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Technical Specification Document Parts 43 and 45 Swap Reporting and Public Dissemination Requirements

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Technical Specification Document Parts 43 and 45 Swap Reporting and Public Dissemination Requirements Technical Specification Document Parts 43 and 45 swap reporting and public dissemination requirements February 20, 2020 Version 1.2 This Technical Specification document (“Tech Spec”) provides technical specifications for reporting swap data to Swap Data Repositories (SDRs) under parts 43 and 45. i TABLE OF CONTENTS INDEX OF DATA ELEMENTS ........................................................................................................................................................................................... III 1 INTRODUCTION ................................................................................................................................................................................................. VI 1.1 BACKGROUND .................................................................................................................................................................................................................. VI 1.2 STRUCTURE AND DESCRIPTION OF COLUMN HEADINGS ............................................................................................................................................................ VI 1.3 EXPLANATION OF DATA ELEMENT OR CATEGORY .................................................................................................................................................................... IX 1.4 UNIQUE PRODUCT IDENTIFIER (UPI) ..................................................................................................................................................................................... X 2 TECHNICAL SPECIFICATION AND VALIDATION RULES ......................................................................................................................................... 1 3 APPENDIX ......................................................................................................................................................................................................... 36 A. ADDITIONAL DATA ELEMENTS PUBLICLY DISSEMINATED - REQUIREMENTS FOR SDRS ONLY ............................................................................................................. 36 B. NOTIONAL AMOUNT ....................................................................................................................................................................................................... 37 C. MAPPING OF DAY COUNT CONVENTION ALLOWABLE VALUES TO ISO 20022, FPML, AND FIX/FIXML VALUES ................................................................................ 38 D. VALUATION METHOD ...................................................................................................................................................................................................... 47 E. COLLATERALISATION CATEGORY ......................................................................................................................................................................................... 48 F. EVENTS: SAMPLE SCENARIOS FOR PART 43 AND PART 45 REPORTING ........................................................................................................................................ 49 4. REFERENCES ..................................................................................................................................................................................................... 58 ii Index of Data Elements A D Action type .................................................................................................................................................................. 7 Day count convention ................................................................................................................................................. 14 Affiliated counterparty for margin and capital indicator ................................................................................................... 31 Delta ......................................................................................................................................................................... 10 Allocation indicator ..................................................................................................................................................... 25 Dissemination identifier ............................................................................................................................................... 36 Dissemination timestamp ............................................................................................................................................ 36 B E Block trade election indicator ....................................................................................................................................... 25 Buyer identifier ............................................................................................................................................................ 5 Effective date ............................................................................................................................................................. 25 Embedded option type ................................................................................................................................................ 24 Event identifier ............................................................................................................................................................. 9 C Event timestamp .......................................................................................................................................................... 9 Event type ................................................................................................................................................................... 7 Call amount ............................................................................................................................................................... 11 Exchange rate ............................................................................................................................................................ 18 Call currency ............................................................................................................................................................. 11 Exchange rate basis ................................................................................................................................................... 18 CDS index attachment point ........................................................................................................................................ 23 Execution timestamp................................................................................................................................................... 26 CDS index detachment point ....................................................................................................................................... 24 Expiration date ........................................................................................................................................................... 26 Central counterparty ..................................................................................................................................................... 1 Cleared ....................................................................................................................................................................... 1 Clearing account origin ................................................................................................................................................. 1 F Clearing member ......................................................................................................................................................... 1 Clearing receipt timestamp ........................................................................................................................................... 3 Final contractual settlement date .................................................................................................................................. 24 Clearing swap USIs...................................................................................................................................................... 2 First exercise date ...................................................................................................................................................... 23 Clearing swap UTIs ...................................................................................................................................................... 2 Fixed rate .................................................................................................................................................................. 18 Collateral portfolio code .............................................................................................................................................. 31 Fixing date ................................................................................................................................................................. 14 Collateralisation category ............................................................................................................................................ 31 Floating rate reset frequency period 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