (TERM)       

Error (EROR) 

Port out (PRTO) 

Valuation (VALU)

Collateral (COLU)

Not allowed for both P45 and P43

 Allowed for P45 but not allowed for P43

 Allowed for both P43 and P45

Table 5 - Valid Action type and Event type combinations
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 51

Sample scenarios for transaction reporting for life cycle events

Example 1 - New-Modify (amendment, update), Correction

This example illustrates how the different [Action type]-[Event type] combination is used to report changes to the previously submitted transaction. There are 3 types of changes [Update, Correction, 

and Amendment] that are explained in this example.

Submission 1: A new transaction is reported with the unique transaction identifier, LEI1RPT0001AAAA, as New-Trade (NEWT-TRDE) combination. 

Submission 2: A mutually agreed change to the notional amount is reported as Modify-Trade (MODI-TRDE). This is an amendment.

Submission 3: A missing information, ‘Other payment type’, is reported as Modify-Trade (MODI-TRDE) combination. This is an update.

Submission 4: A misreported information in ‘Other payment type’ from previous submission is corrected from “2” to “1” in this submission as Correct-Trade (CORR-TRDE) combination. This is a correction.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Other 

payment 

type

[#48]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT0001AAAA 10000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 ABCD001 2018-04-01T14:18:36Z

2 MODI TRDE 2018-04-02T10:22:10Z LEI1RPT0001AAAA 9000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 ABCD002 ABCD001 2018-04-02T10:25:10Z

3 MODI TRDE 2018-04-03T15:01:02Z LEI1RPT0001AAAA 9000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 2 ABCD002A ABCD001 2018-04-03T15:02:02Z

4 CORR TRDE 2018-04-04T17:20:30Z LEI1RPT0001AAAA 9000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 1 ABCD003 ABCD001 2018-04-04T17:24:30Z

Table 6 – Examples of reporting of New, Modify, and Correction transaction

Example 2 - Error

This example illustrates how to report that the previous submission was submitted in error. This action will effectively remove the USI/UTI from the SDR’s system.

Submission 1: A new transaction is reported with the unique transaction identifier, LEI1RPT0001BBBB, as New-Trade (NEWT-TRDE) combination.

Submission 2: The previous transaction was submitted in error to CFTC and the removal is reported as Error-Trade (EROR-TRDE) combination.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination timestamp

[#D3]

1 NEWT TRDE 2018-04-01T10:15:36Z LEI1RPT0001BBBB 10000 2018-04-01T10:15:36Z LEI1RPT0001 LEI2CP0002 ABCD004 2018-04-01T10:20:36Z

2 EROR TRDE 2018-04-02T10:30:10Z LEI1RPT0001BBBB 10000 2018-04-01T10:15:36Z LEI1RPT0001 LEI2CP0002 ABCD005 ABCD004 2018-04-02T10:34:10Z

Table 7 - Reporting of Error transaction

Example 3 - Early termination

This example illustrates how to report a transaction terminated before the scheduled end date of the transaction, [Expiration date], as agreed by the involved counterparties of the transaction.

Submission 1: A new transaction is reported with the unique transaction identifier, LEI1RPT0001KKKK as New-Trade (NEWT-TRDE) combination.

Submission 2: The previously reported transaction is terminated and is reported as Terminate-Early termination (TERM-EART) combination. The [Event timestamp] captures the date and time of when the 

transaction is terminated by the reporting counterparty which will be earlier than the [Expiration date] of the transaction. 
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 52

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Expiration 

date 

[#85]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT0001KKKK 10000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 2025-04-01 ABCD006 2018-04-01T14:18:36Z

2 TERM EART 2019-12-12T14:57:10Z LEI1RPT0001KKKK 10000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 2025-04-01 ABCD007 ABCD006 2019-12-12T14:59:10Z

Table 8 – Reporting of transaction terminated prior to the expiration or maturity date

Example 4 - Full novation

This example illustrates how full novation is reported when the reporting counterparty transfers all of its rights, liabilities, duties, and obligations under the swap to another legal party. 

Submission 1: A new transaction is reported with the unique transaction identifier, LEI1RPT0001CCCC, as New-Trade (NEWT-TRDE) combination.

Submission 2: Reporting counterparty (LEI1RPT0001) novates the transaction to a new reporting counterparty and the original transaction, LEI1RPT0001CCCC, is now terminated and reported as TerminateNovation (TERM-NOVT) combination.

