CFTC Technical Specification 

Parts 43 and 45 swap data reporting and public dissemination requirements 

March 1, 2023 

Version 3.2 

The Parts 43/45 Technical Specification changes (provided in redline form) must be implemented no later than January 29, 2024. 

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DOCUMENT HISTORY 

Revisions 

Date Version Description Author 

2/20/2020 1.2 Draft for Public Comment DOD 

9/17/2020 2.0 First Publication per 2020 amended rule DOD 

9/30/2021 3.0 Second Publication with revisions DOD 

8/30/2022 3.1 Limited modifications to Version 3.0 DOD 

3/1/2023 3.2 Adoption of Unique Product Identifier DOD 

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TABLE OF CONTENTS 

1 INTRODUCTION................................................................................................................................................................................................VII 

1.1 BACKGROUND................................................................................................................................................................................................................. VII 

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

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

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

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

3 APPENDIX......................................................................................................................................................................................................... 38 

A. ADDITIONAL DATA ELEMENTS PUBLICLY DISSEMINATED - REQUIREMENTS FOR SDRS ONLY............................................................................................................. 38 

B. NOTIONAL AMOUNT ....................................................................................................................................................................................................... 39 

C. MAPPING OF DAY COUNT CONVENTION ALLOWABLE VALUES TO ISO 20022, FPML, AND FIX/FIXML VALUES................................................................................ 40 

D. VALUATION METHOD ...................................................................................................................................................................................................... 48 

E. COLLATERALISATION CATEGORY......................................................................................................................................................................................... 49 

F. EVENTS: VALID ACTION TYPE AND EVENT TYPE COMBINATIONS FOR PART 43 AND PART 45 REPORTING........................................................................................... 50 

4 REFERENCES ..................................................................................................................................................................................................... 61 

This Technical Specification document 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.................................................................................................................33 

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

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

B

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

Buyer identifier ................................................................................................................................................................................6 

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..............................................................................................................................................................33 

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

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

Counterparty 2 ................................................................................................................................................................................5 

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

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

Currency of initial margin collected...............................................................................................................................................36 

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

Currency of variation margin collected..........................................................................................................................................37 

Currency of variation margin posted.............................................................................................................................................37 

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

D

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

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

Dissemination identifier.................................................................................................................................................................38 

Dissemination timestamp .............................................................................................................................................................38 

E

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

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

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

Event timestamp...........................................................................................................................................................................11 

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

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

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

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

Expiration date..............................................................................................................................................................................28 

F

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

First exercise date .................................................................................................................................................................xiii, 25

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

Fixing date....................................................................................................................................................................................17 

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

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

I

Index factor...................................................................................................................................................................................26 

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

Initial margin collected by the reporting counterparty (post-haircut) ............................................................................................ 35 

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

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

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

J

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

L

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

Last floating reference value ........................................................................................................................................................31 

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N

New SDR identifier........................................................................................................................................................................31 

Next floating reference reset date.................................................................................................................................................31 

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

Notional amount............................................................................................................................................................................11 

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

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

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..............................................................................................................................................................25 

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

Original dissemination identifier....................................................................................................................................................38 

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

Original swap USI ...........................................................................................................................................................................3 

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

Other clearing exemptions - Counterparty 1...................................................................................................................................4 

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

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

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

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

Other payment payer ....................................................................................................................................................................19 

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

Other payment type ......................................................................................................................................................................18 

P

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

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

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

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

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

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

Package transaction spread currency ..........................................................................................................................................16 

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

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

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

Payment frequency period multiplier.............................................................................................................................................20 

Platform identifier ..........................................................................................................................................................................29 

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

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

Price..............................................................................................................................................................................................21 

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

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

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

Prime brokerage transaction indicator..........................................................................................................................................29 

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 ...................................................................................................................................................................................13 

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

Q

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

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

Quantity unit of measure ..............................................................................................................................................................14 

R

Receiver identifier...........................................................................................................................................................................7 

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

S

Seller identifier................................................................................................................................................................................6 

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

Settlement location.......................................................................................................................................................................27 

Spread ..........................................................................................................................................................................................23 

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

Spread notation ............................................................................................................................................................................24 

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

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

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

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

T

Total notional quantity ..................................................................................................................................................................14 

U

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

Unique Product Identifier FISN.....................................................................................................................................................38 

Unique Product Identifier underlier name.....................................................................................................................................38 

Unique Swap Identifier (USI)........................................................................................................................................................30 

Unique Transaction Identifier (UTI) ..............................................................................................................................................30 

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Valuation method .........................................................................................................................................................................32 V Valuation timestamp.....................................................................................................................................................................32 

Variation margin collateral portfolio code .....................................................................................................................................36 

Valuation amount ..........................................................................................................................................................................32 Variation margin collected by the reporting counterparty (pre-haircut) ........................................................................................ 37

Valuation currency ........................................................................................................................................................................32 Variation margin posted by the reporting counterparty (pre-haircut) ........................................................................................... 36 

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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 Revised CDE Technical Guidance - version 2: 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. 

Please forward questions regarding format, content, and transmission of part 43 and part 45 data submissions to CFTC at CFTCSwapsTechSpec@CFTC.gov. 

1 Throughout this Technical Specification, references to “trade repositories” in CDE data element should be read to mean SDRs. 2 See Revised CDE Technical Guidance – version 2 - Harmonisation of critical OTC derivative data elements (other than UTI and UPI), September 2021, https://www.leiroc.org/publications/gls/roc_20210922.pdf 

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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 

(1) 

# 

(2) 

Source 

(3) 

Category 

Technical Specification 

(4) 

Data Element 

Name 

(5) 

Definition for Data 

Element 

(6) 

Format 

(7) 

Allowable 

Values 

(8) Validation Rules and Dissemination Rules 

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) #: 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 

0 

– 20000.25 

– 0.257 

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Num(5)3 Up to five numerical 

characters, no decimals 

are allowed 

The length is not fixed but limited to five numerical characters. 12345 

123 

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 

(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 LEI4 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 EROR5. 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. The Technical Guidance, Harmonisation of the Unique Product 

Identifier6 (referred to as UPI Technical Guidance) refers to UPI reference data elements, including Asset Class, which is defined as an indication of “whether the asset, benchmark or 

3 Num(5) format is equivalent to Num(5,0) used in this Technical Specification and does not allow decimals. 4 Legal entity identifiers – refer to § 45.6 5 No updates to the term(s) of the trade may be made for action type TERM, PRTO, or EROR submissions. 

6 See Technical Guidance, Harmonisation of the Unique Product Identifier, September 2017, https://www.leiroc.org/publications/gls/roc_20170901.pdf 

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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 validation rules column (for example, a value may be provided where there is an 

else {blank}. It may be interpreted as “else optional”). 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 or Valuation reporting with a “Y” or “N”. 

