i

CFTC Technical Specification

Parts 43 and 45 swap data reporting and public dissemination requirements

December 13, 2023

Version 3.3

Proposed parts 43/45 Technical Specification changes 
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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

12/13/2023 3.3 Changes for 2023 Notice of Proposed Rulemaking (NPRM) 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......................................................................................................................................................................................................... 51

A. ADDITIONAL DATA ELEMENTS PUBLICLY DISSEMINATED - REQUIREMENTS FOR SDRS ONLY............................................................................................................. 51

B. NOTIONAL AMOUNT ....................................................................................................................................................................................................... 52

C. MAPPING OF DAY COUNT CONVENTION ALLOWABLE VALUES TO ISO 20022, FPML, AND FIX/FIXML VALUES ................................................................................ 53

D. VALUATION METHOD ...................................................................................................................................................................................................... 64

E. COLLATERALISATION CATEGORY......................................................................................................................................................................................... 65

F. EVENTS: VALID ACTION TYPE AND EVENT TYPE COMBINATIONS FOR PART 43 AND PART 45 REPORTING........................................................................................... 66

G. PART 45 AND UPI REPORTING RELATED TO UPI ‘OTHER’ AND CUSTOM BASKETS ........................................................................................................................ 79

H. PART 43 AND 45 UPI REPORTING WORKFLOWS FOR COMMODITIES ......................................................................................................................................... 81

4 REFERENCES ................................................................................................................................................................................................... 100

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 ....................................................................................................................................................................................11

Affiliated counterparty for margin and capital indicator.................................................................................................................46

Allocation indicator........................................................................................................................................................................40

Amendment indicator....................................................................................................................................................................14

B

Basket constituent identifier [NEW].................................................................................................................................................9

Basket constituent identifier source[NEW]....................................................................................................................................10

Basket constituent number of units [NEW] ...................................................................................................................................11

Basket constituent unit of measure [NEW] ...................................................................................................................................10

Block trade election indicator........................................................................................................................................................40

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

C

Call amount...................................................................................................................................................................................17

Call currency .................................................................................................................................................................................17

CDS index attachment point .........................................................................................................................................................36

CDS index detachment point ........................................................................................................................................................36

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

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

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

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

Clearing member identifier source [NEW] ......................................................................................................................................2

Clearing receipt timestamp .............................................................................................................................................................4

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

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

Collateralisation category..............................................................................................................................................................46

Counterparty 1 (reporting counterparty)..........................................................................................................................................5

Counterparty 1 designation [NEW[ .................................................................................................................................................9

Counterparty 1 financial entity indicator..........................................................................................................................................6

Counterparty 1 identifier source [NEW] ..........................................................................................................................................5

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

Counterparty 2 designation [NEW] .................................................................................................................................................9

Counterparty 2 financial entity indicator..........................................................................................................................................6

Counterparty 2 identifier source......................................................................................................................................................6

Counterparty 2 special entity [NEW]...............................................................................................................................................9

Crypto asset underlying indicator [NEW] ......................................................................................................................................38

Currency of initial margin collected...............................................................................................................................................49

Currency of initial margin posted ..................................................................................................................................................48

Currency of variation margin collected.........................................................................................................................................51

Currency of variation margin posted ............................................................................................................................................50

Custom basket code [NEW] ...........................................................................................................................................................9

Custom basket indicator................................................................................................................................................................. 9

D

Day count convention...................................................................................................................................................................24

Delta .............................................................................................................................................................................................44

Dissemination identifier ................................................................................................................................................................52

Dissemination timestamp .............................................................................................................................................................52

E

Effective date................................................................................................................................................................................40

Embedded option type ................................................................................................................................................................. 36

Event identifier..............................................................................................................................................................................14

Event timestamp...........................................................................................................................................................................14

Event type.....................................................................................................................................................................................12

Exchange rate ..............................................................................................................................................................................27

Exchange rate basis.....................................................................................................................................................................27

Execution timestamp ....................................................................................................................................................................41

Expiration date..............................................................................................................................................................................40

F

Final contractual settlement date .................................................................................................................................................39

First exercise date ........................................................................................................................................................................34

Fixed rate......................................................................................................................................................................................28

Fixing date....................................................................................................................................................................................24

Floating rate reset frequency period.............................................................................................................................................24

Floating rate reset frequency period multiplier.............................................................................................................................25

I

Index factor...................................................................................................................................................................................36

Initial margin collateral portfolio code...........................................................................................................................................46

Initial margin collected by the reporting counterparty (post-haircut) ............................................................................................48

Initial margin collected by the reporting counterparty (pre-haircut)..............................................................................................48

Initial margin posted by the reporting counterparty (post-haircut)................................................................................................47

Initial margin posted by the reporting counterparty (pre-haircut) ................................................................................................. 47
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J

Jurisdiction ....................................................................................................................................................................................44

L

Large notional off-facility election indicator [NEW] .......................................................................................................................40

Last floating reference reset date .................................................................................................................................................44

Last floating reference value.........................................................................................................................................................44

M

Mandatory clearing indicator [NEW] ...............................................................................................................................................4

Maturity date of the underlier [NEW].............................................................................................................................................39

N

New SDR identifier........................................................................................................................................................................44

Next floating reference reset date.................................................................................................................................................44

Non-standardized term indicator...................................................................................................................................................40

Notional amount............................................................................................................................................................................15

Notional amount schedule - notional amount in effect on associated effective date....................................................................16

Notional amount schedule - unadjusted effective date of the notional amount ............................................................................16

Notional amount schedule - unadjusted end date of the notional amount....................................................................................16

Notional currency ..........................................................................................................................................................................16

Notional quantity ...........................................................................................................................................................................17

Notional quantity schedule - days of week [NEW] ........................................................................................................................19

Notional quantity schedule – hours from thru [NEW]...................................................................................................................20

Notional quantity schedule – load profile type [NEW]...................................................................................................................21

Notional quantity schedule - notional quantity [NEW]...................................................................................................................19

Notional quantity schedule - unadjusted date on which the associated notional quantify becomes effective [NEW] ..................18

Notional quantity schedule - unadjusted effective date of days of week [NEW]...........................................................................19

Notional quantity schedule - unadjusted effective date of hours from thru [NEW] .......................................................................20

Notional quantity schedule – unadjusted effective date of load profile type [NEW] .....................................................................21

Notional quantity schedule - unadjusted end date of days of week [NEW] ..................................................................................20

Notional quantity schedule - unadjusted end date of hours from thru [NEW]...............................................................................20

Notional quantity schedule – unadjusted end date of load profile type [NEW].............................................................................21

Notional quantity schedule - unadjusted end date of the notional quantity [NEW].......................................................................19

O

Option exercise end date [NEW]...................................................................................................................................................35

Option exercise frequency period [NEW]......................................................................................................................................35

Option exercise frequency period multiplier [NEW] ......................................................................................................................35

Option premium amount ...............................................................................................................................................................34

Option premium currency..............................................................................................................................................................34

Option premium payment date .....................................................................................................................................................34

Original dissemination identifier ...................................................................................................................................................52

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

Other payment currency...............................................................................................................................................................26

Other payment date......................................................................................................................................................................26

Other payment payer....................................................................................................................................................................26

Other payment receiver................................................................................................................................................................26

Other payment type......................................................................................................................................................................25

P

Package identifier.........................................................................................................................................................................21

Package indicator.........................................................................................................................................................................21

Package transaction price ............................................................................................................................................................22

Package transaction price currency .............................................................................................................................................22

Package transaction price notation ..............................................................................................................................................23

Package transaction spread.........................................................................................................................................................23

Package transaction spread currency..........................................................................................................................................23

Package transaction spread notation...........................................................................................................................................23

Payer identifier................................................................................................................................................................................7

Payment frequency period ...........................................................................................................................................................27

Payment frequency period multiplier............................................................................................................................................27

Physical commodity contract indicator [NEW]..............................................................................................................................39

Physical delivery location [NEW]..................................................................................................................................................37

Platform identifier .........................................................................................................................................................................41

Portfolio containing non-reportable component indicator.............................................................................................................46

Post-priced swap indicator ...........................................................................................................................................................28

Price .............................................................................................................................................................................................28

Price currency...............................................................................................................................................................................29

Price notation................................................................................................................................................................................30

Price schedule - price [NEW] .......................................................................................................................................................30

Price schedule - unadjusted effective date of the price [NEW] ....................................................................................................30

Price schedule - unadjusted end date of the price [NEW]............................................................................................................30

Price unit of measure ...................................................................................................................................................................30

Pricing date schedule of underlying asset or index [NEW] ..........................................................................................................35

Pricing index location [NEW] ........................................................................................................................................................37

Prime brokerage transaction indicator..........................................................................................................................................42

Prior USI (for one-to-one and one-to-many relations between transactions)...............................................................................42

Prior UTI (for one-to-one and one-to-many relations between transactions)...............................................................................42

Product grade [NEW] ...................................................................................................................................................................39

Put amount ...................................................................................................................................................................................17

Put currency .................................................................................................................................................................................17
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Q

Quantity frequency........................................................................................................................................................................18

Quantity frequency multiplier ........................................................................................................................................................18

Quantity unit of measure...............................................................................................................................................................18

R

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

Reporting timestamp.....................................................................................................................................................................41

S

SEF or DCM anonymous execution indicator [NEW] ...................................................................................................................42

SEF or DCM indicator [NEW]........................................................................................................................................................42

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

Settlement currency ......................................................................................................................................................................39

Settlement location .......................................................................................................................................................................39

Spread...........................................................................................................................................................................................31

Spread currency............................................................................................................................................................................32

Spread notation.............................................................................................................................................................................32

Start and end time of the settlement window for the floating leg(s) [NEW] ..................................................................................35

Strike price ....................................................................................................................................................................................32

Strike price currency/currency pair ...............................................................................................................................................32

Strike price notation ......................................................................................................................................................................33

Strike price schedule - strike price [NEW] ....................................................................................................................................33

Strike price schedule – unadjusted effective date of the strike price [NEW] ................................................................................33

Strike price schedule – unadjusted end date of the strike price [NEW]........................................................................................33

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

Swap pricing method [NEW] ........................................................................................................................................................35

T

Total notional quantity ..................................................................................................................................................................18

U

Underlier ID (Other) [NEW] ..........................................................................................................................................................37

Underlier ID (Other) source [NEW]...............................................................................................................................................38

Underlying asset price source [NEW]...........................................................................................................................................38

Underlying asset trading platform identifier [NEW] ......................................................................................................................38

Unique Product Identifier (UPI) ....................................................................................................................................................37

Unique Product Identifier FISN.....................................................................................................................................................52

Unique Product Identifier underlier name.....................................................................................................................................52

Unique Swap Identifier (USI)........................................................................................................................................................43

Unique Transaction Identifier (UTI) ..............................................................................................................................................43

USD equivalent regulatory notional amount [NEW] .....................................................................................................................15

V

Valuation amount .........................................................................................................................................................................45

Valuation currency........................................................................................................................................................................45

Valuation method .........................................................................................................................................................................45

Valuation timestamp.....................................................................................................................................................................45

Variation margin collateral portfolio code .....................................................................................................................................49

Variation margin collected by the reporting counterparty (pre-haircut) ........................................................................................50

Variation margin posted by the reporting counterparty (pre-haircut) ...........................................................................................50
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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 3: 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 3 - Harmonisation of critical OTC derivative data elements (other than UTI and UPI), September 2023, https://www.leiroc.org/publications/gls/roc_20230929.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 

Technical Specification (8) Validation Rules and Dissemination Rules

(1) 

# 

(2) 

Source

(3) 

Category 

(4)

Data Element 

Name 

(5)

Definition for Data 

Element

(6)

Format 

(7)

Allowable 

Values

P43/P45 

Asset Class

Part 45 SDR 

Validation 

Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation and 

Dissemination 

Rules

CR

IR

FX

EQ

CO

(1) #: 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 total of 25 numerical 

characters. Maximum of up to five numerical characters are 

allowed to the right of the decimal point. 

For any given value the maximum allowed to the left of the 

decimal should be 25 minus the number of numerical characters 

present to the right of the decimal.

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

reporting counterparties should round half-up. 

1352.67 

12345678901234567890.12 

1234567890123456789012.123

1234567890123456789012345 

12345678901234567890.12345

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” or 

“true” or “false”4

True / true

False / 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 LEI5 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 EROR6. 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 

Identifier7 (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 Both upper case and lower case are allowed until the ISO 20022 message standard is adopted by CFTC. 5 Legal entity identifiers – refer to § 45.6 6 No updates to the term(s) of the trade may be made for action type TERM, PRTO, or EROR submissions. 7 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.

8 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 Schedule-related data elements

For the notional amount schedule related data elements [#45 - #47], notional quantity schedule related data elements [#57 - #68], and price and strike price schedule related data elements [#97 - 

#99, #106 - #108] may contain multiple values to accommodate a schedule and 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 [#43] 

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. Generally speaking the validations included in the Technical Specification for leg-based data elements are meant to apply to the first leg (Leg 1). It should not, 

however, be presumed the validations apply to the second leg (Leg 2) similarly. This is due in large part to the conditionality between leg fields and in light of the fact that SDR-specific data 

elements can alter the application of the published validations in ways not contemplated in the Technical Specification. Given this, SDRs may incorporate other validations for leg-level data 

elements, should they deem it necessary. 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. For products having two legs where one leg references a fixed value and the other leg references a floating value, Leg 1 elements should refer 

to the leg that references a fixed value and Leg 2 elements should refer to the leg that references a floating value. For products having two legs where each leg references a floating value 

respecitively, the legs should be ordered based on the alphabetical ordering of the names of the respective underliers. In cases where the names of the respective underliers are the same, but they 

are differentiated by a tenor, Leg 1 elements shoud refer to the leg referencing the underlier with the shorter tenor.

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 [#7] 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

 

8 Refer to data element, Direction (2.13) in Revised CDE Technical Guidance – version 3: Harmonisation of critical OTC derivative data elements (other than UTI and UPI) –September 2023, 

https://www.leiroc.org/publications/gls/roc_20230929.pdf 
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1.3.5 Events category

Data elements related to this category and their allowable values together provide a comprehensive and harmonized solution for accurate reporting of lifecycle events. CFTC needs to track the 

history of material lifecycle events and amendments made to transactions in order to perform certain regulatory duties. Reporting of swaps life cycle events is identified by the combination of the 

action taken (Action type [#37]) for a transaction and the reason (Event type [#38]) for the action. Related transactions are linked using unique identifiers; for example, Prior USI [#149] and Prior UTI 

[#150] are used for linking one-to-one and one-to-many relationship between transactions. Event identifier [#40] is also used for linking many-to-many relationship between transactions for 

specified situations. 

Appendix F illustrates how different lifecycle events should be reported in transaction reporting and end-of-day (valuation and collateral) reporting with 16 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 [#81], Other payment amount [#82], Other payment currency [#83], Other payment date [#84], 

Other payment payer [#85], and Other payment receiver [#86]) capture some types of payments linked to the derivative transaction but that are not regular periodic payments. This set of data 

elements may contain multiple values and must adhere to the implementation procedures established by the SDR. 

1.3.7 Custom baskets category

The data elements in the ‘Custom baskets’ category (data elements Custom basket indicator [#31], Custom basket code [#32], Basket constituent identifier [#33], Basket constituent identifier source

[#34], Basket constituent unit of measure [#35], and Basket constituent number of units [#36]) capture information related to custom baskets which are not covered by the Unique Product 

Identifier (UPI). Custom baskets should be understood as a collection of assets and/or indices where the weightings, constituents, roll schedules, and/or other key attributes related to the 

characteristics of the basket, are customized by the basket structurer. See Appendix G for an example of how a custom basket swap is reported using these data elements.

1.3.8 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

[#136] 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 4 - 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.
xiii

1.4 Unique Product Identifier (UPI)9

The term “Unique Product Identifier” as used in this Technical Specification corresponds to the term “UPI code” in the UPI Technical Guidance10. 

1.4.1 Reporting to an SDR for the Credit, Rates, FX and Equities asset classes11

For the Credit, Rates, FX and Equities asset classes, report the Unique Product Identifier (UPI) [#123].

1.4.2 Reporting to an SDR for the Commodities asset class

For the commodiites 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. 

Once the Commission designates a UPI pursuant to § 45.7 for the Commodities asset class, a separate UPI may be required to be reported for public dissemination pursuant to § 43.(4)(c)5. 

For those swaps described in § 43.4(c)(4)(iii) and proposed § 43.4(c)(5)(ii), a reporting counterparty must report an additional UPI that limits the geographic detail of the transaction according to 

Appendix E of Part 43. This UPI is separate from, and in addition to, the UPI required for Part 45 reporting that does not limit the geographic detail of the transaction. Refer to Appendix H - Part 43 

and 45 UPI reporting workflows for commodities that describes various use cases for retrieving/creating UPI code for commodity related products and other relevant Part 45 data elements in 

relation to Part 43 geographic masking requirements.

1.4.3 Validation rules

Product specific validation rules are based on the UPI reference data elements as provided by UPI service provider12 and defined in ISO 4914 Standard.

13 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.

14

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 5 - Example of product specific valiation rule

 

9 Refer to § 45.7 (Unique product identifiers) for more details. 10 See Technical Guidance, Harmonisation of the Unique Product Identifier, September 2017, https://www.leiroc.org/publications/gls/roc_20170901.pdf 11 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). 12 UPI service provider is Derivatives Service Bureau (DSB) – https://www.anna-dsb.com/upi/ 13 ISO 4914 Unique Product Identifier (UPI) – https://www.iso.org/standard/80506.html 14 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.
xiv

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 UPI 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.Once the Commission designates a UPI pursuant to § 45.7 for the Commodities asset class, a separate UPI may be required to be reported for public dissemination pursuant to § 43.5.
CFTC Technical Specification Version 3.3 1 

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EQ

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1 CDE Clearing Cleared Indicator of whether the transaction has been cleared, or is intended to be 

cleared, by a central counterparty15. 

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

gamma transactions.16

• N = No, not centrally cleared.

• I = Intent to clear, for alpha17

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’18

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 

• ISO 17442 Legal Entity Identifier (LEI)

code that is included in the LEI data as 

published by the Global LEI Foundation 

(GLEIF, www.gleif.org/).

