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CFTC Technical Specification

Parts 43 and 45 swap data reporting and public dissemination requirements

September 30, 2021

Version 3.0
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TABLE OF CONTENTS

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).................................................................................................................................................................................... XI

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

3 APPENDIX......................................................................................................................................................................................................... 37

A. ADDITIONAL DATA ELEMENTS PUBLICLY DISSEMINATED - REQUIREMENTS FOR SDRS ONLY............................................................................................................. 37

B. NOTIONAL AMOUNT ....................................................................................................................................................................................................... 38

C. MAPPING OF DAY COUNT CONVENTION ALLOWABLE VALUES TO ISO 20022, FPML, AND FIX/FIXML VALUES................................................................................ 39

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

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

F. EVENTS: VALID ACTION TYPE AND EVENT TYPE COMBINATIONS FOR PART 43 AND PART 45 REPORTING........................................................................................... 49

4. REFERENCES ..................................................................................................................................................................................................... 60

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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Index of Data Elements

A

Action type ......................................................................................................................................................................................8

Affiliated counterparty for margin and capital indicator.................................................................................................................32

Allocation indicator........................................................................................................................................................................27

Amendment indicator....................................................................................................................................................................10

B

Block trade election indicator........................................................................................................................................................27

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

C

Call amount...................................................................................................................................................................................12

Call currency .................................................................................................................................................................................12

CDS index attachment point .........................................................................................................................................................25

CDS index detachment point ........................................................................................................................................................25

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

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

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

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

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

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

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

Collateralisation category..............................................................................................................................................................32

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

Counterparty 1 financial entity indicator..........................................................................................................................................5

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

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

Counterparty 2 identifier source......................................................................................................................................................5

Currency of initial margin collected...............................................................................................................................................35

Currency of initial margin posted ..................................................................................................................................................34

Currency of variation margin collected..........................................................................................................................................36

Currency of variation margin posted.............................................................................................................................................36

Custom basket indicator .................................................................................................................................................................8

D

Day count convention ...................................................................................................................................................................16

Delta..............................................................................................................................................................................................31

Dissemination identifier.................................................................................................................................................................37

Dissemination timestamp .............................................................................................................................................................37

E

Effective date................................................................................................................................................................................27

Embedded option type .................................................................................................................................................................26

Event identifier..............................................................................................................................................................................10

Event timestamp...........................................................................................................................................................................10

Event type.......................................................................................................................................................................................9

Exchange rate ..............................................................................................................................................................................20

Exchange rate basis.....................................................................................................................................................................20

Execution timestamp ....................................................................................................................................................................28

Expiration date..............................................................................................................................................................................27

F

Final contractual settlement date .................................................................................................................................................26

First exercise date ........................................................................................................................................................................25

Fixed rate......................................................................................................................................................................................20

Fixing date....................................................................................................................................................................................16

Floating rate reset frequency period.............................................................................................................................................17

Floating rate reset frequency period multiplier.............................................................................................................................17

I

Index factor...................................................................................................................................................................................25

Initial margin collateral portfolio code...........................................................................................................................................33

Initial margin collected by the reporting counterparty (post-haircut) ............................................................................................34

Initial margin collected by the reporting counterparty (pre-haircut)..............................................................................................34

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

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

J

Jurisdiction....................................................................................................................................................................................30

L

Last floating reference reset date.................................................................................................................................................31

Last floating reference value ........................................................................................................................................................30
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N

New SDR identifier........................................................................................................................................................................30

Next floating reference reset date.................................................................................................................................................30

Non-standardized term indicator...................................................................................................................................................27

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

Notional amount schedule - notional amount in effect on associated effective date....................................................................11

Notional amount schedule - unadjusted effective date of the notional amount ............................................................................11

Notional amount schedule - unadjusted end date of the notional amount....................................................................................12

Notional currency ..........................................................................................................................................................................11

Notional quantity ...........................................................................................................................................................................13

O

Option premium amount ...............................................................................................................................................................24

Option premium currency..............................................................................................................................................................24

Option premium payment date......................................................................................................................................................25

Original dissemination identifier....................................................................................................................................................37

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

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

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

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

Other clearing exemptions – Counterparty 2 ..................................................................................................................................4

Other payment amount .................................................................................................................................................................18

Other payment currency ...............................................................................................................................................................18

Other payment date ......................................................................................................................................................................18

Other payment payer ....................................................................................................................................................................18

Other payment receiver ................................................................................................................................................................19

Other payment type ......................................................................................................................................................................17

P

Package identifier .........................................................................................................................................................................14

Package indicator .........................................................................................................................................................................14

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

Package transaction price currency..............................................................................................................................................15

Package transaction price notation...............................................................................................................................................15

Package transaction spread .........................................................................................................................................................15

Package transaction spread currency ..........................................................................................................................................15

Package transaction spread notation ...........................................................................................................................................16

Payer identifier ................................................................................................................................................................................6

Payment frequency period ............................................................................................................................................................19

Payment frequency period multiplier.............................................................................................................................................19

Platform identifier..........................................................................................................................................................................28

Portfolio containing non-reportable component indicator .............................................................................................................33

Post-priced swap indicator............................................................................................................................................................21

Price currency ...............................................................................................................................................................................22

Price notation ................................................................................................................................................................................22

Price unit of measure ....................................................................................................................................................................22

Price,, ............................................................................................................................................................................................21

Prime brokerage transaction indicator..........................................................................................................................................28

Prior USI (for one-to-one and one-to-many relations between transactions)...............................................................................29

Prior UTI (for one-to-one and one-to-many relations between transactions)...............................................................................29

Put amount ...................................................................................................................................................................................12

Put currency .................................................................................................................................................................................13

Q

Quantity frequency .......................................................................................................................................................................13

Quantity frequency multiplier........................................................................................................................................................13

Quantity unit of measure ..............................................................................................................................................................13

R

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

Reporting timestamp ....................................................................................................................................................................28

S

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

Settlement currency .....................................................................................................................................................................26

Settlement location.......................................................................................................................................................................26

Spread ..........................................................................................................................................................................................22

Spread currency ...........................................................................................................................................................................23

Spread notation ............................................................................................................................................................................23

Strike price....................................................................................................................................................................................23

Strike price currency/currency pair...............................................................................................................................................24

Strike price notation......................................................................................................................................................................24

Submitter identifier .........................................................................................................................................................................7

T

Total notional quantity ..................................................................................................................................................................13

U

Unique product identifier (UPI).....................................................................................................................................................26

Unique product identifier short name ...........................................................................................................................................37

Unique swap identifier (USI).........................................................................................................................................................29

Unique transaction identifier (UTI)................................................................................................................................................30
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V

Valuation amount ..........................................................................................................................................................................31

Valuation currency ........................................................................................................................................................................31

Valuation method .........................................................................................................................................................................31

Valuation timestamp.....................................................................................................................................................................32

Variation margin collateral portfolio code .....................................................................................................................................35

Variation margin collected by the reporting counterparty (pre-haircut)........................................................................................36

Variation margin posted by the reporting counterparty (pre-haircut) ...........................................................................................35
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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 repositories (TRs)1 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, 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 rule. For data elements in the CDE Technical Guidance (“CDE data elements”) adopted by the CFTC (the data element name, definition, format, and allowable values), the CFTC has 

taken them on as written/prescribed by CDE. Where additional guidance is needed for CFTC reporting requirements, that guidance is provided in a footnote for that data element. This Technical

Specification also provides the data elements required to be reported and publicly disseminated under the part 43 rule, 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 (8) Validation Rules and Dissemination Rules

(1) 

#

(2) 

Source

(3) 

Category

(4)

Data Element 

Name

(5)

Definition for Data 

Element

(6)

Format

(7)

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 throughout 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 CDE Technical Guidance. “CFTC” refers to a data element not in the 

published CDE Technical Guidance and sourced from the CFTC.

(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 

jurisdictional requirements. 

(6) 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 

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

the allowable values list should be rejected by the SDRs’ data validation procedures. 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.

(8) 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 (8) Validation Rules and Dissemination Rules.

Nothing in this Technical Specification should be read to prohibit an SDR from limiting 

the number of data elements required to be submitted, to a subset of part 43 or 45 

data elements, for Action Type TERM, PRTO, and EROR. Submission of all parts 43 and 

45 data elements is mandatory for all other Action Types.(8) Validation Rules and 

Dissemination Rules

(8a)

P43/P45

Asset Class

(8b)

Part 45 SDR Validation Rules

P45 End of Day (8c)P43 Reported (8d)

(8e)

Part 43 SDR Validation and 

Dissemination Rules

CR

IR

FX

EQ

CO

(8a) P43/P45 Asset Class: These five columns specify which asset class each data element is required to be reported. As the Commission stated in the swap reporting final rules, “[u]ntil 

the Commission designates a UPI pursuant to § 45.7, SDRs will continue to report, the product-related data elements unique to each SDR.”4 Because of that, asset class should be 

determined by referencing the Technical Guidance, Harmonisation of the Unique Product Identifier5 (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.

(8b) Part 45 SDR Validation Rules: In accordance with §49.10(c), Duty to validate SDR data. This column specifies the validation rule(s) the SDRs must apply to each data element for 

transaction reporting, and end-of-day valuation and collateral reporting for all asset classes. The validation rules in this column are the minimum conditions that must be met. It is 

possible the data element may be reported for scenarios outside of what is listed in the validations column (for example, a value may be provided where there is an else {blank}). 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 element(s) is also 

specified. For product-specific validation rules, see section 1.4 below. 

(8c) P45 End of Day: This column specifies the data elements that are required for end-of-day (collateral and valuation) reporting with a “Y” or “N”.

 3 Legal entity identifiers – refer to § 45.6 4 Swap Data Recordkeeping and Reporting Requirements, 85 Fed. Reg. 75503, 75540 (Nov. 25, 2020) (“Part 45 Final Rule”)

5 See Technical Guidance, Harmonisation of the Unique Product Identifier, September 2017 https://www.iosco.org/library/pubdocs/pdf/IOSCOPD580.pdf
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(8d) P43 Reported: In accordance with part 43 rule, 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”.

(8e) Part 43 SDR Validation and Dissemination Rules: For the data elements that are required to be publicly disseminated, and in accordance with §49.10, 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 SDR disseminating the data, per their own 

procedures, must round and cap the reported notional or principal amount pursuant to §43.4. When notional or principal amount is capped, the SDR must proportionally scale other 

applicable fields that are disseminated to avoid fingerprinting and distortion.

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 code.

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 shall 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 Direction6. The CFTC has adopted the Buyer/Seller and Payer/Receiver approach and not the Direction 1/Direction 2 

approach. The reporting counterparty should NOT report both Buyer/Seller and Receiver/Payer for a given transaction but instead adopt the appropriate data element(s) for the type of instrument 

reported.

1.3.2 Notional amount schedules

For the Notional amount schedule related data elements (#33 - #35), the reporting counterparty must adhere to the implementation procedures established by the SDR.