(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 

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1.3 Explanation of Data Element or Category 

1.3.1 Direction 

The CDE Technical Guidance provides two options/approaches for reporting Direction.

7 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 

be reported more than once with the exception of ‘Other payments’ related data elements (Refer to Section 1.3.6). Generally speaking the validations included in the Technical Specification for legbased 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. For products where the multi-leg or multi-stream concept is not 

applicable, report values in the designated data element for the first leg (Leg 1) for all fields that are specified as leg-based data elements. 

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. 

7 Refer to data element, Direction (2.13) in Revised CDE Technical Guidance – version 2: Harmonisation of critical OTC derivative data elements (other than UTI and UPI) –September 2021, 

https://www.leiroc.org/publications/gls/roc_20210922.pdf 

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Appendix F illustrates how different lifecycle events should be reported in transaction reporting and end-of-day (valuation and collateral) reporting with 15 examples showing how Action type and 

Event type combinations should be used to report various events. 

1.3.6 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 

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. 

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1.4 Unique Product Identifier (UPI)8 

The term “Unique product identifier” as used in this Technical Specification corresponds to the term “UPI code” in the UPI Technical Guidance9. 

1.4.1 Reporting to an SDR for the Credit, Rates, FX and Equities asset classes10 

For the Credit, Rates, FX and Equities asset classes, report the Unique Product Identifier (UPI) [#87]. 

1.4.2 Reporting to an SDR for the Commodities asset class 

For the Commodities asset class, report product-related data elements as specified by the relevant SDR until the Commission designates a UPI pursuant to § 45.7 for the Commodities asset class. 

1.4.3 Validation rules 

Product specific validation rules are based on the UPI reference data elements as provided by UPI service provider11 and defined in ISO 4914 Standard.

12 Until the Commission designates a UPI for 

the Commodities asset class, each SDR 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 the ISO 4914 Standard to specify whether a transaction is an option transaction.

13 

Data element name Validation rule Explanation 

First exercise date C if UPI.[Instrument type] = ‘Option’, else 

{blank} 

‘First exercise date’ 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 

1.4.4 Public Dissemination 

For the Credit, Rates, FX, and Equities asset classes, SDRs will publicly disseminate the UPI along with the UPI Service Provider issued FISN [#D4] and UPI Underlier Name [#D5]. For the 

Commodities asset class, SDRs will continue to publicly disseminate the product-related data elements unique to each SDR until the Commission designates a UPI for the Commodities asset class. 

8 Refer to § 45.7 (Unique product identifiers) for more details. 9 See Technical Guidance, Harmonisation of the Unique Product Identifier, September 2017, https://www.leiroc.org/publications/gls/roc_20170901.pdf 10 Refer to the Commission order designating a unique product identifier for swaps in the Credit, Rates, FX and Equities asset classes. Order Designating the Unique Product Identifier and Product Classification 

System to be Used in Recordkeeping and Swap Data Reporting, 88 Fed. Reg. 11790 (Feb. 24, 2023). 11 UPI service provider is Derivatives Service Bureau (DSB) – https://www.anna-dsb.com/upi/ 12 ISO 4914 Unique product identifier (UPI) – https://www.iso.org/standard/80506.html 13 Allowable values assigned to UPI reference data elements will be determined by the UPI service provider although the actual values, while equivalent, may differ from the values that appear in this document. 

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2 Technical Specification and Validation Rules 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

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 counterparty14. 

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

gamma transactions.15 

• N = No, not centrally cleared. 

• I = Intent to clear, for alpha16 

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’; 

O if [Cleared] = ‘I’17 

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. 

• Char(20), for an LEI 

code 

• Varchar(72), for 

natural persons who 

are acting as private 

individuals (not eligible 

• 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 

C C C C C Transaction 

C if [Cleared] = ‘Y’; 

NR if [Cleared] = ‘N’ or ‘I’ 

N N 

14 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.” 15 Throughout this Technical Specification, references to “beta and gamma transactions” in CDE data elements should be read to mean “clearing swaps.” 16 Throughout this Technical Specification, references to “alpha transactions” in CDE data elements should be read to mean “original swaps.” 17 For CFTC jurisdiction, this data element is optional when the value of the data element “Cleared” is “I” (“Intent to clear”) 

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This data element is applicable to cleared transactions under both the agency for an LEI per the per the ROC Statement – Individuals Collateral 

clearing model and the principal clearing model.18 ROC Statement - Acting in a Business Capacity): LEI of the NR 

• 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 

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 

Individuals Acting in a 

Business Capacity19) 

and for Privacy Law 

Identifier (PLI). 

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) 

Valuation 

NR 

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 Standard20 

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 

18 Reporting counterparties should report “clearing swaps” according to the agency clearing model. 19 ROC Statement – Individuals Acting in a Business Capacity, ROC Statement - Individuals Acting in a Business Capacity 20 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 

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7 CFTC Clearing Original swap USI The unique swap identifier (USI) of the original swap21 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’ 

Collateral 

NR 

Valuation 

NR 

N N 

8 CFTC Clearing Original swap UTI The unique transaction identifier (UTI) of the original swap22 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 

reported23. 

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}; 

N N 

21 For transactions where no original swap USI is available or not provided, a value of “NOTAVAILABLE” can be used. 22 For transactions where no original swap UTI is available or not provided, a value of “NOTAVAILABLE” can be used. 23 For transactions where no original swap SDR identifier is available or not provided, a value of “NOTAVAILABLE” can be used. 

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NR if [Cleared] = ‘N’ 

Collateral 

NR 

Valuation 

NR 

11 CFTC Clearing Clearing exceptions 

and exemptions -

Counterparty 1 

Identifies the type of clearing exception or exemption that the Counterparty 1 has 

elected. 

All applicable exceptions and exemptions must be selected. 

The values may be repeated as applicable. 

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

• AFFL = Inter-affiliate exemption, § 

50.52 

• SMBK = Small bank exemption, § 

50.50(d) 

• COOP = Cooperative exemption, § 

50.51 

• NOAL = No-action Letter 

• OTHR = Other exceptions or 

exemptions, not including no-action letter 

relief 

O O O O O Transaction 

O if [Cleared] = ‘N’; 

NR if [Cleared] = ‘Y’ or ‘I’ 

Collateral 

NR 

Valuation 

NR 

N N 

12 CFTC Clearing Clearing exceptions 

and exemptions – 

Counterparty 2 

Identifies the type of the clearing exception or exemption that the Counterparty 2 

has elected. 

All applicable exceptions and exemptions must be selected. 

