CFTC Technical Specification Parts 43 and 45 swap data reporting and public dissemination requirements September 17, 2020 Version 2.0 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 ......................................................................................................................................................................................................... 37 A. ADDITIONAL DATA ELEMENTS PUBLICLY DISSEMINATED - REQUIREMENTS FOR SDRS ONLY ............................................................................................................. 37 B. NOTIONAL AMOUNT ....................................................................................................................................................................................................... 38 C. MAPPING OF DAY COUNT CONVENTION ALLOWABLE VALUES TO ISO 20022, FPML, AND FIX/FIXML VALUES ................................................................................ 39 D. VALUATION METHOD ...................................................................................................................................................................................................... 48 E. COLLATERALISATION CATEGORY ......................................................................................................................................................................................... 49 F. EVENTS: VALID ACTION TYPE AND EVENT TYPE COMBINATIONS FOR PART 43 AND PART 45 REPORTING ........................................................................................... 50 4. REFERENCES ..................................................................................................................................................................................................... 60 ii Index of Data Elements A E Action type ......................................................................................................................................................................................7 Affiliated counterparty for margin and capital indicator .................................................................................................................32 Effective date ................................................................................................................................................................................ 27 Allocation indicator ........................................................................................................................................................................26 Embedded option type ................................................................................................................................................................. 25 Amendment indicator ......................................................................................................................................................................9 Event identifier ................................................................................................................................................................................ 9 Event timestamp ............................................................................................................................................................................. 9 Event type....................................................................................................................................................................................... 8 Exchange rate .............................................................................................................................................................................. 19 B Exchange rate basis ..................................................................................................................................................................... 20 Execution timestamp .................................................................................................................................................................... 27 Block trade election indicator ........................................................................................................................................................27 Expiration date.............................................................................................................................................................................. 27 Buyer identifier ................................................................................................................................................................................5 F C Final contractual settlement date ................................................................................................................................................. 26 Call amount ...................................................................................................................................................................................11 First exercise date ........................................................................................................................................................................ 24 Call currency .................................................................................................................................................................................11 Fixed rate...................................................................................................................................................................................... 20 CDS index attachment point .........................................................................................................................................................25 Fixing date .................................................................................................................................................................................... 16 CDS index detachment point ........................................................................................................................................................25 Floating rate reset frequency period............................................................................................................................................. 16 Central counterparty .......................................................................................................................................................................1 Floating rate reset frequency period multiplier ............................................................................................................................. 17 Cleared ............................................................................................................................................................................................1 Clearing account origin ...................................................................................................................................................................1 Clearing member ............................................................................................................................................................................1 I Clearing receipt timestamp .............................................................................................................................................................3 Clearing swap USIs ........................................................................................................................................................................2 Clearing swap UTIs .........................................................................................................................................................................2 Index factor ..................................................................................................................................................................................