Appendix 1 - Part 23, Subpart I, Appendix 1—Exhibits A-D
Exhibit A—Minimum Primary Economic Terms Data—Credit Swaps and Equity Swaps
Data categories and fields for all swaps | Comment | Asset Class | Field values: Credit, equity, FX, interest rates, other commodities. | The Unique Transaction Identifier for the swap | The UTI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. | The Legal Entity Identifier or alternate identifier of the reporting counterparty | As provided in § 45.6 of this chapter. | An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap | Yes/No. | The Legal Entity Identifier or alternate identifier of the non-reporting party | As provided in § 45.6 of this chapter. | The Unique Product Identifier assigned to the swap | As provided in § 45.7. | If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system | If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository | An indication of the counterparty purchasing protection | Field values: LEI, or alternate identifier. | An indication of the counterparty selling protection | Field values: LEI, or alternate identifier. | Information identifying the reference entity | The entity that is the subject of the protection being purchased and sold in the swap. Field values: LEI, or alternate identifier. | Contract type | Execution venue | The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of the swap execution facility or designated contract market, or “off-facility” if not so executed. | Start date | The date on which the swap starts or goes into effect. | Maturity, termination or end date | The date on which the swap expires. | The price | The notional amount, and the currency in which the notional amount is expressed | The amount and currency (or currencies) of any up-front payment | Payment frequency of the reporting counterparty | A description of the payment stream of the reporting counterparty, | Payment frequency of the non-reporting counterparty | A description of the payment stream of the non-reporting counterparty, | Clearing exception or exemption type | The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. | Indication of collateralization | Is the swap collateralized, and if so to what extent? Field values: Uncollateralized, partially collateralized, one-way collateralized, fully collateralized. | Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap | Use as many fields as required to report each such term. |
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Exhibit B—Minimum Primary Economic Terms Data—Foreign Exchange Transactions
[Other than cross-currency swaps]
Data fields for all swaps | Comment | Asset Class | Field values: Credit, equity, FX, interest rates, other commodities. | The Unique Transaction Identifier for the swap | The UTI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. | The Legal Entity Identifier or alternate identifier of the reporting counterparty | As provided in § 45.6 of this chapter. | An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap | Yes/No. | The Legal Entity Identifier or alternate identifier of the non-reporting party | As provided in § 45.6 of this chapter. | The Unique Product Identifier assigned to the swap | As provided in § 45.7. | If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system | If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository | Contract type | Execution venue | The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of the swap execution facility or designated contract market, or “off-facility” if not so executed. | Currency 1 | ISO code. | Currency 2 | ISO code. | Notional amount 1 | For currency 1. | Notional amount 2 | For currency 2. | Exchange rate | Contractual rate of exchange of the currencies. | Delivery type | Physical (deliverable) or cash (non-deliverable). | Settlement or expiration date | Settlement date, or for an option the contract expiration date. | Clearing exception or exemption type | The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. | Indication of collateralization | Is the trade collateralized, and if so to what extent? Field values: Uncollateralized, partially collateralized, one-way collateralized, fully collateralized. | Any other term(s) of the trade matched or affirmed by the counterparties in verifying the trade |
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Exhibit C—Minimum Primary Economic Terms Data—Interest Rate Swaps
[Including cross-currency swaps]
Data fields for all swaps | Comment | Asset Class | Field values: Credit, equity, FX, interest rates, other commodities. | The Unique Transaction Identifier for the swap | The UTI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. | The Legal Entity Identifier or alternate identifier of the reporting counterparty | As provided in § 45.6 of this chapter. | An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap | Yes/No. | The Legal Entity Identifier or alternate identifier of the non-reporting counterparty | As provided in § 45.6 of this chapter. | The Unique Product Identifier assigned to the swap | As provided in § 45.7. | If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system | If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository | Contract type | Execution venue | The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of the swap execution facility or designated contract market, or “off-facility” if not so executed. | Start date | The date on which the swap starts or goes into effect. | Maturity, termination or end date | The date on which the swap expires or ends. | Day count convention | Notional amount (leg 1) | The current active notional amount. | Notional currency (leg 1) | ISO code. | Notional amount (leg 2) | The current active notional amount. | Notional currency (leg 2) | ISO code. | Payer (fixed rate) | Is the reporting party a fixed rate payer? Yes/No/Not applicable. | Payer (floating rate leg 1) | If two floating legs, the payer for leg 1. | Payer (floating rate leg 2) | If two floating legs, the payer for leg 2. | Direction | For swaps: Whether the principal is paying or receiving the fixed rate. For float-to-float and fixed-to-fixed swaps: Indicate N/A.
For non-swap instruments and swaptions: Indicate the instrument that was bought or sold. | Option type | Fixed rate | Fixed rate day count fraction | Floating rate payment frequency | Floating rate reset frequency | Floating rate index name/rate period | Clearing exception or exemption type | The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. | Indication of collateralization | Is the swap collateralized, and if so to what extent? Field values: Uncollateralized, partially collateralized, one-way collateralized, fully collateralized. | Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap |
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Exhibit D—Minimum Primary Economic Terms Data—Other Commodity Swaps
Data field for all swaps | Comment | Asset Class | Field values: Credit, equity, FX, interest rates, other commodities. | The Unique Transaction Identifier for the swap | The UTI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. | The Legal Entity Identifier or alternate identifier of the reporting counterparty | As provided in § 45.6 of this chapter. | An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap | Yes/No. | The Legal Entity Identifier or alternate identifier of the non-reporting party | As provided in § 45.6 of this chapter. | The Unique Product Identifier assigned to the swap | As provided in § 45.7. | If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system | If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository | Contract type | Execution venue | The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of the swap execution facility or designated contract market, or “off-facility” if not so executed. | Start date | The date on which the swap commences or goes into effect ( | Maturity, termination, or end date | The date on which the swap expires or ends ( | Buyer | The counterparty purchasing the product: ( | Seller | The counterparty offering the product: ( | Quantity unit | The unit of measure applicable for the quantity on the swap. | Quantity | The amount of the commodity (the number of quantity units) quoted on the swap. | Quantity frequency | The rate at which the quantity is quoted on the swap. | Total quantity | The quantity of the commodity for the entire term of the swap. | Settlement method | Physical delivery or cash. | Price | The price of the swap. For options, the strike price. | Price unit | The unit of measure applicable for the price of the swap. | Price currency | ISO code. | Buyer pay index | The published price as paid by the buyer (if applicable). For swaptions, applies to the underlying swap. | Buyer pay averaging method | The averaging method used to calculate the index of the buyer pay index. For swaptions, applies to the underlying swap. | Seller pay index | The published price as paid by the seller (if applicable). For swaptions, applies to the underlying swap. | Seller pay averaging method | The averaging method used to calculate the index of the seller pay index. For swaptions, applies to the underlying swap. | Grade | If applicable, the grade of the commodity to be delivered, | Option type | Descriptor for the type of option transaction. | Option style | Option premium | The total amount paid by the option buyer. | Hours from through | For electric power, the hours of the day for which the swap is effective. | Hours from through time zone | For electric power, the time zone prevailing for the hours during which electricity is transmitted. | Days of week | For electric power, the profile applicable for the delivery of power. | Load type | For electric power, the load profile for the delivery of power. | Clearing exception or exemption type | The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. | Indication of collateralization | Is the swap collateralized, and if so to what extent? Field values: Uncollateralized, partially collateralized, one-way collateralized, fully collateralized. | Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap | Use as many fields as required to report each such term. |
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