The values may be repeated as applicable. 

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 transaction24 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), 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 Capacity25). 

• 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. 

M M M M M Transaction 

M 

Collateral 

M 

Valuation 

M 

Y Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Do not 

disseminate 

24 Throughout this Technical Specification, references to “OTC derivatives” in CDE data elements should be read to mean swaps. 25 ROC Statement – Individuals Acting in a Business Capacity, ROC Statement - Individuals Acting in a Business Capacity. 

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14 CDE Counterparty Counterparty 226 Identifier of the second counterparty27 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 Capacity28) 

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)29 

M M M M M Transaction 

M 

Collateral 

M 

Valuation 

M 

Y Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Do not 

disseminate 

15 CFTC Counterparty Counterparty 2 

identifier source 

Source used to identify the Counterparty 2. 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 Identifier30 

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 

26 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. 27 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. 28 ROC Statement – Individuals Acting in a Business Capacity, ROC Statement - Individuals Acting in a Business Capacity 29 Throughout this Technical Specification, Privacy Law Identifier (PLI) has been added as an allowable value for all Counterparty 2 (#14) associated data elements 30 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 

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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. 

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 

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 swaps31, 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 

31 For fixed-floating interest rate swaps, the payer is the counterparty paying the fixed rate 

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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 swaps32, 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 

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 Indicator of whether Counterparty 1 is: Boolean • True M M M M M Transaction N N 

federal entity 

indicator (1) One of the following entities: 

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

• False M 

Collateral 

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 

NR 

Valuation 

NR 

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. 

32 For fixed-floating interest rate swaps, the receiver is the counterparty receiving the fixed rate 

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24 CFTC Counterparty Counterparty 2 Indicator of whether Counterparty 2 is: Boolean • True M M M M M Transaction N N 

federal entity 

indicator (1) One of the following entities: 

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

following: 

• False M 

Collateral 

NR 

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 2 federal entity indicator data 

element does not include federally chartered depository institutions. 

Valuation 

NR 

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 type33 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. 

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. 

33 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. 

CFTC Technical Specification Version 3.2 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 

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. 

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. Char(4) • TRAD = Trade C C C C C Transaction N Y Validation 

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. 

Novation34: 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 

• 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, for valid Action type and 

Event type Combination, see 

table in Appendix F. 

Collateral 

NR 

Valuation 

NR 

Same as part 45 

(Transaction) 

Dissemination 

For valid Action 

type and Event 

type Combination 

for public 

dissemination, see 

table in Appendix 

F 

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 

34 Novation – see definition in § 45.1(a) 

CFTC Technical Specification Version 3.2 9 
 

 

 

 

 

 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

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. 

Allocation35: 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. 

Transfer36: 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 Unique37 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 

35 Allocation – see definition in § 45.1(a) 36 Transfer – A reporting counterparty may change the swap data repository to which the transaction is reported pursuant to rule § 45.10(d). 37 The identifier which relates to the same event should be unique per event. 

CFTC Technical Specification Version 3.2 10 
 

 

 

 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

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

counterparty or a service provider.38 

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 UTC39. 

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 amount40 

[Notional amountLeg 1] 

[Notional amountLeg 2] 

For each leg of the transaction, where applicable: 

- for OTC derivative transactions negotiated in monetary amounts, amount 

specified in the contract. 

- for OTC derivative transactions negotiated in 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 events41, 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. 

Num(25,5) Any value 42 M M M M M Transaction 

M, for FX, if UPI.[Instrument 

type] = ‘Option’, the value shall 

match the value in [Call 

amount] or [Put amount] 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

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, for FX, if UPI.[Instrument 

type] = ‘Option’, the value shall 

match the value in [Call 

currency] or [Put currency] 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

33 CDE Notional 

amounts and 

quantities 

Notional amount 

schedule - notional 

amount in effect on 

For each leg of the transaction, where applicable: 

for OTC derivative transactions negotiated in monetary amounts with a notional 

amount schedule: 

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} 

N Y Validation 

Same as part 45 

(Transaction) 

38 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”. 39 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. 40 Notional amount for CDS should reflect the gross amount and not the net amount after reflecting version incrementing due to a credit event 41 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. 42 “99999999999999999999.99999” is accepted when the value is not available at the time of reporting. 25 numerical characters including decimals. 

CFTC Technical Specification Version 3.2 11 
Technical Specification Validation Rules and Dissemination Rules 

# Category Data Element 

Name Definition for Data Element Format Allowable Values 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

Part 43 SDR 

Validation 

and 

Dissemination Rules 

CR

CO 

associated effective 

date 

[Notional amount in 

effect on associated 

effective date-Leg 

1] 

[Notional amount in 

effect on associated 

effective date-Leg 

2] 

• 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. 

Collateral 

NR 

Valuation 

NR 

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 

[Effective date of 

the notional 

amount-Leg 1] 

[Effective date of 

the notional 

amount-Leg 2] 

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 

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) 

issemination 

isseminate only 

he first 10 

eported values of 

he schedule 

(

D

D

t

r

t

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

to buy. 

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

R 

N 

R 

C N 

R 

N 

R 

Transaction - FX 

C if UPI.[Instrument type] = 

‘Option’, at least one is 

required: ([Call amount] or [Put

amount]) 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

37 CDE Notional 

amounts and 

quantities 

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

denominated. 

Char(3) Currencies included in ISO 4217 

Currency codes. 

N 

R 

N 

R 

C N 

R 

N 

R 

Transaction - FX 

C if [Call amount] is populated,

else {blank} 

N Y Validation 

Same as part 45 

(Transaction) 

 ecruSo

ya Dd of n 45 E P

dterope43 RP

IR

FX

QE

CFTC Technical Specification Version 3.2 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 

Collateral 

NR 

Valuation 

NR 

Dissemination 

Disseminate 

38 CDE Notional 

amounts and 

quantities 

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

to sell. 

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

R 

N 

R 

C N 

R 

N 

R 

Transaction – FX 

C if UPI.[Instrument type] = 

‘Option’, at least one is 

required: ([Call amount] or [Put 

amount]) 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

39 CDE Notional 

amounts and 

quantities 

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

denominated. 

Char(3) Currencies included in ISO 4217 

Currency codes. 

N 

R 

N 

R 

C N 

R 

N 

R 

Transaction – FX 

C if [Put amount] is populated, 

else {blank} 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

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 

frequency43 

[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] 

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 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

43 To represent quarterly, report [Quantity frequency] = ‘MNTH’ and [Quantity frequency multiplier] = ‘3’. For semi-annual, report [Quantity frequency] = ‘MNTH’ and [Quantity frequency multiplier] = ‘6’. 