Submission 3: A new transaction is reported as New-Novation (NEWT-NOVT) combination with a new unique transaction identifier, LEI3RPT0003CCCC. The UTI of the original transaction (now terminated) is 

reported in the [Prior UTI] of this transaction and a new reporting counterparty (LEI3RPT0003) is reported with this submission.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Dissemination 

identifier

[#D1]

Original dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT0001CCCC 13000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 ABCD008 2018-04-01T14:20:36Z

2 TERM NOVT 2018-04-03T13:00:00Z LEI1RPT0001CCCC 13000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 ABCD009 ABCD008 2018-04-03T13:05:00Z

3 NEWT NOVT 2018-04-03T13:00:00Z LEI3RPT0003CCCC LEI1RPT0001CCCC 13000 2018-04-03T13:00:00Z LEI1RPT0003 LEI2CP0002 ABCD010 2018-04-03T13:05:00Z

Table 9 - Reporting of Full Novation transaction

Example 5 - Partial novation

This example illustrates how partial novation is reported when the reporting counterparty transfers part of its rights, liabilities, duties, and obligations under the swap to another legal party.

Submission 1: A new transaction is reported with the unique transaction identifier, LEI1RPT0001DDDD as New-Trade (NEWT-TRDE) combination.

Submission 2: Reporting counterparty (LEI1RPT0001) partially novates the transaction to a new reporting counterparty and the update to original transaction is reported as Modify-Novation (MODI-NOVT) 

combination and a reduced notional amount of ‘8000’. The transaction continues to be active.

Submission 3: A new transaction is reported as New-Novation (NEWT-NOVT) combination with a new unique transaction identifier, LEI3RPT0003DDDD. The original reporting counterparty (LEI1RPT0001) novated 

and transferred the obligations for the allocated amount of ‘5000’ to a new reporting counterparty (LEI3RPT0003) and the UTI of the original transaction is reported in the [Prior UTI] of this transaction. 

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Dissemination 

identifier

[#D1]

Original dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T12:10:10Z LEI1RPT0001DDDD 13000 2018-04-01T12:10:10Z LEI1RPT0001 LEI2CP0002 ABCD011 2018-04-01T12:12:10Z

2 MODI NOVT 2018-04-04T14:00:10Z LEI1RPT0001DDDD 8000 2018-04-01T12:10:10Z LEI1RPT0001 LEI2CP0002 ABCD012 ABCD011 2018-04-04T14:07:10Z

3 NEWT NOVT 2018-04-04T14:00:10Z LEI3RPT0003DDDD LEI1RPT0001DDDD 5000 2018-04-04T14:00:10Z LEI3RPT0003 LEI2CP0002 ABCD013 2018-04-04T14:07:10Z

Table 10 - Reporting of Partial Novation transaction
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 53

Example 6 - Clearing novation

This example illustrates how original swap and clearing swaps are reported when the original swap is cleared by a derivative clearing organization.

Submission 1: A new transaction is reported with the unique transaction identifier, LEI1RPT0001ALPHA as New-Trade (NEWT-TRDE) combination with [Cleared] = ‘I’ (intent to clear). 

Submission 2: Upon clearing acceptance, the original swap transaction is extinguished and reported as Terminate-Clearing (TERM-CLRG) combination. 

Submission 3, 4: Simultaneously, two new clearing swaps are created that replaces the original swap. These two transactions are reported as New-Clearing (NEWT-CLRG) combination by the DCO as the reporting 

counterparty and the UTI of the original swap is reported in the [Prior UTI] of these transactions. Execution timestamp of clearing swap is the time when the original swap is accepted by the DCO.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Cleared 

[#1]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT001ALPHA 10000 2018-04-01T14:15:36Z LEI1RPT001 LEI2CP002 I ABCD014 2018-04-01T14:17:36Z

2 TERM CLRG 2018-04-01T16:00:10Z LEI1RPT001ALPHA 10000 2018-04-01T14:15:36Z LEI1RPT001 LEI2CP002 I ABCD015 ABCD014 2018-04-01T16:03:10Z

3 NEWT CLRG 2018-04-01T16:00:10Z LEI1DCO01BETA LEI1RPT001ALPHA 10000 2018-04-01T16:00:10Z LEI1DCO LEI1RPT001 Y Not Disseminated

4 NEWT CLRG 2018-04-01T16:00:10Z LEI1DCO01GAMMA LEI1RPT001ALPHA 10000 2018-04-01T16:00:10Z LEI1DCO LEI2CP002 Y Not Disseminated

Table 11 - Reporting of Clearing Novation transaction

Example 7 - Compression

This example illustrates how transactions involved in a portfolio compression event are reported. In this case, many-to-one relations between transactions, three transactions are compressed into a 

single transaction. In order to link the pre- and post-compression transactions, Event identifier is reported instead of the prior UTI. 