C C C C C Transaction

C if [Cleared] = ‘Y’; 

NR if [Cleared] = ‘N’ or ‘I’

N N

 

15 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.” 16 Throughout this Technical Specification, references to “beta and gamma transactions” in CDE data elements should be read to mean “clearing swaps.” 17 Throughout this Technical Specification, references to “alpha transactions” in CDE data elements should be read to mean “original swaps.” 18 For CFTC jurisdiction, this data element is optional when the value of the data element “Cleared” is “I” (“Intent to clear”)
CFTC Technical Specification Version 3.3 2 

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Category Data Element Name Definition for Data Element Format Allowable Values

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EQ

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This data element is applicable to cleared transactions under both the 

agency clearing model and the principal clearing model.19

• 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 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”).

individuals (not eligible 

for an LEI per the 

ROC Statement - 

Individuals Acting in a 

Business Capacity20) 

and for Privacy Law 

Identifier (PLI).

• 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)

Collateral

NR

Valuation

NR

5 CFTC Clearing Clearing member identifier 

source [NEW]

Source used to identify the Clearing member. 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 Identifier

C C C C C Transaction

C if [Clearing member] is 

populated, else {blank}

Collateral

NR

Valuation

NR

N N

6 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 Standard21

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

7 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 

N N

 

19 Reporting counterparties should report “clearing swaps” according to the agency clearing model. 20 ROC Statement – Individuals Acting in a Business Capacity, ROC Statement - Individuals Acting in a Business Capacity 21 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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USIs] is not populated, else 

{blank}; 

NR if [Cleared] = ‘‘N’ 

Collateral

NR

Valuation

NR

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

9 CFTC Clearing Original swap UTI The unique transaction identifier (UTI) of the original swap23 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

10 CFTC Clearing Original swap SDR 

identifier

Identifier of the swap data repository (SDR) to which the original swap was 

reported24. 

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’ 

N N

 

22 For transactions where no original swap USI is available or not provided, a value of “NOTAVAILABLE” can be used. 23 For transactions where no original swap UTI is available or not provided, a value of “NOTAVAILABLE” can be used. 24 For transactions where no original swap SDR identifier is available or not provided, a value of “NOTAVAILABLE” can be used.
CFTC Technical Specification Version 3.3 4 

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Category Data Element Name Definition for Data Element Format Allowable Values

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Asset Class

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Validation Rules

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and 

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CR

IR

FX

EQ

CO

Collateral

NR

Valuation

NR

11 CFTC Clearing Clearing receipt timestamp The date and time, expressed in UTC, the original swap was received by 

the derivatives clearing organization (DCO) for clearing and recorded by 

the DCO’s system.

YYYY-MMDDThh:mm:ssZ, 

based on UTC.

Any valid date/time based on ISO 8601 

Date and time format.

C C C C C Transaction

C if ([Cleared] = ‘Y’ or 

([Cleared] = ‘I’ and [Action type] 

= ‘TERM’)) and [Event type] = 

'CLRG', else {blank};

NR if [Cleared] = ‘N’

Collateral

NR

Valuation

NR

N N

12 CFTC Clearing Clearing exceptions and 

exemptions - Counterparty 

1 

Identifies the type of clearing exception(s) or exemption(s) 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

13 CFTC Clearing Clearing exceptions and 

exemptions – Counterparty 

2 

Identifies the type of the clearing exception(s) or exemption(s) 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

14 CFTC Clearing Mandatory clearing 

indicator [NEW] 

An indicator of whether the swap transaction is subject to mandatory 

clearing under the Commission’s regulations. 

Boolean • true = transaction is subject to clearing 

mandate 

• false = transaction is not subject to 

clearing or no mandatory clearing 

requirement exists.

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate
CFTC Technical Specification Version 3.3 5 

Technical Specification Validation Rules and Dissemination Rules

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Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

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EQ

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15 CDE Counterparty Counterparty 1 (reporting 

counterparty) 

Identifier of the counterparty to an OTC derivative transaction25 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. However, if the allocation of the block trade to 

specific funds does not take place prior to the reporting deadline, then the 

fund manager executing the transaction on behalf of the fund can be 

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 Capacity26).

• 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

16 CFTC Counterparty Counterparty 1 identifier 

source [NEW]

Source used to identify the Counterparty 1. Char(4) • LEID = Legal Entity Identifier

• NPID = Natural Person Identifier, to 

identify person who are acting as private 

individuals, not business entities

M M M M M Transaction

M 

Collateral

M 

Valuation

M

Y Y Validation

Same as part 45 

(Transaction)

Dissemination

Do not 

disseminate

17 CDE Counterparty Counterparty 2 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. However, if the allocation of the block trade to 

specific funds does not take place prior to the reporting deadline, then the 

fund manager executing the transaction on behalf of the fund can be 

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 

18 CFTC Counterparty Counterparty 2 identifier 

source

Source used to identify the Counterparty 2. Char(4) • LEID = Legal Entity Identifier M M M M M Transaction

M 

Y Y Validation

 

25 Throughout this Technical Specification, references to “OTC derivatives” in CDE data elements should be read to mean swaps. 26 ROC Statement – Individuals Acting in a Business Capacity, ROC Statement - Individuals Acting in a Business Capacity. 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 [#17] associated data elements
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• NPID = Natural Person Identifier, to 

identify person who are acting as private 

individuals, not business entities

• PLID = Privacy Law Identifier30

Collateral

M 

Valuation

M

Same as part 45 

(Transaction) 

Dissemination

Do not 

disseminate

19 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

20 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

21 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

22 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

• 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 

• 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 

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 

N N

 

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
CFTC Technical Specification Version 3.3 7 

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Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

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and 

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CR

IR

FX

EQ

CO

• 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.

Business Capacity) 

and for Privacy Law 

Identifier (PLI).

unique identifier assigned and 

maintained consistently by the reporting 

counterparty for that natural person(s) for 

regulatory reporting purpose.

• Privacy Law Identifier (PLI) 

counterparty)] or [Counterparty 

2]

Collateral

NR

Valuation

NR

23 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

24 CDE Counterparty Receiver identifier

[Receiver identifier-Leg 1]

[Receiver identifier-Leg 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

25 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 thirdparty 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 

 

31 For fixed-floating interest rate swaps, the payer is the counterparty paying the fixed rate 32 For fixed-floating interest rate swaps, the receiver is the counterparty receiving the fixed rate
CFTC Technical Specification Version 3.3 8 

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Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

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Validation Rules

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and 

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CR

IR

FX

EQ

CO

26 CFTC Counterparty Counterparty 1 federal 

entity indicator

Indicator of whether Counterparty 1 is:

(1) One of the following entities:

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

limited to, the following: 

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

instrumentality, or a federal authority; 

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

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

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

defined in 2 U.S.C. § 622(8));

iv. A federally funded research and development center on the 

master list referenced in 48 CFR 35.017-6; and

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

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

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

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

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

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

clause (2).

Notwithstanding the foregoing, the Counterparty 1 federal entity indicator 

data element does not include federally chartered depository institutions.

Boolean • True

• False

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Do not 

disseminate

27 CFTC Counterparty Counterparty 2 federal 

entity indicator

Indicator of whether Counterparty 2 is:

(1) One of the following entities:

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

limited to, the following: 

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

instrumentality, or a federal authority; 

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

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

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

defined in 2 U.S.C. § 622(8));

iv. A federally funded research and development center on the 

master list referenced in 48 CFR 35.017-6; and

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

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

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

(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.

Boolean • True

• False

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Do not 

disseminate
CFTC Technical Specification Version 3.3 9 

Technical Specification Validation Rules and Dissemination Rules

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Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

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Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

28 CFTC Counterparty Counterparty 1 designation

[NEW]

Indication of the reporting counterparty’s designation. Char(3) • SDL = for swap dealer

• MSP = for major swap participant

• DCO = for derivatives clearing 

organization

• NON = for a non-SD, non-MSP, and 

non-DCO

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Do not 

disseminate

29 CFTC Counterparty Counterparty 2 designation

[NEW]

Indication of the second counterparty’s designation. Char(3) • SDL = for swap dealer

• MSP = for major swap participant

• NON = for a non-SD, non-MSP, and 

non-DCO

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Do not 

disseminate

30 CFTC Counterparty Counterparty 2 special 

entity [NEW]

An indication of whether Counterparty 2 is a special entity as defined in 

23.401(c). 

Char(4) • SPEN = Counterparty 2 is a special 

entity 

• NONE = Counterparty 2 is not a special 

entity 

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N N

31 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 

32 CDE Custom 

Baskets

Custom basket code [NEW] If the OTC derivative transaction is based on a custom basket, unique code 

assigned by the structurer of the custom basket to link its constituents. 

This data element is not applicable if no custom basket is involved or no 

unique code has been assigned to it.

Varchar(72) ISO 17442 Legal Entity Identifier (LEI) 

code of the basket structurer33 followed 

by a unique identifier up to 52 

alphanumeric characters. 

C C C C C Transaction

C if [Custom basket indicator] = 

‘True’, else {blank} 

Collateral

NR

Valuation

NR

N N

33 CDE Custom 

Baskets

Basket constituent identifier

[NEW]

An identifier that represents a constituent of an underlying custom basket, 

in line with the Underlier ID within the ISO 4914 UPI reference data 

elements, as maintained by the UPI Service Provider or in line with an 

Varchar(350)34 An identifier that can be used to 

determine an asset, index, or benchmark 

included in a basket35. 

Up to 350 alphanumeric characters.

C C C C C Transaction

C if [Custom basket code] is 

populated, else {blank} 

N N

 

33 The LEI code should represent the LEI of the entity assigning the basket code. 34 Refer to Section 1.3.7 on Custom baskets category and also refer to Appendix G for an example of how to report custom basket using custom basket group of fields (#31 - #36) 35 In line with the Underlier ID within the UPI reference data elements, as maintained by the UPI service provider, or in accordance to section 5.2 of the CPMI-IOSCO Technical Guidance: Harmonization of the Unique Product 

Identifier.
CFTC Technical Specification Version 3.3 10

Technical Specification Validation Rules and Dissemination Rules

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Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

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Validation 

and 

Dissemination Rules

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IR

FX

EQ

CO

identifier that would be reported as an Underlier ID (Other) where the UPI 

Underlier ID is ‘OTHER’. 

This data element is not applicable if no custom basket is involved.

The number of constituent 

identifier values must equal the 

number of constituent unit of 

measure, number of units, 

and identifier source values. 

Collateral

NR

Valuation

NR

34 CDE Custom 

Baskets

Basket constituent identifier 

source [NEW]

The origin, or publisher, of the associated Basket constituent identifier, in 

line with the Underlier ID source within the ISO 4914 UPI reference data 

elements as maintained by the UPI Service Provider or in line with the 

allowable value that would be reported as an Underlier ID (Other) source 

where the UPI Underlier ID is ‘OTHER’.

This data element is not applicable if no custom basket is involved. 

Varchar(350) The origin, or publisher36, of the 

associated basket constituent identifier. 

Up to 350 alphanumeric characters. 

C C C C C Transaction

C if [Basket constituent

identifier] is populated, else 

{blank} 

The number of constituent 

identifier source values must 

equal the number of constituent 

identifier, unit of measure and 

number of units values. 

Collateral

NR

Valuation

NR

N N

35 CDE Custom 

Baskets

Basket constituent unit of 

measure [NEW]

Unit of measure in which the number of units of a particular custom basket 

constituent is expressed. 

This data element is not applicable if no custom basket is involved.

Char(4) ISO 20022 approved external 

UnitOfMeasureCode codeset37

C C C C C Transaction

C if [Basket constituent

identifier] is populated, else 

{blank} 

The number of constituent unit 

of measure values must equal 

the number of constituent 

identifier, number of units, and 

identifier source values. 

Collateral

NR

Valuation

NR

N N

 

36 In line with the Underlier ID within the UPI reference data elements, as maintained by the UPI service provider, or in accordance to section 5.2 of the CPMI-IOSCO Technical Guidance: Harmonization of the Unique Product 

Identifier.

37 Other SDR approved UnitOfMeasure codes (related to crypto transactions) are allowed for CFTC.
CFTC Technical Specification Version 3.3 11

Technical Specification Validation Rules and Dissemination Rules

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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

36 CDE Custom 

Baskets

Basket constituent number 

of units [NEW]

The number of units of a particular constituent in a custom basket. 

This data element is not applicable if no custom basket is involved.

Num(18,13) Any value greater than zero38. C C C C C TransactionC if [Basket

constituent identifier] is 

populated, else {blank} 

The number of constituent 

number of units values must 

equal the number of constituent 

identifier, unit of measure and 

identifier source values. 

Collateral

NR

Valuation

NR

N N

37 CDE Events Action type39 Type of action taken on the 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/margin update. 

New: The creation of the first transaction resulting in the generation of a 

new UTI.

Modify: A modification of the terms of a previously reported transaction 

due to a newly negotiated modification (amendment) or a filling in of not 

available missing information (e.g., post price transaction). It does not 

include correction of a previously reported transaction.

Correct: A correction of erroneous data of a previously reported transaction.

Error: A cancellation of a wrongly submitted entire transaction in case it 

never came into existence or was not subject to the reporting requirements 

under the applicable law of a given jurisdiction, or a cancellation of a 

duplicate report.

Terminate: A termination of a a previously reported transaction.. 

Revive: An action that reinstates a reported transaction that was reported 

with action type “Error” or terminated by mistake or expired due to an 

incorrectly reported Expiration date.

Char(4) • NEWT = New

• MODI = Modify

• CORR = Correct

• EROR = Error

• TERM = Terminate

• REVI = Revive

• PRTO = Transfer out

• VALU = Valuation

• MARU = Collateral/Margin update

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.

 

38 For commodities baskets where, calculated formula of different % weights of indices are used, provide values without the %. For example, 10% should be reported as “10”. 39 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 3.3 12

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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

Transfer out: A transfer of a transaction from one trade repository to 

another trade repository (change of trade repository).

Valuation: An update of a valuation of a transaction. There will be no 

corresponding Event type.

Collateral/Margin update: An update to collateral margin data. There will 

be no corresponding Event type.

Refer to appendix F for event model sample scenarios.

38 CDE Events Event type Explanation or reason for the action being taken on the transaction. 

Events may include, but are not limited to, trade, novation/step-in, post 

trade risk reduction exercise, early termination, clearing, exercise, 

allocation, clearing & allocation, credit event, corporate event and transfer.

Trade: Creation or modification of a transaction.

Novation/Step-in40: A novation or step-in legally moves part or all of the 

financial risks of a transaction from a transferor to a transferee and has the 

effect of terminating/modifying the original transaction so that it is either 

terminated or its notional is modified.

Post trade risk reduction exercise: Compressions and other post trade

risk reduction exercises generally have the effect either of terminating or 

modifying (i.e., reducing the notional value) a set of existing transactions 

and/or 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 transaction prior to 

expiration date.

Clearing: Central clearing is a process where a central counterparty (CCP)

interposes itself between counterparties to transactions, becoming the 

buyer to every seller and the seller to every buyer and thereby ensuring the 

performance of open transactions. It has the effect of terminating an 

existing transaction between the buyer and the seller. 

Exercise: The full or partial exercise of an option or swaption by one 

counterparty of the transaction.

Allocation41: The process by which portions of a single transaction (or 

multiple transactions) are allocated to one or multiple different 

counterparties and reported as new transactions. 

Char(4) • TRAD = Trade

• NOVA = Novation/Step-in

• COMP = Post trade risk reduction

exercise

• ETRM = Early termination

• CLRG = Clearing

• EXER = Exercise

• ALOC = Allocation

• CLAL = Clearing & Allocation

• CREV = Credit event

• PTNG = Transfer

• CORP = Corporate event

• UPDT = Update

C C C C C Transaction

C, for valid Action type and 

Event type Combination, see 

table in Appendix F. 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

For valid Action 

type and Event 

type Combination

for public 

dissemination, see 

table in Appendix 

F

 

40 Novation – see definition in § 45.1(a) 41 Allocation – see definition in § 45.1(a) 
CFTC Technical Specification Version 3.3 13

Technical Specification Validation Rules and Dissemination Rules

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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

Clearing & Allocation: A simultaneous clearing and allocation event in a 

central counterparty (CCP). 

Credit event: An event that results in a modification or a termination of a 

previously submitted credit transaction. Applies only to credit derivatives.

Transfer42: The process by which a transaction is transferred to another 

trade repository that has the effect of the closing of the transaction at one 

trade repository and opening of the same transaction using the same UTI 

in a different trade repository (new).

Corporate event: The process by which a corporate action is taken on 

equity underlying that impacts the transactions on that equity.

Update: Update of an outstanding transaction performed in order to ensure 

its conformity with the amended reporting requirements.

39 CFTC Events Amendment indicator Indicator of whether the modification of the 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

40 CDE Events Event identifier Unique43 identifier to link transactions entering into and resulting from an 

event, which may be, but is not limited to, compression or other post trade 

risk reduction exercises, credit event, etc. The unique identifier may be 

assigned by the reporting counterparty or a service provider or CCP 

providing the service. 

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

41 CDE Events Event timestamp Date and time of occurrence of the event.44

In the case of a modification agreed for a future date, this data element 

should reflect the date, the modification occurs (becomes effective) and not 

when it was negotiated. 

In the case of a correction, this data element should reflect the date and 

time as of when the correction is applicable. 

YYYY-MMDDThh:mm:ssZ, 

based on UTC46. 

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 

Y Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 

42 Transfer – A reporting counterparty may change the swap data repository to which the transaction is reported pursuant to rule § 45.10(d). 43 The identifier which relates to the same event should be unique per event. 44 The timestamp is determined by the reporting counterparty or the service provider or central counterparty (CCP) providing the service. 46 Both the date and time portion are required to be reported. The time element is as specific as technologically practicable. If the time portion is not available, report “00:00:00” for the time portion.
CFTC Technical Specification Version 3.3 14

Technical Specification Validation Rules and Dissemination Rules

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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 the case of a clearing event, this data element should reflect the 

recorded date and time when the alpha transaction is accepted by the 

central counterparty (CCP) for clearing.

In the case of collateral update, the date and time45 for which the 

information contained in the report is provided.

Valuation

NR

42 CFTC Notional 

amounts and 

quantities

USD equivalent regulatory 

notional amount [NEW]

For the entire swap transaction (not leg by leg), provide the USD equivalent 

notional amount that represents the entire overall transaction for tracking 

notional volume.

Generally, calculate USD equivalent notional using methodologies 

described in the revised CDE Technical Guidance – version 3: 

Harmonisation of critical OTC derivatives data elements (other than UTI 

and UPI), 2.70 Notional amount47. 

With respect to swaps denominated in non-notional terms (e.g., many nonfinancial commodity swaps), methodologies described in existing guidance 

should be used if they differ from the revised CDE Technical Guidance – 

version 3: Harmonisation of critical OTC derivatives data elements (other 

than UTI and UPI), 2.70 Notional amount. If guidance does not exist, 

calculate USD equivalent notional for the entire overall transaction using 

market standard, economically reasonable, and analytically supported 

methods.