1.3.3 Repeating data elements or leg-based products

Depending on the product being reported or market convention, a multi-leg or multi-stream product could report a particular data element more than once. An example is Notional amount (#31) 

which could be reported as Notional amount–leg 1 and Notional amount–leg 2 by the submitter depending on the applicability to the product. Unless the data element is listed as “Leg,” it cannot

 6 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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be reported more than once with the exception of ‘Other payments’ related data elements. Generally speaking the validations included in the Technical Specification for leg-based data elements 

are meant to apply to the first leg (Leg 1). It should not, however, be presumed the validations apply to the second leg (Leg 2) similarly. This is due in large part to the conditionality between leg 

fields and in light of the fact that SDR-specific data elements can alter the application of the published validations in ways not contemplated in the Technical Specification. Given this, SDRs may 

incorporate other validations for leg-level data elements, should they deem it necessary. 

1.3.4 Reporting multiple values

Data elements that require reporting of multiple values in a single data element can be reported using a delimiter between the reported values. An example below uses a semi-colon for Clearing 

swap UTIs [#6] which requires multiple UTIs resulting from clearing. The choice of delimiter is left to the discretion of the SDR and the reporting counterparties must adhere to the implementation 

procedures established by the SDR to whom it reports.

Data element Reported values Explanation

Clearing swap UTI LCZ7XYGSLJUHFXXNXD88123456789; LCZ7XYGSLJUHFXXNXD880000000111 2 UTIs separated by ‘;’ and each reported value passes validation 

rules for format and allowable value of the data element

Table 3 - Example showing how multiple values can be reported

1.3.5 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 [#26]) for a transaction and the reason (Event type [#27]) for the action. Related transactions are linked using unique identifiers; for 

example, Prior USI [#100] and Prior UTI [#101] are used for linking one-to-one and one-to-many relationship between transactions. Event identifier [#29] is also used for linking many-to-many 

relationship between transactions for specified situations.

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.

1.3.6 Payments category – Other payments

A number of the data elements in the ‘Payment’ category (CDE data elements Other payment type [#57], Other payment amount [#58], Other payment currency [#59], Other payment date [#60], 

Other payment payer [#61], and Other payment receiver [#62]) 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.

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 UWIN CCY 2019-03-01 LEI-COUNTERPTY1 LEI-COUNTERPTY2 50 000 PEXH CCY 2019-03-01 LEI-COUNTERPTY1 LEI-COUNTERPTY2

Table 4 - Example showing how a set of data elements could be reported
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1.3.7 Offshore Currency

There are multiple currency data elements in the Technical Specification that reference ISO 4217, but ISO 4217 does not include a method to report off-shore currency. The Settlement location

(#90) data element helps differentiate the onshore currency from the offshore currency. For example, an FX swap transaction that involves an “offshore currency” such as Chinese Yuan (renminbi) 

trading in offshore market (i.e., Hong Kong), the ISO 4217 currency code for Chinese Yuan Renminbi, CNY, is required to be reported along with Settlement location data element (see below).

Notional currency Settlement location 

CNY HK

Table 5 - Reporting offshore currency using Settlement location

The offshore currency for CNY is often represented as ‘CNH’ in the marketplace, but it is not an official ISO currency code, so it should not be reported.

1.4 Unique Product Identifier (UPI)7

This Technical Specification includes Unique product identifier (UPI) [#87] and UPI short name [#D4] data elements as placeholders because the Commission stated in the swap reporting final rules, 

“[u]ntil the Commission designates a UPI pursuant to § 45.7, SDRs will continue to report, the product-related data elements unique to each SDR”8 (although a UPI issuer has been announced)9

. 

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. 

These validation rules are specified for transaction, collateral, and valuation reporting in column (8b), 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 6 - Example of product specific validation rule

 7 Refer to § 45.7 (Unique product identifiers) for more details. 8

 Swap Data Recordkeeping and Reporting Requirements, 85 Fed. Reg. 75503, 75540 (Nov. 25, 2020) (“Part 45 Final Rule”) 9 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/
1

2 Technical Specification and Validation Rules

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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 CDE Clearing Cleared Indicator of whether the transaction has been cleared, or is intended to be cleared, 

by a central counterparty10.

Char(1) • Y = Yes, centrally cleared, for beta and 

gamma transactions.11

• N = No, not centrally cleared.

• I = Intent to clear, for alpha12

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”).

Char(20) ISO 17442 Legal Entity Identifier (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’, When 

populated, the value shall 

match the value in 

[Counterparty 1 (reporting 

counterparty)];NR if [Cleared] = 

‘N’ or ‘I’

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.

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.13

• In the case of the principal clearing model, the clearing member is identified as 

clearing member and also as a counterparty in both transactions resulting from 

clearing: (i) in the transaction between the central counterparty and the clearing 

Char(20) ISO 17442 Legal Entity Identifier (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

 10 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.” 11 Throughout this Technical Specification, references to “beta and gamma transactions” in CDE data elements should be read to mean “clearing swaps.” 12 Throughout this Technical Specification, references to “alpha transactions” in CDE data elements should be read to mean “original swaps.” 13 Reporting counterparties should report “clearing swaps” according to the agency clearing model.
2

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

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).

Varchar(42) Refer to: CFTC USI Data Standard14

Up to 42 alphanumeric characters

C C C C C Transaction

C if ([Cleared] = ‘Y’ or

([Cleared] = ‘I’ and [Action type] 

= ‘TERM’)) and [Event type] = 

‘CLRG’ and [Clearing swap 

UTIs] is not populated, else 

{blank};

NR if [Cleared] = ‘N’ 

Collateral

NR

Valuation

NR

N N

6 CFTC Clearing Clearing swap UTIs The unique transaction identifiers (UTI) 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).

Varchar(52) ISO 23897 Unique transaction identifier

Up to 52 alphanumeric characters

C C C C C Transaction

C if ([Cleared] = ‘Y’ or

([Cleared] = ‘I’ and [Action type] 

= ‘TERM’)) and [Event type] = 

‘CLRG’ and [Clearing swap 

USIs] is not populated, else 

{blank};

NR if [Cleared] = ‘‘N’ 

Collateral

NR

Valuation

NR

N N

7 CFTC Clearing Original swap USI The unique swap identifier (USI) of the original swap15 submitted for clearing to the 

derivatives clearing organization that is replaced by clearing swaps.

Varchar(42) Refer to CFTC USI Data Standard

Up to 42 alphanumeric characters

C C C C C Transaction

C if ([Cleared] = ‘Y’ and [Action 

type] = ‘NEWT’ and [Event 

type] = ‘CLRG’) and [Original 

Swap UTI] is not populated, 

else {blank};

NR if [Cleared] = ‘N’ or ‘I’

N N

 14 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

15 For transactions where no original swap USI is available or not provided, a value of “NOTAVAILALBLE” can be used.
3

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

Collateral

NR

Valuation

NR

8 CFTC Clearing Original swap UTI The unique transaction identifier (UTI) of the original swap16 submitted for clearing 

to the derivatives clearing organization that is replaced by clearing swaps.

Varchar(52) ISO 23897 Unique transaction identifier

Up to 52 alphanumeric characters

C C C C C Transaction

C if ([Cleared] = ‘Y’ and [Action 

type] = ‘NEWT’ and [Event 

type] = ‘CLRG’) and [Original 

Swap USI] is not populated, 

else {blank};

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.

Char(20) ISO 17442 Legal Entity Identifier (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 

([Cleared] = ‘I’ [Action type] = 

‘TERM’)) and [Event type] = 

‘CLRG’, else {blank};

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.

YYYY-MMDDThh:mm:ssZ, 

based on UTC.

Any valid date/time based on ISO 8601 

Date and time format.

C C C C C Transaction

C if ([Cleared] = ‘Y’ or 

([Cleared] = ‘I’ and [Action type] 

= ‘TERM’)) and [Event type] = 

'CLRG', else {blank};

NR if [Cleared] = ‘N’

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.

Char(4) • ENDU = End-user exception, § 50.50

• AFFL = Inter-affiliate exemption, § 

50.52

O O O O O Transaction

O if [Cleared] = ‘N’;

NR if [Cleared] = ‘Y’ or ‘I’

N N

 16 For transactions where no original swap UTI is available or not provided, a value of “NOTAVAILABLE” can be used.
4

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

The values may be repeated as applicable. • 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

Collateral

NR

Valuation

NR

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.

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

13 CDE Counterparty Counterparty 1 

(reporting 

counterparty)

Identifier of the counterparty to an OTC derivative transaction17 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.

Char(20) ISO 17442 Legal Entity Identifier (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 218 Identifier of the second counterparty19 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.

• Char(20), for an LEI 

code

• Varchar(72), for 

natural persons who 

are acting as private 

individuals (not eligible 

for an LEI per the 

ROC Statement - 

Individuals Acting in a 

Business Capacity20)

• ISO 17442 Legal Entity Identifier (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 eligible for an LEI 

per the ROC Statement – Individuals 

Acting in a Business Capacity): LEI of the 

reporting counterparty followed by a 

unique identifier assigned and 

maintained consistently by the reporting 

M M M M M Transaction

M

Collateral

M

Valuation

M

Y Y Validation:

Same as part 45 

(Transaction)

Dissemination

Do not disseminate

 17 Throughout this Technical Specification, references to “OTC derivatives” in CDE data elements should be read to mean swaps. 18 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. 19 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 and use the 

same counterparty for all continuation data and lifecycle events. 20 ROC Statement – Individuals Acting in a Business Capacity, ROC Statement - Individuals Acting in a Business Capacity
5

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

and Privacy Law 

Identifier (PLI).

counterparty for that natural person(s) for 

regulatory reporting purpose.

• Privacy Law Identifier (PLI)21

15 CFTC Counterparty Counterparty 2 

identifier source

Source used to identify the Counterparty 2. 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 Identifier22

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).

Boolean • True

• False

C C C C C Transaction

C if [Cleared] = ‘N’ or ‘I’;

NR if [Cleared] = ‘Y’

Collateral

NR

Valuation

NR

N N

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).

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 non-deliverable forwards)

• most options and option-like contracts including swaptions, caps and floors

• credit default swaps (buyer/seller of protection)

• variance, volatility and correlation swaps

• contracts for difference and spreadbets

This data element is not applicable to instrument types covered by data elements 

Payer identifier and Receiver identifier.

• Char(20), for an LEI 

code

• Varchar(72), for 

natural persons who 

are acting as private 

individuals (not eligible 

for an LEI per the 

ROC Statement –

Individuals Acting in a 

Business Capacity) 

and for Privacy Law 

Identifier (PLI).

• ISO 17442 Legal Entity Identifier (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 eligible for an LEI 

per the ROC Statement – Individuals 

Acting in a Business Capacity): 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.