Submission 1, 2 and 3: Three new transactions are reported with different unique transaction identifiers as New-Trade (NEWT-TRDE) combination.

Submission 4, 5 and 6: All three transactions are terminated as a result of compression and are reported as Terminate-Compression (TERM-COMP) combination as separate submissions. [Event identifier] is 

reported for all terminated transactions to link with the resulted new transaction. 

Submission 7: The new compressed transaction is reported as New-Compression (NEWT-COMP) combination with a new unique transaction identifier and a new execution timestamp. The same [Event identifier] 

as the terminated pre-compression transactions is reported in this post-compression transaction to link the compression event and the notional amount is reduced as a result of compression.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT0001EEE 10000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 ABCD016 2018-04-01T14:20:36Z

2 NEWT TRDE 2018-04-01T14:20:36Z LEI1RPT0001FFF 6000 2018-04-01T14:20:36Z LEI1RPT0001 LEI2CP0002 ABCD017 2018-04-01T14:22:36Z

3 NEWT TRDE 2018-04-01T14:21:36Z LEI1RPT0001GGG 5000 2018-04-01T14:21:36Z LEI1RPT0001 LEI2CP0002 ABCD018 2018-04-01T14:25:36Z

4 TERM COMP 2018-04-03T18:00:00Z LEI01-EVENTID1 LEI1RPT0001EEE 10000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 ABCD016T ABCD016 2018-04-03T18:02:00Z

5 TERM COMP 2018-04-03T18:00:00Z LEI01-EVENTID1 LEI1RPT0001FFF 6000 2018-04-01T14:20:36Z LEI1RPT0001 LEI2CP0002 ABCD017T ABCD017 2018-04-03T18:02:00Z

6 TERM COMP 2018-04-03T18:00:00Z LEI01-EVENTID1 LEI1RPT0001GGG 5000 2018-04-01T14:21:36Z LEI1RPT0001 LEI2CP0002 ABCD018T ABCD018 2018-04-03T18:02:00Z

7 NEWT COMP 2018-04-03T18:00:00Z LEIS1-EVENTID1 LEI1RPT0003EFG 16000 2018-04-03T18:00:00Z LEI1RPT0001 LEI2CP0002 Not Disseminated

Table 12 - Reporting of Portfolio Compression transaction
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 54

Example 8 - Exercise (Cash settled)

This example illustrates how an exercise of cash-settled option transaction is reported. 

Submission 1: A new European style option transaction is reported with the unique transaction identifier, LEI1RPT0001HHH, as New-Trade (NEWT-TRDE) combination.

Submission 2: When the option holder fully exercises the transaction and cash settles the transaction, it results in termination of the transaction as Terminate-Exercise (TERM-EXER) combination and no new 

transaction is created. Note that the date on the [Event timestamp] is the same as the date in [Expiration date] for a European style option.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Expiration 

date 

[#85]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT0001HHH 13000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 2019-04-01 ABCD021 2018-04-01T14:19:36Z

2 TERM EXER 2019-04-01T15:01:01Z LEI1RPT0001HHH 13000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 2019-04-01 ABCD022 ABCD021 2019-04-01T15:04:01Z

Table 13 - Reporting of Cash Settled Exercised Option transaction

Example 9 - Exercise (Partially exercised, physically settled)

This example illustrates how a ‘partial exercise’ option transaction is reported.

Submission 1: A new American style transaction is reported with the unique transaction identifier, LEI1RPT0001IIII, as New-Trade (NEWT-TRDE) combination. The underlying is a swap.

Submission 2: When the reporting counterparty of the transaction partially (5000) exercises the option as specified in the contract of the option transaction, the existing transaction is reported with the remaining 

notional amount (11000) as Modify-Exercise (MODI-EXER) combination. Note that the option holder still holds the rights to exercise the remaining notional amount.