In all cases, this data element should be delta adjusted for trades with 

embedded optionality or embedded leverage.

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

M 

Collateral

NR

Valuation

NR

N N

43 CDE Notional 

amounts and 

quantities

Notional amount48

[Notional amount-Leg 1]

[Notional amount-Leg 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.

Num(25,5) Any value (Negative values are only 

allowed for commodity derivatives when 

applies, e.g. to account for the cost of 

storage).50

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

 

45 In the case of collateral update (Action type = ‘MARU’), time portion should be reported as “00:00:00”. 47 Refer to Appendix B of this document, Notional Amount 48 Notional amount for CDS should reflect the gross amount and not the net amount after reflecting version incrementing due to a credit event 50 “99999999999999999999.99999” is accepted when the value is not available at the time of reporting. 25 numerical characters including decimals.
CFTC Technical Specification Version 3.3 15

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Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

• For 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 events49, 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. 

44 CDE Notional 

amounts and 

quantities

Notional currency

[Notional currency-Leg 1]

[Notional currency-Leg 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

45 CDE Notional 

amounts and 

quantities

Notional amount schedule -

notional amount in effect on 

associated effective date

[Notional amount in effect 

on associated effective 

date-Leg 1]

[Notional amount in effect 

on associated effective 

date-Leg 2] 

For each leg of the transaction, where applicable:

for OTC derivative transactions negotiated in monetary amounts with a 

notional amount schedule:

• Notional amount which becomes effective on the associated unadjusted 

effective date.

The initial notional amount and associated unadjusted effective and end 

date are reported as the first values of the schedule.

This data element is not applicable to OTC derivative transactions with 

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

the varying notional amounts in the schedule is reported in Notional 

currency.

Num(25,5) Any value. O C O O O Transaction - IR

C if UPI.[Notional schedule] ≠ 

‘Constant’, else {blank}

The number of notional amount 

values must equal the number 

of start and end date intervals. 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate only 

the first 10 

reported values of 

the schedule

46 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} 

The number of date values 

must equal the number of 

notional amount values.

Collateral

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate only 

the first 10 

reported values of 

the schedule

 

49 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.
CFTC Technical Specification Version 3.3 16

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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

47 CDE Notional 

amounts and 

quantities

Notional amount schedule -

unadjusted end date of the 

notional amount

[End date of the notional 

amount-Leg 1]

[End 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 end date of the notional amount 

(not applicable if the unadjusted end date of a given schedule’s period is 

back-to-back 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} 

The number of date values 

must equal the number of 

notional amount values.

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate only 

the first 10 

reported values of 

the schedule

48 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

49 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}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

50 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

51 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}

N Y Validation

Same as part 45 

(Transaction)
CFTC Technical Specification Version 3.3 17

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

Collateral

NR

Valuation

NR

Dissemination

Disseminate

52 CFTC Notional 

amounts and 

quantities

Notional quantity

[Notional quantity-Leg 1]

[Notional quantity-Leg 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

53 CFTC Notional

amounts and 

quantities

Quantity frequency51

[Quantity frequency-Leg 1]

[Quantity frequency-Leg 2] 

For each leg of the swap transaction where applicable, 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 

54 CFTC Notional 

amounts and 

quantities

Quantity frequency

multiplier 

[Quantity frequency

multiplier-Leg 1]

[Quantity frequency

multiplier-Leg 2]

For each leg of the swap transaction where applicable, the number of time 

units for the Quantity frequency.

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

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if [Quantity frequency] ≠ 

‘ONDE’ or ‘ADHO’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

55 CDE Notional 

amounts and 

quantities

Quantity unit of measure

[Quantity unit of measureLeg 1] 

[Quantity unit of measureLeg 2] 

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

the Total notional quantity and Notional quantity are expressed.

Char(4) ISO 20022 approved external 

UnitOfMeasureCode codeset52

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

56 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.53 N

R 

N

R 

N

R 

M M Transaction – EQ/CO

M 

Collateral

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 

51 To represent quarterly, report [Quantity frequency] = ‘MNTH’ and [Quantity frequency multiplier] = ‘3’. For semi-annual, report [Quantity frequency] = ‘MNTH’ and [Quantity frequency multiplier] = ‘6’. 52 Other SDR approved UnitOfMeasure codes (related to crypto transactions) are allowed for CFTC. 53 ”99999999999999999999.99999” is accepted when the value is not available. 25 numerical characters including decimals.
CFTC Technical Specification Version 3.3 18

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

Valuation

NR

57 CDE Notional 

amounts and 

quantities

Notional quantity schedule -

unadjusted date on which 

the associated notional 

quantity becomes effective

[NEW] 

[Notional quantity schedule 

– unadjusted date on which 

the associated notional 

quantity becomes - Leg1] 

[[Notional quantity schedule 

– unadjusted date on which 

the associated notional 

quantity becomes - Leg2]

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

transactions negotiated in non-monetary amounts with a Notional quantity 

schedule • Unadjusted date on which the associated notional quantity 

becomes effective. 

The initial notional quantity and associated unadjusted effective and end 

date are be reported as the first values of the schedule.

This data element is not applicable to OTC derivative transactions with 

notional quantities that are condition- or event-dependent. 

The quantity unit of measure for the varying notional quantities in the 

schedule is reported in Quantity unit of measure.

YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format. 

N

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if [Notional quantity schedule 

- notional quantity] is

populated, else {blank} 

The number of date values 

must equal the number of 

notional quantity values.

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

58 CDE Notional 

amounts and 

quantities

Notional quantity schedule -

unadjusted end date of the 

notional quantity [NEW] 

[Notional quantity schedule 

- unadjusted end date of the 

notional quantity-Leg1] 

[Notional quantity schedule 

- unadjusted end date of the 

notional quantity-Leg2] 

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

transactions negotiated in non-monetary amounts with a Notional quantity 

schedule• Unadjusted end date of the notional quantity (not applicable if 

the unadjusted end date of a given schedule’s period is back-to-back with 

the unadjusted effective date of the subsequent period); 

The initial notional quantity and associated unadjusted effective and end 

date are be reported as the first values of the schedule.

This data element is not applicable to OTC derivative transactions with 

notional quantities that are condition- or event-dependent. 

The quantity unit of measure for the varying notional quantities in the 

schedule is reported in Quantity unit of measure.

YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format. 

N

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if [Notional quantity schedule 

- notional quantity] is 

populated, else {blank} 

The number of date values 

must equal the number of 

notional quantity values.

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

59 CDE Notional 

amounts and 

quantities

Notional quantity schedule -

notional quantity [NEW] 

[Notional quantity schedule 

- notional quantity -Leg1] 

[Notional quantity schedule 

- notional quantity -Leg2] 

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

transactions negotiated in non-monetary amounts with a Notional quantity 

schedule 

• Notional quantity which becomes effective on the associated unadjusted 

effective date. The initial notional quantity and associated unadjusted 

effective and end date are be reported as the first values of the schedule. 

This data element is not applicable to OTC derivative transactions with 

notional quantities that are condition- or event-dependent. 

The quantity unit of measure for the varying notional quantities in the 

schedule 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 

The number of notional 

quantity values must equal the 

number of date intervals.

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

60 CFTC Notional 

amounts and 

quantities

Notional quantity schedule -

days of week54 [NEW]

[Notional quantity schedule 

- days of week-Leg1] 

For each leg of the swap transaction where applicable, OTC derivative 

transactions negotiated in non-monetary amounts with Notional quantity 

schedule: 

• Days of the week applicable for the delivery of power. 

Char(4) • WDAY = Weekdays (MO - FR)

• WEND = Weekend (SA - SU)

• MOND = Monday

• TUED = Tuesday

• WEDD = Wednesday

N

R 

N

R 

N

R 

N

R 

C Transaction – CO

C if UPI.[ Underlier sub-type 

(first level)] = ‘ELEC’ and [Days 

of week] is not populated

N N

 

54 If the value remains constant throughout the life of the swap, populate this field with the appropriate value and do not populate the associated effective date and end date fields.
CFTC Technical Specification Version 3.3 19

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

[Notional quantity schedule 

- days of week-Leg2] 

• THUD = Thursday

• FRID = Friday

• SATD = Saturday

• SUND = Sunday

• XBHL - Excluding bank holidays

• IBHL - Including bank holidays

Collateral

NR

Valuation

NR

61 CFTC Notional 

amounts and 

quantities

Notional quantity schedule -

unadjusted effective date of 

days of week [NEW]

[Notional quantity schedule 

- unadjusted effective date 

of days of week-Leg1] 

[Notional quantity schedule 

- unadjusted effective date

of days of week-Leg2]

For each leg of the swap transaction where applicable, OTC derivative 

transactions negotiated in non-monetary amounts with Notional quantity 

schedule: 

• Unadjusted date on which the associated days of week becomes effective 

for the delivery of power. 

YYYY-MM-DD, based

on UTC.

Any valid date based on ISO 8601 Date

and time format.

N

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if [Notional quantity schedule 

- days of week] is populated, 

else {blank} 

Collateral

NR

Valuation

NR

N N

62 CFTC Notional 

amounts and 

quantities

Notional quantity schedule -

unadjusted end date of 

days of week [NEW]

[Notional quantity schedule 

- unadjusted end date of 

days of week-Leg1] 

[Notional quantity schedule 

- unadjusted end date of 

days of week-Leg2]

For each leg of the swap transaction where applicable, OTC derivative 

transactions negotiated in non-monetary amounts with Notional quantity 

schedule:

• Unadjusted end date of the days of week for the delivery of power. 

YYYY-MM-DD, based

on UTC.

Any valid date based on ISO 8601 Date

and time format.

N

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if [Notional quantity schedule 

- days of week] is populated, 

else {blank} 

Collateral

NR

Valuation

NR

N N

63 CFTC Notional 

amounts and 

quantities

Notional quantity schedule -

hours from thru [NEW]

[Notional quantity schedule 

- hours from thru-Leg1] 

[Notional quantity schedule 

- hours from thru-Leg2] 

For each leg of the swap transaction where applicable, OTC derivative 

transactions negotiated in non-monetary amounts with Notional quantity 

schedule: 

• Hours from through based in UTC applicable for the delivery of power. 

Char(19)

hh:mm:ssZhh:mm:ssZ based on 

UTC

19 alphanumeric characters. N

R 

N

R 

N

R 

N

R 

C Transaction – CO

C if UPI.[Underlier sub-type 

(first level)] = ‘ELEC’ and 

[hours from thru] is not 

populated

Collateral

NR

Valuation

NR

N N

64 CFTC Notional 

amounts and 

quantities

Notional quantity schedule -

unadjusted effective date of 

hours from thru55 [NEW] 

[Notional quantity schedule 

- unadjusted effective date 

of hours from thru-Leg1] 

[Notional quantity schedule 

For each leg of the swap transaction where applicable, OTC derivative 

transactions negotiated in non-monetary amounts with Notional quantity 

schedule: 

• Unadjusted date on which the associated hours from thru becomes 

effective for the delivery of power. 

YYYY-MM-DD, based

on UTC.

Any valid date based on ISO 8601 Date

and time format.

N

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if [Notional quantity schedule 

– hours from thru] is populated, 

else {blank} 

Collateral

NR

Valuation

NR

N N

 

55 If the value remains constant throughout the life of the swap, populate this field with the appropriate value and do not populate the associated effective date and end date fields.
CFTC Technical Specification Version 3.3 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

- unadjusted effective date 

of hours from thru-Leg2]

65 CFTC Notional 

amounts and 

quantities

Notional quantity schedule -

unadjusted end date of 

hours from thru [NEW] 

[Notional quantity schedule 

- unadjusted end date of 

hours from thru-Leg1] 

[Notional quantity schedule 

- unadjusted end date of 

hours from thru-Leg2]

For each leg of the swap transaction where applicable, OTC derivative 

transactions negotiated in non-monetary amounts with Notional quantity 

schedule: 

• Unadjusted end date of the hours from thru for the delivery of power. 

YYYY-MM-DD, based

on UTC.

Any valid date based on ISO 8601 Date

and time format.

N

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if [Notional quantity schedule 

– hours from thru] is populated, 

else {blank} 

Collateral

NR

Valuation

NR

N N

66 CFTC Notional 

amounts and 

quantities

Notional quantity schedule -

load profile type56 [NEW]

[Notional quantity schedule 

– load profile type-Leg1] 

[Notional quantity schedule 

– load profile type-Leg2] 

For each leg of the swap transaction where applicable, OTC derivative 

transactions negotiated in non-monetary amounts with Notional quantity 

schedule: 

• Load profile type applicable for the delivery of power. 

Char(4) • BSLD = Base Load

• PKLD = Peak Load

• OFFP = Off-Peak

• HABH = Hour/Block Hours

• SHPD = Shaped

• GASD = Gas Day

• OTHR = Other

N

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if UPI.[Underlier sub-type 

(first level)] = ‘ELEC’ and [load 

profile type] is not populated 

Collateral

NR

Valuation

NR

N N

67 CFTC Notional 

amounts and 

quantities

Notional quantity schedule -

unadjusted effective date of 

load profile type [NEW] 

[Notional quantity schedule 

- unadjusted effective date 

of load profile type-Leg1] 

[Notional quantity schedule 

- unadjusted effective date 

of load profile type-Leg2]

For each leg of the swap transaction where applicable, OTC derivative 

transactions negotiated in non-monetary amounts with Notional quantity 

schedule: 

• Unadjusted date on which the associated load profile type becomes 

effective for the delivery of power. 

YYYY-MM-DD, based

on UTC.

Any valid date based on ISO 8601 Date

and time format.

N

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if [Notional quantity schedule 

– load profile type] is 

populated, else {blank} 

Collateral

NR

Valuation

NR

N N

68 CFTC Notional 

amounts and 

quantities

Notional quantity schedule -

unadjusted end date of load 

profile type [NEW] 

[Notional quantity schedule 

- unadjusted end date of 

load profile type-Leg1] 

[Notional quantity schedule 

- unadjusted end date of 

load profile type-Leg2]

For each leg of the swap transaction where applicable, OTC derivative 

transactions negotiated in non-monetary amounts with Notional quantity 

schedule: 

• Unadjusted end date of the load profile type for the delivery of power. 

YYYY-MM-DD, based

on UTC.

Any valid date based on ISO 8601 Date

and time format.

N

R 

N

R 

N

R 

N

R 

C Transaction - CO

C if [Notional quantity schedule 

– load profile type] is 

populated, else {blank} 

Collateral

NR

Valuation

NR

N N

69 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 

N Y Validation

Same as part 45 

(Transaction)

 

56 If the value remains constant throughout the life of the swap, populate this field with the appropriate value and do not populate the associated effective date and end date fields.
CFTC Technical Specification Version 3.3 21

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

Collateral

NR

Valuation

NR

Dissemination

Disseminate

70 CDE Packages Package identifier57 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 package58 may include reportable and non-reportable transactions.

This data element is not applicable

• if no package is involved, or

• to allocations

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

reported, the Package identifier is updated as it becomes available.

Varchar(100) Up to 100 alphanumeric characters.59 C C C C C Transaction

C if [Package indicator] = 

‘True’, else {blank}

Collateral

NR

Valuation

NR

N N

71 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 = 360 61

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

 

57 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. 58 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. 59 “UNKNOWN” is accepted when the value is not available. 60 The allowable values are restricted based on CFTC’s jurisdictional requirements. 61 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).
CFTC Technical Specification Version 3.3 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

72 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

73 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 = Decimal62

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 

74 CDE Packages Package transaction spread Traded price of the entire package in which the reported derivative 

transaction is a component of a package transaction. 

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

spread, difference between two reference prices.

This data element is not applicable if

• no package is involved, or

• Package transaction price is used

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

Spread notation) that represent individual components of the package are 

reported when available.

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

reported but may be updated later.63

• Num(18,13), if 

Package transaction 

spread notation = 1

• Num(11,10), if 

Package transaction 

spread notation = 3

• Num(5), if Package 

transaction spread 

notation = 4

• Any value, if Package transaction 

spread notation = 1

• Any value expressed as decimal (eg 

0.0257 instead of 2.57%), Package 

spread price notation = 364

• Any integer value expressed in basis 

points (eg 257 instead of 2.57%), if 

Package transaction spread notation = 4

C C C C C Transaction

C if [Package indicator] = ‘True’

and [Package transaction price] 

is not populated, else {blank} 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate 

75 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

N Y Validation

Same as part 45

(Transaction) 

Dissemination

Disseminate

 

62 The allowable values are restricted based on CFTC’s jurisdictional requirements. 63 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).

64 The allowable values are restricted based on CFTC’s jurisdictional requirements.
CFTC Technical Specification Version 3.3 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

Valuation

NR

76 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 = Decimal65

• 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 

77 CDE Payments Day count convention

[Fixed rate day count 

convention-leg 1]

[Fixed rate day count 

convention-leg 2] 

[Floating rate day count 

convention-leg 1]

[Floating rate-day count 

convention-leg 2]

For each leg of the transaction, where applicable: day count convention 

(often also referred to as day count fraction or day count basis or day count 

method) that determines how interest payments are calculated. It is used to 

compute the year fraction of the calculation period, and indicates the 

number of days in the calculation period divided by the number of days in 

the year.

Char(4) • A001 

• A002 

• A003

• A004

• A005

• A006

• A007

• A008

• A009

• A010

• A011

• A012

• A013

• A014

• A015 

• A016

• A017

• A018

• A019

• A020

• NARR

For a description of the allowable values 

see Appendix C.

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

78 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

N N

 

65 The allowable values are restricted based on CFTC’s jurisdictional requirements.
CFTC Technical Specification Version 3.3 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

Valuation

NR

79 CFTC Payments Floating rate reset 

frequency period

[Floating rate reset 

frequency period-leg 1]

[Floating rate reset 

frequency period-leg 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

80 CFTC Payments Floating rate reset 

frequency period multiplier

[Floating rate reset 

frequency period multiplierleg 1]

[Floating rate reset 

frequency period multiplierleg 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

81 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
CFTC Technical Specification Version 3.3 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

82 CDE Payments Other payment amount66 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

83 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

84 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

85 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

86 CDE Payments Other payment receiver Identifier of the receiver of Other payment amount. • 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 [Other payment amount] is 

populated, else {blank}

N N

 

66 The set of data elements related to other payments (Other payment type [#81], Other payment amount [#82], Other payment currency [#83], Other payment date [#84], Other payment payer [#85], Other payment receiver

[#86]) may contain multiple values.
CFTC Technical Specification Version 3.3 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

for an LEI per the 

ROC Statement – 

Individuals Acting in a 

Business Capacity) 

and for Privacy Law 

Identifier (PLI).