• Char(20), for an LEI 

code

• Varchar(72), for 

• ISO 17442 Legal Entity Identifier (LEI)

code that is included in the LEI data as 

published by the Global LEI Foundation 

C C C C C Transaction N N

 21 Throughout this Technical Specification, Privacy Law Identifier (PLI) has been added as an allowable value for all Counterparty 2 (#14) associated data elements 22 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
6

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

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 non-deliverable forwards)

• most options and option-like contracts including swaptions, caps and floors

• credit default swaps (buyer/seller of protection)

• variance, volatility and correlation swaps

• contracts for difference and spreadbets

This data element is not applicable to instrument types covered by data elements 

Payer identifier and Receiver identifier.

natural persons who 

are acting as private 

individuals (not eligible 

for an LEI per the 

ROC Statement –

Individuals Acting in a 

Business Capacity) 

and for Privacy Law 

Identifier (PLI).

(GLEIF, www.gleif.org/).

• For natural persons who are acting as 

private individuals (not eligible for an LEI 

per the ROC Statement – Individuals 

Acting in a Business Capacity): 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 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

20 CDE Counterparty Payer identifier

[Payer identifier–

Leg 1]

[Payer identifier–

Leg 2]

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:

• most swaps and swap-like contracts including interest rate swaps23, 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.

• Char(20), for an LEI

code

• Varchar(72), for 

natural persons who 

are acting as private 

individuals (not eligible 

for an LEI per the 

ROC Statement –

Individuals Acting in a

Business Capacity)

and for Privacy Law 

Identifier (PLI).

• ISO 17442 Legal Entity Identifier (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 eligible for an LEI 

per the ROC Statement – Individuals 

Acting in a Business Capacity): 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

21 CDE Counterparty Receiver identifier

[Receiver identifierLeg 1]

[Receiver identifierLeg 2]

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 swaps24, 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.

• Char(20), for an LEI

code

• Varchar(72), for 

natural persons who 

are acting as private 

individuals (not eligible 

for an LEI per the 

ROC Statement –

Individuals Acting in a 

Business Capacity) 

and for Privacy Law 

Identifier (PLI).

• ISO 17442 Legal Entity Identifier (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 eligible for an LEI 

per the ROC Statement – Individuals 

Acting in a Business Capacity): 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

 23 For fixed-floating interest rate swaps, the payer is the counterparty paying the fixed rate 24 For fixed-floating interest rate swaps, the receiver is the counterparty receiving the fixed rate
7

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

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.

Char(20) ISO 17442 Legal Entity Identifier (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 Counterparty Counterparty 1 

federal entity 

indicator

Indicator of whether Counterparty 1 is:

(1) One of the following entities:

a) An entity established pursuant to federal law, including, but not limited to, the 

following: 

i. An “agency” as defined in 5 U.S.C. § 551(1), a federal instrumentality, or 

a federal authority; 

ii. A government corporation (examples: as such term is defined in 5 

U.S.C. § 103(1) or in 31 U.S.C. § 9101); 

iii. A government-sponsored enterprise (example: as such term is defined in 

2 U.S.C. § 622(8));

iv. A federally funded research and development center on the master list 

referenced in 48 CFR 35.017-6; and

v. An executive department listed in 5 U.S.C. § 101; or

b) An entity chartered pursuant to federal law after formation (example: an 

organization listed in title 36 of the U.S. Code); or

(2) An entity that was established by, or at the direction of, one or more of the 

entities listed in clause (1), or has an ultimate parent listed in its LEI reference data 

that is an entity listed in clause (1) or in the first part of this clause (2).

Notwithstanding the foregoing, the Counterparty 1 federal entity indicator data 

element does not include federally chartered depository institutions.

Boolean • True

• False

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N N

24 CFTC Counterparty Counterparty 2 

federal entity 

indicator

Indicator of whether Counterparty 2 is:

(1) One of the following entities:

a) An entity established pursuant to federal law, including, but not limited to, the 

following: 

i. An “agency” as defined in 5 U.S.C. § 551(1), a federal instrumentality, or 

a federal authority; 

ii. A government corporation (examples: as such term is defined in 5 

U.S.C. § 103(1) or in 31 U.S.C. § 9101); 

iii. A government-sponsored enterprise (example: as such term is defined in 

2 U.S.C. § 622(8));

iv. A federally funded research and development center on the master list 

referenced in 48 CFR 35.017-6; and

v. An executive department listed in 5 U.S.C. § 101; or

b) An entity chartered pursuant to federal law after formation (example: an 

organization listed in title 36 of the U.S. Code); or

Boolean • True

• False

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N N
8

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

(2) An entity that was established by, or at the direction of, one or more of the 

entities listed in clause (1), or has an ultimate parent listed in its LEI reference data 

that is an entity listed in clause (1) or in the first part of this clause (2).

Notwithstanding the foregoing, the Counterparty 2 federal entity indicator data 

element does not include federally chartered depository institutions.

25 CFTC Custom 

baskets

Custom basket 

indicator

Indicator of whether the swap transaction is based on a custom basket. Boolean • True

• False

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

26 CFTC Events Action type25 Type of action taken on the swap transaction or type of end-of-day reporting.

Actions may include, but are not limited to, new, modify, correct, error, terminate, 

revive, transfer out, valuation, and collateral.

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, or a cancellation of duplicate report.

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.

Revive: An action that reinstates a swap transaction that was reported as error or 

terminated by mistake.

Transfer 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.

Char(4) • NEWT = New

• MODI = Modify

• CORR = Correct

• EROR = Error

• TERM = Terminate

• REVI = Revive

• PRTO = Transfer out

• VALU = Valuation

• MARU = 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 ‘MARU’

Valuation

M, must equal ‘VALU’

Y Y Validation

Same as part 45 

(Transaction)

Dissemination

For valid Action type and 

Event type Combination for 

public dissemination, see 

table in Appendix F.

 25 Only one Action type value is allowed per submission. Multiple Action type values should not be submitted in one transaction report. For example, if a data element needs to be corrected on a previously submitted transaction 

that is getting terminated, the Correct (CORR) value should be submitted as a separate submission prior to the submission of the Terminate (TERM) transaction.
9

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

Collateral: An update to collateral margin data. There will be no corresponding 

Event type.

Refer to appendix F for event model sample scenarios.

27 CFTC Events Event type Explanation or reason for the action being taken on the swap transaction. 

Events may include, but are not limited to, trade, novation, compression or risk 

reduction exercise, early termination, clearing, exercise, allocation, clearing and 

allocation, credit event, and transfer.

Trade: A creation or modification of a transaction.

Novation26: A novation legally moves partial or all of the financial risks of a swap 

from a transferor to a 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.

Allocation27: 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.

Credit event: An event or trigger that results in the termination or modification of 

the state of a previously submitted credit derivative transaction. Applies only to 

credit derivatives.

Char(4) • TRAD = Trade

• NOVA = Novation

• COMP = Compression or Risk 

Reduction

• ETRM = Early termination

• CLRG = Clearing

• EXER = Exercise

• ALOC = Allocation

• CLAL = Clearing & Allocation

• CREV = Credit event

• PTNG = Transfer

• CORP = Corporate event

• UPDT = Upgrade

C C C C C Transaction

C, for valid Action type and 

Event type Combination, see 

table in Appendix F.

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

For valid Action type and 

Event type Combination for 

public dissemination, see 

table in Appendix F

 26 Novation – see definition in § 45.1(a) 27 Allocation – see definition in § 45.1(a)
10

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

Transfer28: The process by which a swap is transferred to another SDR that 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 different SDR (new).

Corporate event: A corporate action on equity underlying that impacts the

transactions on that equity.

Upgrade: An upgrade of an outstanding transaction performed in order to ensure 

its conformity with the amended reporting requirements.

28 CFTC Events Amendment 

indicator

Indicator of whether the modification of the swap transaction reflects newly agreed 

upon term(s) from the previously negotiated terms.

Boolean • True

• False

C C C C C Transaction

C if [Action type] = ‘MODI’, else 

{blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

29 CFTC Events Event identifier Unique29 identifier to link swap transactions resulting from an event may be, but is 

not limited to, compression, and credit event. The unique identifier may be 

assigned by the reporting counterparty or a service provider.

Varchar(52) ISO 17442 Legal Entity Identifier (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 

‘CREV’, else {blank}

Collateral

NR

Valuation

NR

N N

30 CFTC Events Event timestamp Date and time of occurrence of the event as determined by the reporting 

counterparty or a service provider.30

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.

YYYY-MMDDThh:mm:ssZ, 

based on UTC31. 

Any valid date/time based on ISO 8601 

Date and time format.

M M M M M Transaction

M, the value shall be equal to 

or later than the value in 

[Execution timestamp]

Collateral

M

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

31 CDE Notional 

amounts and 

quantities

Notional amount32

[Notional amountLeg 1]

For each leg of the transaction, where applicable:

- for OTC derivative transactions negotiated in monetary amounts, amount 

specified in the contract.

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

34

M M M M M Transaction

M, if UPI.[Instrument type] = 

‘Option’, the value shall match 

N Y Validation

Same as part 45 

(Transaction)

Dissemination

 28 Transfer – A reporting counterparty may change the swap data repository to which the transaction is reported pursuant to rule § 45.10(d). 29 The identifier which relates to the same event should be unique per event.

30 In the case of collateral update (Action type = ‘MARU’), this is the date for which the information contained in the report is provided. Time portion should be reported as “00:00:00”. 31 Both the date and time portion are required to be reported. If the time portion is not available, report “00:00:00” for the time portion. 32 Notional amount for CDS should reflect the gross amount and not the net amount after reflecting version incrementing due to a credit event 34 “99999999999999999999.99999” is accepted when the value is not available at the time of reporting. 25 numerical characters including decimals.
11

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

[Notional amountLeg 2]- for OTC derivative transactions negotiated in non-monetary amounts, refer to 

appendix B for converting notional amounts for non-monetary amounts.

In addition:

• For OTC derivative transactions with a notional amount schedule, the initial 

notional amount, agreed by the counterparties at the inception of the transaction, is 

reported in this data element.

• For OTC foreign exchange options, in addition to this data element, the amounts 

are reported using the data elements Call amount and Put amount. 

• For amendments or lifecycle events33, 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. 

the value in [Call amount] or 

[Put amount]

Collateral

NR

Valuation

NR

Disseminate

32 CDE Notional 

amounts and 

quantities

Notional currency

[Notional currencyLeg 1]

[Notional currencyLeg 2]

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

amount is denominated.

Char(3) Currencies included in ISO 4217

Currency codes.

M M M M M Transaction

M, 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

33 CDE Notional 

amounts and 

quantities

Notional amount 

schedule - notional 

amount in effect on 

associated effective 

date

[Notional amount in 

effect on associated 

effective date-Leg 

1]

[Notional amount in 

effect on associated 

effective date-Leg 

2] 

For each leg of the transaction, where applicable:

for OTC derivative transactions negotiated in monetary amounts with a notional 

amount schedule:

• Notional amount which becomes effective on the associated unadjusted effective 

date.

