Appendix C to Part 39 - —Daily Reporting Data Fields

Appendix C to Part 39—XXX

Cross Reference

Link to an amendment published at

39—Daily Reporting Data Fields

A. Daily Cash Flow Reporting

Field name	Description	House & customer origin	Individual customer account
Common Fields (Daily Cash Flow Reporting)
Total Message Count	The total number of reports included in the file	M	M
FIXML Message Type	Financial Information eXchange Markup Language (FIXML) account summary report type	M	M
Sender ID	The CFTC-issued derivatives clearing organization (DCO) identifier	M	M
To ID	Indicate “CFTC”	M	M
Message Transmit Datetime	The date and time the file is transmitted	M	M
Report ID	A unique identifier assigned by the Commodity Futures Trading Commission (CFTC) to each clearing member report	M	M
Report Date	The business date of the information being reported	M	M
Base Currency	Base currency referenced throughout report; provide exchange rate against this currency	M	M
Report Time (Message Create Time)	The report “as of” or information cut-off time	M	M
DCO Identifier	CFTC-assigned identifier for a DCO	M	M
Clearing Participant Identifier	DCO-assigned identifier for a particular clearing member	M	M
Clearing Participant Name	The name of the clearing member	M	M
Fund Segregation Type	Clearing fund segregation type	M	M
Clearing Participant LEI	Legal entity identifier (LEI) for a particular clearing member per International Organization for Standardization (ISO) 17442	C	C
Clearing Participant LEI Name	The LEI name associated with the clearing member LEI	C	C
Customer Position Identifier	Proprietary identifier for a particular customer position account	C	N/A
Customer Position Name	The name associated with the customer position identifier	M	N/A
Customer Position Account Type	Type of account used for reporting	C	N/A
Customer LEI	LEI for a particular customer; provide if available	N/A	C
Customer LEI Name	The LEI name associated with the customer position LEI	N/A	C
Margin Account	Margin account identifier	M	N/A
Customer Margin Name	The name associated with the customer margin identifier	N/A	C
Unique Margin Identifier	A single field that uniquely identifies the margin account. This field is used to identify associated positions	M	M
Customer Margin Identifier	Proprietary identifier for a particular customer	N/A	M
Customer Margin Account Type	Account type indicator	N/A	M
Futures and Options (Daily Cash Flow Reporting)
Additional Margin	Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin	M	N/A
Concentration Risk	Risk factor component to capture costs associated with the liquidation of a large position	C	C
Delivery Margin	Margin collected to cover delivery risk	C	N/A
Initial Margin	Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons	M	M
Liquidity Risk	Risk component to capture bid/offer costs associated with the liquidation of a large portfolio.	C	C
Margin Calls	Any outstanding margin call that has been issued but not collected as of the end of the trade date	M	N/A
Total Margin	The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO	M	N/A
Variation Margin	Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin	M	N/A
Market Move Risk	Margin amount associated with market move risk	C	C
Margin Savings	The margin savings amount for the clearing member where there is a cross-margining agreement with another DCO	C	N/A
Collateral on Deposit	The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement	M	N/A
Option Premium	Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller	C	C
Net Option Value	The credit or debit amount based on the long or short options positions	C	C
Backdated Profit and Loss	The profit and loss (P&L) attributed to positions added that were novated on a prior date	O	N/A
Day Trading Profit and Loss	The P&L attributed to the day's trades	C	N/A
Position Profit and Loss	The P&L of the previous day's position with today's price movement	C	N/A
Total Profit and Loss	Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L)	M	N/A
Customer Margin Omnibus Parent	The margin identifier for the omnibus account associated with the customer margin identifier. (Conditional on reported customer position being part of a separately reported omnibus account position.)	N/A	C
Commodity Swaps (Daily Cash Flow Reporting)
Additional Margin	Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin	M	N/A
Initial Margin	Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons	M	M
Margin Calls	Any outstanding margin call that has been issued but not collected as of the end of the trade date	M	N/A
Total Margin	The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO	M	M
Variation Margin	Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin	M	N/A