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)

Collateral

NR

Valuation

NR

87 CDE Payments Payment frequency period67

[Fixed rate payment 

frequency period-Leg 1]

[Fixed rate payment 

frequency period-Leg 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 68 = 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

88 CDE Payments Payment frequency period 

multiplier

[Fixed rate payment 

frequency period multiplierLeg 1] 

[Fixed rate payment 

frequency period multiplierLeg 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

89 CDE Prices Exchange rate69 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 

 

67 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’.

68 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. 

69 For FX, forward exchange rate would be reported in this data element.
CFTC Technical Specification Version 3.3 27

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

90 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

91 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%)70

C C N

R 

N

R 

C Transaction - CR

C if [Spread] is not populated 

and [Other payment type] ≠ 

‘UFRO’, and [Post-priced swap 

indicator] = ‘False’, and 

UPI.[Instrument type] ≠ 

‘Option’, else {blank}

Transaction - IR

C if [Spread] is not populated 

and [Post-priced swap 

indicator] = ‘False’, and 

UPI.[Instrument type] ≠ 

‘Option’, else {blank}

Transaction - CO

C if [Price] or [Spread] is not 

populated and [Post-priced 

swap indicator] = ‘False’, and 

UPI.[Instrument type] ≠ 

‘Option’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

92 CFTC Prices Post-priced swap indicator Indicator of whether the swap transaction satisfies the definition of “postpriced swap” in § 43.2(a) of the Commission’s regulations.Boolean • True71

• False

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 

70 The allowable values are restricted based on CFTC’s jurisdictional requirements. 71 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. 
CFTC Technical Specification Version 3.3 28

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

93 CDE Prices Price72 Price specified in the OTC derivative transaction. It does not include fees, 

taxes or commissions. 

For commodity fixed/float swaps and similar products with periodic 

payments, this data element refers to the fixed price of the fixed leg(s).

For commodity and equity forwards and similar products, this data element 

refers to the forward price of the underlying or reference asset.

For equity swaps, portfolios swaps, and similar products, this data element 

refers to the initial price of the underlying or reference asset. 

For contracts for difference and similar products, this data element refers to 

the initial price of the underlier.

This data element is not applicable to:

• Interest rate swaps and forward rate agreements, as it is understood that 

the information included in the data elements Fixed rate and Spread may 

be interpreted as the price of the transaction.

• Interest rate options and interest rate swaptions as it is understood that 

the information included in the data elements Strike price and Option 

premium may be interpreted as the price of the transaction.

• Commodity basis swaps as it is understood that the information included 

in the data element Spread may be interpreted as the price of the 

transaction.

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

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

and Option premium may be interpreted as the price of the transaction.

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

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

of the transaction.

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

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

Upfront payment (Other payment type: Upfront payment) may be 

interpreted as the price of the transaction.

• 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. 

• 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 = 373

N

R 

N

R 

N

R 

C C Transaction - EQ

C if [Spread] is not populated 

and [Post-priced swap 

indicator] = ‘False’, and 

UPI.[Instrument type] ≠ 

‘Option’, else {blank}

Transaction - CO

C if ([Fixed rate] or [Spread] is 

not populated) and [Post-priced 

swap indicator] = ‘False’, and 

UPI.[Instrument type] ≠ 

‘Option’, else {blank} 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate 

94 CDE Prices Price currency Currency in which the price is denominated. Char(3) Currencies included in ISO 4217

Currency codes.

N

R

N

R

N

R

C C Transaction - EQ/CO N Y Validation

 

72 While Price [#93] captures the prices at which counterparties negotiate contracts, market prices are reflected in the valuation amounts. 73 The allowable values are restricted based on CFTC’s jurisdictional requirements.
CFTC Technical Specification Version 3.3 29

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

Price currency is only applicable if Price notation = 1. C if [Price notation] = ‘1’, else 

{blank}

Collateral

NR

Valuation

NR

Same as part 45 

(Transaction)

Dissemination

Disseminate 

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

• 3 = Decimal74

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

96 CDE Prices Price unit of measure Unit of measure in which the price is expressed. Char(4) ISO 20022 approved external 

UnitOfMeasureCode codeset75

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

97 CDE Prices Price schedule - unadjusted 

effective date of the price 

[NEW]

For OTC derivative transactions with prices varying throughout the life of 

the transaction: 

• Unadjusted effective date of the price. 

Price schedule is only applicable if the price varies per schedule. The 

currency, notation, and unit of measure for the varying prices in the 

schedule are reported in Price currency, Price notation, and Price unit of 

measure data elements.

YYYY-MM-DD, based 

on UTC

Any valid date based on ISO 8601 Date 

and time format. 

N

R 

N

R 

N

R 

C C Transaction - EQ/CO

C if [Price schedule - price] is 

populated, else {blank}

The number of date values 

must equal the number of price 

values.

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

98 CDE Prices Price schedule - unadjusted 

end date of the price [NEW]

For OTC derivative transactions with prices varying throughout the life of 

the transaction: 

• Unadjusted end date of the price (not applicable if the unadjusted end 

date of a given schedule’s period is back-to-back with the unadjusted 

effective date of the subsequent period). 

Price schedule is only applicable if the price varies per schedule. The 

currency, notation, and unit of measure for the varying prices in the 

YYYY-MM-DD, based 

on UTC.

Any valid date based on ISO 8601 Date 

and time format. 

N

R 

N

R 

N

R 

C C Transaction - EQ/CO 

C if [Price schedule - price] is 

populated, else {blank} 

The number of date values 

must equal the number of price 

values.

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 

74 The allowable values are restricted based on CFTC’s jurisdictional requirements. 75 Other SDR approved UnitOfMeasure codes (related to crypto transactions) are allowed for CFTC.
CFTC Technical Specification Version 3.3 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

schedule are reported in Price currency, Price notation, and Price unit of 

measure data elements.

Collateral

NR

Valuation

NR

99 CDE Prices Price schedule - price 

[NEW]

For OTC derivative transactions with prices varying throughout the life of 

the transaction: 

• Price in effect between the unadjusted effective date and unadjusted end 

date inclusive. 

Price schedule is only applicable if the price varies per schedule. The 

currency, notation, and unit of measure for the varying prices in the 

schedule are reported in Price currency, Price notation, and Price unit of 

measure data elements.

• Num(18,13), if Price 

notation = 1 

• Num(11,10), if Price 

notation = 3

• Any value greater than zero, if Price 

notation = 1 

• Any value expressed as decimal (eg 

0.0257 instead of 2.57%), if Price 

notation = 3

N

R 

N

R 

N

R 

C C The number of price values 

must equal the number of start 

and end date intervals

The number of price values 

must equal the number of start 

and end date intervals.

Transaction - EQ

C if [Price] or [Spread] is not 

populated and [Post-priced 

swap indicator] = ‘False’, and 

UPI.[Instrument type] ≠ 

‘Option’, else {blank} 

Transaction – CO

C if ([Price], [Fixed rate], or 

[Spread] is not populated) and 

[Post-priced swap indicator] = 

‘False’, and UPI.[Instrument 

type] ≠ ‘Option’, else {blank} 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

100 CDE Prices Spread76

[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 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.

• 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 = 377 

• 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} 

Transaction - IR

C if [Fixed rate] is not 

populated and [Post-priced 

swap indicator] = ‘False’, and 

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate. 

 

76 For equity swaps, portfolio swaps, and contract for difference (CFDs), report the weighted overall spread for the basket instead of individual legs. 77 The allowable values are restricted based on CFTC’s jurisdictional requirements.
CFTC Technical Specification Version 3.3 31

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

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

101 CDE Prices Spread currency

[Spread currency-Leg 1] 

[Spread currency-Leg 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

102 CDE Prices Spread notation

[Spread notation-Leg 1]

[Spread notation-Leg 2]

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

spread is expressed.

Char(1) • 1 = Monetary amount 

• 3 = Decimal78

• 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

103 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.

• 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 

C C C C C Transaction

C if [Post-priced swap 

indicator] = ‘False’ and 

UPI.[Instrument type] = 

‘Option’, else {blank}

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 

78 The allowable values are restricted based on CFTC’s jurisdictional requirements.
CFTC Technical Specification Version 3.3 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

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.

options, interest rate and credit 

swaptions quoted in spread, and similar 

products, if Strike price notation = 379

Collateral

NR

Valuation

NR

104 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

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

• 3 = Decimal80

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

106 CDE Prices Strike price schedule –

Unadjusted effective date of 

the strike price [NEW]

For options, swaptions and similar products with strike prices varying 

throughout the life of the transaction: 

• Unadjusted effective date of the strike price. 

Strike price schedule is only applicable if the strike price varies per 

schedule. The currency for the varying strike prices in the schedule is 

reported in Strike price currency data element. 

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 [Strike price schedule - 

strike price] is populated, else 

{blank}

The number of date values 

must equal the number of strike 

price values.

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

107 CDE Prices Strike price schedule –

Unadjusted end date of the 

strike price [NEW] 

For options, swaptions and similar products with strike prices varying 

throughout the life of the transaction: 

• Unadjusted end date of the strike price (not applicable if the unadjusted 

end date of a given schedule’s period is back-to-back with the unadjusted 

effective date of the subsequent period). 

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 [Strike price schedule - 

strike price] is populated, else 

{blank}

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

 

79 The allowable values are restricted based on CFTC’s jurisdictional requirements. 80 The allowable values are restricted based on CFTC’s jurisdictional requirements.
CFTC Technical Specification Version 3.3 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

Strike price schedule is only applicable if the strike price varies per 

schedule. The currency for the varying strike prices in the schedule is 

reported in Strike price currency data element. 

The number of date values 

must equal the number of strike 

price values.

Collateral

NR

Valuation

NR

108 CDE Prices Strike price schedule -

strike price [NEW]

For options, swaptions and similar products with strike prices varying 

throughout the life of the transaction: 

• Strike price in effect between the unadjusted effective date and 

unadjusted end date inclusive. 

Strike price schedule is only applicable if the strike price varies per 

schedule. The currency for the varying strike prices in the schedule is 

reported in Strike price currency data element. 

• Num(18,13), if Strike 

price notation = 1 

• Num(11,10), if Strike 

price notation = 3

• Any value (eg 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 (eg 

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 = 3

C C C C C Transaction

C if [Strike price] is not 

populated, and [Post-priced 

swap indicator] = ‘False’ and 

UPI.[Instrument type] = 

‘Option’, else {blank} 

The number of strike price 

values must equal the number 

of start and end date 

intervalsCollateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

109 CDE Prices Option premium amount For options and swaptions of all asset classes, monetary amount paid by 

the option buyer. 

This data element is not applicable if the instrument is not an option or 

does not embed any optionality. 

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

C if UPI.[Instrument type] = 

‘Option’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

110 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

111 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
CFTC Technical Specification Version 3.3 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

112 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

113 CFTC Prices Option exercise end date

[NEW] 

For American or Bermudan exercise type, the last date for exercise. Date 

being submitted should be in reference to UTC.

YYYY-MM-DD, based 

on UTC

Any valid date based on ISO 8601 Date 

format. 

O O O O O Transaction

O 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

114 CFTC Prices Option exercise frequency 

period [NEW] 

The frequency of exercise periods. Char(4) • DAIL = Daily

• WEEK = Weekly 

• MNTH = Monthly 

• QURT = Quarterly 

• YEAR = Yearly 

• ADHO = Ad hoc which applies when 

frequency is irregular 

• TERM = End of term

O O O O O Transaction

O 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

115 CFTC Prices Option exercise frequency 

period multiplier [NEW] 

The number of time units for the exercise frequency period. Num(3,0) Any value greater than or equal to zero C C C C C Transaction

C if [Option exercise frequency 

period] ≠ 'ADHO', else {blank} 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

116 CFTC Prices Swap pricing method

[NEW]

[Swap pricing method - 

Leg1] 

[Swap pricing method - 

Leg2] 

For each leg of the swap transaction where applicable, the method used to 

price the floating leg. 

Char(4) • STLP = Settlement price

• VWAP = Volume weighted average 

price

• TWAP = Trade weighted average price

• AVBO = Average of the best bid and 

offer 

• LTTD = Last trade

• BBID = Best bid 

• BOFR = Best offer 

• OTHR = Other

C C C C C Transaction

C if UPI.[Instrument type] = 

‘Swap’ and UPI [Product] ≠ 

‘Fixed - Fixed’, else {blank} 

Collateral

NR

Valuation

NR

N N
CFTC Technical Specification Version 3.3 35

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

117 CFTC Prices Pricing date schedule of the 

swap [NEW]

[Pricing date schedule of 

the swap - Leg1] 

[Pricing date schedule of 

the swap - Leg2] 

For each leg of the swap transaction where applicable, the adjusted date(s) 

on which the floating leg is priced. 

Multiple values are permitted.

YYYY-MM-DD, based 

on UTC

Any valid date based on ISO 8601 Date 

format

C C C C C Transaction

C if UPI.[Instrument type] = 

‘Swap’ and UPI [Product] ≠ 

‘Fixed - Fixed’, else {blank} 

Collateral

NR

Valuation

NR

N N

118 CFTC Prices Start and end time of the 

settlement window for the 

floating leg(s) [NEW]

[Start and end time of the 

settlement window for the 

floating leg(s) - Leg1] 

[Start and end time of the 

settlement window for the 

floating leg(s) - Leg2]

For each leg of the swap transaction where applicable, the time settlement 

window on which the floating leg is priced. 

Char(13) 

hh:mmZ-hh:mmZ, 

based on UTC

13 alphanumeric characters C C C C C Transaction

C if UPI.[Instrument type] = 

‘Swap’ and UPI [Product] ≠ 

‘Fixed - Fixed’, else {blank} 

Collateral

NR

Valuation

NR

N N

119 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

120 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 

in [CDS index attachment 

point]

Collateral

NR

Valuation

NR

N N

121 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}

N Y Validation

Same as part 45 

(Transaction)

Dissemination
CFTC Technical Specification Version 3.3 36

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

Collateral

NR

Valuation

NR

Disseminate

122 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

123 CFTC Product Unique product identifier 

(UPI)81

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

For commodity asset class, if the underlying asset of the swap is not 

described in P43.4(c)(4)(ii), a separate UPI code that limits the geographic 

information pursuant to Appendix E must be reported under 43.4(c)(5).

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

82

Transaction – CR, IR, FX, EQ

M 

Transaction – CO 

NR

Collateral

NR

Valuation – CR, IR, FX, EQ

M 

Valuation – CO 

NR

Y Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate83

124 CFTC Product Physical delivery location

[NEW]

[Physical Delivery LocationLeg1] 

[Physical Delivery LocationLeg2]

For each leg of the swap transaction where applicable, the specific delivery 

location associated with the underlying asset for swaps in the other 

commodity asset class.

To be used when the delivery location of an asset underlying a contract

cannot be derived from the Underlier ID associated with the reported [UPI] 

or [Underlier ID (Other)].

Varchar(100) Up to 100 alphanumeric characters N

R 

N

R 

N

R 

N

R 

O Transaction - CO

O 

Collateral

NR

Valuation

NR

N N

125 CFTC Product Pricing index location

[NEW]

[Pricing Index LocationLeg1] 

For each leg of the swap transaction where applicable, the specific pricing 

index location associated with the underlying asset for swaps in the other 

commodity asset class. 

To be used when the pricing location of an index underlying a contract

Varchar(120) Up to 120 alphanumeric characters N

R 

N

R 

N

R 

N

R 

O Transaction - CO

O 

Collateral

NR

N N

 

81 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. 82 Although indicated as ‘NR’ for the other commodity asset class, this data element will be required for that asset class upon designation by the Commission of a unique product identifier and product classification system for the 

other commodity asset class pursuant to section 45.7 of the Commission’s regulations. 83 If the underlying asset of the swap in other commodity asset class is not described in P43.4(c)(4)(ii), a second UPI code must be reported that contains the appropriate Geographic Region from Part 43 Appendix E in order to

preserve the geographic masking requirements of the rule. Otherwise, report the same UPI as the UPI used for P45 reporting.
CFTC Technical Specification Version 3.3 37

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

[Pricing Index LocationLeg2] cannot be derived from the Underlier ID associated with the reported [UPI]

or [Underlier ID (Other)].

Valuation

NR

126 CDE Product Underlier ID (Other) [NEW]

[Underlier ID (Other)-Leg1]

[Underlier ID (Other)-Leg2] 

The asset(s), index (indices) or benchmark underlying a contract or, in the 

case of a foreign exchange derivative, identification of index.84

This data element is applicable when the value of Underlier ID is submitted 

as ’OTHER’ to the UPI service provider85. 

Varchar(350) An identifier86 that can be used to 

determine the asset(s), index (indices) or 

benchmark underlying a contract. 

Up to 350 alphanumeric characters. 

C C C C C Transaction

C if UPI.[Underlier ID87] =

'Other’, else {blank}

Collateral

NR

Valuation

NR

N N

127 CDE Product Underlier ID (Other) source

[NEW] 

[Underlier ID (Other) 

source-Leg1]

[Underlier ID (Other) 

source-Leg2] 

The origin, or publisher, of the associated Underlier ID (Other). This data 

element is applicable when the value of Underlier ID source is submitted as 

’OTHER’ to the UPI service provider.

Varchar(350) The origin, or publisher88, of the 

associated Underlier ID. 

Up to 350 alphanumeric characters.

C C C C C Transaction

C if [Underlier ID (Other)] is 

populated, else {blank}

Collateral

NR

Valuation

NR

N N

128 CDE Product Underlying asset price 

source [NEW]

[Underlying asset price 

source - Leg1]

[Underlying asset price 

source - Leg2]

For an underlying asset or benchmark not traded on a platform, the source 

of the price used to determine the value or level of the asset or benchmark.

This data element is not applicable to OTC derivative transactions with 

custom basket constituents.

Varchar(50) Up to 50 alphanumeric characters. O O O O O Transaction

OCollateral

NR

Valuation

NR

N N

129 CDE Product Underlying asset trading 

platform identifier [NEW]

[Underlying asset trading 

platform identifier - Leg1]

[Underlying asset trading 

platform identifier - Leg2]

For a platform (e.g. exchange) traded underlying asset, the platform on 

which the asset is traded89. 

This data element is not applicable to OTC derivative transactions with 

custom basket constituents.

Char(4) ISO 10383 Segment Market Identifier 

Codes.