CFTC Technical Specification Version 3.2 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 

[Quantity frequency 

multiplier-Leg 2] 

Valuation 

NR 

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. 

Varchar(4) ISO 20022 UnitOfMeasureCode codeset 

or other SDR approved UOM 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 

[Total notional 

quantity-Leg 1] 

[Total notional 

quantity-Leg 2] 

For each leg of the transaction, where applicable: aggregate Notional quantity of 

the underlying asset for the term of the transaction. 

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

the Total notional quantity is updated as it becomes available. 

Num(25,5) Any value greater than or equal to zero.44 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 

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 identifier45 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 package46 may include reportable and non-reportable transactions. 

This data element is not applicable 

• if no package is involved, or 

• to allocations 

Varchar(100) Up to 100 alphanumeric characters.47 C C C C C Transaction 

C if [Package indicator] = 

‘True’, else {blank} 

Collateral 

NR 

Valuation 

NR 

N N 

44 ”99999999999999999999.99999” is accepted when the value is not available. 25 numerical characters including decimals. 45 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. 46 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. 47 “UNKNOWN” is accepted when the value is not available. 

CFTC Technical Specification Version 3.2 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 

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

Package identifier is updated as it becomes available. 

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 

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. 

• 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 = 348 49 

C C C C C Transaction 

C if [Package indicator] = ‘True’ 

and [Package transaction 

spread] is not populated, else 

{blank} 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

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 = Decimal50 

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 

• Num(18,13), if 

Package transaction 

spread notation = 1 

• Num(11,10), if 

Package transaction 

spread notation = 3 

• Num(5), if Package 

• Any value, if Package transaction 

spread notation = 1 

• Any value expressed as decimal (eg 

0.0257 instead of 2.57%), Package 

spread price notation = 352 

• Any integer value expressed in basis 

C C C C C Transaction 

C if [Package indicator] = ‘True’ 

and [Package transaction price] 

is not populated, else {blank} 

Collateral 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

48 The allowable values are restricted based on CFTC’s jurisdictional requirements. 49 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). 50 The allowable values are restricted based on CFTC’s jurisdictional requirements. 52 The allowable values are restricted based on CFTC’s jurisdictional requirements. 

CFTC Technical Specification Version 3.2 15 
 

 

 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

• 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.51 

transaction spread 

notation = 4 

points (eg 257 instead of 2.57%), if 

Package transaction spread notation = 4 

Valuation 

NR 

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 

• Package transaction price is used, or 

• Package transaction spread notation = 3, or = 4 

Char(3) Currencies included in ISO 4217 

Currency codes. 

C C C C C Transaction 

C if [Package transaction 

spread notation] = '1', else 

{blank} 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

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 = Decimal53 

• 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 

O O O C C Transaction – CR/IR/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 

51 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). 

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

CFTC Technical Specification Version 3.2 16 
 

 

 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

• A017 

• A018 

• A019 

• A020 

• NARR 

For a description of the allowable values 

see Appendix C. 

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 

C if (UPI.[Instrument type] = 

‘Forward’ or ‘Option’) and 

UPI.[Delivery type] = ‘Cash’, 

else {blank} 

Collateral 

NR 

Valuation 

NR 

N N 

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 Underlier 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 

CFTC Technical Specification Version 3.2 17 
 

 

 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

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 

full termination of derivative 

transaction(s) 

• PEXH = Principal Exchange, i.e., 

Exchange of notional values for crosscurrency swaps 

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 

Transaction – IR/FX/EQ/CO 

O 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

58 CDE Payments Other payment 

amount54 

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 

54 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. 

CFTC Technical Specification Version 3.2 18 
 

 

 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

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 

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 

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 

period55 

[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 56 = Payment at term 

O O N 

R 

O O Transaction – CR/IR/EQ/CO 

O, when populated with ‘EXPI, 

[Payment frequency period 

multiplier] must be ‘1’ 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

55 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’. 

56 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. 

CFTC Technical Specification Version 3.2 19 
 

 

 

 

 

 

 

 

 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

64 CDE Payments Payment frequency 

period multiplier 

[Fixed rate payment 

frequency period 

multiplier-Leg 1] 

[Fixed rate payment 

frequency period 

multiplier-Leg 2] 

[Floating rate 

payment frequency 

period multiplierLeg 1] 

[Floating rate 

payment frequency 

period multiplierLeg 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 

65 CDE Prices Exchange rate57 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 

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%)58 

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 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

57 For FX, forward exchange rate would be reported in this data element. 58 The allowable values are restricted based on CFTC’s jurisdictional requirements. 

CFTC Technical Specification Version 3.2 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 

UPI.[Instrument type] ≠

‘Option’, else {blank} 

Transaction - CO 

C if [Price] or [Spread] is not 

populated and [Post-priced 

swap indicator] = ‘False’, and 

UPI.[Instrument type] ≠

‘Option’, else {blank} 

Collateral 

NR 

Valuation 

NR 

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 • True59 

• 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 Price60 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 

• 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 = 361 

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} 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

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 

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 

59 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. 60 While Price (#69) captures the prices at which counterparties negotiate contracts, market prices are reflected in the valuation amounts. 61 The allowable values are restricted based on CFTC’s jurisdictional requirements. 

CFTC Technical Specification Version 3.2 21 
 

 

 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

interpreted as the price of the transaction. 

• Foreign exchange swaps, forwards and options, as it is understood that the 

information included in the data elements Exchange rate, Strike price, and Option 

premium may be interpreted as the price of the transaction. 

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

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

transaction. 

• Credit default swaps and credit total return swaps, as it is understood that the 

information included in the data elements Fixed rate, Spread and Upfront payment 

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

transaction. 

• 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 = Decimal62 

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. Varchar(4) ISO 20022 UnitOfMeasureCode codeset 

or other SDR approved UOM codeset 

N 

R 

N 

R 

N 

R 

C C Transaction - EQ/CO 

C if [Price] is populated, else 

{blank} 

Collateral 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

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

CFTC Technical Specification Version 3.2 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 

Valuation 

NR 

73 CDE Prices Spread63 

[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 

• difference between the reference prices of the two floating leg indexes. For 

• 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 = 364 

• 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 [Postpriced swap indicator] = ‘False’, 

and UPI.[Instrument type] ≠

‘Option’, else {blank} 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

. 

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. 

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 

63 For equity swaps, portfolio swaps, and contract for difference (CFDs), report the weighted overall spread for the basket instead of individual legs. 64 The allowable values are restricted based on CFTC’s jurisdictional requirements. 

CFTC Technical Specification Version 3.2 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 

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 = Decimal

65 

• 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. 