Collateral on Deposit	The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement	M	N/A
Option Premium	Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller	C	N/A
Net Cash Flow	Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., profit/loss, price alignment interest, cash payments (fees, coupons, etc.)	C	N/A
Backdated Profit and Loss	The P&L attributed to positions added that were novated on a prior date	C	N/A
Day Trading Profit and Loss	The P&L attributed to the day's trades	C	N/A
Position Profit and Loss	The P&L of the previous day's position with today's price movement	C	N/A
Total Profit and Loss	Unrealized P&L or mark to market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L)	M	N/A
Credit Default Swaps (Daily Cash Flow Reporting)
Additional Margin	Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin	M	N/A
Concentration Risk	Risk factor component to capture costs associated with the liquidation of a large position	C	C
Initial Margin	Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons	M	M
Liquidity Risk	Risk component to capture bid/offer costs associated with the liquidation of a large portfolio.	C	C
Margin Calls	Any outstanding margin call that has been issued but not collected as of the end of the trade date	M	N/A
Total Margin	The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO	M	C
Variation Margin	Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin	M	N/A
Spread Response Risk	Risk factor component associated with credit spread level changes and credit term structure shape changes	C	C
Systemic Risk	Risk factor component to capture parallel shift of credit spreads	C	C
Curve Risk	Risk factor that captures curve shifts based on portfolio	C	C
Index Spread Risk	Risk factor component associated with risks due to widening/tightening spreads of credit default swap (CDS) indices relative to each other	C	C
Sector Risk	Risk factor component to capture sector risk	C	C
Jump to Default Risk	Risk factor component to capture most extreme up/down move of a reference entity	C	C
Basis Risk	Risk factor component to capture basis risk between index and index constituent reference entities	C	C
Interest Rate Risk	Risk factor component associated with parallel shift movements in interest rates	C	C
Jump to Health Risk	Risk factor component to capture extreme narrowing of credit spreads of a reference entity; also known as “idiosyncratic risk”	C	C
Other Risk	Any other risk factors included in the margin model	C	C
Recovery Rate Sensitivity Risk	Risk factor component to capture fluctuations of recovery rate assumptions	C	C
Wrong Way Risk	Risk that occurs when exposure to a counterparty is adversely correlated with the credit quality of that counterparty. It arises when default risk and credit exposure increase together	C	C
Collateral on Deposit	The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement	M	N/A
Option Premium	Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller	C	N/A
Initial Coupon	Amount of coupon premium amount accrued from the start of the current coupon period through the trade date. (Indicate gross pay/collect amounts.)	O	N/A
Upfront Payment	The difference in market value between the standard coupon and the market spread as well as the coupon accrued through the trade date. (Indicate gross pay/collect amounts.)	O	N/A
Trade Cash Adjustment	Additional cash amount on trades. (Indicate gross pay/collect amounts.)	C	N/A
Quarterly Coupon	Regular payment of quarterly coupon premium amounts. (Indicate gross pay/collect amounts.)	O	N/A
Credit Event Payments	Cash settlement of credit events. (Indicate gross pay/collect amounts.)	C	N/A
Accrued Coupon	Coupon obligation from the first day of the coupon period through the current clearing trade date. The sum of accrued coupon for each position in the clearing member's portfolio (by origin).	M	N/A
Final Mark to Market	Determined by marking the end-of-day position from par (100%) to the end-of-day settlement price	M	N/A
Backdated Profit and Loss	The P&L attributed to positions added that were novated on a prior date	C	N/A
Day Trading Profit and Loss	The P&L attributed to the day's trades	C	N/A
Position Profit and Loss	The P&L of the previous day's position with today's price movement	C	N/A
Total Profit and Loss	Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L)	M	N/A
Previous Accrued Coupon	Previous day's accrued coupon	M	N/A
Previous Mark to Market	Previous day's mark to market	M	N/A
Price Alignment Interest	To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid	M	N/A
Foreign Exchange (Daily Cash Flow Reporting)
Additional Margin	Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin	M	N/A
Initial Margin	Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons.	M	M