N

R 

N

R 

N

R 

O O Transaction – EQ, CO

O 

Collateral

NR

Valuation

NR

N N

130 CDE Product Crypto asset underlying 

indicator [NEW]

Indicator of whether the underlying of the derivative is crypto asset. Boolean • true, if underlying is crypto asset 

• false, if underlying is not crypto asset

N

R

N

R

N

R

N

R

O Transaction - CO N Y Validation

 

84 If more than one underlier exists, the swap should be considered a basket and the corresponding basket fields should be used. 85 When a particular underlier ID is not supported by the UPI service provider (Underlier ID is ‘Other’), that underlier ID is reported in this field to the SDR. 86 In line with the Underlier ID within the UPI reference data elements, as maintained by the UPI service provider, or in accordance to section 5.2 of the CPMI-IOSCO Technical Guidance: Harmonization of the Unique Product 

Identifier.

87 Depending on the product DSB may use attributes with names such as Reference Rate, Underlying Instrument Index, Underlying instrument ISIN, Underlying instrument LEI, or another name to denote the asset or index 

underlying the derivative.

88 In line with the Underlier ID within the UPI reference data elements, as maintained by the UPI service provider, or in accordance to section 5.2 of the CPMI-IOSCO Technical Guidance: Harmonization of the Unique Product 

Identifier.

89 The platform provided should be the platform from where the underlying asset gets its pricing information. 
CFTC Technical Specification Version 3.3 38

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

[Crypto asset underlying 

indicator

 - Leg1]

[Crypto asset underlying 

indicator

- Leg2]

This element should be reported as ‘true’ if any of the underlyings is a 

crypto asset (immediate or ultimate underlying as well as where the 

derivative is based on a mix of crypto assets and other underlyings).

O

Collateral

NR

Valuation

NR

Same as part 45 

(Transaction)

Dissemination

Disseminate

131 CFTC Product Physical commodity 

contract indicator [NEW]

[Physical commodity 

contract lndicator - Leg1] 

[Physical commodity 

contract indicator - Leg2] 

For each leg of the swap transaction where applicable, an indication of 

whether or not the trade being submitted: 

(1) references one of the contracts described in Appendix B to part 43; or 

(2) is economically related to one of the contracts described in Appendix B 

to part 43. 

Boolean • true

• false 

N

R 

N

R 

N

R 

N

R 

M Transaction - CO

M 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

132 CFTC Product Product grade [NEW]

[Product grade - Leg1] 

[Product grade - Leg2]

For each leg of the swap transaction where applicable, the grade of the 

commodity to be delivered, e.g., the grade of oil or refined product.

Varchar(50) Up to 50 alphanumeric characters. N

R 

N

R 

N

R 

N

R 

O Transaction - CO

O 

Collateral

NR

Valuation

NR

N N

133 CFTC Product Maturity date of the 

underlier [NEW] 

[Maturity date of the 

underlier - Leg1] 

[Maturity date of the 

underlier - Leg 2] 

For each leg of the swap transaction where applicable, in case of 

swaptions, maturity date of the underlying swap. 

YYYY-MM-DD, based 

on UTC 

Any valid date based on ISO 8601 Date 

format

O O O O O Transaction

O 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

134 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

135 CDE Settlement Settlement currency

[Settlement currency-Leg 1]

[Settlement currency-Leg 2]

Currency for the cash settlement of the transaction when applicable.

For multi-currency products that do not net, the settlement currency of each 

leg. 

This data element is not applicable for physically settled products (e.g., 

physically settled swaptions). 

Char(3) Currencies included in ISO 4217

Currency codes. 

C C C C C Transaction

C if UPI.[Delivery type] = 

‘Cash’, else {blank}

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate
CFTC Technical Specification Version 3.3 39

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

136 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 codes90 O O O O O Transaction

O 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

137 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

138 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

139 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

140 CFTC Transaction 

related

Large notional off-facility 

swap election indicator

[NEW]

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

transaction as a large notional off-facility swap 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 large notional offfacility swap

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45

(Transaction)

Dissemination

Disseminate

141 CDE Transaction 

related

Effective date91 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 

N Y Validation

Same as part 45

(Transaction)

 

90 CFTC requires ISO country code to be reported using two-letter code (alpha-2). 91 For commodities swaps, report the pricing start date. For a credit default swap on a credit index, this should be the effective date of the contract which is usually one or two days following the execution date, and not the roll 

date of the underlying index. 
CFTC Technical Specification Version 3.3 40

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

142 CDE Transaction 

related

Expiration date92 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 

143 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.93

YYYY-MMDDThh:mm:ssZ, 

based on UTC94. 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

144 CDE Transaction 

related

Reporting timestamp95 Date and time of the submission of the report as reported 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 

Y Y Validation

Same as part 45

(Transaction)

Dissemination

Do not 

disseminate

 

92 For commodities swaps, report the pricing end date. 93 For clearing swaps, the execution timestamp is the date and time when the DCO accepts the original swap. 94 Both the date and time portion are required to be reported. 95 Reporting timestamp [#144] is recorded and reported by the submitter.
CFTC Technical Specification Version 3.3 41

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

M 

145 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 

Code96. 

If no trading facility was involved in the 

transaction:

• XOFF, for transactions in listed 

instruments

• XXXX, for transactions in instruments 

that are not listed in any venue

• BILT, if the reporting counterparty 

cannot determine whether the instrument 

is listed or not, as per jurisdictional 

requirements.

C C C C C Transaction

C if [Cleared] = ‘N’ or ‘I’; 

NR if [Cleared] = ‘Y’ 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45

(Transaction)

Dissemination

Disseminate

146 CFTC Transaction 

related

SEF or DCM indicator

[NEW]

An indication of whether the swap transaction was executed on or pursuant 

to the rules of a swap execution facility or designated contract market.

Boolean • true = swap was executed on a SEF or 

DCM 

• false = swap was not executed on a 

SEF or DCM or not applicable

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N Y Validation

Same as part 45

(Transaction)

Dissemination

Disseminate

147 CFTC Transaction 

related

SEF or DCM anonymous 

execution indicator [NEW] 

An indicator of whether the swap transaction was executed anonymously 

on a SEF or a DCM.

Boolean • true = swap was executed 

anonymously on a SEF or DCM

• false = swap was not executed 

anonymously on a SEF or DCM or not 

applicable

M M M M M Transaction

M 

Collateral

NR

Valuation

NR

N N

148 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

Valuation

NR

N Y Validation

Same as part 45 

(Transaction)

Dissemination

Disseminate

149 CFTC Transaction 

related

Prior USI (for one-to-one 

and one-to-many relations 

between transactions)

Unique swap identifier (USI) assigned to the predecessor transaction that 

has given rise to the reported transaction due to a lifecycle event, in a oneto-one relation between transactions (e.g., in the case of a novation, when 

a transaction is terminated, and a new transaction is generated) or in a 

one-to-many relation between transactions (e.g., in clearing or if a 

transaction is split into several different transactions). 

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 

N N

 

96 Where the Segment MIC does not exist, use the Operating MIC. 
CFTC Technical Specification Version 3.3 42

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

This data element is not applicable when reporting many-to-one and manyto-many relations between transactions (e.g., in the case of a 

compression).

transactions)] is not populated, 

else {blank}

Collateral

NR

Valuation

NR

150 CDE Transaction 

related

Prior UTI (for one-to-one 

and one-to-many 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 manyto-many relations between transactions (e.g., in the case of a 

compression).

Varchar(52) ISO 23897 Unique transaction identifier

Up to 52 alphanumeric characters

C C C C C Transaction

C if [Action type] = ‘NEWT’ and 

([Event type] = ‘‘NOVA’ or 

‘CLRG’ or ‘EXER’ or ‘ALOC’ or 

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

relations between 

transactions)] is not populated, 

else {blank}

Collateral

NR

Valuation

NR

N N

151 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 Standard97

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

152 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

Y Y Validation 

Same as part 45

(Transaction)

Dissemination

 

97 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 3.3 43

Technical Specification Validation Rules and Dissemination Rules

# 

Source

Category Data Element Name Definition for Data Element Format Allowable Values

P43/P45 

Asset Class

Part 45 SDR 

Validation Rules

P45 End of DayP43 Reported

Part 43 SDR 

Validation 

and 

Dissemination Rules

CR

IR

FX

EQ

CO

C if [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}

Do not 

disseminate

153 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

N N

154 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

155 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

156 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 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

157 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
CFTC Technical Specification Version 3.3 44

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

158 CDE Valuation Delta98 The ratio of the change in the price of an OTC derivative transaction to the 

change in the price of the underlier.

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

159 CDE Valuation Valuation amount99 Current value of the outstanding contract without applying any valuation 

adjustments (some examples include XVA adjustment such as CVA, DVA, 

etc). 

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

160 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

161 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

162 CDE Valuation Valuation timestamp Date and time of the last valuation marked to market, provided by the 

central counterparty (CCP)100 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 UTC101. 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 

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

 

98 Delta must be reported daily regardless of whether there is a change in the value since the last reporting. 99 Valuation amount must be reported daily regardless of whether there is a change in the value since the last reporting. 100 Reported by the derivatives clearing organization (DCO) for cleared swaps and by the swap dealer for uncleared swaps 101 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 3.3 45

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

complete 

representation to be 

omitted, the omission 

starting from the 

extreme right-hand 

side (in the order from 

the least to the most 

significant).

163 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

164 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

M102

Valuation

NR

Y N

165 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.103 M M M M M Transaction

O104

Collateral

M 

Valuation

M

Y N

166 CFTC Collateral 

and margins

Portfolio containing nonreportable 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

Y N

 

102 The “M” in the “Part 43/45 Asset Class” column is for collateral reporting only. 103 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. 

104 The “M” in the “Part 43/45 Asset Class” column is for collateral and valuation reporting only.
CFTC Technical Specification Version 3.3 46

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

M

Valuation

NR

167 CDE Collateral 

and margins

Initial margin posted by the 

reporting counterparty 

(post-haircut)

Monetary value of initial margin that has been posted by the reporting 

counterparty, including any margin that is in transit and pending settlement 

unless inclusion of such margin is not allowed under the jurisdictional 

requirements.

If the collateralisation is performed at portfolio level, the initial margin 

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

single transactions, the initial margin posted relates to such single 

transaction.

This refers to the total current value of the initial margin after application of 

the haircut (if applicable), rather than to its daily change.

The data element refers both to uncleared and centrally cleared 

transactions. For centrally cleared transactions, the data element does not 

include default fund contributions, nor collateral posted against liquidity 

provisions to the central counterparty, i.e., committed credit lines.

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

amounts are converted into a single currency chosen by the reporting 

counterparty and reported as one total value.

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

NR

Collateral

C if ([Collateralisation category] 

= ‘OWC1’ or ‘OWP1’ or 

‘FLCL’), else {blank}105

Valuation

NR

Y N

168 CDE Collateral 

and margins

Initial margin posted by the 

reporting counterparty (prehaircut)

Monetary value of initial margin that has been posted by the reporting 

counterparty, including any margin that is in transit and pending settlement 

unless inclusion of such margin is not allowed under the jurisdictional 

requirements.

If the collateralisation is performed at portfolio level, the initial margin 

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

single transactions, the initial margin posted relates to such single 

transaction.

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

daily change.

The data element refers both to uncleared and centrally cleared 

transactions. 

For centrally cleared transactions, the data element does not include 

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

NR

Collateral

C if ([Collateralisation category] 

= ‘OWC1’ or ‘OWP1’ or 

‘FLCL’), else {blank}106

Valuation

NR

Y N

 

105 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.

106 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 3.3 47

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

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.

169 CDE Collateral 

and margins

Currency of initial margin 

posted107

Currency in which the initial margin posted is denominated.

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

data element reflects one of those currencies into which the reporting 

counterparty has chosen to convert all the values of posted initial margins.

Char(3) Currencies included in ISO 4217

Currency codes. 

C C C C C Transaction

NR

Collateral

C if [Initial margin posted by the 

reporting counterparty (posthaircut)] or [Initial margin 

posted by the reporting 

counterparty (pre-haircut)] is 

populated, else {blank}

Valuation

NR

Y N

170 CDE Collateral 

and margins

Initial margin collected by 

the reporting counterparty 

(post-haircut)

Monetary value of initial margin that has been collected by the reporting 

counterparty, including any margin that is in transit and pending settlement 

unless inclusion of such margin is not allowed under the jurisdictional 

requirements.

If the collateralisation is performed at portfolio level, the initial margin 

collected relates to the whole portfolio; if the collateralisation is performed 

for single transactions, the initial margin collected relates to such single 

transaction.

This refers to the total current value of the initial margin after application of 

the haircut (if applicable), rather than to its daily change.

The data element refers both to uncleared and centrally cleared 

transactions. For centrally cleared transactions, the data element does not 

include collateral collected by the central counterparty as part of its 

investment activity.

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

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

counterparty and reported as one total value.

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

108

C C C C C Transaction

NR

Collateral

C if ([Collateralisation category] 

= ‘OWC2’ or ‘OWP2’ or 

‘FLCL’), else {blank}

Valuation

NR

Y N

 

107 For portfolio with multiple currencies, it must be converted in to a single currency chosen by the reporting counterparty and reported. 108 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 3.3 48

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

171 CDE Collateral 

and margins

Initial margin collected by 

the reporting counterparty 

(pre-haircut)

Monetary value of initial margin that has been collected by the reporting 

counterparty, including any margin that is in transit and pending settlement 

unless inclusion of such margin is not allowed under the jurisdictional 

requirements.

If the collateralisation is performed at portfolio level, the initial margin 

collected relates to the whole portfolio; if the collateralisation is performed 

for single transactions, the initial margin collected relates to such single 

transaction.

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

daily change.

The data element refers both to uncleared and centrally cleared 

transactions. For centrally cleared transactions, the data element does not 

include collateral collected by the central counterparty as part of its 

investment activity.

If the initial margin collected is denominated in more 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.

109

C C C C C Transaction

NR

Collateral

C if ([Collateralisation category] 

= ‘OWC2’ or ‘OWP2’ or 

‘FLCL’), else {blank}

Valuation

NR

Y N

172 CDE Collateral 

and margins

Currency of initial margin 

collected110

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

173 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 

Varchar(52) Up to 52 alphanumeric characters.111 M M M M M Transaction

O112

Collateral

M 

Y N

 

109 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.

110 For portfolio with multiple currencies, it must be converted in to a single currency chosen by the reporting counterparty and reported. 111 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.

112 The “M” in the “Part 43/45 Asset Class” column is for collateral and valuation reporting only.
CFTC Technical Specification Version 3.3 49

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

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. 

Valuation

M

174 CDE Collateral 

and margins

Variation margin posted by 

the reporting counterparty 

(pre-haircut)113

Monetary value of the variation margin posted by the reporting counterparty 

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

and pending settlement unless inclusion of such margin is not allowed 

under the jurisdictional requirements.

Contingent variation margin is not included.

If the collateralisation is performed at portfolio level, the variation margin 

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

single transactions, the variation margin posted relates to such single 

transaction.

This data element refers to the total current value of the variation margin, 

cumulated since the first reporting of variation margins posted for the

portfolio/transaction. 

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

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

counterparty and reported as one total value.

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}114

Valuation

NR

Y N

175 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

176 CDE Collateral 

and margins

Variation margin collected 

by the reporting 

counterparty (pre-haircut)115

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.

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 

Y N

 

113 This data element must be reported daily regardless of whether there is a change in the value since the last reporting. 114 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.

115 This data element must be reported daily regardless of whether there is a change in the value since the last reporting.
CFTC Technical Specification Version 3.3 50

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 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.

or ‘OWP1’ or ‘OWP2’ or 

‘FLCL’), else {blank}116

Valuation

NR

177 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

 

116 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.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 51

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 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 52

B. Notional amount

From Revised CDE Technical Guidance – version 3: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)117, 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.

 

117 Revised CDE Technical Guidance – version 3: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.leiroc.org/publications/gls/roc_20230929.pdf
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 53

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

From Revised CDE Technical Guidance – version 3: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)118, Annex 1, Table 4.

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 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 2021 ISDA Definitions, Section

4.6.1 Day Count Fraction, paragraph

(vi). 

[Symbolic name: ThirtyThreeSixtyUS]

30/360 Per 2021 ISDA Definitions, Section 4.6.1 Day Count 

Fraction, paragraph (vi) 

If “30/360”, “360/360” or “Bond Basis” is specified, the 

number of days in the

relevant Calculation Period or Compounding Period divided

by 360, calculated as follows:

DayCount Fraction = [360*(Y2-Y1) + 30*(M2- M1) + (D2-

D1)]/360122 

where:

(a)

“Y1” is the year, expressed as a number, in

which the first day ofthe Calculation

Period or Compounding Period falls;

(b)

“Y2” is the year, expressed as a number, in 

which the day immediately following the last

day included in the Calculation

Period or Compounding Period falls;

(c)

“M1” is the calendar month, expressed as a 

number, in which the first day of the 

Calculation Period or Compounding Period

falls;

(d)

“M2” is the calendar month, expressed as 

 

118 CDE Technical Guidance – version 3: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.leiroc.org/publications/gls/roc_20220829.pdf 119 The information contained in this column refers to the ISO 20022 data dictionary. 120 The source of information contained in this column is FIX Trading Community, http://fiximate.fixtrading.org/latestEP/ 121 The definitions contained herein are copyright 2021 by International Swaps and Derivatives Association, Inc. (ISDA) and reproduced by permission of ISDA. All Rights Reserved. 

122
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 54

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

number, in which the day immediately 

following the last day included in the 

Calculation Period or Compounding Period

falls;

(e)

“D1” is the first calendar day,

expressed as a number, of the 

Calculation Period or Compounding 

Period, unless that number would be

31, in which case D1 will be 30; and

(f) 

“D2” is the calendar day, expressed as 

a number, immediately following the 

last day included in the Calculation

Period or Compounding Period,

unless that number would be 31 and 

D1 is greater than 29, in which case 

D2 will be 30.

Transactions under the 2000 ISDA Definitions refer to

Annex to the 2000 ISDA Definitions (June 2000Version),

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

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).

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 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 55

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

that the 31st is assumed to be the 30th and 28 

Feb (or 29 Feb for a leap year) is assumed to 

be the 28th (or 29th). The assumed number of 

days in a year is computed as the actual 

number of days in the coupon period 

multiplied by the number of interest payments 

in the year.

A004 Actual360 Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest period and a 360-day year.

6 Act/360 The actual number of days between 

Date1 and Date2, divided by 360. See

also 2021 ISDA Definitions, Section

4.6.1. Day Count Fraction, paragraph 

(v). 

[Symbolic name: ActThreeSixty]

ACT/360 Per 2021 ISDA Definitions, Section 4.6.1. Day Count 

Fraction, paragraph (v). 

If “Actual/360”, “Act/360” or “A/360” is specified,

the actual number of days in the relevant Calculation 

Period or Compounding Period divided by 360, calculated 

as follows: Day Count Fraction =(Dp/360)

where:

(a)

“DP” is the actual number of days in the 

Calculation Period or Compounding Period in

respect of which the calculation is being 

made.