Submission 3: Since the option holder exercised and entered into the transaction, a new unique transaction identifier, LEI1RPT0001IIIIEx, is reported as New-Exercise (NEWT-EXER) combination with the partially 

exercised notional amount (5000). The UTI of the previous transaction is reported in the [Prior UTI] of the new transaction.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Expiration 

date [#85]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-05-01T10:15:36Z LEI1RPT0001IIII 16000 2018-05-01T10:15:36Z LEI1RPT0001 LEI2CP0002 2021-12-30 ABCD023 2018-05-01T10:17:36Z

2 MODI EXER 2019-04-01T13:01:01Z LEI1RPT0001IIII 11000 2018-05-01T10:15:36Z LEI1RPT0001 LEI2CP0002 2021-12-30 Not Disseminated

3 NEWT EXER 2019-04-01T13:01:01Z LEI1RPT0001IIIIEx LEI1RPT0001IIII 5000 2019-04-01T13:01:01Z LEI1RPT0001 LEI2CP0002 2021-12-30 ABCD024 2019-04-01T13:03:01Z

Table 14 - Reporting of Partially Exercised Option transaction

Example 10 - Exercise (Cancellable option)

This example illustrates how a ‘partial exercise’ of a cancellable option (Embedded option type = CANC) is reported.

Submission 1: A new transaction for a cancellable option ([Embedded option type] = ‘CANC’) transaction is reported with the unique transaction identifier, LEI1RPT0001JJJJ, as New-Trade (NEWT-TRDE) 

combination.

Submission 2: When the option holder of the transaction exercises its rights specified in the contract to partially exercise the transaction for the amount of ‘4000’, the existing transaction is reported as ModifyExercise (MODI-EXER) combination and the remaining notional amount of ‘12000’.
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 55

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event 

identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Embedded 

option 

type

[#77]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT0001JJJJ 16000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 CANC ABCD025 2018-04-01T14:18:36Z

2 MODI EXER 2019-04-01T14:34:07Z LEI1RPT0001JJJJ 12000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 CANC Not Disseminated

Table 15 - Reporting of Cancellable Option Exercise transaction

Example 11 - Allocation

This example illustrates how pre- and post- ‘Allocation’ swaps are reported.

Submission 1: A new pre-allocation transaction is reported with the unique transaction identifier, LEI1RPT0001ALPHA, as New-Trade (NEWT-TRDE) combination with [Allocation indicator] = ‘PREA’. 

Submission 2: Upon allocation by the allocation agent, the pre-allocation swap transaction is terminated as Terminate-Allocation (TERM-ALOC) combination. 

Submission 3, 4: Simultaneously, two new post allocation swap transactions are created that replaces the pre-allocation swap. These two transactions are reported as New-Allocation (NEWT-ALOC) combination 

by the reporting counterparty and the UTI of the pre-allocation swap is reported in the [Prior UTI] of these transactions.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Allocation 

indicator

[#81]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT001PREAA 10000 2018-04-01T14:15:36Z LEI1RPT001 LEIFUNDMGR PREA ABCD030 2018-04-01T14:17:36Z

2 TERM ALOC 2018-04-01T16:00:10Z LEI1RPT001PREAA 10000 2018-04-01T14:15:36Z LEI1RPT001 LEIFUNDMGR PREA ABCD030T ABCD030 2018-04-01T16:01:10Z

3 NEWT ALOC 2018-04-01T16:00:10Z LEI1RPT001POST1 LEI1RPT001PREAA 7000 2018-04-01T16:00:10Z LEI1RPT001 LEI2CP00A1 POST Not Disseminated

4 NEWT ALOC 2018-04-01T16:00:10Z LEI1RPT001POST2 LEI1RPT001PREAA 3000 2018-04-01T16:00:10Z LEI1RPT001 LEI3CP00A2 POST Not Disseminated

Table 16 - Reporting of pre- and post- Allocation transactions

Example 12 - Credit event

This example illustrates how attributes of transactions are reported when a credit event in a constituent (not the counterparties78) of the Credit Index transaction takes place.

Submission 1 and 2: Two new Credit Index transactions are reported with different unique transaction identifiers, as New-Trade (NEWT-TRDE) combination.

Submission 3 and 4: When a credit event processing for reference entity in a Credit Index transaction occurs that impacts both transactions reported in submissions 1 and 2, both transactions are reported as 

Modify-CDS Credit (MODI-CRDT) combination. The [Event identifier] is reported to identify the credit event that triggered this change to the transaction.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT0001LLL 20000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 ABCD019 2018-04-01T14:18:36Z

2 NEWT TRDE 2018-04-01T15:01:30Z LEI1RPT0001MMM 18000 2018-04-01T15:01:30Z LEI1RPT0001 LEI2CP0002 ABCD020 2018-04-01T15:05:30Z

3 MODI CRDT 2018-12-12T15:01:02Z LEI+EVENT_ID79 LEI1RPT0001LLL 20000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 DEFAU01 ABCD019 2018-12-12T15:02:02Z