Margin Calls	Any outstanding margin call that has been issued but not collected as of the end of the trade date	M	N/A
Total Margin	The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO	M	M
Variation Margin	Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin	M	N/A
Collateral on Deposit	The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement	M	N/A
Other Payments	Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.)	M	N/A
Option Premium	Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller	C	N/A
Price Alignment Interest	To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid	M	N/A
Backdated Profit and Loss	The P&L attributed to positions added that were novated on a prior date	C	N/A
Day Trading Profit and Loss	The P&L attributed to the day's trades	C	N/A
Position Profit and Loss	The P&L of the previous day's position with today's price movement	C	N/A
Total Profit and Loss	Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L)	M	N/A
Interest Rate Swaps (Daily Cash Flow Reporting)
Additional Margin	Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin	M	N/A
Initial Margin	Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons	M	M
Margin Calls	Any outstanding margin call that has been issued but not collected as of the end of the trade date	M	N/A
Total Margin	The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO	M	M
Variation Margin	Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin	M	N/A
Cross-Margined Products Profit/Loss	P&L resulting from changes in value due to changes in the futures price. This P&L should only include changes to the cross-margined futures in the account	C	N/A
Option Premium	Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller	C	N/A
Collateral on Deposit	The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement	M	N/A
Other Payments	Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.)	C	N/A
Net Coupon Payment	Net amount of any coupon cash flows recognized on report date but actually occurring on currency's settlement convention date. (Indicate gross pay/collect amounts.)	M	N/A
Net Present Value	Net present value (NPV) of all positions by currency	M	N/A
Net Present Value Previous	Previous day's NPV by currency	M	N/A
PV of Other Payments	Includes the present value of any upfront and/or final/settlement payments that will be settled after the report date. Only include amounts that are affecting the NPV of current trades	M	N/A
Price Alignment Interest	To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid	M	N/A
Accrued Coupon	Coupon obligation from the first day of the coupon period through the current clearing trade date. The sum of accrued coupon for each position in the clearing member's portfolio (by origin)	M	N/A
Backdated Profit and Loss	The P&L attributed to positions added that were novated on a prior date	C	N/A
Day Trading Profit and Loss	The P&L attributed to the day's trades	C	N/A
Position Profit and Loss	The P&L of the previous day's position with today's price movement	C	N/A
Total Profit and Loss	Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L).	M	N/A
Equity Cross Margin (Daily Cash Flow Reporting)
Additional Margin	Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin	M	N/A
Initial Margin	Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons resulting from liquidity/concentration charges	M	M
Liquidity Risk	Risk component to capture bid/offer costs associated with the liquidation of a large portfolio	C	C
Margin Calls	Any outstanding margin call that has been issued but not collected as of the end of the trade date.	M	N/A
Total Margin	The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO	M	N/A
Variation Margin	Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin.	M	N/A
Collateral on Deposit	The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement	M	N/A
Option Premium	Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller	C	N/A
Net Option Value	The credit or debit amount based on the long or short options positions	C	C
Backdated Profit and Loss	The P&L attributed to positions added that were novated on a prior date.	C	N/A
Day Trading Profit and Loss	The P&L attributed to the day's trades	C	N/A
Position Profit and Loss	The P&L of the previous day's position with today's price movement	C	N/A
Total Profit and Loss	Unrealized P&L or mark to market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L)	M	N/A
Consolidated (Daily Cash Flow Reporting)
Additional Margin	Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin	M	N/A
Initial Margin	Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons	M	N/A
Margin Calls	Any outstanding margin call that has been issued but not collected as of the end of the trade date	M	N/A