Transactions under the 2000 ISDA Definitions refer to

Annex to the 2000 ISDA Definitions (June 2000Version), 

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

A005 Actual365Fixed Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest period and a 365-day year.

7 Act/365 

(FIXED)

The actual number of days between 

Date1 and Date2, divided by 365. See

also 2021 ISDA Definitions, Section

4.6.1. Day Count Fraction, paragraph 

(iv). 

[Symbolic name: 

ActThreeSixtyFiveFixed]

ACT/365

.FIXED

Per 2021 ISDA Definitions, Section 4.6.1.Day Count 

Fraction, paragraph (iv). 

If “Actual/365 (Fixed)”, “Act/365 (Fixed)”, “A/365 

(Fixed)” or “A/365F” is specified, the actual number of 

days in the relevant Calculation Period or 

Compounding Period divided by 365, calculated as 

follows: Day Count Fraction = (DP/365)

where:

(a)

“DP” is the actual number of days in the 

Calculation Period or Compounding Period in

respect of which the calculation is being 

made.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 56

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

Transactions under the 2000 ISDA Definitions refer to

Annex to the 2000 ISDA Definitions (June 2000Version), 

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

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 2021

ISDA Definitions, Section 4.6.1. Day

Count Fraction, paragraph (iii). 

[Symbolic name: ActActICMA]

ACT/AC

T.ICMA

Per 2021 ISDA Definitions, Section 4.6.1. Day Count 

Fraction, paragraph (iii). This day count fraction code is

applicable for transactions booked under the 2021 ISDA

Definitions. 

If “Actual/Actual (ICMA)” or “Act/Act (ICMA)” is

specified, a fraction calculated in accordance with Rule 

251 of the statutes, by- laws, rules and 

recommendations of the International Capital Market 

Association (or any successor thereto), as applied to

non-U.S. Dollar denominated straight and convertible

bonds issued after December 31, 1998, as though the 

interest coupon on a bond were being calculated for a 

coupon period corresponding to the relevant 

Calculation Period or Compounding Period.

2021 ISDA Definitions, Section 3.1.12 Business Day 

Convention for Period End Dates, paragraph (ii) clarifies 

that if Actual/Actual (ICMA)” or “Act/Act (ICMA)” is the 

applicable Day Count Fraction, then the No Adjustment 

Business Day Convention shall apply to Period End Date.

Transactions under the 2000 ISDA Definitions should use

the ACT/ACT.ISMA code instead.

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 

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 2021

ISDADefinitions, Section 4.6.1. Day

Count Fraction, paragraph (viii). 

[Symbolic name: ThirtyEThreeSixtyISDA]

30E/360

.ISDA

Per 2021 ISDA Definitions, Section 4.6.1.Day Count 

Fraction, paragraph (viii). 

If “30E/360 (ISDA)” is specified, the number of days in

the relevant Calculation Period or Compounding

Period divided by 360, calculated as follows:

Day Count Fraction = (360×(Y2-Y1))+(30×(M2-M1))+(D2-

D1)/360

where:

(a)

“Y1” is the year, expressed as a number, in

which the first day of the Calculation
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 57

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

(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.

Period or Compounding Period falls;

(b)

“Y2” is the year, expressed as a number, in

which the day immediately following the last

day included in the Calculation

Period or Compounding Period falls;

(c)

“M1” is the calendar month, expressed as a 

number, in which the first day of the 

Calculation Period or Compounding Period

falls;

(d)

“M2” is the calendar month, expressed as a 

number, in which the day immediately 

following the last day included in the

Calculation Period or Compounding Period

falls;

(e)

“D1” is the first calendar day, expressed as 

a number, of the Calculation

Period or Compounding Period, unless (1) 

that day is the last day of February or (2) that 

number would be 31, in which case D1 will be 

30; and

(f)

“D2” is the calendar day, expressed as a 

number, immediately following the last day 

included in the Calculation Period or 

Compounding Period, unless (1) that day is 

the last day of February but not the 

Termination Date or (2) that number would be 

31, in which case D2 will be 30.

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

ACT/AC

T.ISDA

Per 2021 ISDA Definitions, Section 4.6.1.Day Count 

Fraction, paragraph (ii) 

If “Actual/Actual”, “Actual/Actual (ISDA)”, “Act/Act” or 

“Act/Act (ISDA)” is specified, the actual number of days 

in the Calculation Period or Compounding Period in 

respect of which the calculation is being made divided
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 58

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

denominator is 365. See also 2021 ISDA

Definitions, Section 4.6.1. Day Count

Fraction, paragraph (ii). 

[Symbolic name: ActActISDA]

by365 (or, if any portion of that Calculation Period or 

Compounding Period falls in a leap year, the sum of (1) 

the actual number of days in that portion of the 

Calculation Period or Compounding Period falling in a 

leap year divided by 366 and (2) the actual number of 

days in that portion of the Calculation Period or 

Compounding Period falling in a non-leap year divided by

365), calculated as follows:

Day Count Fraction=(DNLY/365)+(DLY/366) 

where:

(a)

“DNLY” is the actual number of days in that 

portion of the Calculation Period or 

Compounding

Period falling in a non-leap year; and

(b)

“DLY” is the actual number of days in that 

portion of the Calculation Period or 

Compounding Period falling in a leap year.

Transactions under the 2000 ISDA Definitions refer to

Annex to the 2000 ISDA Definitions (June 2000Version), 

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

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 2021 ISDA Definitions, Section

4.6.1. Day Count Fraction, paragraph 

(ix). 

[Symbolic name: ActThreeSixtyFiveL]

ACT/365

L 

Per 2021 ISDA Definitions, Section 4.6.1. Day Count

Fraction, paragraph (ix).

If “Act/365L” is specified, the actual number of days in 

the relevant Calculation Period or Compounding Period

divided by 365 (or, if the later Period End Date of the 

Calculation Period or Compounding Date of the

Compounding Period falls in a leap year, divided by 366), 

calculated as follows:

Day Count Fraction = (DP/365); or Day Count

Fraction = (DPLY/366)

where:

(a)

“DP” is the actual number of days in the 

Calculation Period or Compounding Period in

respect of which the calculation is being made, for 

which the later Period End Date of the 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 59

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

Calculation Period or Compounding Date of

the Compounding Period falls in a non-leap 

year; and

(b)

“DPLY” is the actual number of days in the 

Calculation Period or Compounding Period in

respect of which the calculation is being 

made, for which the later Period End Date of

the Calculation Period or Compounding Date of

the Compounding Period falls in a leap year.

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 2021 ISDA Definitions,

Section 4.6.1. Day Count Fraction,

paragraph (vii). 

[Symbolic name: ThirtyEThreeSixty]

30E/360 Per 2021 ISDA Definitions, Section 4.6.1. Day Count 

Fraction, paragraph (vii) 

If “30E/360” or “Eurobond Basis” is specified, the number

of days in the relevant Calculation Period or

Compounding Period divided by 360, calculated as

follows:

Day Count Fraction = (360×(Y2-

Y1))+(30×(M2-M1))+(D2-D1)/360

where:

(a)

“Y1” is the year, expressed as a number, in
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 60

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

which the first day of the Calculation

Period or Compounding Period falls;

(b)

“Y2” is the year, expressed as a number, in 

which the day immediately following the last

day included in the Calculation

Period or Compounding Period falls;

(c)

“M1” is the calendar month, expressed as a 

number, in which the first day of the 

Calculation Period or Compounding Period

falls;

(d)

“M2” is the calendar month, expressed as a 

number, in which the day immediately 

following the last day included in the 

Calculation Period or Compounding Period

falls;

(e)

“D1” is the first calendar day,

expressed as a number, of the 

Calculation Period or Compounding 

Period, unless that number would be

31, in which case D1 will be 30; and

(f)

“D2” is the calendar day, expressed as a 

number, immediately following the last day 

included in the Calculation Period or

Compounding Period, unless that number

would be 31, in which case D2 will be 30. 

Transactions under the 2000 ISDA Definitions refer to

Annex to the 2000 ISDA Definitions (June 2000Version),

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

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 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 61

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

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.

A014 Actual365NL Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest period, excluding any leap day from 

the count, and a 365-day year.

15 NL365 The number of days in a period equal 

to the actual number of days, with the 

exception of leap days (29 February) 

which are ignored. The number of days 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 62

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

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

[Symbolic name: NLThreeSixtyFive]

A015 ActualActualUltimo Method whereby interest is calculated based 

on the actual number of days in the coupon 

period divided by the actual number of days in 

the year. This method is a variation of the 

ActualActualICMA method with the exception 

that it assumes that the coupon always falls on 

the last day of the month. Method equal to 

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

(ICMA Ultimo) in the FIX/FIXML model.

10 Act/Act 

(ICMA 

Ultimo)

The Act/Act (ICMA Ultimo) differs from 

Act/Act (ICMA) method only that it 

assumes that regular coupons always 

fall on the last day of the month.

[Symbolic name: ActActISMAUltimo]

ACT/AC

T.ISMA

This day count fraction code is applicable for

transactions booked under the 2000 ISDA Definitions.

The Fixed/Floating Amount will be calculated in

accordance with Rule 251 of thestatutes, by-laws, rules

and recommendationsof the International Securities

MarketAssociation, as published in April 1999, as applied

to straight and convertible bonds issued after 31

December 1998, as though theFixed/Floating Amount

were the interest coupon on such a bond. 

Transactions under the 2021 ISDA Definitions should use 

the ACT/ACT.ICMA code instead, per 2021 ISDA 

Definitions, Section 4.6.1 Day Count Fraction, paragraph

(iii).

A016 IC30EPlus360 Method whereby interest is calculated based 

on a 30-day month and a 360-day year. 

Accrued interest to a value date on the last day 

of a month shall be the same as to the 30th 

calendar day of the same month. This means 

that the 31st is assumed to be the 30th and 28 

Feb (or 29 Feb for a leap year) is assumed to 

be equivalent to 30 Feb. This method is a 

variation of the 30E360 method with the 

exception that if the coupon falls on the last 

day of the month, change it to 1 and increase 

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

equal to ThirtyEPlusThreeSixty in the FIX/FIXML 

model.

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

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

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

on the 31st, then change it to 1 and 

increase Month2 by one, i.e., next 

month.

[Symbolic name: ThirtyEPlusThreeSixty]

A017 Actual364 Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest period divided by 364. Method equal 

to Act364 in the FIX/FIXML model.

17 Act/364 The actual number of days between 

Date1 and Date2, divided by 364.

[Symbolic name: Act364]

A018 Business252 Method whereby interest is calculated based 

on the actual number of business days in the 

interest period divided by 252. Usage: Brazilian 

Currency Swaps. Method equal to BUS/252 in 

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

based on business days instead of 

calendar days. The number of business 

days divided by 252.

[Symbolic name: BusTwoFiftyTwo]

BUS/252 Per 2021 ISDA Definitions, Section 4.6.1 Day Count 

Fraction, paragraph (x).

If “Calculation/252” is specified, the actual number of 

Calculation Days in the relevant Calculation Period or
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 63

Allow

able 

value

ISO 20022 name ISO 20022 definition119

FIX/ 

FIXML120

code 

value

FIX/FIXML 

code value 

description

FIX/FIXML definition FpML

121 code FpML definition

the FpML model and BusTwoFiftyTwo in the 

FIX/FIXML model.

Compounding Period divided by 252, calculated as follows:

Day Count Fraction = DCDp252 

where:

(a)

“Calculation Days” or “DCDp” is, unless 

otherwise specified in

the Confirmation, in respect of the relevant

Floating Amount or Fixed Amount to which 

this Day Count Fraction applies, the

Business Days in the relevant Calculation

Period or Compounding Period determined 

by reference to the Business Day and

Business Day Convention applicable to the

determination of such Floating Amount or

Fixed Amount, as applicable.

A019 Actual360NL Method whereby interest is calculated based 

on the actual number of accrued days in the 

interest period, excluding any leap day from 

the count, and a 360-day year.

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

exception of leap days (29 February) 

which are ignored.

[Symbolic name: NLThreeSixty]

A020 1/1 If parties specify the Day Count Fraction to be 

1/1 then in calculating the applicable amount, 

1 is simply input into the calculation as the 

relevant Day Count Fraction. See also2021 

ISDA Definitions, Section 4.6.1. Day Count

Fraction, paragraph (i). 

0 1/1 If parties specify the Day Count 

Fraction to be 1/1 then in calculating 

the applicable amount, 1 is simply 

input into the calculation as the 

relevant Day Count Fraction. See also

2021 ISDA Definitions, Section 4.6.1. 

Day Count Fraction, paragraph (i). 

[Symbolic name: OneOne]

1/1 Per 2021 ISDA Definitions, Section 4.6.1. Day Count 

Fraction, paragraph (i). 

If “1/1” is specified, 1.

Transactions under the 2000 ISDA Definitions refer to

Annex to the 2000 ISDA Definitions (June 2000Version), 

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

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

above and FIX/FIXML code values that 

are reserved for user extensions, in the 

range of integer values of 100 and 

higher.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 64

D. Valuation method

From Revised CDE Technical Guidance – version 3: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)123, 2.28 Valuation method.

Classification of valuation inputs

Bucket Input used Valuation method124

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

 

123 Revised CDE Technical Guidance – version 3: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.leiroc.org/publications/gls/roc_20220829.pdf 124 The classification provided in this column is independent from IFRS 13/ASC 820 and is for the sole purpose of reporting critical data elements of OTC derivative transactions. 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 65

E. Collateralisation category

From Revised CDE Technical Guidance – version 3: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI)125, 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.

 

125 Revised CDE Technical Guidance – version 3: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), https://www.leiroc.org/publications/gls/roc_20220829.pdf
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 66

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 [#37] and Event type [#38] 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

No Event type 

required

Trade 

(TRAD)

Novation

/Step-in

(NOVA) 

Post trade 

risk 

reduction 

exercise126

(COMP)

Early 

termination 

(ETRM)

Clearing 

(CLRG)

Exercise 

(EXER)

Allocation

(ALOC)

Clearing 

& 

Allocation 

(CLAL)

Credit 

event

(CREV) 

Transfer

(PTNG) 

Corporate

event

(CORP) 

Update

(UPDT)

Action Type127

New (NEWT)          128

Modify (MODI)        

Correct (CORR)  

Terminate (TERM)         

Error (EROR) 

Revive (REVI) 

Transfer out (PRTO)129 

Valuation (VALU) 

Collateral/Margin 

update (MARU) 



Not allowed for either P45 or P43

 Allowed for P45 but not allowed for P43

 Allowed for both P43 and P45

 

126 This event type is allowed for P43 as some risk reduction exercises may result in a publicly reportable transaction. 127 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. See last column in the table above. 128 NEWT-UPDT is used for upgrading existing ‘exotic’, ‘complex’, or ‘non-standard’ swaps to accurately report and comply with the CFTC Technical Specification. 129 Any live or dead (terminated or expired) swap can be transferred out except for the swaps that are previously reported as an error. Once a swap is reported as 'transfer out' to a SDR no further submission is allowed to the same 

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

CFTC Technical Specification Version 3.3 67

Table 6 - Valid Action type and Event type combinations

1. Allowable Action type sequences

Reporting of lifecycle event is facilitated by reporting of 

Action type [#37] and Event type [#38] 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).

The blue rectangular boxes in the diagram specify the 

status of a swap (Not reported, Open, Terminated, Expired, 

Errored or Transferred out), while the allowable action 

types are indicated in the oval boxes on the arrows. For 

example, when a swap is reported for a first time with the 

action type ‘New’, the status changes from ‘Not reported’ 

to ‘Open’. If a counterparty subsequently reports ‘Error’ for 

that swap, the status changes from ‘Open’ to ‘Errored’. All 

dependencies between action types and statuses of swap

indicated in the chart should be read in this way.

Action types ‘Modify’, ‘Correct’, ‘Collateral/Margin update’ 

and ‘Valuation’ do not impact the status of the swap. They 

are allowed to be reported for terminated or expired 

trades only in the case of late reporting, but they cannot 

be used to change the status of the swap to ‘Open’ (e.g. by 

modifying the maturity date). Only the Action type ‘Revive’ 

can be used to change the status of the swap to ‘Open’. 

Action type 'Revive' can be used to re-open swaps which were 

cancelled (with action type 'Error'), terminated by mistake (with Action 

type 'Terminate') and to re-open swaps that reached (incorrectly 

reported) maturity date. The status of the swap after the submission of Action type ‘Revive’ should be determined considering the Expiration date. For example, when Action type ‘Revive’ is sent for a 

swap with status ‘Errored’, and the Expiration date is in the past, the resulting status of the swap should be ‘Expired’.

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

CFTC Technical Specification Version 3.3 68

Reaching the scheduled maturity date is not a lifecycle event reportable by the counterparties. No action type applies in this case, including but not limited to ‘Error’ and ‘Terminate’. Once a swap reaches 

it maturity date, it is considered as ‘Expired’.

PART 45 REPORTING: PERMITTED ACTION TYPE SEQUENCES FOR LIFECYCLE REPORTING

• If a swap has status ‘Not reported’, only NEWT action type is permitted.

• If a swap has status ‘Open’, certain action types are permitted as depicted in the diagram: MODI, CORR, VALU, MARU, PRTO, EROR, and TERM.

• If a swap has status ‘Terminated’, certain action types are permitted as depicted in the diagram: MODI, CORR, VALU, MARU, EROR, PTRO and REVI.

• If a swap has status ‘Errored’, only REVI action type is permitted, 

• If a swap has status ‘Expired’, certain action types are permitted as depicted in the diagram: MODI, CORR, EROR, REVI, TERM, VALU, MARU, PRTO. 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 69

PART 43 REPORTING: PERMITTED ACTION TYPE SEQUENCES FOR LIFECYCLE REPORTING

Similar to reporting for Part 45, lifecycle event is supported by Action type [#37] and Event 

type [#38] combinations for Part 43 reporting. The allowable action types are depicted in 

Figure 2.