• 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(18,13), if Strike 

price notation = 1 

• Num(11,10), if Strike 

price notation = 3 

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

as 6.39, for equity options, commodity 

options, foreign exchange options and 

similar products, if Strike price notation = 

1 

• Any value expressed as decimal (e.g., 

0.021 instead of 2.1%), for interest rate 

options, interest rate and credit 

swaptions quoted in spread, and similar 

products, if Strike price notation = 366 

C C C C C Transaction 

C if [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 

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 = Decimal67 

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} 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

65 The allowable values are restricted based on CFTC’s jurisdictional requirements. 66 The allowable values are restricted based on CFTC’s jurisdictional requirements. 67 The allowable values are restricted based on CFTC’s jurisdictional requirements. 

CFTC Technical Specification Version 3.2 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 

Collateral 

NR 

Valuation 

NR 

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 

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.[ Underlier 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.[ Underlier type] = 

‘Index tranche’, else {blank}; 

When populated, the value 

shall be greater than the value 

N N 

CFTC Technical Specification Version 3.2 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 

in [CDS index attachment 

point] 

Collateral 

NR 

Valuation 

NR 

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 Underlier type] = 

‘Index’ or ‘Index tranche’, else 

{blank} 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

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 

identifier68 

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. 

M M M M N 

R 

Transaction – CR, IR, FX, EQ 

M 

Collateral 

NR 

Valuation – CR, IR, FX, EQ 

M 

Y Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

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] 

Currency for the cash settlement of the transaction when applicable. Char(3) Currencies included in ISO 4217 

Currency codes. 

C C C C C Transaction 

C if UPI.[Delivery type] = 

‘Cash’, else {blank} 

N Y Validation 

Same as part 45 

(Transaction) 

68 Until the Commission designates a UPI for the commodity asset class 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 for the commodity asset class pursuant to part 45, report the UPI. 

CFTC Technical Specification Version 3.2 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 

[Settlement 

currency-Leg 2] 

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). 

Collateral 

NR 

Valuation 

NR 

Dissemination 

Disseminate 

90 CDE Settlement Settlement location 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 codes69 O O O O O Transaction 

O 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

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 = an election has been made 

• False = no election has been made or 

not applicable as a block trade 

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 date70 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 

69 CFTC requires ISO country code to be reported using two-letter code (alpha-2). 70 For commodities swaps, report the pricing start date. 

CFTC Technical Specification Version 3.2 27 
 

 

 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

95 CDE Transaction 

related 

Expiration date71 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 

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.72 

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 

M 

Collateral 

NR 

Valuation 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

97 CDE Transaction 

related 

Reporting 

timestamp74 

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 Segment Market Identifier 

Code75. 

C C C C C Transaction 

C if [Cleared] = ‘N’ or ‘I’; 

N Y Validation 

71 For commodities swaps, report the pricing end date. 72 For clearing swaps, the execution timestamp is the date and time when the DCO accepts the original swap. 73 Both the date and time portion are required to be reported. 74 Reporting timestamp (#97) is recorded and reported by the submitter. 75 Where the Segment MIC does not exist, use the Operating MIC. 

CFTC Technical Specification Version 3.2 28 
 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

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. 

NR if [Cleared] = ‘Y’ 

Collateral 

NR 

Valuation 

NR 

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’ 

Collateral 

NR 

N Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Disseminate 

Valuation 

NR 

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} 

N N 

Collateral 

NR 

Valuation 

NR 

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} 

N N 

Collateral 

NR 

Valuation 

NR 

CFTC Technical Specification Version 3.2 29 
 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

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 Standard76 

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} 

Valuation 

C if [Unique transaction 

identifier (UTI)] is not 

populated, else {blank} 

Y Y Validation 

Same as part 45 

(Transaction) 

Dissemination 

Do not 

disseminate 

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 

76 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 

CFTC Technical Specification Version 3.2 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 

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. 

O O O O O Transaction 

NR 

Collateral 

NR 

Valuation 

O 

Y N 

107 CFTC Valuation Last floating 

reference value 

[Last floating 

reference value-Leg 

1] 

[Last floating 

reference value-Leg 

2] 

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%) 

O O O O O Transaction 

NR 

Collateral 

NR 

Valuation 

O 

Y N 

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. 

O O O O O Transaction 

NR 

Collateral 

NR 

Valuation 

O 

Y N 

109 CDE Valuation Delta77 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. C C C C C Transaction 

NR 

Collateral 

NR 

Valuation 

C if UPI.[Instrument type] = 

‘Option’, else {blank} 

Y N 

77 Delta must be reported daily regardless of whether there is a change in the value since the last reporting. 

CFTC Technical Specification Version 3.2 31 
 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

110 CDE Valuation Valuation amount78 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. 

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. 

Char(4) • MTMA = Mark-to-market 

• MTMO = Mark-to-model 

• CCPV = Central counterparty’s 

valuation 

(Classification of valuation inputs are 

provided in Appendix D) 

M M M M M Transaction 

NR 

Collateral 

NR 

Valuation 

M, when populated with 

‘CCPV’, [Cleared] must be ‘Y’. 

Y N 

113 CDE Valuation Valuation 

timestamp 

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

counterparty (CCP)79 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 UTC80. 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 

78 Valuation amount must be reported daily regardless of whether there is a change in the value since the last reporting. 79 Reported by the derivatives clearing organization (DCO) for cleared swaps and by the swap dealer for uncleared swaps 80 The timestamp portion is not required to be represented for Valuation timestamp. The format must be reported as YYYY-MM-DD. 

CFTC Technical Specification Version 3.2 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 

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 

M81 

Valuation 

NR 

Y N 

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.82 M M M M M Transaction 

O83 

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. 

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

NR 

Collateral 

Y N 

81 The “M” in the “Part 43/45 Asset Class” column is for collateral reporting only. 82 If collateralization was performed on a transaction level basis, “TRANSACTIONLEVEL” is accepted. “NOTAPPLICABLE” is accepted if (i) collateralization was performed on a portfolio basis and there is no IM portfolio code, or (ii) it 

is a submission from a DCO. 

83 The “M” in the “Part 43/45 Asset Class” column is for collateral and valuation reporting only. 

CFTC Technical Specification Version 3.2 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 

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. 

C if ([Collateralisation category] 

= ‘OWC1’ or ‘OWP1’ or 

‘FLCL’), else {blank}84 

Valuation 

NR 

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 

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

NR 

Collateral 

C if ([Collateralisation category] 

Y N 

relates to the whole portfolio; if the collateralisation is performed for single 

transactions, the initial margin posted relates to such single transaction. 

This refers to the total current value of the initial margin, rather than to its daily 

change. 

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

For centrally cleared transactions, the data element does not include default fund 

contributions, nor collateral posted against liquidity provisions to the central 

counterparty, i.e., committed credit lines. 