The initial notional amount and associated unadjusted effective and end date are 

reported as the first values of the schedule.

This data element is not applicable to OTC derivative transactions with notional 

amounts that are condition- or event-dependent. The currency of the varying 

notional amounts in the schedule is reported in Notional currency.

Num(25,5) Any value greater than or equal to zero. O C O O O Transaction - IR

C if UPI.[Notional schedule] ≠ 

‘Constant’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate only the first 

10 reported values of the 

schedule

34 CDE Notional 

amounts and 

quantities

Notional amount 

schedule -

unadjusted effective 

date of the notional 

amount

For each leg of the transaction, where applicable:

for OTC derivative transactions negotiated in monetary amounts with a notional 

amount schedule:

• Unadjusted date on which the associated notional amount becomes effective

YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format.

C C C C C Transaction

C if [Notional amount schedule 

- notional amount in effect on 

associated effective date] is 

populated, else {blank}

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate only the first 

10 reported values of the 

schedule

 33 In the case of a lifecycle event that is a full termination before the swap maturity date, the full terminated value should be reported in the notional data element.
12

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

[Effective date of 

the notional 

amount-Leg 1]

[Effective date of 

the notional 

amount-Leg 2]

This data element is not applicable to OTC derivative transactions with notional 

amounts that are condition- or event-dependent. The currency of the varying 

notional amounts in the schedule is reported in Notional currency.

Collateral

NR

Valuation

NR

35 CDE Notional 

amounts and 

quantities

Notional amount 

schedule -

unadjusted end 

date of the notional 

amount

[End date of the 

notional amountLeg 1]

[End date of the 

notional amountLeg 2]

For each leg of the transaction, where applicable:

for OTC derivative transactions negotiated in monetary amounts with a notional 

amount schedule:

• Unadjusted end date of the notional amount 

(not applicable if the unadjusted end date of a given schedule’s period is back-toback with the unadjusted effective date of the subsequent period).

This data element is not applicable to OTC derivative transactions with notional 

amounts that are condition- or event-dependent. The currency of the varying 

notional amounts in the schedule is reported in Notional currency.

YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format.

C C C C C Transaction

C if [Notional amount schedule 

- notional amount in effect on 

associated effective date] is 

populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate only the first 

10 reported values of the 

schedule

36 CDE Notional 

amounts and 

quantities

Call amount35

[Call amount-Leg 1]

[Call amount-Leg 2]

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

to buy.

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

C if UPI.[Instrument type] = 

‘Option’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

37 CDE Notional 

amounts and 

quantities

Call currency

[Call currency-Leg 

1]

[Call currency-Leg 

2]

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

denominated.

Char(3) Currencies included in ISO 4217

Currency codes.

C C C C C Transaction

C if [Call amount] is populated, 

else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

38 CDE Notional 

amounts and 

quantities

Put amount36

[Put amount-Leg 1]

[Put amount-Leg 2]

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

to sell.

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

C if UPI.[Instrument type] = 

‘Option’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 35 DMO expects this data element and the corresponding currency data element for all asset classes. 36 DMO expects this data element and the corresponding currency data element for all asset classes.
13

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

39 CDE Notional 

amounts and 

quantities

Put currency

[Put currency-Leg 1]

[Put currency-Leg 2]

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

denominated.

Char(3) Currencies included in ISO 4217

Currency codes.

C C C C C Transaction

C if [Put amount] is populated, 

else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

40 CFTC Notional

amounts and 

quantities

Notional quantity

[Notional quantityLeg 1]

[Notional quantityLeg 2] ]

For each leg of the swap 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.

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

41 CFTC Notional

amounts and 

quantities

Quantity 

frequency37

[Quantity frequencyLeg 1]

[Quantity frequencyLeg 2]

The rate at which the quantity is quoted on the swap transaction. e.g., hourly, daily, 

weekly, monthly.

Char(4) • HOUL = Hourly

• DAIL = Daily

• WEEK = Weekly

• MNTH = Monthly

• ONDE = OnDemand

• YEAR = Yearly 

• EXPI = End of term

• ADHO = Ad hoc which applies when 

payments are irregular

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

42 CFTC Notional 

amounts and 

quantities

Quantity frequency

multiplier

[Quantity frequency

multiplier-Leg 1]

[Quantity frequency

multiplier-Leg 2]

The number of time units for the Quantity frequency. 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] ≠ 

‘ONDE’ or ‘ADHO’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

43 CDE Notional 

amounts and 

quantities

Quantity unit of 

measure

[Quantity unit of 

measure-Leg 1]

[Quantity unit of 

measure-Leg 2]

For each leg of the transaction, where applicable: unit of measure in which the 

Total notional quantity and Notional quantity are expressed.

Char(4) ISO 20022 UnitOfMeasureCode codeset 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

44 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.

Num(25,5) Any value greater than or equal to zero.38 N

R

N

R

N

R

M M Transaction – EQ/CO

M

N Y Validation

Same as part 45 

(Transaction)

Dissemination

 37 To represent quarterly, report [Quantity frequency] = ‘MNTH’ and [Quantity frequency multiplier] = ‘3’. For semi-annual, report [Quantity frequency] = ‘MNTH’ and [Quantity frequency multiplier] = ‘6’. 38 ”99999999999999999999.99999” is accepted when the value is not available. 25 numerical characters including decimals.
14

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

[Total notional 

quantity-Leg 1]

[Total notional 

quantity-Leg 2]

Where the Total notional quantity is not known when a new transaction is reported, 

the Total notional quantity is updated as it becomes available.

Collateral

NR

Valuation

NR

Disseminate

45 CFTC Packages Package indicator Indicator of whether the swap transaction is part of a package transaction. Boolean • True

• False

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

46 CDE Packages Package identifier39 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 package40 may include reportable and non-reportable transactions.

This data element is not applicable

• if no package is involved, or

• to allocations

Where the Package identifier is not known when a new transaction is reported, the 

Package identifier is updated as it becomes available.

Varchar(100) Up to 100 alphanumeric characters.41 C C C C C Transaction

C if [Package indicator] = 

‘True’, else {blank}

Collateral

NR

Valuation

NR

N N

47 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, or 

• package transaction spread is used 

Prices and related data elements of the transactions (Price currency, Price 

• 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 = 342 43

C C C C C Transaction

C if [Package indicator] = ‘True’ 

and [Package transaction 

spread] is not populated, else 

{blank}

Collateral

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 39 To report a collar, this field should be populated to link the cap and floor legs. To report a straddle, this field should be populated to link the payer swaption and receiver swaption legs. 40 In addition, a “package transaction” also includes 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) where the execution of each component is contingent upon the execution of all other components; (4) where each component is assigned a Unique Swap 

Identifier (USI) or Unique Transaction Identifier (UTI); and (5) each component is reported separately. 41 “UNKNOWN” is accepted when the value is not available. 42 The allowable values are restricted based on CFTC’s jurisdictional requirements. 43 Default value with all 9’s, for any of the allowable formats, is accepted when the value is unknown. When [Package transaction price notation] = ‘1’ use “99999.9999999999999” (18 numerical characters including 13 decimal 

places). When [Package transaction price notation] = ‘3’ use “9.9999999999” (11 numerical characters including 10 decimal places).
15

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

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.

Valuation

NR

48 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 spread is used, or 

• Package transaction price notation = 3

Char(3) Currencies included in ISO 4217

Currency codes.

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

49 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, or 

• Package transaction spread is used 

Char(1) • 1 = Monetary amount 

• 3 = Decimal44

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

50 CDE Packages Package 

transaction spread

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

component of a package transaction. 

Package transaction price when the price of the package is expressed as a spread, 

difference between two reference prices.

This data element is not applicable if

• no package is involved, or

• Package transaction price is used

Spread and related data elements of the transactions (spread currency, Spread 

notation) that represent individual components of the package are reported when 

available.

Package transaction spread may not be known when a new transaction is reported 

but may be updated later.45

• Num(18,13), if 

Package transaction 

spread notation = 1

• Num(11,10), if 

Package transaction 

spread notation = 3

• Num(5), if Package 

transaction spread 

notation = 4

• Any value, if Package transaction 

spread notation = 1

• Any value expressed as decimal (eg 

0.0257 instead of 2.57%), Package 

spread price notation = 346

• Any integer value expressed in basis 

points (eg 257 instead of 2.57%), if 

Package transaction spread notation = 4

C C C C C Transaction

C if [Package indicator] = ‘True’

and [Package transaction price] 

is not populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

51 CDE Packages Package 

transaction spread 

currency

Currency in which the Package transaction spread is denominated. 

This data element is not applicable if

• no package is involved, or

Char(3) Currencies included in ISO 4217

Currency codes.

C C C C C Transaction N Y Validation

Same as part 45

(Transaction)

 44 The allowable values are restricted based on CFTC’s jurisdictional requirements. 45 Default value with all 9’s, for any of the allowable formats, is accepted when the value is unknown. When [Package transaction price notation] = ‘1’ use “99999.9999999999999” (18 numerical characters including 13 decimal 

places). When [Package transaction price notation] = ‘3’ use “9.9999999999” (11 numerical characters including 10 decimal places). When [Package transaction spread notation] = ‘4’ use “99999” (5 numerical characters with no 

decimal places).

46 The allowable values are restricted based on CFTC’s jurisdictional requirements.
16

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

• Package transaction price is used, or

• Package transaction spread notation = 3, or = 4

C if [Package transaction 

spread notation] = '1', else 

{blank}

Collateral

NR

Valuation

NR

Dissemination

Disseminate

52 CDE Packages Package 

transaction spread 

notation

Manner in which the Package transaction spread is expressed. 

This data element is not applicable if

• no package is involved, or

• Package transaction price is used.

Char(1) • 1 = Monetary amount 

• 3 = Decimal47

• 4 = Basis points

C C C C C Transaction

C if [Package transaction 

spread] is populated, else 

{blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45

(Transaction)

Dissemination

Disseminate

53 CDE Payments Day count 

convention

[Fixed rate day 

count conventionleg 1]

[Fixed rate day 

count conventionleg 2] 

[Floating rate day 

count conventionleg 1]

[Floating rate-day 

count conventionleg 2]

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.

Char(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 C C Transaction – CR/IR

M

Transaction – FX

O

Transaction – CO/EQ

C if [Payment frequency period] 

is populated, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

54 CFTC Payments Fixing date

[Fixing date-Leg 1]

[Fixing date-Leg 2]

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.

YYYY-MM-DD Any valid date based on ISO 8601 Date 

and time format.

O O C O O Transaction – CR/IR/EQ/CO

O

Transaction - FX 

N N

 47 The allowable values are restricted based on CFTC’s jurisdictional requirements.
17

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

C if (UPI.[Instrument type] = 

‘Forward’ or ‘Option’) and 

UPI.[Delivery type] = ‘Cash’, 

else {blank}

Collateral

NR

Valuation

NR

55 CFTC Payments Floating rate reset 

frequency period

[Floating rate reset 

frequency periodleg 1]

[Floating rate reset 

frequency periodleg 2]

For each floating leg of the swap transaction, where applicable, time unit 

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

stream.