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

CFTC Technical Specification Version 3.3 70

2. Examples of allowable Action type and Event type combinations

This section provides 16 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 14 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 15 and 16 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 - Back reporting of corrections to expired/terminated/matured swaps

Example 15 - Daily Valuation reporting (Action type = VALU)

Example 16 - Daily Collateral and margin reporting (Action type = MARU)
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 71

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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique 

transaction 

identifier (UTI)

[#152]

Prior UTI (for one-to-one 

and one-to-many 

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 1 

(reporting 

counterparty) 

[#15]

Counterparty 

2 

[#17] 

Other 

payment 

type

[#81]

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 7 – 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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

Prior UTI (for one-to-one 

and one-to-many 

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 

1 (reporting 

counterparty) 

[#15]

Counterparty 2 

[#17] 

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 8 - Reporting of Error and Revive transaction

Example 3 - Early termination

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

Submission 1: A new transaction is reported with the unique transaction identifier, LEI1RPT0001KKKK as New-Trade (NEWT-TRAD) combination.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 72

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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

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

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 1 

(reporting 

counterparty) 

[#15]

Counterparty 2 

[#17] 

Expiration 

date 

[#142] 

Dissemination 

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 9 – 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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

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

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 1 

(reporting 

counterparty) 

[#15]

Counterparty 2 

[#17] 

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 10 - 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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

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

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 1 

(reporting 

counterparty) 

[#15]

Counterparty 2 

[#17] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

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

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

CFTC Technical Specification Version 3.3 73

Table 11 - 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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

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

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 1 

(reporting 

counterparty) 

[#15]

Counterparty 2 

[#17] 

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 12 - 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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

Prior UTI (for one-to-one 

and one-to-many 

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 1 

(reporting 

counterparty) 

[#15]

Counterparty 

2 

[#17] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

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

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

4 TERM COMP 2018-04-03T18:00:00Z LEI01-EVENTID1 LEI1RPT0001EEE 10000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 Not Disseminated

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

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

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

Table 13 - Reporting of Portfolio Compression transaction
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 74

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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

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

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 1 

(reporting 

counterparty) 

[#15]

Counterparty 2 

[#17] 

Expiration 

date 

[#142] 

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 14 - 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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

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

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 

1 (reporting 

counterparty) 

[#15]

Counterparty 

2 

[#17] 

Expiration 

date 

[#142] 

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 15 - 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

[#37]

Event 

type 

[#38]

Amendment 

indicator

[#39]

Event timestamp

[#41] 

Event 

identifier

[#40]

Unique 

transaction 

identifier (UTI)

Prior UTI (for one-to-one 

and one-to-many relations 

Notional 

amount

[#43]

Execution timestamp

[#143] 

Counterparty 

1 (reporting 

Counterparty 

2 

[#17]

Embedded 

option 

type

Dissemination 

identifier

[#D1]

Original 

disseminatio

n identifier

Dissemination 

timestamp

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

CFTC Technical Specification Version 3.3 75

[#152] between transactions) 

[#150]

counterparty) 

[#15]

[#122] [#D2]

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

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

Table 16 - 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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event 

identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

Prior UTI (for one-to-one 

and one-to-many 

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 

1 (reporting 

counterparty) 

[#15]

Counterparty 

2 

[#17] 

Allocation 

indicator

[#137] 

Disseminatio

n identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

2 TERM ALOC 2018-04-01T16:00:10Z LEI1RPT001PREAA 10000 2018-04-01T14:15:36Z LEI1RPT001 LEIFUNDMGR PREA Not Disseminated

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

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

Table 17 - 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 counterparties130) 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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique 

transaction 

identifier (UTI)

[#152]

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

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 1 

(reporting 

counterparty) 

[#15]

Counterparty 

2 

[#17] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

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

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

3 MODI CREV True 2018-12-12T15:01:02Z LEI+EVENT_ID131 LEI1RPT0001LLL 20000 2018-04-01T14:15:36Z LEI1RPT0001 LEI2CP0002 DEFAU01 ABCD019 2018-12-12T15:02:02Z

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

Table 18 - Reporting of Credit Event

 

130 In the case of a corporate event of the non-reporting counterparty, the transaction should be reported as Modify-Trade (MODI-TRAD) combination. 131 For credit events, the unique identifier is typically assigned to the transaction with the entity experiencing credit event and assigned by a third party service provider. 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 76

Example 13 - Transfer transaction from one SDR to another SDR

The first table, Table 19 - 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 20 - 

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

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

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

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 

1 (reporting 

counterparty) 

[#15]

Counterparty 2 

[#17] 

New SDR 

identifier 

[#154] 

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 19 - Reporting of transferred transaction to the old SDR

Row

Action 

type

[#37] 

Event 

type 

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Event identifier

[#40] 

Unique transaction 

identifier (UTI)

[#152] 

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

relations between 

transactions) [#150]

Notional 

amount

[#43] 

Execution timestamp

[#143] 

Counterparty 

1 (reporting 

counterparty) 

[#15]

Counterparty 2 

[#17] 

New SDR 

identifier 

[#154] 

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 20 - Reporting of transferred transaction to the new SDR

Example 14 - Back reporting of corrections to expired/terminated/matured swaps

This example illustrates how to report corrections to a swap that is no longer open/live.

Submission 1: A new transaction is reported with the unique swap identifier (USI), LEI1RPT0001AAAA, as New-Trade (NEWT-TRAD) combination in 2018-04-01. The swap has since expired on 2018-12-31 and no 

longer open/live.

Submission 2a: A misreported information in [Package indicator] from previous submission is corrected from ‘False’ to ‘True’ on 2023-05-15 using [Action type] = ‘CORR’ even though the swap expired/matured 

on 2018-12-31. The resulting swap remains expired.

Submission 2b: Alternatively, if a swap was reported long time ago and the associated USI is no longer in the SDR’s system, the reporting counterparty may submit using New-Update (NEWT-UPDT) combination 

by linking the new UTI with the original USI in [Prior USI] field. The resulting swap remains expired. Please note that the original execution timestamp is retained. 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 77

Row

Action 

type

[#37] 

Event 

type

[#38] 

Amendment 

indicator

[#39] 

Event timestamp

[#41] 

Execution timestamp

[#143] 

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

relations between 

transactions) [#149] 

Unique swap 

identifier (USI)

[#151] 

Unique transaction 

identifier 

(UTI)[#152] 

Package 

indicator 

[#69] 

Effective 

date

[#141] 

Expiration 

date

[#142] 

Reporting timestamp

[#144] 

Counterparty 1 

(reporting 

counterparty) 

[#15] 

Counterparty 2

[#17] 

Dissemination 

identifier

[#D1]

Original 

dissemination 

identifier

[#D2]

Dissemination 

timestamp

[#D3]

1 NEWT TRAD 2018-04-01T14:15:36Z 2018-04-01T14:15:36Z LEI1RPT0001AAAA False 2018-04-01 2018-12-31 2018-04-01T17:59:00Z LEI1RPT0001 LEI2CP0002 ABCD001 2018-04-01T14:18:36Z

2a CORR 2023-05-15T17:00:00Z 2018-04-01T14:15:36Z LEI1RPT0001AAAA True 2018-04-01 2018-12-31 2023-05-15T17:05:00Z LEI1RPT0001 LEI2CP0002

Or

2b NEWT UPDT 2023-05-15T17:00:00Z 2018-04-01T14:15:36Z LEI1RPT0001AAAA LEIRPT0001CCCC True 2018-04-01 2018-12-31 2023-05-15T17:05:00Z LEI1RPT0001 LEI2CP0002

Table 21 – Reporting of corrections to an expired swap

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

[#37]

Event 

type

[#38]

Event timestamp

[#41] 

Unique transaction 

identifier (UTI)

[#152]

Initial margin collateral 

portfolio code

[#165]

Variation margin 

collateral portfolio code

[#173]

Notional 

amount

[#43]

Execution timestamp

[#143] 

Counterparty 1 

(reporting counterparty) 

[#15]

Counterparty 2

[#17] 

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

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

3 NEWT TRAD 2019-04-01T10:15:10Z LEI1RPT0001QQQQ TRANSACTIONLEVEL TRANSACTIONLEVEL 13000 2019-04-01T10:15:10Z LEI1RPT0001 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 15 - Daily Valuation reporting (Action type = VALU) 

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

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

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

‘TRANSACTIONLEVEL’ 

Row

Action 

type

[#37]

Unique transaction 

identifier (UTI)

[#152]

Initial margin collateral 

portfolio code

[#165]

Variation margin 

collateral portfolio code

[#173]

Valuation 

amount

[#159]

Valuation 

currency

[#160]

Valuation 

method

[#161]

Valuation timestamp

[#162] 

Counterparty 1 

(reporting 

counterparty) [#15]

Counterparty 2

[#17] 

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

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

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

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

Table 23 - Reporting End of Day for Valuation

 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 78

Example 16 - 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 5 - 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 5 - Reporting Transactions with Portfolio Codes

that are collateralised at the transaction level are reported for each unique transaction identifier (UTI), LEI1RPT0001QQQQ and LEI1RPT0001RRRR, at the end of the day using [Action type] = ‘MARU’, and 

[Collateral portfolio code] = ‘TRANSACTIONLEVEL’. 

Table 24 - Reporting Daily End of Day Collateral and Margin

Row Action Type

[#37] 

Unique transaction 

identifier (UTI)

[#152] 

Collateralisation 

category

[#164] 

Initial margin collateral 

portfolio code

[#165] 

Variation margin 

collateral portfolio code

[#173] 

Initial margin

collected 

(post-haircut)

[#170] 

Initial margin 

collected 

(pre-haircut)

[#171] 

Currency of 

initial margin

collected

[#172] 

Variation margin

collected (prehaircut)

[#176] 

Currency of 

Variation margin

collected

[#177] 

Counterparty 1 

[#15] 

Counterparty 2 

[#17] 

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

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

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

CFTC Technical Specification Version 3.3 79

G. Part 45 and UPI reporting related to UPI ‘Other’ and custom baskets

Example 1: UPI Example for ‘Other’ (hypothetical)132

A swap will result in cash payments based on the NYSE Arca Global Airline Index. The ticker for the index is ‘AXGAL’. The index is not currently in the UPI service provider’s database and requires a market 

participant to submit the value of ‘Other’ to obtain a UPI.

UPI service provider description for public dissemination133: EQ/Swap idx Pr OTHER

Data element Reported to UPI service provider134 Reported to SDR

Asset class Equity

Instrument type Swap

Product Price_Return_Basic_Performance_Single_Index

Delivery type Cash

Return or payout trigger Price

Underlier ID Other

Underlier ID source Other

Underlier ID – Other AXGAL

Underlier ID – Other source NYSE

Example 2: UPI Example for Custom Baskets

A swap will result in cash payments based on a custom equity basket consisting of 10,000 shares of Deutsche Bank AG (ISIN DE0005140008), 5,000 shares of BNP Paribas S.A. (ISIN FR0000131104) and 7,500 

shares of ABN AMRO Group N.V. (ISIN NL0011540547).135 The party having LEI 123456789ABCDEFGHIJK has assigned the code 123XYZ to identify the basket.

UPI service provider description for public dissemination136: EQ/Swaps Bskt Tot Rtn

Data element Reported to UPI service provider137 Reported to SDR

Asset class Equity

Instrument type Swap

Product Price_Return_Basic_Performance_Basket

 

132 The use of ‘Other’ for reporting will be monitored by CFTC staff who will notify the UPI service provider should such cases occur. 133 The actual UPI service provider description may differ 134 The actual values and format reported to the UPI service provider may differ 135 Registrants report swaps on non-US equities under Part 45 136 The actual UPI service provider description may differ 137 The actual values and format reported to the UPI service provider may differ
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 80

Delivery type Cash

Return or payout trigger Total Return

Custom basket code 123456789ABCDEFGHIJK123XYZ

Basket constituent identifier DE0005140008, FR0000131104, NL0011540547 

Basket constituent identifier source ISIN, ISIN, ISIN

Basket constituent number of units 10000, 5000, 7500

Basket constituent unit of measure SHAS, SHAS, SHAS
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 81

H. Part 43 and 45 UPI reporting workflows for commodities 

This section presents different use cases for retrieving/creating a UPI for commodity-related products and the relevant Part 45 reporting fields in their relation to Part 43 geographic masking requirements. 

Some of these cases may be hypothetical. 

43.4(c)(4)(ii) lists the following as requiring “the actual underlying asset(s) shall be publicly disseminated”:

(A) Any publicly reportable swap transaction that references one of the contracts described in Appendix B to this part; 

(B) Any publicly reportable swap transaction that is economically related to one of the contracts described in Appendix B of this part; or 

(C) Any publicly reportable swap transaction executed on or pursuant to the rules of a swap execution facility or designated contract market.

In order to preserve Part 43 geographic masking requirements for underliers that do not fall within criteria A, B, or C, market participants will submit the appropriate Geographic Region from Part 43 Appendix 

E to the Derivatives Service Bureau (DSB) to receive a UPI code to be used for public dissemination. Market participants would also submit the actual underlier to DSB to receive a UPI code to be used for Part 

45 reporting. In cases where DSB does not support the actual underlier, market participants would submit to DSB the value of ‘OTHER” for the Underlier ID to receive a UPI code, and the actual underlier and 

related information would be submitted along with the UPI code to an SDR using the following proposed Part 45 fields as needed:

• Physical delivery location [#124]

• Pricing index location [#125]

• Underlier ID (Other) [#126]

• Underlier ID (Other) source [#127]

Fields Physical delivery location [#124] and Pricing index location [#125] would also be submitted for Part 45 if these values could not be derived from the UPI, or the fields Underlier ID (Other) [#126] and 

Underlier ID (Other) source [#127].
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 82

Reporting Flow Chart

43.4(c)(4)(ii) lists the following as requiring “the actual underlying asset(s) shall be publicly disseminated”:  

(A) Any publicly reportable swap transaction that references one of the contracts described in appendix B to this part;   

(B) Any publicly reportable swap transaction that is economically related to one of the contracts described in appendix B of this part; or  

(C) Any publicly reportable swap transaction executed on or pursuant to the rules of a swap execution facility or designated contract market.  

Does underlier 

meet criteria (A)

1. Does DSB support 

underlier?

submit underlier ID/underlier ID 

source to DSB

submit ‘OTHER’ to DSB for 

underlier ID/underlier ID source

YES, Masking not required

YES

NO

2. Physical Delivery 

Location different 

from Physical 

Delivery Location 

specified by 

underlier?

Does underlier 

meet criteria (B)

Report P45 field, Physical 

Delivery Location

Don’t report P45 field, Physical 

Delivery Location

YES

NO

3. Pricing Index 

Location NOT

specified by 

underlier?

Don’t Report P45 field, Pricing 

Index Location

Report P45 field, Pricing Index 

Location YES

YES, Masking not required NO

Report resulting UPI for Part 43

Report resulting UPI for Part 45

Report Underlier ID (Other)/ 

Underlier ID (Other) source for 

Part 45

To DSB To SDR

Does the underlier meet criteria (A), (B, (C), or none of the above?

NO

A

NO
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 83

Does underlier 

meet criteria (C)

YES, Masking not required

submit Part 43 Appendix E 

Geographic Region as underlier to 

DSB 

Report resulting UPI for Part 43

1. Does DSB support 

underlier?

submit underlier ID/underlier ID 

source to DSB

submit ‘OTHER’ to DSB for 

underlier ID/underlier ID source

YES

NO

2. Physical Delivery 

Location different 

from Physical 

Delivery Location 

specified by 

underlier?

Report P45 field, Physical 

Delivery Location

Don’t report P45 field, Physical 

Delivery Location

YES

NO

3. Pricing Index 

Location NOT

specified by 

underlier?

Don’t Report P45 field, Pricing 

Index Location

Report P45 field, Pricing Index 

Location YES

NO

Report resulting UPI for Part 43

Report resulting UPI for Part 45

Report Underlier ID (Other)/ 

Underlier ID (Other) source for 

Part 45

1. Does DSB support 

underlier?

submit underlier ID/underlier ID 

source to DSB

submit ‘OTHER’ to DSB for 

underlier ID/underlier ID source

YES

NO

2. Physical Delivery 

Location different 

from Physical 

Delivery Location 

specified by 

underlier?

Report P45 field, Physical 

Delivery Location

Don’t report P45 field, Physical 

Delivery Location

YES

NO

3. Pricing Index 

Location NOT

specified by 

underlier?

Don’t Report P45 field, Pricing 

Index Location

Report P45 field, Pricing Index 

Location YES

NO

Report resulting UPI for Part 45

Report Underlier ID (Other)/ 

Underlier ID (Other) source for 

Part 45

NO, Masking Required

To DSB To SDR A
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 84

Use Case 1: Option on NYMEX WTI (traded on SEF or off facility). 

NYMEX WTI is listed in Part 43 Appendix B as New York Mercantile Exchange Light Sweet Crude Oil. This meets requirement A. No geographic masking is required and the underlier is supported by 

DSB

Meets 43.4(c)(4)(ii)(A) ? Yes

Meets 43.4(c)(4)(ii)(B) ? Yes

Meets 43.4(c)(4)(ii)(C) ? Yes, if traded on SEF

Geographic masking required? No

Separate UPI required for Public 

Dissemination?

No

Underlier supported by DSB? Yes

Populate Underlier ID (Other) ? No

Populate Underlier ID (Other) Source No

Populate Physical Delivery Location? No

Populate Pricing Index Location? No

The market participant would submit the ISDA Commodity Reference Price (CRP) of OIL-WTI-NYMEX to DSB to identify the underlier along with other data describing the product. 

The ISDA CRP definition for OIL-WTI-NYMEX states that it:

means that the price for a Pricing Date will be that day’s Specified Price per barrel of West Texas Intermediate light sweet crude oil on the NYMEX of the Futures Contract for the Delivery Date, stated in 

U.S. Dollars, as made public by the NYMEX on that Pricing Date.

The specification for the NYMEX WTI Futures contract states the delivery location as 

any pipeline or storage facility in Cushing, Oklahoma with pipeline access to Enterprise, Cushing storage, Enbridge, Cushing storage or Plains, Cushing storage.

The corresponding UPI Reference Data would look something like the following (No difference between Part 43 and 45):

Attribute Part 43 UPI Record Part 45 UPI Record

Asset Class Commodities Commodities

Instrument Type Option Option

Product Option Option

Level UPI UPI
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 85

Template Version 1 1

Reference Rate OIL-WTI-NYMEX OIL-WTI-NYMEX

Base Product NRGY NRGY

Sub Product OILP OILP

Additional Sub Product WTIO WTIO

Option Type PUTO PUTO

Option Exercise Style EURO EURO

Valuation Method or Trigger Vanilla Vanilla

Delivery Type PHYS PHYS

UPI Code QZMK5K7DT998 QZMK5K7DT998

Status New New

Status Reason <null> <null>

Last Update Date Time 2025-05-17T03:34:52 2025-05-17T03:34:52

CFI Code HTJDVP HTJDVP

Short Name CO/O NRGY WTIO Put CO/O NRGY WTIO Put

Underlier Name OIL-WTI-NYMEX OIL-WTI-NYMEX

Underlying Asset Type Energy Energy

CFI Option Style and Type European-Put European-Put

CFI Delivery Type Physical Physical

Because the Pricing Index Location and Physical Delivery Location can be derived from the UPI data, only the UPI code (QZMK5K7DT998) needs to be submitted for Part 45. Because geographic masking is not 

required, the same UPI code would be submitted for Part 43.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 86

Use Case 2: SEF Traded Option on CME Lumber. 