Total Margin	The consolidated non-U.S. margin requirement for the origin. The consolidated non-U.S. margin requirement should include the initial margin requirement plus any additional margin required by the DCO	M	N/A
Variation Margin	Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin	M	N/A
Collateral on Deposit	The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement	M	N/A
Option Premium	Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller	C	N/A
Backdated Profit and Loss	The P&L attributed to positions added that were novated on a prior date	C	N/A
Day Trading Profit and Loss	The P&L attributed to the day's trades	C	N/A
Position Profit and Loss	The P&L of the previous day's position with today's price movement	C	N/A
Total Profit and Loss	Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L)	M	N/A
Exempt DCO (Daily Cash Flow Reporting)
Additional Margin	Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin	M	N/A
Initial Margin	Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons	M	N/A
Margin Calls	Any outstanding margin call that has been issued but not collected as of the end of the trade date	M	N/A
Total Margin	The U.S. person margin requirement for the origin by currency contribution. If the traded currency's swaps (i.e., JY) offset risk of other currencies, include an amount of zero for that currency. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO	M	N/A
Variation Margin	Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin	M	N/A
Collateral on Deposit	The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement	M	N/A
Mark-to-Market	Determined by marking the end of day position(s) from par (100%) to the end of day settlement price	M	N/A

M = mandatory C = conditional O = optional.

B. Daily Position Reporting

Field name	Description	Use
Common Fields (Daily Position Reporting)
Total Message Count	The total number of reports included in the file	M
FIXML Message Type	FIXML account summary report type	M
Sender ID	The CFTC-issued DCO identifier	M
To ID	Indicate “CFTC”	M
Message Transmit Datetime	The date and time the file is transmitted	M
Report ID	A unique identifier assigned by the CFTC to each clearing member report	M
Report Date	The business date of the information being reported	M
Base Currency	Base currency referenced throughout report; provide exchange rate against this currency	M
Report Time (Message Create Time)	The report “as of” or information cut-off time	M
Message Event	The event source being reported	M
Market Segment ID	Market segment associated with the position report	M
DCO Identifier	CFTC-assigned identifier for a DCO	M
Clearing Participant Identifier	DCO-assigned identifier for a particular clearing member	M
Clearing Participant Name	The name of the clearing member	M
Fund Segregation Type	Clearing fund segregation type	M
Clearing Participant LEI	LEI for a particular clearing member	C
Clearing Participant LEI Name	The LEI name associated with the clearing member LEI	C
Customer Position Identifier	Proprietary identifier for a particular customer position account	C
Customer Position Name	The name associated with the customer position identifier	M
Customer Position Account Type	Type of account used for reporting	C
Customer Position LEI	LEI for a particular customer; must be provided when available	C
Customer Position LEI Name	The LEI name associated with the Customer Position LEI	C
Customer Margin Identifier	Proprietary identifier for a particular customer	C
Customer Margin Name	The name associated with the customer margin identifier	C
Unique Margin Identifier	A single field that uniquely identifies the margin account. This field is used to identify associated positions	M
Futures and Options (Daily Position Reporting)
Settlement Price/Currency	Settlement price, prior settlement price, settlement currency, and final settlement date	M
Cross-Margin Entity	Name of the entity associated with a cross-margined account	C
Exchange Commodity Code	Contract commodity code issued by the exchange; e.g., ticker symbol, the human recognizable trading identifier	M
Clearing Commodity Code	Registered commodity clearing identifier. The code is for the contract as if it was traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used	M
Product Type	Indicates the type of product with which the security is associated	C
Security Type	Indicates type of security	M
Maturity Month Year	Month and year of the maturity	M
Maturity Date	The date on which the principal amount becomes due	C
Asset Class	The broad asset category for assessing risk exposure	M
Asset Subclass	The subcategory description of the asset class	C
Asset Type	Provides a more specific description of the asset subclass	C
Asset Subtype	Provides a more specific description of the asset type	C