Char(4) • DAIL = Daily

• WEEK = Weekly

• MNTH = Monthly

• YEAR = Yearly

• ADHO = Ad hoc which applies when 

payments are irregular 

• EXPI = 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 ‘EXPI’, 

[Floating rate reset frequency 

period multiplier] must be ‘1’

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

56 CFTC Payments Floating rate reset 

frequency period 

multiplier

[Floating rate reset 

frequency period 

multiplier-leg 1]

[Floating rate reset 

frequency period 

multiplier-leg 2]

For each floating leg of the swap 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 “EXPI”, 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.

Num(3,0) Any value greater than or equal to zero. C C C C C Transaction 

C if [Floating rate reset 

frequency period] ≠ ‘ADHO’, 

else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

57 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.

Char(4) • UFRO = 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 offmarket transaction

• UWIN = 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 

C O O O O Transaction - CR

C, at least one is required: 

([Fixed rate] or [Spread] or 

[Other payment type] = 

‘UFRO’).

Allowable values ‘UWIN’ and 

‘PEXH’ are optional and 

independent of the above 

condition

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate
18

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

full termination of derivative 

transaction(s)

• PEXH = Principal Exchange, i.e.,

Exchange of notional values for crosscurrency swaps

Transaction – IR/FX/EQ/CO

O

Collateral

NR

Valuation

NR

58 CDE Payments Other payment 

amount48

Payment amounts with corresponding payment types to accommodate 

requirements of transaction descriptions from different asset classes.

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

59 CDE Payments Other payment 

currency

Currency in which Other payment amount is denominated. Char(3) Currencies included in ISO 4217

Currency codes.

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

60 CDE Payments Other payment date Unadjusted date on which the Other payment amount is paid. YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format.

C C C C C Transaction

C if [Other payment amount] is 

populated, else {blank}

Collateral

NR

Valuation

NR

N N

61 CDE Payments Other payment 

payer

Identifier of the payer of Other payment amount. • Char(20), for an LEI 

code

• Varchar(72), for 

natural persons who 

are acting as private 

individuals (not eligible 

for an LEI per the 

ROC Statement –

Individuals Acting in a 

Business Capacity) 

and for Privacy Law 

Identifier (PLI).

• ISO 17442 Legal Entity Identifier (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 eligible for an LEI 

per the ROC Statement – Individuals 

Acting in a Business Capacity): LEI of the 

reporting counterparty followed by a 

unique identifier assigned and 

maintained consistently by the reporting 

counterparty for that natural person(s) for 

C C C C C Transaction

C if [Other payment amount] is 

populated, else {blank}

Collateral

NR

Valuation

NR

N N

 48 The set of data elements related to other payments (Other payment type [#57], Other payment amount [#58], Other payment currency [#59], Other payment date [#60], Other payment payer [#61], Other payment receiver

[#62]) can be reported multiple times in the case of multiple payments.
19

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

regulatory reporting purpose.

• Privacy Law Identifier (PLI) 

62 CDE Payments Other payment 

receiver

Identifier of the receiver of Other payment amount. • Char(20), for and LEI 

code

• Varchar(72), for 

natural persons who 

are acting as private 

individuals (not eligible 

for an LEI per the 

ROC Statement –

Individuals Acting in a 

Business Capacity) 

and for Privacy Law 

Identifier (PLI).

• ISO 17442 Legal Entity Identifier (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 eligible for an LEI 

per the ROC Statement – Individuals 

Acting in a Business Capacity): 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}

Collateral

NR

Valuation

NR

N N

63 CDE Payments Payment frequency 

period49

[Fixed rate payment 

frequency periodLeg 1]

[Fixed rate payment 

frequency periodLeg 2] [Floating rate 

payment frequency 

period-Leg 1]

[Floating rate 

payment frequency 

period-Leg 2]

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.

Char(4) • DAIL = Daily

• WEEK = Weekly

• MNTH = Monthly

• YEAR = Yearly

• ADHO = Ad hoc which applies when 

payments are irregular 

• EXPI 50 = Payment at term

M C N

R

O O Transaction –CR

M

Transaction - IR

C if UPI.[Instrument type] = 

‘Swap’, else {blank},hen 

populated with ‘EXPI, [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

64 CDE Payments Payment frequency 

period multiplier

[Fixed rate payment 

frequency period 

multiplier-Leg 1]

[Fixed rate payment 

frequency period 

multiplier-Leg 2]

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 “EXPI”, 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.

Num(3,0) 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

 49 To represent quarterly payment, report [Payment frequency period] = ‘MNTH’ and [Payment frequency period multiplier] = ‘3’. For semi-annual payment, report [Payment frequency period] = ‘MNTH’ and [Payment frequency 

period multiplier] = ‘6’. 50 Throughout this Technical Specification, for the allowable value ‘EXPI’ 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. 
20

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

[Floating rate 

payment frequency 

period multiplierLeg 1]

[Floating rate 

payment frequency 

period multiplierLeg 2]

65 CDE Prices Exchange rate51 Exchange rate between the two different currencies specified in the OTC derivative 

transaction agreed by the counterparties at the inception of the transaction, 

expressed as the rate 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.

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

66 CDE Prices Exchange rate 

basis

[Exchange rate 

basis-Leg 1]

[Exchange rate 

basis-Leg 2]

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.

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 Currency codes.

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

67 CDE Prices Fixed rate

[Fixed rate-Leg 1]

[Fixed rate-Leg 2]

For each leg of the transaction, where applicable: for OTC derivative transactions 

with periodic payments, per annum rate of the fixed leg(s).

Num(11,10) Positive and negative values expressed 

as decimal (e.g., 0.0257 instead of 

2.57%)52

C C N

R

N

R

C Transaction - CR

C if [Spread] is not populated 

and [Other payment type] ≠ 

‘UFRO’, 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}

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 51 For FX, forward exchange rate would be reported in this data element. 52 The allowable values are restricted based on CFTC’s jurisdictional requirements.
21

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

Collateral

NR

Valuation

NR

68 CFTC Prices Post-priced swap 

indicator

Indicator of whether the swap transaction satisfies the definition of “post-priced 

swap” in § 43.2(a) of the Commission’s regulations.

Boolean • True53

• False

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

69 CDE Prices Price54 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 

• 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 = 355

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

 53 For transactions where the swap price is not known at the time to execution, those unknown swap price-related fields can be reported as blank until such time that the price is known. 54 While Price (#69) captures the prices at which counterparties negotiate contracts, market prices are reflected in the valuation amounts. 55 The allowable values are restricted based on CFTC’s jurisdictional requirements.
22

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

(Other payment type: Upfront payment) may be interpreted as the price of the 

transaction.

• Commodity options, as it is understood that the information included in the data 

elements Strike price and Option premium may be interpreted as the price of the 

transaction.

Where the price is not known when a new transaction is reported, the price is 

updated as it becomes available.

For transactions that are part of a package, this data element contains the price of 

the component transaction where applicable. 

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

Price currency is only applicable if Price notation = 1.

Char(3) Currencies included in ISO 4217

Currency codes.

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

71 CDE Prices Price notation Manner in which the price is expressed. Char(1) • 1 = Monetary amount 

• 3 = Decimal56

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

72 CDE Prices Price unit of 

measure

Unit of measure in which the price is expressed. Char(4) ISO 20022 UnitOfMeasureCode codeset 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

73 CDE Prices Spread57

[Spread-Leg 1]

[Spread-Leg 2]

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

• 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 = 358

• 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] ≠ 

‘UFRO’, and [Post-priced swap 

indicator] = ‘False’, and 

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

.

 56 The allowable values are restricted based on CFTC’s jurisdictional requirements. 57 For equity swaps, portfolio swaps, and contract for difference (CFDs), report the weighted overall spread for the basket instead of individual legs. 58 The allowable values are restricted based on CFTC’s jurisdictional requirements.
23

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

• 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.

UPI.[Instrument type] ≠ 

‘Option’, else {blank}

Transaction - IR

C if [Fixed rate] is not populated 

and [Post-priced swap 

indicator] = ‘False’, and 

UPI.[Instrument type] ≠ 

‘Option’, else {blank}

Transaction - EQ

C if [Price] is not populated, 

and [Post-priced 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

74 CDE Prices Spread currency

[Spread currencyLeg 1]

[Spread currencyLeg 2]

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.

Char(3) Currencies included in ISO 4217

Currency codes.

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

75 CDE Prices Spread notation

[Spread notationLeg 1]

[Spread notationLeg 2]

For each leg of the transaction, where applicable: manner in which the spread is 

expressed.

Char(1) • 1 = Monetary amount 

• 3 = Decimal59

• 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

76 CDE Prices Strike price • 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. 

• Num(18,13), if Strike 

price notation = 1

• Any value (e.g., USD 6.39) expressed 

as 6.39, for equity options, commodity 

C C C C C Transaction N Y Validation

 59 The allowable values are restricted based on CFTC’s jurisdictional requirements.
24

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

• 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 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.

• Num(11,10), if Strike 

price notation = 3

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 credit 

swaptions quoted in spread, and similar 

products, if Strike price notation = 360

C if [Post-priced swap indicator] 

= ‘False’ and UPI.[Instrument 

type] = ‘Option’, else {blank}

Collateral

NR

Valuation

NR

Same as part 45 

(Transaction)

Dissemination

Disseminate

77 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.

• 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

Currency codes.

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

78 CDE Prices Strike price notation Manner in which the strike price is expressed. Char(1) • 1 = Monetary amount

• 3 = Decimal61

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

79 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. 

Num(25,5) Any value greater than or equal to zero. C C C C C Transaction

C if UPI.[Instrument type] = 

‘Option’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

80 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 optionality.

Char(3) Currencies included in ISO 4217

Currency codes.

C C C C C Transaction

C if [Option premium amount] > 

0, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 60 The allowable values are restricted based on CFTC’s jurisdictional requirements. 61 The allowable values are restricted based on CFTC’s jurisdictional requirements.
25

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

81 CDE Prices Option premium 

payment date

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

on UTC.

Any valid date based on ISO 8601 Date 

and time format.

C C C C C Transaction

C if [Option premium amount] > 

0, else {blank}

Collateral

NR

Valuation

NR

N N

82 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.

YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format.

C C C C C Transaction

C if UPI.[Instrument type] = 

‘Option’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

83 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).

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

84 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).

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

NR

N N

85 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.

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’, else {blank}

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate
26

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

Collateral

NR

Valuation

NR

86 CFTC Product Embedded option 

type

Type of option or optional provision embedded in a contract. 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

87 CFTC Product Unique product 

identifier62

A unique set of characters that represents a particular OTC derivative. The 

Commission will designate a UPI pursuant to part 45.7.