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

amounts are converted into a single currency chosen by the reporting counterparty 

and reported as one total value. 

= ‘OWC1’ or ‘OWP1’ or 

‘FLCL’), else {blank}85 

Valuation 

NR 

120 CDE Collateral 

and margins 

Currency of initial 

margin posted86 

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 (postY N 

84 In the case where collateral agreement(s) exists but no initial margin is exchanged primarily between the counterparties (e.g., because the exposure doesn’t meet the negotiated threshold) for a given portfolio, report zero until 

such time an exchange/transfer occurs. 

85 In the case where collateral agreement(s) exists but no initial margin is exchanged primarily between the counterparties (e.g., because the exposure doesn’t meet the negotiated threshold) for a given portfolio, report zero until 

such time an exchange/transfer occurs. 

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

CFTC Technical Specification Version 3.2 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 

haircut)] or [Initial margin 

posted by the reporting 

counterparty (pre-haircut)] is 

populated, else {blank} 

Valuation 

NR 

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 

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

87 

C C C C C Transaction 

NR 

Collateral 

C if ([Collateralisation category] 

= ‘OWC2’ or ‘OWP2’ or 

Y N 

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. 

‘FLCL’), else {blank} 

Valuation 

NR 

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 

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

88 

C C C C C Transaction 

NR 

Collateral 

C if ([Collateralisation category] 

= ‘OWC2’ or ‘OWP2’ or 

Y N 

transactions, the initial margin collected relates to such single transaction. 

This refers to the total current value of the initial margin, rather than to its daily 

change. 

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

centrally cleared transactions, the data element does not include collateral 

collected by the central counterparty as part of its investment activity. 

‘FLCL’), else {blank} 

Valuation 

NR 

87 In the case where collateral agreement(s) exists but no initial margin is exchanged primarily between the counterparties (e.g., because the exposure doesn’t meet the negotiated threshold) for a given portfolio, report zero until 

such time an exchange/transfer occurs. 

88 In the case where collateral agreement(s) exists but no initial margin is exchanged primarily between the counterparties (e.g., because the exposure doesn’t meet the negotiated threshold) for a given portfolio, report zero until 

such time an exchange/transfer occurs. 

CFTC Technical Specification Version 3.2 35 
 

 

 

 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

CR

IR

FX

EQ

CO 

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 collected89 

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.90 M M M M M Transaction 

O91 

Collateral 

M 

Valuation 

M 

Y N 

125 CDE Collateral 

and margins 

Variation margin 

posted by the 

reporting 

counterparty (prehaircut)92 

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}93 

Valuation 

NR 

Y N 

89 For portfolio with multiple currencies, it must be converted in to a single currency chosen by the reporting counterparty and reported. 90 If collateralization was performed on a transaction level basis, “TRANSACTIONLEVEL” is accepted. “NOTAPPLICABLE” is accepted if (i) collateralization was performed on a portfolio basis and there is no VM portfolio code, or (ii) it 

is a submission from a DCO. 

91 The “M” in the “Part 43/45 Asset Class” column is for collateral and valuation reporting only. 92 This data element must be reported daily regardless of whether there is a change in the value since the last reporting. 93 In the case where collateral agreement(s) exists but no variation margin is exchanged primarily between the counterparties (e.g., because the exposure doesn’t meet the negotiated threshold) for a given portfolio, report zero 

until such time an exchange/transfer occurs. 

CFTC Technical Specification Version 3.2 36 
 

 

Technical Specification Validation Rules and Dissemination Rules 

P43/P45 

Asset Class 

Part 45 SDR 

Validation Rules 

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules 

# 

Source

Category Data Element 

Name Definition for Data Element Format Allowable Values 

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)94 

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}95 

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 

94 This data element must be reported daily regardless of whether there is a change in the value since the last reporting. 95 In the case where collateral agreement(s) exists but no variation margin is exchanged primarily between the counterparties (e.g., because the exposure doesn’t meet the negotiated threshold) for a given portfolio, report zero 

until such time an exchange/transfer occurs. 

CFTC Technical Specification Version 3.2 37 
 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

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 

CR

IR

FX

EQ

CO 

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-MMDDThh: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 UPI FISN ISO 18774 Financial Instrument Short Name issued by 

the UPI Service Provider 

Varchar(35) Valid ISO 18774 value M M M M N 

R 

D5 Dissemination Related UPI Underlier Name Name of the asset or index underlying the product 

corresponding to the UPI 

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

the UPI Service Provider 

M M M M N 

R 

CFTC Technical Specification Version 3.2 38 
 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

B.Notional amount 

From Revised CDE Technical Guidance – version 2: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)96, 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. 

96 Revised CDE Technical Guidance – version 2: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.leiroc.org/publications/gls/roc_20210922.pdf 

CFTC Technical Specification Version 3.2 39 
 

 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

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

From Revised CDE Technical Guidance – version 2: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)97, Annex 1, Table 4. 

Allow 

able 

value 

ISO 20022 name ISO 20022 definition98 

FIX/ 

FIXML99 

code 

value 

FIX/FIXML 

code value 

description 

FIX/FIXML definition FpML 

100 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 30101 

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). 

97 https://www.leiroc.org/publications/gls/roc_20210922.pdf 98 The information contained in this column refers to the ISO 20022 data dictionary. 99 The source of information contained in this column is FIX Trading Community, http://fiximate.fixtrading.org/latestEP/ 100 The definitions contained herein are copyright 2006 by International Swaps and Derivatives Association, Inc. (ISDA) and reproduced by permission of ISDA. All Rights Reserved. 101 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. 

CFTC Technical Specification Version 3.2 40 
 

 

Appendices for parts 43 and 45 Technical Specification 

Allow 

able 

value 

ISO 20022 name ISO 20022 definition98 

FIX/ 

FIXML99 

code 

value 

FIX/FIXML 

code value 

description 

FIX/FIXML definition FpML 

100 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 6 Act/360 The actual number of days between ACT/360 Per 2006 ISDA Definitions, Section 4.16. Day Count 

on the actual number of accrued days in the Date1 and Date2, divided by 360. See Fraction, paragraph (e) or Annex to the 2000 ISDA 

interest period and a 360-day year. also 2006 ISDA Definitions, Section Definitions (June 2000 Version), Section 4.16. Day Count 

4.16. Day Count Fraction, paragraph (e). 

[Symbolic name: ActThreeSixty] 

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 7 Act/365 The actual number of days between ACT/365 Per 2006 ISDA Definitions, Section 4.16. Day Count 

on the actual number of accrued days in the (FIXED) Date1 and Date2, divided by 365. See .FIXED Fraction, paragraph (d) or Annex to the 2000 ISDA 

interest period and a 365-day year. also 2006 ISDA Definitions, Section 

4.16. Day Count Fraction, paragraph (d). 

Definitions (June 2000 Version), Section 4.16. Day Count 

Fraction, paragraph (c). 