Security Group (Sector)	A name assigned to a group of related instruments which may be concurrently affected by market events and actions	C
Unit Leverage Factor	The multiplier needed to convert a change of one point of the quoted index into local currency P&L for a 1-unit long position	M
Units	Unit of measure	M
Settlement Method	Method of settlement	C
Exchange Identifier (MIC)	Exchange where the instrument is traded, per ISO 10383	M
Security Description	Used to provide a textual description of a financial instrument	M
Unique Product Identifier	A single field that uniquely identifies a given product. All positions with this identifier will have the same price	M
Alternate Product Identifier—Spread Underlying Long	When a contract represents a differential between two products, the product code that represents the long position in the spread for long position in the combined contract	C
Alternate Product Identifier—Spread Underlying Short	When a contract represents a differential between two products, the product code that represents the long position in the spread for short position in the combined contract	C
Last Trading Date	The last day of trading in a futures contract	M
First Notice Date	The first date on which delivery notices are issued	C
Position (Long)	Long position size. If a position is quoted in a unit of measure (UOM) different from the contract, specify the UOM. If a position is measured in a currency, specify the currency	M
Position (Short)	Short position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency	M
Settlement FX Info	Settlement price foreign exchange conversion rate	M
Change in Settlement Price	The quoted price change between the prior trading day's settlement and today's settlement	M
Unit Currency P&L	The local currency P&L between the prior trading day's settlement and today's settlement for a 1-unit long position	M
Outright Initial Margin	Initial margin for the position as if it were a stand-alone outright position	C
Option Exercise Style	Exercise style	C
Option Strike Price	Option strike price	C
Option Put/Call Indicator	Option type	C
Underlying Settlement Price/Currency	Settlement price, prior settlement price, settlement currency, and final settlement date	C
Underlying Exchange Commodity Code	Underlying Contract code issued by the exchange	C
Underlying Clearing Commodity Code	Registered commodity clearing identifier. The code is for the contract as if it was traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used	C
Underlying Product Type	Indicates the type of product the security is associated with	C
Underlying Security Type	Indicator which identifies the underlying derivative type	C
Underlying Security Group (Sector)	A name assigned to a group of related instruments which may be concurrently affected by market events and actions	C
Underlying Maturity Month Year	Month and year of the maturity	C
Underlying Maturity Date	The date on which the principal amount becomes due	C
Underlying Asset Class	The underlying broad asset category for assessing risk exposure	C
Underlying Asset Subclass	The subcategory description of the asset class	C
Underlying Asset Type	Provides a more specific description of the asset subclass	C
Underlying Asset Subtype	Provides a more specific description of the asset type.	C
Underlying Exchange Code (MIC)	Exchange where the underlying instrument is traded	C
Underlying Security Description	Textual description of a financial instrument	C
Unique Underlying Product Code	A single field that is the result of concatenating relevant fields that create a unique product ID that is associated with a unique price	C
Primary Options Exchange Code—Implied Volatility Quote	This field identifies the main options chain for the future that provides the implied volatility quote	C
DELTA	Delta is the measure of how the option's value varies with changes in the underlying price	C
Implied Volatility	The implied volatility and quotation style for the contract, typically in natural log percent or index points	C
Customer Margin Omnibus Parent	The margin identifier for the omnibus account associated with the customer margin identifier. (Conditional on reported customer position being part of a separately reported omnibus account position)	C
Commodity Swaps (Daily Position Reporting)
Settlement Price/Currency	Settlement price, prior settlement price, settlement currency, and final settlement date	M
Exchange Commodity Code	Contract commodity code issued by the exchange; e.g., ticker symbol, the human recognizable trading identifier	M
Clearing Commodity Code	Registered commodity clearing identifier. The code is for the contract as if it was traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used	M