CME Lumber is not listed in Part 43 Appendix B, but in this case the product is traded on a SEF. SEF traded swaps meet requirement C. No geographic masking is required and the underlier is 

supported by DSB

Meets 43.4(c)(4)(ii)(A) ? No

Meets 43.4(c)(4)(ii)(B) ? No

Meets 43.4(c)(4)(ii)(C) ? Yes

Geographic masking required? No

Separate UPI required for Public 

Dissemination?

No

Underlier supported by DSB? Yes

Populate Underlier ID (Other) ? No

Populate Underlier ID (Other) Source No

Populate Physical Delivery Location? No

Populate Pricing Index Location? No

The market participant would submit the ISDA Commodity Reference Price (CRP) of LUMBER-CME to DSB to identify the underlier along with other data describing the product. 

The ISDA CRP definition for LUMBER-CME states that it:

means that the price for a Pricing Date will be that day’s Specified Price per thousand board feet (mbf) of deliverable grade random length lumber on the Delivery Date, stated in U.S. Dollars, as made 

public by the CME and displayed on Reuters Screen page “0#LB:” on that Pricing Date.

The specification for the CME Lumber Futures contract states the delivery location as 

Physical delivery of lumber takes place in the Chicago Switching District, which is accessible from both western and eastern sawmills.

The corresponding UPI Reference Data would look something like the following (No difference between Part 43 and 45):

Attribute Part 43 UPI Record Part 45 UPI Record

Asset Class Commodities Commodities

Instrument Type Option Option

Product Option Option

Level UPI UPI
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 87

Template Version 1 1

Reference Rate LUMBER-CME LUMBER-CME

Base Product AGRI AGRI

Sub Product FRST FRST

Additional Sub Product

Option Type PUTO PUTO

Option Exercise Style EURO EURO

Valuation Method or Trigger Vanilla Vanilla

Delivery Type PHYS PHYS

UPI Code QZMK5K7DT098 QZMK5K7DT098

Status New New

Status Reason <null> <null>

Last Update Date Time 2025-05-17T03:34:52 2025-05-17T03:34:52

CFI Code HTADVP HTADVP

Short Name CO/O AGRI Put CO/O AGRI Put

Underlier Name LUMBER-CME LUMBER-CME

Underlying Asset Type Agriculture Agriculture

CFI Option Style and Type European-Put European-Put

CFI Delivery Type Physical Physical

Because the Pricing Index Location and Physical Delivery Location can be derived from the UPI data, only the UPI code (QZMK5K7DT098) needs to be submitted for Part 45. Because geographic masking is not 

required the same UPI code would be submitted for Part 43
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 88

Use Case 3: Off-Facility Traded Option on CME Lumber. 

CME Lumber is not listed in Part 43 Appendix B, and in this case the product is traded Off-Facility. Geographic masking is required.

Meets 43.4(c)(4)(ii)(A) ? No

Meets 43.4(c)(4)(ii)(B) ? No

Meets 43.4(c)(4)(ii)(C) ? No

Geographic masking required? Yes

Separate UPI required for Public 

Dissemination?

Yes

Underlier supported by DSB? Yes

Populate Underlier ID (Other) ? No

Populate Underlier ID (Other) Source No

Populate Physical Delivery Location? No

Populate Pricing Index Location? No

Market participants would submit the Geographic Region Other Commodity Region 5 from Part 43 Appendix E to DSB to identify the underlier along with other data describing the product to DSB to receive a UPI 

code for Part 43 reporting.

The market participant would also submit the ISDA Commodity Reference Price (CRP) of LUMBER-CME to DSB to identify the underlier along with other data describing the product to receive a UPI for Part 45 

reporting.

The corresponding UPI Reference Data would look something like the following (Part 43 data uses masked value):

Attribute Part 43 UPI record Part 45 UPI record

Asset Class Commodities Commodities

Instrument Type Option Option

Product Option Option

Level UPI UPI

Template Version 1 1

Reference Rate Other Commodity Region 5 LUMBER-CME

Base Product AGRI AGRI
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 89

Sub Product FRST FRST

Additional Sub Product

Option Type PUTO PUTO

Option Exercise Style EURO EURO

Valuation Method or Trigger Vanilla Vanilla

Delivery Type PHYS PHYS

UPI Code QZMK5K7DT198 QZMK5K7DT098

Status New New

Status Reason <null> <null>

Last Update Date Time 2025-05-17T03:34:52 2025-05-17T03:34:52

CFI Code HTADVP HTADVP

Short Name CO/O AGRI Put CO/O AGRI Put

Underlier Name Other Commodity Region 5 LUMBER-CME

Underlying Asset Type Agriculture Agriculture

CFI Option Style and Type European-Put European-Put

CFI Delivery Type Physical Physical

Reporting parties would submit the UPI code (QZMK5K7DT198) for Part 43 reporting and UPI code (QZMK5K7DT098) for Part 45 reporting.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 90

Use Case 4: SEF Traded Option on NYMEX LOOP Gulf Coast Sour Crude Oil. 

NYMEX LOOP Gulf Coast Sour Crude Oil is not listed in Part 43 Appendix B, but in this case the product is traded on a SEF. SEF traded swaps meet requirement C. No geographic masking is required, 

but the underlier is not supported by DSB.

Meets 43.4(c)(4)(ii)(A) ? No

Meets 43.4(c)(4)(ii)(B) ? No

Meets 43.4(c)(4)(ii)(C) ? Yes

Geographic masking required? No

Separate UPI required for Public 

Dissemination?

No

Underlier supported by DSB? No

Populate Underlier ID (Other) ? Yes

Populate Underlier ID (Other) Source Yes

Populate Physical Delivery Location? No

Populate Pricing Index Location? No

Market participants submit the value ‘OTHER’ to DSB to identify the underlier along with other data describing the product to receive a single UPI for both Part 43 and Part 45. 

The corresponding UPI Reference Data would look something like the following (No difference between Part 43 and 45):

Attribute Part 43 UPI record Part 45 UPI record

Asset Class Commodities Commodities

Instrument Type Option Option

Product Option Option

Level UPI UPI

Template Version 1 1

Reference Rate OTHER OTHER

Base Product NRGY NRGY

Sub Product OILP OILP

Additional Sub Product
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 91

Option Type PUTO PUTO

Option Exercise Style EURO EURO

Valuation Method or Trigger Vanilla Vanilla

Delivery Type PHYS PHYS

UPI Code QZMK5K7DT398 QZMK5K7DT398

Status New New

Status Reason <null> <null>

Last Update Date Time 2025-05-17T03:34:52 2025-05-17T03:34:52

CFI Code HTJDVP HTJDVP

Short Name CO/O NRGY Put CO/O NRGY Put

Underlier Name OTHER OTHER

Underlying Asset Type Energy Energy

CFI Option Style and Type European-Put European-Put

CFI Delivery Type Physical Physical

Reporting parties would submit the resulting UPI code (QZMK5K7DT398) for Part 45 reporting along with Underlier ID (Other) and Underlier ID (Other) Source. Possible values for Underlier ID (Other) and 

Underlier ID (Other) Source could be:

Underlier ID (Other) Underlier ID (Other) Source

MB NYMEX/Globex

BMMN24 RIC

Because geographic masking is not required the same UPI code would be submitted for Part 43.

Pricing Index Location and Physical Delivery Location do not need to be submitted for Part 45 as these values can be derived from Underlier ID (Other) and Underlier ID (Other) Source.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 92

Use Case 5: Off-facility traded Option on NYMEX LOOP Gulf Coast Sour Crude Oil. 

NYMEX LOOP Gulf Coast Sour Crude Oil is not listed in Part 43 Appendix B, and in this case the product is traded Off-Facility. Geographic masking is required and underlier is not supported by DSB

Meets 43.4(c)(4)(ii)(A) ? No

Meets 43.4(c)(4)(ii)(B) ? No

Meets 43.4(c)(4)(ii)(C) ? No

Geographic masking required? Yes

Separate UPI required for Public 

Dissemination?

Yes

Underlier supported by DSB? No

Populate Underlier ID (Other) ? Yes

Populate Underlier ID (Other) Source Yes

Populate Physical Delivery Location? No

Populate Pricing Index Location? No

Market participants submit the Geographic Region, PADD 3, from Part 43 Appendix E to DSB to identify the underlier along with other data describing the product to receive a UPI code for public dissemination. 

Market participants submit the value ‘OTHER’ to DSB to identify the underlier to DSB along with other data describing the product to receive a UPI for Part 45 reporting. 

The corresponding UPI Reference Data would look something like the following (Part 43 data uses masked value):

Attribute Part 43 record Part 45 UPI record

Asset Class Commodities Commodities

Instrument Type Option Option

Product Option Option

Level UPI UPI

Template Version 1 1

Reference Rate PADD 3 OTHER

Base Product NRGY NRGY

Sub Product OILP OILP
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CFTC Technical Specification Version 3.3 93

Additional Sub Product

Option Type PUTO PUTO

Option Exercise Style EURO EURO

Valuation Method or Trigger Vanilla Vanilla

Delivery Type PHYS PHYS

UPI Code QZMK5K7DT298 QZMK5K7DT398

Status New New

Status Reason <null> <null>

Last Update Date Time 2025-05-17T03:34:52 2025-05-17T03:34:52

CFI Code HTJDVP HTJDVP

Short Name CO/O NRGY Put CO/O NRGY Put

Underlier Name PADD 3 OTHER

Underlying Asset Type Energy Energy

CFI Option Style and Type European-Put European-Put

CFI Delivery Type Physical Physical

The UPI code (QZMK5K7DT298) referencing the Geographic Region would be submitted for Part 43 reporting. The UPI code referencing ‘OTHER’ (QZMK5K7DT398) along with Underlier ID (Other) and Underlier ID 

(Other) Source would be submitted for Part 45 reporting. 

Possible values for Underlier ID (Other) and Underlier ID (Other) Source could be:

Underlier ID (Other) Underlier ID (Other) Source

MB NYMEX/Globex

BMMN24 RIC

Pricing Index Location and Physical Delivery Location do not need to be submitted for Part 45 as these values can be derived from Underlier ID (Other) and Underlier ID (Other) Source.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 94

Use Case 6: Off-Facility traded option on platinum referencing NYMEX Platinum. Physical delivery to Catalytics Inc. in Detroit, Michigan

NYMEX Platinum is listed in Part 43 Appendix B as New York Mercantile Exchange Platinum. This meets requirement A. No geographic masking is required, the underlier is supported by DSB, but the 

delivery location differs from the NYMEX Platinum contract specification.

Meets 43.4(c)(4)(ii)(A) ? Yes

Meets 43.4(c)(4)(ii)(B) ? No

Meets 43.4(c)(4)(ii)(C) ? No

Geographic masking required? No

Separate UPI required for Public 

Dissemination?

No

Underlier supported by DSB? Yes

Populate Underlier ID (Other) ? No

Populate Underlier ID (Other) Source No

Populate Physical Delivery Location? Yes

Populate Pricing Index Location? No

Market participant would submit PLATINUM-NYMEX to DSB to identify the underlier along with other data describing the product to receive a single UPI for both Part 43 and Part 45. 

The corresponding UPI Reference Data would look something like the following (No difference between Part 43 and 45):

Attribute

Part 43 UPI record Part 45 UPI record

Asset Class Commodities Commodities

Instrument Type Option Option

Product Option Option

Level UPI UPI

Template Version 1 1

Reference Rate PLATINUM-NYMEX PLATINUM-NYMEX

Base Product METL METL

Sub Product PRME PRME
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 95

Additional Sub Product PTNM PTNM

Option Type PUTO PUTO

Option Exercise Style EURO EURO

Valuation Method or Trigger Vanilla Vanilla

Delivery Type PHYS PHYS

UPI Code QZMK5K7DT598 QZMK5K7DT598

Status New New

Status Reason <null> <null>

Last Update Date Time 2025-05-17T03:34:52 2025-05-17T03:34:52

CFI Code HTKDVP HTKDVP

Short Name CO/O METL PTNM Put CO/O METL PTNM Put

Underlier Name PLATINUM-NYMEX PLATINUM-NYMEX

Underlying Asset Type Energy Energy

CFI Option Style and Type European-Put European-Put

CFI Delivery Type Physical Physical

In this case the UPI Code (QZMK5K7DT598) and Physical Delivery Location = ‘Catalytics Inc., Detroit, Michigan’ would need to be reported to the SDR for Part 45. 

Because geographic masking is not required, the same UPI code would be submitted for Part 43.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 96

Use Case 7: Off-Facility traded option on platinum referencing the Zurich P.M. Platinum Fixing price (ISDA CRP PLATINUM_PM.FIX). Physical 

delivery is to Catalytics Inc. in Detroit, Michigan

The Zurich P.M. Platinum Fixing price is not listed in Part 43 Appendix B and the option is traded off-facility. Geographic masking is required. The underlier is supported by DSB, but the delivery 

location differs from the Zurich P.M. Fixing Price specification.

Meets 43.4(c)(4)(ii)(A) ? No

Meets 43.4(c)(4)(ii)(B) ? No

Meets 43.4(c)(4)(ii)(C) ? No

Geographic masking required? Yes

Separate UPI required for Public 

Dissemination?

Yes

Underlier supported by DSB? No

Populate Underlier ID (Other) ? Yes

Populate Underlier ID (Other) Source Yes

Populate Physical Delivery Location? Yes

Populate Pricing Index Location? No

Market participant would submit the Geographic Region Other Commodity Western Europe from Part 43 Appendix E to DSB to identify the underlier along with other data describing the product to receive a UPI 

for Part 43 reporting. 

The market participant would also submit the ISDA Commodity Reference Price (CRP) of PLATINUM-PM. FIX to DSB to identify the underlier along with other data describing the product to receive a UPI for Part 45 

reporting.

The corresponding UPI Reference Data would look something like the following (Part 43 data uses masked value):

Attribute Part 43 UPI Record Part 45 UPI Record

Asset Class Commodities Commodities

Instrument Type Option Option

Product Option Option

Level UPI UPI

Template Version 1 1
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 97

Reference Rate Other Commodity Western Europe PLATINUM-PM. FIX

Base Product METL METL

Sub Product PRME PRME

Additional Sub Product PTNM PTNM

Option Type PUTO PUTO

Option Exercise Style EURO EURO

Valuation Method or Trigger Vanilla Vanilla

Delivery Type PHYS PHYS

UPI Code QZMK5K7DT698 QZMK5K7DT798

Status New New

Status Reason <null> <null>

Last Update Date Time 2025-05-17T03:34:52 2025-05-17T03:34:52

CFI Code HTKDVP HTKDVP

Short Name CO/O METL PTNM Put CO/O METL PTNM Put

Underlier Name Other Commodity Western Europe PLATINUM-PM. FIX

Underlying Asset Type Energy Energy

CFI Option Style and Type European-Put European-Put

CFI Delivery Type Physical Physical

Reporting parties would submit the resulting UPI Code (QZMK5K7DT698) for Part 43 reporting.

In addition to the UPI code (QZMK5K7DT798), Physical Delivery Location = ‘Catalytics Inc., Detroit, Michigan’ would need to be submitted for Part 45 reporting. The Pricing Index Location does not need to be 

submitted for Part 45 as these values can be derived from Underlier ID (Other) and Underlier ID (Other) Source. 
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 98

Use Case 8: Off-Facility traded option on Platts American GulfCoast Select (AGS) for FOB Nederland, Texas. Platts offers AGS trading for 

USGC, Houston, Corpus Christi and Nederland.

Platts AGS is not listed in Part 43 Appendix B and the option is traded off-facility. Geographic masking is required.

Meets 43.4(c)(4)(ii)(A) ? No

Meets 43.4(c)(4)(ii)(B) ? No

Meets 43.4(c)(4)(ii)(C) ? No

Geographic masking required? Yes

Separate UPI required for Public 

Dissemination?

Yes

Underlier supported by DSB? No

Populate Underlier ID (Other) ? Yes

Populate Underlier ID (Other) Source Yes

Populate Physical Delivery Location? No

Populate Pricing Index Location? Yes

Market participants submit the Geographic Region, PADD 3, to DSB to identify the underlier along with other data describing the product to receive a UPI for Part 43 reporting. 

Market participants submit the value ‘OTHER’ for the underlier to DSB to identify the underlier along with other data describing the product to receive a UPI for Part 45 reporting. 

The corresponding UPI Reference Data would look something like the following (Part 43 data uses masked value):

Attribute Part 43 UPI Record Part 45 UPI Record

Asset Class Commodities Commodities

Instrument Type Option Option

Product Option Option

Level UPI UPI

Template Version 1 1

Reference Rate PADD 3 OTHER

Base Product NRGY NRGY
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 99

Sub Product OILP OILP

Additional Sub Product

Option Type PUTO PUTO

Option Exercise Style EURO EURO

Valuation Method or Trigger Vanilla Vanilla

Delivery Type PHYS PHYS

UPI Code QZMK5K7DT898 QZMK5K7DT998

Status New New

Status Reason <null> <null>

Last Update Date Time 2025-05-17T03:34:52 2025-05-17T03:34:52

CFI Code HTJDVP HTJDVP

Short Name CO/O NRGY Put CO/O NRGY Put

Underlier Name PADD 3 OTHER

Underlying Asset Type Energy Energy

CFI Option Style and Type European-Put European-Put

CFI Delivery Type Physical Physical

Reporting parties would submit the resulting UPI Code (QZMK5K7DT898) for Part 43 reporting.

Reporting parties would submit the resulting UPI code (QZMK5K7DT998) for Part 45 reporting along with Underlier ID (Other), Underlier ID (Other) Source and Pricing Index Location. Possible values for Underlier 

ID (Other) and Underlier ID (Other) Source could be:

Underlier ID (Other) Underlier ID (Other) Source

Platts AGS Platts

Value ‘Nederland, TX’ would be submitted for Pricing Index Location for Part 45 reporting.
Appendices for parts 43 and 45 Technical Specification

CFTC Technical Specification Version 3.3 100

4 References

1. Revised CDE Technical Guidance – version 3: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI), 

https://www.leiroc.org/publications/gls/roc_20230929.pdf

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

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

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

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

4. ISO 20022 Universal financial industry message scheme

https://www.iso20022.org/

5. CFTC USI Data Standards, October 2012

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

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

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

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