Char(12) ISO 4914 Unique product identifier

A list of allowable values and their format 

will be published by the UPI issuer. 

N

R

N

R

N

R

N

R

N

R

Transaction

NR

Collateral

NR

Valuation

NR

N N

88 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.

YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format.

M M M M M Transaction

M, When populated, the value 

shall be equal to or later than 

the value in [Expiration date]

Collateral

NR

Valuation

NR

N N

89 CDE Settlement Settlement currency

[Settlement 

currency-Leg 1]

[Settlement 

currency-Leg 2]

Currency for the cash settlement of the transaction when applicable.

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). 

Char(3) Currencies included in ISO 4217

Currency codes.

C C C C C Transaction

C if UPI.[Delivery type] = 

‘Cash’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

90 CDE Settlement Settlement location

[Settlement 

location-Leg 1]

[Settlement 

location-Leg 2]

Place of settlement of the transaction as stipulated in the contract. This data 

element is only applicable for transactions that involve an offshore currency (i.e. a 

currency which is not included in the ISO 4217 currency list, for example CNH).

Char(2) ISO 3166 Country codes63 O O O O O Transaction

O

Collateral

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 62 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.

63 CFTC requires ISO country code to be reported using two-letter code (alpha-2).
27

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

Valuation

NR

91 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. 

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

92 CFTC Transaction 

related

Non-standardized 

term indicator

Indicator of whether the swap transaction 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 transaction.

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

93 CFTC Transaction 

related

Block trade election 

indicator

Indicator of whether an election has been made to report the swap transaction as a 

block transaction by the reporting counterparty or as calculated by either the swap 

data repository acting on behalf of the reporting counterparty or by using a third 

party.

Boolean • True

• False

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45

(Transaction)

Dissemination

Disseminate

94 CDE Transaction 

related

Effective date64 Unadjusted date at which obligations under the OTC derivative transaction come 

into effect, as included in the confirmation.

YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format.

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45

(Transaction)

Dissemination

Disseminate

95 CDE Transaction 

related

Expiration date65 Unadjusted date at which obligations under the OTC derivative transaction stop 

being effective, as included in the confirmation. Early termination does not affect 

this data element. 

YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format.

M M M M M Transaction

M, when populated, the value 

shall be equal to or later than 

the value in [Effective date]

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45

(Transaction)

Dissemination

Disseminate

 64 For commodities swaps, report the pricing start date. 65 For commodities swaps, report the pricing end date. 
28

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

96 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.66

YYYY-MMDDThh:mm:ssZ, 

based on UTC67. 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 based on ISO 8601 

Date and time format.

M M M M M Transaction

M

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45

(Transaction)

Dissemination

Disseminate

97 CDE Transaction 

related

Reporting 

timestamp68

Date and time of the submission of the report to the trade repository. YYYY-MMDDThh:mm:ssZ, 

based on UTC.

Any valid date/time based on ISO 8601 

Date and time format.

M M M M M Transactions

M, the value shall be equal to 

or later than the value in 

[Execution timestamp]

Collateral

M

Valuation

M

Y Y Validation

Same as part 45

(Transaction)

Dissemination

Do not disseminate

98 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.

Char(4) ISO 10383 Market identifier codes.

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

99 CFTC Transaction 

related

Prime brokerage 

transaction indicator

Indicator of whether the swap transaction satisfies the definition of “mirror swap” or 

“trigger swap” in § 43.2(a) of the Commission’s regulations. 

Boolean • True

• False

C C C C C Transaction

C if [Cleared] = ‘N’ or ‘I’;

NR if [Cleared] = ‘Y’

N Y Validation

Same as part 45 

(Transaction)

 66 For clearing swaps, the execution timestamp is the date and time when the DCO accepts the original swap. 67 Both the date and time portion are required to be reported. 68 Reporting timestamp (#97) is recorded and reported by the submitter.
29

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

Collateral

NR

Valuation

NR

Dissemination

Disseminate

100 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 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).

Varchar(42) Refer to: CFTC USI Data Standard

Up to 42 alphanumeric characters

C C C C C Transaction

C if [Action type] = ‘NEWT’ and 

([Event type] = ‘NOVA’ or 

‘CLRG’ or ‘EXER’ or ‘ALOC’ or 

‘CLAL’) and [Prior UTI (for oneto-one and one-to-many 

relations between 

transactions)] is not populated, 

else {blank}

Collateral

NR

Valuation

NR

N N

101 CDE Transaction 

related

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

between 

transactions)

UTI assigned to the predecessor transaction that has given rise to the reported 

transaction due to a lifecycle event, in a one-to-one relation between transactions 

(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).

Varchar(52) ISO 23897 Unique transaction identifier

Up to 52 alphanumeric characters

C C C C C Transaction

C if [Action type] = ‘NEWT’ and 

([Event type] = ‘‘NOVA’ or 

‘CLRG’ or ‘EXER’ or ‘ALOC’ or 

‘CLAL’) and [Prior USI (for oneto-one and one-to-many 

relations between 

transactions)] is not populated, 

else {blank}

Collateral

NR

Valuation

NR

N N

102 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.

Varchar(42) Refer to: CFTC USI Data Standard69

Up to 42 alphanumeric characters

C C C C C Transaction

C if [Unique transaction 

identifier (UTI)] is not 

populated, else {blank}

Collateral

C if [Initial margin collateral

portfolio code] = 

‘TRANSACTIONLEVEL’ and 

[Unique transaction identifier 

(UTI)] is not populated, else 

{blank}

Y Y Validation

Same as part 45 

(Transaction)

Dissemination

Do not disseminate

 69 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
30

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

Valuation

C if [Unique transaction 

identifier (UTI)] is not 

populated, else {blank}

103 CFTC Transaction 

related

Unique transaction 

identifier (UTI)

A unique identifier assigned to all swap transactions which identifies the swap 

uniquely throughout its lifecycle and used for all recordkeeping and all swap data 

reporting pursuant to §45.5. A UTI is comprised of the LEI of the generating entity 

and a unique alphanumeric code.

Varchar(52) ISO 23897 Unique transaction identifier

Up to 52 alphanumeric characters

C C C C C Transaction

C if [Unique swap identifier 

(USI)] is not populated, else 

{blank}

Collateral

C if [Initial margin collateral

portfolio code] = 

‘TRANSACTIONLEVEL’ and 

[Unique swap identifier (USI)] is 

not populated, 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

104 CFTC Transaction 

related

Jurisdiction The jurisdiction(s) that is requiring the reporting of the swap transaction. Char(4) • CFTC = Commodity Futures Trading 

Commission

• SECH = U.S. Securities and Exchange 

Commission

• MIXX = Mixed

M M M M M Transaction

M

Collateral

NR

Valuation

NR

Y N

105 CFTC Transfer New SDR identifier Identifier of the new swap data repository where the swap transaction is transferred 

to. 

Char(20) ISO 17442 Legal Entity Identifier (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] = ‘PTNG’, else 

{blank}

Collateral

NR

Valuation

NR

N N

106 CFTC Valuation Next floating 

reference reset date

[Next floating 

reference reset 

date-Leg 1]

[Next floating 

reference reset 

date-Leg 2]

The nearest date in the future that the floating reference resets on. YYYY-MM-DD Any valid date based on ISO 8601 Date 

and time format.

C C C C C Transaction

NR

Collateral

NR

Valuation

C if [Last floating reference 

value] is populated, else {blank}

Y N

107 CFTC Valuation Last floating 

reference value

[Last floating 

The most recent sampling of the value of the floating reference for to determine

cash flow. Ties to Last floating reference reset date data element.

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

Y N
31

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

reference value-Leg 

1]

[Last floating 

reference value-Leg 

2]

NR 

Valuation

C if UPI.[Underlier ID] is 

populated, else {blank}

108 CFTC Valuation Last floating 

reference reset date

[Last floating 

reference reset 

date-Leg 1]

[Last floating 

reference reset 

date-Leg 2]

The date of the most recent sampling of the floating reference to determine cash

flow. Ties to Last floating reference value data element.

YYYY-MM-DD Any valid date based on ISO 8601 Date 

and time format.

C C C C C Transaction

NR

Collateral

NR

Valuation

C if [Last floating reference 

value] is populated, else {blank}

Y N

109 CDE Valuation Delta70 The ratio of the change in the price of an OTC derivative transaction to the change 

in the price of the underlier, at the time a new transaction is reported or when a 

change in the notional amount is reported.

Num(25,5) Any value between negative one and 

one.

M M M M M Transaction

NR

Collateral

NR

Valuation

C if UPI.[Instrument type] = 

‘Option’, else {blank}

Y N

110 CDE Valuation Valuation amount71 Current value of the outstanding contract.

Valuation amount is expressed as the exit cost of the 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).

Num(25,5) Any value. M M M M M Transaction

NR

Collateral

NR

Valuation

M

Y N

111 CDE Valuation Valuation currency Currency in which the valuation amount is denominated. Char(3) Currencies included in ISO 4217

Currency codes.

M M M M M Transaction

NR

Collateral

NR

Valuation

M

Y N

112 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.

Char(4) • MTMA = Mark-to-market

• MTMO = Mark-to-model 

• CCPV = Central counterparty’s 

valuation

M M M M M Transaction

NR

Collateral

NR

Valuation

Y N

 70 Delta must be reported daily regardless of whether there is a change in the value since the last reporting. 71 Valuation amount must be reported daily regardless of whether there is a change in the value since the last reporting.
32

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

If only inputs are used that are classified as mark-to-market in appendix D, then the 

whole valuation is classified as mark-to-market.

(Classification of valuation inputs are 

provided in Appendix D)

M, when populated with 

‘CCPV’, [Cleared] must be ‘Y’.

113 CDE Valuation Valuation 

timestamp

Date and time of the last valuation marked to market, provided by the central 

counterparty (CCP)72 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.

YYYY-MMDDThh:mm:ssZ, 

based on UTC73. 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 based on ISO 8601 

Date and time format.

M M M M M Transaction

NR

Collateral

NR

Valuation

M

Y N

114 CFTC Collateral 

and margins

Affiliated 

counterparty for 

margin and capital 

indicator

Indicator of whether the current counterparty is deemed an affiliate for U.S. margin 

and capital rules (as per § 23.159).

Boolean • True

• False

M M M M M Transaction

NR

Collateral

M

Valuation

NR

Y N

115 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.

Char(4) • UNCL

• PRC1

• PRC2

• PRCL

• OWC1 

• OWC2

• OWP1

• OWP2

• FLCL

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

 72 Reported by the derivatives clearing organization (DCO) for cleared swaps and by the swap dealer for uncleared swaps 73 The timestamp portion is not required to be represented for Valuation timestamp. The format must be reported as YYYY-MM-DD.
33

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

116 CFTC Collateral 

and margins

Initial margin 

collateral portfolio 

code

If collateral is reported on a portfolio basis, a unique code assigned by the 

reporting counterparty to the portfolio that tracks the aggregate initial margin of a 

set of open swap transactions. This data element is not applicable if the 

collateralisation was performed on a transaction level basis, or if there is no 

collateral agreement, or if no collateral is posted or received.