4 MODI CRDT 2018-12-12T15:01:02Z LEI+EVENT_ID LEI1RPT0001MMM 18000 2018-04-01T15:01:30Z LEI1RPT0001 LEI2CP0002 DEFAU02 ABCD020 2018-12-12T15:02:02Z

 78 In the case of a corporate event of the non-reporting counterparty, the transaction should be reported as Modify-Trade (MODI-TRDE) combination. 79 For credit events, the unique identifier is typically assigned to the transaction with the entity experiencing credit event and assigned by a third party service provider.
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 56

Table 17 - Reporting of Credit Event

Example 13 - Porting transaction from one SDR to another SDR

The first table, Table 18 - Reporting of ported transaction event to the old SDR, illustrates the transactions reported to the old SDR (before transferring to the new SDR). And the second table, Table 19 

- Reporting of ported transaction to the new SDR, illustrates the transaction reported to the new SDR as part of the transfer process.

Submission 1 and 2: Two records from Example 1 are shown.

Submission 3: The reporting counterparty changes the swap data repository by informing the old SDR by reporting [Action type] = ‘PRTO’, [Event type] = ‘PORT’ and [New SDR identifier] = ‘LEISDR2’. These 3 

value combination is an indication that this transaction (UTI) will no longer be reported, effectively removing the active transaction from the SDR.

Submission 4: At the same time, the reporting counterparty transfers the existing transaction to the new SDR, LEISDR2, by reporting with [Action type] = ‘NEWT’ and [Event type] = ‘PORT’. Note that the 

transaction is reported using the same UTI and same execution timestamp; in addition, all required continuation data are reported.

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

New SDR 

identifier

[#96]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRDE 2018-04-01T14:15:36Z LEI1RPT0001AAAA 10000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 ABCD027 2018-04-01T14:17:36Z

2 MODI TRDE 2018-04-02T10:22:10Z LEI1RPT0001AAAA 9000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 ABCD028 ABCD027 2018-04-02T10:26:10Z

3 PRTO PORT 2018-10-01T17:00:00Z LEI1RPT0001AAAA 9000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 LEISDR2 Not Disseminated

Table 18 - Reporting of ported transaction event to the old SDR

Row

Action 

type

[#24]

Event 

type 

[#25]

Event timestamp

[#27]

Event identifier

[#26]

Unique transaction 

identifier (UTI)

[#94]

Prior UTI (for one-toone and one-to-many 

relations between 

transactions) [#92]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14]

New SDR 

identifier

[#96]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

4 NEWT PORT 2018-10-01T17:00:00Z LEI1RPT0001AAAA 9000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 LEISDR2 Not Disseminated

Table 19 - Reporting of ported transaction to the new SDR

Sample scenarios for end of day daily reporting for valuation and collateral

The table below lists four transactions that are used for illustrating end of day reporting of valuation and collateral. 

Submission 1 and 2: These two transactions are collateralised at the portfolio level by reporting [Collateral portfolio code] = ‘PORT001’.

Submission 3 and 4: These two transactions are collateralised at the transaction level and do not have portfolio codes to be reported.

Row

Action 

type

[#24]

Event 

type

[#25]

Event timestamp

[#27]

Unique transaction 

identifier (UTI)

[#94]

Collateral portfolio code 

[#105]

Notional 

amount

[#28]

Execution timestamp

[#86]

Counterparty 1 

(reporting counterparty) 

[#13]

Counterparty 2

[#14]

1 NEWT TRDE 2019-04-01T10:15:10Z LEI1RPT0001OOOO PORT001 10000 2019-04-01T10:15:10Z LEI1RPT0001 LEI2CP0002

2 NEWT TRDE 2019-04-01T10:15:10Z LEI1RPT0001PPPP PORT001 12000 2019-04-01T10:15:10Z LEI1RPT0001 LEI2CP0002

3 NEWT TRDE 2019-04-01T10:15:10Z LEI1RPT0001QQQQ TRANSACTION-LEVEL 13000 2019-04-01T10:15:10Z LEI1RPT0001 LEI3CP0003

4 NEWT TRDE 2019-04-01T10:15:10Z LEI1RPT0001RRRR TRANSACTION-LEVEL 14000 2019-04-01T10:15:10Z LEI1RPT0001 LEI3CP0003

Table 20 - Reporting Transactions with Portfolio Codes
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 57

Example 14 - Daily Valuation reporting (Action type = VALU)

This example illustrates how the end of day reporting of valuation related data elements are reported to the SDR.