[Symbolic name: The actual number of days in the Calculation Period or 

ActThreeSixtyFiveFixed] Compounding Period in respect of which payment is 

being made divided by 365. 

CFTC Technical Specification Version 3.2 41 
 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

Allow 

able 

value 

ISO 20022 name ISO 20022 definition98 

FIX/ 

FIXML99 

code 

value 

FIX/FIXML 

code value 

description 

FIX/FIXML definition FpML 

100 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. 

CFTC Technical Specification Version 3.2 42 
 

 

Appendices for parts 43 and 45 Technical Specification 

Allow 

able 

value 

ISO 20022 name ISO 20022 definition98 

FIX/ 

FIXML99 

code 

value 

FIX/FIXML 

code value 

description 

FIX/FIXML definition FpML 

100 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). 

CFTC Technical Specification Version 3.2 43 
 

 

Appendices for parts 43 and 45 Technical Specification 

Allow 

able 

value 

ISO 20022 name ISO 20022 definition98 

FIX/ 

FIXML99 

code 

value 

FIX/FIXML 

code value 

description 

FIX/FIXML definition FpML 

100 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. 

CFTC Technical Specification Version 3.2 44 
 

 

Appendices for parts 43 and 45 Technical Specification 

Allow 

able 

value 

ISO 20022 name ISO 20022 definition98 

FIX/ 

FIXML99 

code 

value 

FIX/FIXML 

code value 

description 

FIX/FIXML definition FpML 

100 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. 

CFTC Technical Specification Version 3.2 45 
 

 

 

Appendices for parts 43 and 45 Technical Specification 

Allow 

able 

value 

ISO 20022 name ISO 20022 definition98 

FIX/ 

FIXML99 

code 

value 

FIX/FIXML 

code value 

description 

FIX/FIXML definition FpML 

100 code FpML definition 

A014 Actual365NL Method whereby interest is calculated based 15 NL365 The number of days in a period equal 

on the actual number of accrued days in the 

interest period, excluding any leap day from 

to the actual number of days, with the 

exception of leap days (29 February) 

the count, and a 365-day year. 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 10 Act/Act The Act/Act (ICMA Ultimo) differs from ACT/AC The Fixed/Floating Amount will be calculated in 

on the actual number of days in the coupon (ICMA Act/Act (ICMA) method only that it T.ISMA accordance with Rule 251 of the statutes, by-laws, rules 

period divided by the actual number of days in 

the year. This method is a variation of the 

Ultimo) assumes that regular coupons always 

fall on the last day of the month. 

and recommendations of the International Securities 

Market Association, as published in April 1999, as applied 

ActualActualICMA method with the exception [Symbolic name: ActActISMAUltimo] to straight and convertible bonds issued after 31 

that it assumes that the coupon always falls on December 1998, as though the Fixed/Floating Amount 

the last day of the month. Method equal to 

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

were the interest coupon on such a bond. This day count 

fraction code is applicable for transactions booked under 

(ICMA Ultimo) in the FIX/FIXML model. 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 

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. 

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 

[Symbolic name: ThirtyEPlusThreeSixty] 

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. 

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] 

CFTC Technical Specification Version 3.2 46 
 

 

Appendices for parts 43 and 45 Technical Specification 

Allow 

able 

value 

ISO 20022 name ISO 20022 definition98 

FIX/ 

FIXML99 

code 

value 

FIX/FIXML 

code value 

description 

FIX/FIXML definition FpML 

100 code FpML definition 

A018 Business252 Method whereby interest is calculated based 12 BUS/252 Used for Brazilian real swaps, which is BUS/252 The number of Business Days in the Calculation Period or 

on the actual number of business days in the 

interest period divided by 252. Usage: Brazilian 

based on business days instead of 

calendar days. The number of business 

Compounding Period in respect of which payment is 

being made divided by 252. 

Currency Swaps. Method equal to BUS/252 in days divided by 252. 

the FpML model and BusTwoFiftyTwo in the [Symbolic name: BusTwoFiftyTwo] 

FIX/FIXML model. 

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 0 1/1 If parties specify the Day Count 1/1 Per 2006 ISDA Definitions, Section 4.16. Day Count 

1/1 then in calculating the applicable amount, Fraction to be 1/1 then in calculating Fraction, paragraph (a) or Annex to the 2000 ISDA 

1 is simply input into the calculation as the 

relevant Day Count Fraction. See also 2006 

the applicable amount, 1 is simply 

input into the calculation as the 

Definitions (June 2000 Version), Section 4.16. Day Count 

Fraction, paragraph (a). 

ISDA Definitions, Section 4.16. Day Count relevant Day Count Fraction. See also 

Fraction, paragraph (a). 2006 ISDA Definitions, Section 4.16. 

Day Count Fraction, paragraph (a). 

[Symbolic name: OneOne] 

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. 

CFTC Technical Specification Version 3.2 47 
 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

D.Valuation method 

From Revised CDE Technical Guidance – version 2: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)102, 2.28 Valuation method. 

Classification of valuation inputs 

Bucket Input used Valuation method103 

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 

102 Revised CDE Technical Guidance – version 2: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.leiroc.org/publications/gls/roc_20210922.pdf 103 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. 

CFTC Technical Specification Version 3.2 48 
 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

E.Collateralisation category 

From Revised CDE Technical Guidance – version 2: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)104, 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. 

104 Revised CDE Technical Guidance – version 2: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.leiroc.org/publications/gls/roc_20210922.pdf 

CFTC Technical Specification Version 3.2 49 
 

 

 

 

 

Not allowed for either P45 or P43 

 

 

Appendices for parts 43 and 45 Technical Specification 

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 

Exercise105 

(COMP) 

Early 

Termination 

(ETRM) 

Clearing 

(CLRG) 

Exercise 

(EXER) 

Allocation 

(ALOC) 

Clearing 

& 

Allocation 

(CLAL) 

Credit 

Event 

(CREV) 

Transfer 

(PTNG) 

Corporate 

Event 

(CORP) 

Upgrade 

(UPDT) 

Action Type106 

New (NEWT)          107 

Modify (MODI)        

Correct (CORR) 

Terminate (TERM)         

Error (EROR) 

Revive (REVI) 

Transfer out (PRTO)108 

Valuation (VALU) 

Collateral (MARU) 





Allowed for P45 but not allowed for P43 

Allowed for both P43 and P45 

Table 7 - Valid Action type and Event type combinations 

105 This event type is allowed for P43 as some risk reduction exercises may result in a publicly reportable transaction. 106 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. 107 NEWT-UPDT is used for upgrading existing ‘exotic’, ‘complex’, or ‘non-standard’ swaps to accurately report and comply with the CFTC Technical Specification. 108 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. 