Product Type	Indicates the type of product with which the security is associated	C
Security Group (Sector)	A name assigned to a group of related instruments which may be concurrently affected by market events and actions	C
Unique Product Identifier	A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to 17 CFR 45.7	O
Maturity Month Year	Month and year of the maturity	M
Maturity Date	The date on which the principal amount becomes due	C
Asset Class	The broad asset category for assessing risk exposure	M
Asset Subclass	The subcategory description of the asset class	C
Asset Type	Provides a more specific description of the asset subclass	C
Unit Leverage Factor	The multiplier needed to convert a change of one point of the quoted index into local currency P&L for a 1-unit long position	C
Minimum Tick	Minimum price tick increment	C
Units	Unit of measure	M
Settlement Method	Swap settlement method	C
Exchange Identifier (MIC)	Exchange where the instrument is traded	M
Security Description	Used to provide a textual description of a financial instrument	C
Security Type	Indicates type of security	M
Position (Long)	Long position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency	M
Position (Short)	Short position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency	M
Net Cash Flow	Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., profit/loss, price alignment interest, cash payments (fees, coupons, etc.)	C
Settlement FX Info	Settlement price foreign exchange conversion rate	M
Universal (or Unique) Swap Identifier	Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character	M
Option Exercise Style	Exercise style	C
Option Put/Call Indicator	Option type	M
Option Strike Price	Option strike price	M
Underlying Settlement Price/Currency	Settlement price, prior settlement price, settlement currency, and final settlement date	M
Underlying Exchange Commodity Code	Underlying Contract code issued by the exchange	C
Underlying Clearing Commodity Code	Registered commodity clearing identifier. The code is for the contract as if it was traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used	M
Underlying Product Type	Indicates the type of product the security is associated with	C
Underlying Security Group (Sector)	A name assigned to a group of related instruments which may be concurrently affected by market events and actions	C
Underlying Maturity Month Year	Month and year of the maturity	M
Underlying Maturity Date	The date on which the principal amount becomes due	C
Underlying Asset Class	The underlying broad asset category for assessing risk exposure	M
Underlying Asset Subclass	The subcategory description of the asset class	C
Underlying Asset Type	Provides a more specific description of the asset subclass	C
Underlying Exchange Code (MIC)	Exchange where the underlying instrument is traded	M
Underlying Security Type	Indicates type of security	M
Underlying Security Description	Textual description of a financial instrument	C
DELTA	Delta is the measure of how the option's value varies with changes in the underlying price	C
Credit Default Swaps (Daily Position Reporting)
Settlement Price/Currency	Settlement price, prior settlement price, settlement currency, and final settlement date	M
Exchange Security Identifier	Contract code issued by the exchange	O
Redcode	The code assigned to the CDS by Markit that identifies the referenced entity or the index, series and version. (Underlying instrument is required for Security Type = SWAPTION.)	M
Unique Product Identifier	A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7	O
Security Type	Indicator which identifies the derivative type	M
Restructuring Type	This field is used if the index has been restructured due to a credit event	M
Seniority Type	The class of debt	M
Maturity Date	The date on which the principal amount becomes due	C
Asset Class	The broad asset category for assessing risk exposure	M
Asset Subclass	The subcategory description of the asset class	C
Asset Type	Provides a more specific description of the asset subclass	C
Reference Entity Type (Sector)	Specifies the type of reference entity for first-to-default CDS basket contracts. The Markit sector code should be provided when available	M
Coupon Rate	The coupon rate associated with this CDS transaction stated in Basis Points	M
Security Description (Reference Entity)	Name of CDS index or single-name or sovereign debt	M
Recovery Factor	The assumed recovery rate used to determine the CDS price	O
Position (Long)	Long position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency	M
Position (Short)	Short position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency	M
5 YR Equivalent Notional	The five-year equivalent notional amount for each risk factor/reference entity CDS contract	M