Submission 1 to 4: All required valuation related data elements are reported for each unique transaction identifier (UTI) using [Action type] = ‘VALU’. In addition, if a transaction is collateralised at the portfolio 

level (1 and 2), applicable portfolio code is reported using [Collateral portfolio code] = ‘PORT001’. Transactions collateralised at the transaction level (3 and 4) are reported using [Collateral portfolio code] = 

‘TRANSACTION-LEVEL’

Row

Action 

type

[#24]

Unique transaction 

identifier (UTI)

[#94]

Collateral portfolio 

code [#105]

Valuation 

amount

[#99]

Valuation 

currency

[#100]

Valuation 

method

[#101]

Valuation timestamp

[#102]

Counterparty 1 

(reporting counterparty) 

[#13]

Counterparty 2

[#14]

1 VALU LEI1RPT0001OOOO PORT001 11000 USD M 2019-05-02T23:59:59Z LEI1RPT0001 LEI2CP0002

2 VALU LEI1RPT0001PPPP PORT001 5000 USD M 2019-05-02T23:59:59Z LEI1RPT0001 LEI2CP0002

3 VALU LEI1RPT0001QQQQ TRANSACTION-LEVEL 2500 USD O 2019-05-02T23:59:59Z LEI1RPT0001 LEI3CP0003

4 VALU LEI1RPT0001RRRR TRANSACTION-LEVEL 3750 USD O 2019-05-02T23:59:59Z LEI1RPT0001 LEI3CP0003

Table 21 - Reporting End of Day for Valuation

Example 15 - Daily Collateral and margin reporting (Action type = COLU)

This example illustrates how the end of day reporting of collateral and margin related data elements are reported to the SDR.

Submission 1: All required collateral and margin related data elements are reported for each portfolio code at the end of the day using [Action type] = ‘COLU’. The two transactions in Table 20 - Reporting 

Transactions with Portfolio Codes that are collateralised at the portfolio level are reported as a single submission with the portfolio code. The UTIs are not reported since the two transactions are collateralised at 

the portfolio level.

Submission 2 and 3: The two transactions in Table 20 - Reporting Transactions with Portfolio Codes that are collateralised at the transaction level are reported for each unique transaction identifier (UTI), 

LEI1RPT0001QQQQ and LEI1RPT0001RRRR, at the end of the day using [Action type] = ‘COLU’, and [Collateral portfolio code] = ‘TRANSACTION-LEVEL’.

Table 22 - Reporting Daily End of Day Collateral and Margin

Row

Action 

Type

[#24]

Unique transaction 

identifier (UTI)

[#94]

Collateralisat

ion category

[#104]

Collateral portfolio 

code [#105]

Initial margin

collected 

(post-haircut)

[#110]

Initial margin 

collected 

(pre-haircut)

[#111]

Currency of 

initial margin

collected

[#112]

Variation margin

collected (prehaircut)

[#115]

Currency of 

Variation margin

collected

[#116]

Counterparty 1 

[#13] Counterparty 2 [#14]

1 COLU {blank} FULL PORT001 100000 160000 USD 100000 USD LEI1RPT0001 LEI2CP0002

2 COLU LEI1RPT0001QQQQ FULL TRANSACTION-LEVEL 100000 160000 USD 100000 USD LEI1RPT0001 LEI3CP0003

3 COLU LEI1RPT0001RRRR FULL TRANSACTION-LEVEL 50000 55000 USD 0 USD LEI1RPT0001 LEI3CP0003
Appendices for part 43 and 45 Technical Specification

Technical Specification Page 58

4. References

1. CPMI IOSCO Technical Guidance: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), April 2018

https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf

2. CPMI IOSCO Technical Guidance: Harmonization of Unique Transaction Identifier, February 2017

https://www.iosco.org/library/pubdocs/pdf/IOSCOPD557.pdf

3. CPMI IOSCO Technical Guidance: Harmonisation of Unique Product Identifier, September 2017

https://www.iosco.org/library/pubdocs/pdf/IOSCOPD580.pdf

4. ISO 20022 Universal financial industry message scheme

https://www.iso20022.org/

5. CFTC USI Data Standards, October 2012

https://www.cftc.gov/sites/default/files/idc/groups/public/@swaps/documents/dfsubmission/usidatastandards100112.pdf

6. CFTC Letter No. 17-16 for “privacy law identifiers”, March 2017

http://www.cftc.gov/idc/groups/public/@lrlettergeneral/documents/letter/17-16.pdf