The portfolio code is required for both collateral reporting and valuation reporting in 

order to link the 2 data sets.

Varchar(52) Up to 52 alphanumeric characters.74 M M M M M Transaction

M

Collateral

M

Valuation

M

Y N

117 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 swap transactions exempt from reporting. 

Boolean • True

• False

M M M M M Transaction

NR

Collateral

M

Valuation

NR

Y N

118 CDE Collateral 

and margins

Initial margin posted 

by the reporting 

counterparty (posthaircut)

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 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.

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 ‘OWP1’ or 

‘FLCL’), else {blank}

Valuation

NR

Y N

119 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 

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 ‘OWP1’ or 

‘FLCL’), else {blank}

Valuation

NR

Y N

 74 If collateralization was performed on a transaction level basis, “TRANSACTIONLEVEL” is accepted.
34

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

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.

120 CDE Collateral 

and margins

Currency of initial 

margin posted75

Currency in which the initial margin posted is denominated.

If the initial margin posted is denominated in more than one currency, this data 

element reflects one of those currencies into which the reporting counterparty has 

chosen to convert all the values of posted initial margins.

Char(3) Currencies included in ISO 4217

Currency codes.

C C C C C Transaction

NR

Collateral

C if [Initial margin posted by the 

reporting counterparty (posthaircut)] or [Initial margin 

posted by the reporting 

counterparty (pre-haircut)] is 

populated, else {blank}

Valuation

NR

Y N

121 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.

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 ‘OWP2’ or 

‘FLCL’), else {blank}

Valuation

NR

Y N

122 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.

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 ‘OWP2’ or 

‘FLCL’), else {blank}

Valuation

NR

Y N

 75 For portfolio with multiple currencies, it must be converted in to a single currency chosen by the reporting counterparty and reported.
35

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

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.

123 CDE Collateral 

and margins

Currency of initial 

margin collected76

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.

Char(3) Currencies included in ISO 4217

Currency codes.

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

124 CFTC Collateral 

and margins

Variation margin 

collateral portfolio 

code

If collateral is reported on a portfolio basis, a unique code assigned by the 

reporting counterparty to the portfolio that tracks the aggregate variation margin 

related to a set of open swap transactions. This data element is not applicable if 

the collateralisation was performed on a transaction level basis, or if there is no 

collateral agreement, or if no collateral is posted or received.

The portfolio code is required for both collateral reporting and valuation reporting in 

order to link the 2 data sets.

Varchar(52) Up to 52 alphanumeric characters.77 M M M M M Transaction

M

Collateral

M

Valuation

M

Y N

125 CDE Collateral 

and margins

Variation margin 

posted by the 

reporting 

counterparty (prehaircut)78

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.

Num(25,5) Any value greater than or equal to zero. C C C C C Transaction

NR

Collateral

C if ([Collateralisation category] 

= ‘PRC1’ or ‘PRCL’ or ‘OWC1’ 

or ‘OWP1’ or ‘OWP2’ or 

‘FLCL’), else {blank}

Valuation

NR

Y N

 76 For portfolio with multiple currencies, it must be converted in to a single currency chosen by the reporting counterparty and reported. 77 If collateralization was performed on a transaction level basis, “TRANSACTIONLEVEL” is accepted. 78 This data element must be reported daily regardless of whether there is a change in the value since the last reporting.
36

Technical Specification Validation Rules and Dissemination Rules

#

Source

Category Data Element 

Name Definition for Data Element Format 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

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.

126 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.

Char(3) Currencies included in ISO 4217

Currency codes.

C C C C C Transaction

NR

Collateral

C if [Variation margin posted by 

the reporting counterparty (prehaircut)] is populated, else 

{blank}

Valuation

NR

Y N

127 CDE Collateral 

and margins

Variation margin 

collected by the 

reporting 

counterparty (prehaircut)79

Monetary value of the variation margin collected by the reporting counterparty 

(including the cash-settled one), and including any margin that is in transit and 

pending settlement 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.

Num(25,5) Any value greater than or equal to zero. C C C C C Transaction

NR

Collateral

C if ([Collateralisation category] 

= ‘PRC2’ or ‘PRCL’ or ‘OWC2 

or ‘OWP1’ or ‘OWP2’ or 

‘FLCL’), else {blank}

Valuation

NR

Y N

128 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.

Char(3) Currencies included in ISO 4217

Currency codes.

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

 79 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

37

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 Format Allowable Values

Asset Class Dissemination Rule CRIRFXEQCO

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

publicly disseminated message. 

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, publiclydisseminated swap transaction and pricing data.

Varchar(52) Up to 52 alphanumeric 

characters

C C C C C C if ([Action type] = ‘CORR’ or ‘EROR’ or 

‘TERM’ or ‘REVI’ or (‘MODI’ and [Amendment 

indicator] = ‘True’)), else {blank}

D3 Dissemination Related Dissemination timestamp Date and time, to the nearest second, that an SDR 

publicly disseminates, as defined in § 43.2.

YYYY-MM-DDThh:mm:ssZ, 

based on UTC

Any valid date/time based on 

ISO 8601 Date and time format.

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 issuer80 corresponding to the UPI.

A list of allowable values and their format will be published by 

the UPI issuer.

N

R

N

R

N

R

N

R

N

R

 80 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

38

B. Notional amount

From CPMI IOSCO Technical Guidance: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)81, 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.

 81 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

39

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)82, Annex 1, Table 4.

Allow

able 

value

ISO 20022 name ISO 20022 definition83

FIX/ 

FIXML84

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML85

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 be 31 and D1 is greater than 29, in which 

case D2 will be 3086

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).

 82 https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf 83 The information contained in this column refers to the ISO 20022 data dictionary. 

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

85 The definitions contained herein are copyright 2006 by International Swaps and Derivatives Association, Inc. (ISDA) and reproduced by permission of ISDA. All Rights Reserved. 86 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

40

Allow

able 

value

ISO 20022 name ISO 20022 definition83

FIX/ 

FIXML84

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML85

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

41

Allow

able 

value

ISO 20022 name ISO 20022 definition83

FIX/ 

FIXML84

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML85

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 Calculation Period or Compounding 

Period in respect of which payment is being made.

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 be 31, in which case D2 

will be 30.
Appendices for part 43 and 45 Technical Specification

42

Allow

able 

value

ISO 20022 name ISO 20022 definition83

FIX/ 

FIXML84

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML85

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 Calculation Period 

or Compounding Period falling in a non-leap year divided 

by 365).

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

43

Allow

able 

value

ISO 20022 name ISO 20022 definition83

FIX/ 

FIXML84

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML85

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 be counted back to the previous 28 

February unless 29 February exists, in which case, 29 

February should be used.

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

44

Allow

able 

value

ISO 20022 name ISO 20022 definition83

FIX/ 

FIXML84

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML85

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.

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.
Appendices for part 43 and 45 Technical Specification

45

Allow

able 

value

ISO 20022 name ISO 20022 definition83

FIX/ 

FIXML84

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML85

code FpML definition

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 code 

instead.

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]
Appendices for part 43 and 45 Technical Specification

46

Allow

able 

value

ISO 20022 name ISO 20022 definition83

FIX/ 

FIXML84

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML85

code FpML definition

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).

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

47

D. Valuation method

From CPMI IOSCO Technical Guidance: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)87, 2.28 Valuation method.

Classification of valuation inputs

Bucket Input used Valuation method88

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

 87 Technical Guidance, Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf 88 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

48

E. Collateralisation category

From CPMI IOSCO Technical Guidance: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)89, 2.47 Collateralisation category.

Value Name Definition

UNCL 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.

PRC1 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.

PRC2 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.

PRCL 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.

OWP1 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.

OWP2 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.

FLCL 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.

 89 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

49

F. Events: Valid Action type and Event type combinations for part 43 and part 45 reporting

The table below, ‘Valid Action type and Event type combinations’, displays all valid and allowable combinations for Action type [#26] and Event type [#27] allowable values. Rows list all allowable Action 

types and columns list all allowable Event types. White and gray boxes with a check symbol () indicate if the given combination is allowed for part 43 and/or part 45 reporting. All other combinations 

are expected to be rejected by the SDRs. For guidance on publicly reportable swap transactions, refer to § 43.2 (a).

Action type &

Event type

combinations

Event Type

Trade 

(TRAD)

Novation 

(NOVA)

Compression 

or Risk 

Reduction 

Exercise90

(COMP)

Early 

Termination 

(ETRM)

Clearing 

(CLRG)

Exercise 

(EXER)

Allocation

(ALOC)

Clearing 

& 

Allocation 

(CLAL)

Credit 

Event

(CREV)

Transfer

(PTNG)

Corporate

Event

(CORP)

Upgrade

(UPDT)

Action Type91

New (NEWT)         

Modify (MODI)        

Correct (CORR)

Terminate (TERM)         

Error (EROR)

Revive (REVI)

Transfer out (PRTO)92 

Valuation (VALU)

Collateral (MARU)

Not allowed for either P45 or P43

 Allowed for P45 but not allowed for P43

 Allowed for both P43 and P45

Table 7 - Valid Action type and Event type combinations

 90 This event type is allowed for P43 as some risk reduction exercises may result in a publicly reportable transaction. 91 Correct (CORR), Error (EROR), and Revive (REVI) Action types do not associate with any Event type and are allowed for both part 43 and part 45 reporting. Valuation (VALU) and Collateral (MARU) Action types also do not 

associate with any Event type and are allowed only for part 45 end-of-day reporting. 92 Any live or dead (terminated or expired) swap can be transferred out except for the swaps that are previously reported as an error. Once a swap is reported as 'transfer out' to a SDR no further submission is allowed to the same 

SDR for that swap unless the transaction is transferred back in to the same SDR. Combination ‘NEWT-PTNG’ should be used in this case. 
Appendices for part 43 and 45 Technical Specification

50

1. Allowable Action type sequences

Reporting of lifecycle event is facilitated by reporting of Action type [#26] 

and Event type [#27] combinations. The allowable action type sequence is

established to avoid illogical submissions by the reporting counterparties. 

SDR validation rules should perform checks to ensure SDR permits certain 

action types after the last action type has been reported. If a submission is 

reported with an action type that is not possible based on the last action 

type submission, the validation rule must reject that submission. What 

action types are allowed is depicted in 2 separate flow diagrams for part 

45 reporting (Figure 1) and part 43 reporting (Figure 2).

PART 45 REPORTING: PERMITTED ACTION TYPE SEQUENCES FOR LIFECYCLE 

REPORTING

• If a swap is in an open state, certain action types are permitted as 

depicted in the diagram: MODI, CORR, VALU, MARU, PRTO, EROR, and 

TERM.