CFTC Technical Specification Version 3.2 50 
 

 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

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 

CFTC Technical Specification Version 3.2 51 
 

 

Appendices for parts 43 and 45 Technical Specification 

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 

CFTC Technical Specification Version 3.2 52 
 

 

 

Appendices for parts 43 and 45 Technical Specification 

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 are for illustration purposes only and 

are not an exhaustive list of all possible swap lifecycle events. They 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) 

CFTC Technical Specification Version 3.2 53 
 

 

 

 

 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

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. 

CFTC Technical Specification Version 3.2 54 
 

 

 

 

 

 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

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 

2018-04-04T14:00:10Z 

LEI1RPT0001DDDD 

LEI1RPT0001DDDD 

13000 

8000 

2018-04-01T12:10:10Z 

2018-04-01T12:10:10Z 

LEI1RPT0001 

LEI1RPT0001 

LEI2CP0002 

LEI2CP0002 

ABCD011 

ABCD012 ABCD011 

2018-04-01T12:12:10Z 

2 MODI NOVA True 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 

CFTC Technical Specification Version 3.2 55 
 

 

 

 

 

 

 

 

 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

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 

NEWT 

TRAD 

TRAD 

2018-04-01T14:20:36Z 

2018-04-01T14:21:36Z 

LEI1RPT0001FFF 

LEI1RPT0001GGG 

6000 

5000 

2018-04-01T14:20:36Z 

2018-04-01T14:21:36Z 

LEI1RPT0001 

LEI1RPT0001 

LEI2CP0002 

LEI2CP0002 

ABCD017 

ABCD018 

2018-04-01T14:22:36Z 

3 2018-04-01T14:25:36Z 

4 TERM 

TERM 

COMP 

COMP 

2018-04-03T18:00:00Z 

2018-04-03T18:00:00Z 

LEI01-EVENTID1 

LEI01-EVENTID1 

LEI1RPT0001EEE 

LEI1RPT0001FFF 

10000 

6000 

2018-04-01T14:15:36Z 

2018-04-01T14:20:36Z 

LEI1RPT0001 

LEI1RPT0001 

LEI2CP0002 

LEI2CP0002 

Not Disseminated 

5 Not Disseminated 

6 TERM 

NEWT 

COMP 

COMP 

2018-04-03T18:00:00Z 

2018-04-03T18:00:00Z 

LEI01-EVENTID1 

LEIS1-EVENTID1 

LEI1RPT0001GGG 

LEI1RPT0003EFG 

5000 

16000 

2018-04-01T14:21:36Z 

2018-04-03T18:00:00Z 

LEI1RPT0001 

LEI1RPT0001 

LEI2CP0002 

LEI2CP0002 

Not Disseminated 

7 Not Disseminated 

Table 14 - Reporting of Portfolio Compression transaction 

CFTC Technical Specification Version 3.2 56 
 

 

 

 

 

 

 

 

 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

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] 

CFTC Technical Specification Version 3.2 57 
 

 

 

 

 

 

 

 

 

 

 

1 

2 

NEWT 

MODI 

TRAD 

EXER False 

2018-04-01T14:15:36Z 

2019-04-01T14:34:07Z 

LEI1RPT0001JJJJ 

LEI1RPT0001JJJJ 

16000 

12000 

2018-04-01T14:15:36Z 

2018-04-01T14:15:36Z 

LEI1RPT0001 

LEI1RPT0001 

LEI2CP0002 

LEI2CP0002 

CANC 

CANC 

ABCD025 

Not Disseminat

2018-04-01T14:18:36Z 

ed 

Appendices for parts 43 and 45 Technical Specification 

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 

ALOC 

2018-04-01T16:00:10Z 

2018-04-01T16:00:10Z 

LEI1RPT001PREAA 

LEI1RPT001POST1 LEI1RPT001PREAA 

10000 

7000 

2018-04-01T14:15:36Z 

2018-04-01T16:00:10Z 

LEI1RPT001 

LEI1RPT001 

LEIFUNDMGR 

LEI2CP00A1 

PREA 

POST 

Not Disseminated 

3 NEWT 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 counterparties109) 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 

20000 

2018-04-01T15:01:30Z 

2018-04-01T14:15:36Z 

LEI1RPT0001 

LEI1RPT0001 

LEI2CP0002 

LEI2CP0002 

ABCD020 

DEFAU01 ABCD019 

2018-04-01T15:05:30Z 

3 MODI CREV True 2018-12-12T15:01:02Z LEI+EVENT_ID 2018-12-12T15:02:02Z 110 LEI1RPT0001LLL 

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 

109 In the case of a corporate event of the non-reporting counterparty, the transaction should be reported as Modify-Trade (MODI-TRAD) combination. 110 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. 

CFTC Technical Specification Version 3.2 58 
 

 

 

 

 

 

 

 

 

 

 

 

 

Appendices for parts 43 and 45 Technical Specification 

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 

13000 

2019-04-01T10:15:10Z 

2019-04-01T10:15:10Z 

LEI1RPT0001 

LEI1RPT0001 

LEI2CP0002 

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

4 NEWT TRAD 2019-04-01T10:15:10Z LEI1RPT0001RRRR TRANSACTIONLEVEL NOTAPPLICABLE 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. 

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Appendices for parts 43 and 45 Technical Specification 

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 

LEI1RPT0001QQQQ 

PORT001 

TRANSACTIONLEVEL 

VM- PORT001 

TRANSACTIONLEVEL 

5000 

2500 

USD 

USD 

MTMA 

MTMO 

2019-05-02T23:59:59Z 

2019-05-02T23:59:59Z 

LEI1RPT0001 

LEI1RPT0001 

LEI2CP0002 

3 VALU LEI3CP0003 

4 VALU LEI1RPT0001RRRR TRANSACTIONLEVEL NOTAPPLICABLE 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’. 

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 

Table 24 - Reporting Daily End of Day Collateral and Margin 

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Appendices for parts 43 and 45 Technical Specification 

4 References 

1. Revised CDE Technical Guidance – version 2: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), September 2021 

2. https://www.leiroc.org/publications/gls/roc_20210922.pdfCPMI 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 

7. ANNA DSB UPI Product Definitions 

https://www.anna-dsb.com/upi-product-definitions/ 

8. ISO 4914 Unique product identifier (UPI) 

https://www.iso.org/standard/80506.html 

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