• If a swap is in a terminated state, certain action types are permitted as 

depicted in the diagram: MODI, CORR, VALU, MARU, EROR, and REVI.

• If a swap is in an errored state, only REVI action type is permitted, 

• If a swap is in an expired or matured state, certain action types are 

permitted as depicted in the diagram: MODI, CORR, EROR,VALU, 

MARU.

Figure 1 - Permitted Action type sequencs for Part 45 Reporting
Appendices for part 43 and 45 Technical Specification

51

PART 43 REPORTING: PERMITTED ACTION TYPE SEQUENCES FOR LIFECYCLE REPORTING

Similar to reporting for Part 45, lifecycle event is supported by Action type [#26] and Event type [#27] 

combinations for Part 43 reporting. The allowable action types are depicted in Figure 2.

Figure 2 - Permitted Action type sequences for Part 43 Reporting
Appendices for part 43 and 45 Technical Specification

52

2. Examples of allowable Action type and Event type combinations

This section provides 15 examples of different Action type and Event type combinations for transaction reporting and daily end-of-day reporting. The examples also illustrate how different actions and 

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

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 disseminated by the SDR pursuant to part 43 reporting. 

Examples 14 and 15 illustrate daily end-of-day valuation 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.

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

Example 2 - Error and Revive

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 - Transfer transaction from one SDR to another SDR

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

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

53

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-TRAD) combination. 

Submission 2: A mutually agreed change to the notional amount is reported as Modify-Trade (MODI-TRAD) with [Amendment indicator] = ‘True’. This is an amendment.

Submission 3: A missing information, ‘Other payment type’, is reported as Modify-Trade (MODI-TRAD) combination with [Amendment indicator] = ‘False’. This is an update.

Submission 4: A misreported information in ‘Other payment type’ from previous submission is corrected from “UWIN” to “UFRO” in this submission and reported with [Action type] = ‘CORR’ without an event type. 

This is a correction.

Row

Action 

type

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique 

transaction 

identifier (UTI)

[#103]

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Other 

payment 

type

[#57]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

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

3 MODI TRAD False 2018-04-03T15:01:02Z LEI1RPT0001AAAA 9000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 UWIN Not Disseminated

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

Table 8 – Examples of reporting of New, Modify, and Correction transaction

Example 2 - Error and Revive

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-TRAD) combination.

Submission 2: The previous transaction was submitted in error to CFTC and the removal is reported with [Action type] = ‘EROR’ without any event type. 

Submission 3: The previous submission was a mistake and transaction should be submitted to CFTC and the revive action is reported as [Action type] = ‘REVI’ without any event type.

Row

Action 

type

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique 

transaction 

identifier (UTI)

[#103]

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 

1 (reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination timestamp

[#D3]

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

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

3 REVI 2018-04-02T11:00:00Z LEI1RPT0001BBBB 10000 2018-04-01T10:15:36Z LEI1RPT0001 LEI2CP0002 ABCD004R 2018-04-02T11:02:00Z

Table 9 - Reporting of Error and Revive 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-TRAD) combination.
Appendices for part 43 and 45 Technical Specification

54

Submission 2: The previously reported transaction is terminated and is reported as Terminate-Early termination (TERM-ETRM) 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. 

Row

Action 

type

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14] 

Expiration 

date 

[#95] 

Disseminatio

n identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRAD 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 ETRM 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 10 – 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-TRAD) 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-NOVA) combination. 

Submission 3: A new transaction is reported as New-Novation (NEWT-NOVA) 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

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Dissemination 

identifier

[#D1]

Original dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

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

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

Table 11 - 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-TRAD) 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-NOVA) 

combination with [Amendment indicator] = ‘True’ and a reduced notional amount of ‘8000’. The transaction continues to be active.

Submission 3: A new transaction is reported as New-Novation (NEWT-NOVA) 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

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

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

3 NEWT NOVA 2018-04-04T14:00:10Z LEI3RPT0003DDDD LEI1RPT0001DDDD 5000 2018-04-04T14:00:10Z LEI3RPT0003 LEI2CP0002 ABCD013 2018-04-04T14:07:10Z
Appendices for part 43 and 45 Technical Specification

55

Table 12 - Reporting of Partial Novation transaction

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-TRAD) 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

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Cleared 

[#1]

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRAD 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 13 - 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-TRAD) 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

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

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

3 NEWT TRAD 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 Not Disseminated

5 TERM COMP 2018-04-03T18:00:00Z LEI01-EVENTID1 LEI1RPT0001FFF 6000 2018-04-01T14:20:36Z LEI1RPT0001 LEI2CP0002 Not Disseminated

6 TERM COMP 2018-04-03T18:00:00Z LEI01-EVENTID1 LEI1RPT0001GGG 5000 2018-04-01T14:21:36Z LEI1RPT0001 LEI2CP0002 Not Disseminated

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

Table 14 - Reporting of Portfolio Compression transaction
Appendices for part 43 and 45 Technical Specification

56

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-TRAD) 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

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 2 

[#14] 

Expiration 

date 

[#95] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRAD 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 15 - 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-TRAD) 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 with [Amendment indicator] = ‘False’. 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

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 

1 (reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Expiration 

date 

[#95] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRAD 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 False 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 16 - 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-TRAD) 

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 with [Amendment indicator] = ‘False’ and the remaining notional amount of ‘12000’. 

Row

Action 

type

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event 

identifier

[#29] 

Unique 

transaction 

identifier (UTI)

[#103]

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Embedded 

option 

type

[#86]

Dissemination 

identifier

[#D1]

Original 

disseminatio

n identifier

[#D2]

Dissemination 

timestamp

[#D3]
Appendices for part 43 and 45 Technical Specification

57

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

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

Table 17 - 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-TRAD) 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

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event 

identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 

1 (reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Allocation 

indicator

[#91] 

Disseminatio

n identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRAD 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 Not Disseminated

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 18 - 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 counterparties93) 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-TRAD) 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-Credit event (MODI-CREV) combination with [Amendment indicator] = ‘True’. The [Event identifier] is reported to identify the credit event that triggered this change to the transaction.

Row

Action 

type

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique 

transaction 

identifier (UTI)

[#103]

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 1 

(reporting 

counterparty) 

[#13]

Counterparty 

2 

[#14] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

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

3 MODI CREV True 2018-12-12T15:01:02Z LEI+EVENT_ID94 LEI1RPT0001LLL 20000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 DEFAU01 ABCD019 2018-12-12T15:02:02Z

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

Table 19 - Reporting of Credit Event

 

93 In the case of a corporate event of the non-reporting counterparty, the transaction should be reported as Modify-Trade (MODI-TRAD) combination. 94 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

58

Example 13 - Transfer transaction from one SDR to another SDR

The first table, Table 20 - Reporting of transferred transaction to the old SDR, illustrates the transactions reported to the old SDR (before transferring to the new SDR). And the second table, Table 21 - 

Reporting of transferred 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] = ‘PTNG’ 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] = ‘PTNG’. 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

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 

1 (reporting 

counterparty) 

[#13]

Counterparty 2 

[#14] 

New SDR 

identifier 

[#105] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

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

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

Table 20 - Reporting of transferred transaction to the old SDR

Row

Action 

type

[#26] 

Event 

type 

[#27] 

Amendment 

indicator

[#28] 

Event timestamp

[#30] 

Event identifier

[#29] 

Unique transaction 

identifier (UTI)

[#103] 

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

relations between 

transactions) [#101]

Notional 

amount

[#31] 

Execution timestamp

[#96] 

Counterparty 

1 (reporting 

counterparty) 

[#13]

Counterparty 2 

[#14] 

New SDR 

identifier 

[#105] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

Table 21 - Reporting of transferred 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

[#26]

Event 

type

[#27]

Event timestamp

[#30] 

Unique transaction 

identifier (UTI)

[#103]

Initial margin collateral 

portfolio code

[#116]

Variation margin 

collateral portfolio code

[#124]

Notional 

amount

[#31]

Execution timestamp

[#96] 

Counterparty 1 

(reporting counterparty) 

[#13]

Counterparty 2

[#14] 

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

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

3 NEWT TRAD 2019-04-01T10:15:10Z LEI1RPT0001QQQQ TRANSACTIONLEVEL 13000 2019-04-01T10:15:10Z LEI1RPT0001 LEI3CP0003

4 NEWT TRAD 2019-04-01T10:15:10Z LEI1RPT0001RRRR TRANSACTIONLEVEL 14000 2019-04-01T10:15:10Z LEI1RPT0001 LEI3CP0003

Table 22 - Reporting Transactions with Portfolio Codes

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.
Appendices for part 43 and 45 Technical Specification

59

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] = 

‘TRANSACTIONLEVEL’ 

Row

Action 

type

[#26]

Unique transaction 

identifier (UTI)

[#103]

Initial margin collateral 

portfolio code

[#116]

Variation margin 

collateral portfolio code

[#124]

Valuation 

amount

[#110]

Valuation 

currency

[#111]

Valuation 

method

[#112]

Valuation timestamp

[#113] 

Counterparty 1 

(reporting 

counterparty) [#13]

Counterparty 2

[#14] 

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

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

3 VALU LEI1RPT0001QQQQ TRANSACTIONLEVEL 2500 USD MTMO 2019-05-02T23:59:59Z LEI1RPT0001 LEI3CP0003

4 VALU LEI1RPT0001RRRR TRANSACTIONLEVEL 3750 USD MTMO 2019-05-02T23:59:59Z LEI1RPT0001 LEI3CP0003

Table 23 - Reporting End of Day for Valuation

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

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] = ‘MARU’. The two transactions in Table 22 - 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 22 - 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] = ‘MARU’, and [Collateral 

portfolio code] = ‘TRANSACTIONLEVEL’. 

Table 24 - Reporting Daily End of Day Collateral and Margin

Row Action Type

[#26] 

Unique transaction 

identifier (UTI)

[#103] 

Collateralisation 

category

[#115] 

Initial margin collateral 

portfolio code

[#116] 

Variation margin 

collateral portfolio code

[#124] 

Initial margin

collected 

(post-haircut)

[#121] 

Initial margin 

collected 

(pre-haircut)

[#122] 

Currency of 

initial margin

collected

[#123] 

Variation margin

collected (prehaircut)

[#127] 

Currency of 

Variation margin

collected

[#128] 

Counterparty 1 

[#13] 

Counterparty 2 

[#14] 

1 MARU {blank} FLCL PORT001 VM- PORT001 100000 160000 USD 100000 USD LEI1RPT0001 LEI2CP0002

2 MARU LEI1RPT0001QQQQ FLCL TRANSACTIONLEVEL TRANSACTIONLEVEL 100000 160000 USD 100000 USD LEI1RPT0001 LEI3CP0003

3 MARU LEI1RPT0001RRRR FLCL TRANSACTIONLEVEL TRANSACTIONLEVEL 50000 55000 USD 0 USD LEI1RPT0001 LEI3CP0003
Appendices for part 43 and 45 Technical Specification

60

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