Accrued Coupon	Coupon obligation from the first day of the coupon period through the current clearing trade date	M
Profit and Loss	Unrealized P&L or mark to market value of position(s) including change in mark to market plus change in accrued coupon plus change in unsettled upfront fees. Does not include cash flows related to quarterly coupon payments, credit event payments, or price alignment interest	M
Credit Exposure (CS01)	The credit exposure of the swap at a given point in time. CS01 = Spread DV01 = “dollar” value of a basis point = In currency (not percentage) terms, the change in fair value of the leg, transaction, position, or portfolio (as appropriate) commensurate with a 1 basis point (0.01 percent) instantaneous, hypothetical increase in the related credit spread curves. CS01/Spread DV01 may refer to non-dollar currencies and related curves. From the DCO's point of view: positive CS01 = gain in value resulting from 1 basis point increase, negative CS01 = loss of value resulting from 1 basis point increase	C
Mark to Market	Determined by marking the end of day position(s) from par (100%) to the end of day settlement price	M
Price Value of a Basis Point (PV01)	Change in P&L of a position given a one basis point move in CDS spread value. May also be referred to as DV01, Sprd DV01	M
Previous Accrued Coupon	Previous day's accrued coupon	M
Previous Mark to Market	Previous day's mark to market	M
Universal (or Unique) Swap Identifier	Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character	O
Option Strike Price	Option strike price	C
Settlement Method	Method of settlement	C
Option Exercise Style	Exercise style	C
Option Put/Call Indicator	Option type	C
Option Type	Specifies the option type	C
Option Start Date	The option adjusted start date	C
Option Expiration Date—Adjusted	The CDS option adjusted expiration date	C
Underlying Exchange Security Identifier	The underlying contract alias used by outside vendors to uniquely identify the contract	O
Underlying Clearing Security Identifier (Red Code)	The underlying code assigned to the CDS by Markit that identifies the referenced entity or the index, series and version	C
Underlying Unique Product Identifier	A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7	O
Underlying Security Type	Indicator which identifies the underlying derivative type	C
Underlying Restructuring Type	This field is used if the underlying index has been restructured due to a credit event	C
Underlying Seniority Type	The underlying class of debt	C
Underlying Maturity Date	The date on which the principal amount becomes due	C
Underlying Asset Class	The underlying broad asset category for assessing risk exposure	C
Underlying Asset Subclass	The subcategory description of the asset class	C
Underlying Asset Type	Provides a more specific description of the asset subclass	C
Underlying Reference Entity Type (Sector)	Specifies the type of underlying reference entity for first-to-default CDS basket contracts	C
Underlying Coupon Rate	The underlying coupon rate associated with this CDS transaction stated in basis points	C
Underlying Security Description	Textual description of a financial instrument	C
Underlying Recovery Factor	The assumed recovery rate used to determine the underlying CDS price	C
DELTA	Delta is the measure of how the option's value varies with changes in the underlying price	M
GAMMA	Gamma is the rate of change for delta with respect to the underlying asset's price	M
RHO	Rho measures the sensitivity of an option's price to a variation in the risk-free interest rate	M
THETA	Theta is the rate at which an option loses value as time passes	M
VEGA	Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset	M
Option Premium	Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller	C
Option Premium Date	Date swaption premium is paid	C
Foreign Exchange (Daily Position Reporting)
Settle Date	Settle date of the position	M
Settlement Price/Fixing Currency	Settlement price of the position	M
Discount Factor	Discount factor for the position. Use the factor for the Mark to Market (MTM) currency	M
Valuation Date	Valuation date of the position	M
Delivery Date	Delivery date of the position	M
Clearing Security Identifier	Code assigned by the DCO for a particular contract	M
Unique Product Identifier	A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7	O
Security Type	Registered commodity clearing identifier. (Underlying instrument is required for Security Type = FXOPT | FXNDO.)	M
Maturity Month Year	Month and year of the maturity	C
Maturity Date (Expiration)	Specifies date of maturity (a calendar date). Used for FXFWD/FXNDF. For non-deliverable forwards (NDFs), this represents the fixing date of the contract	C
Maturity Time (Expiration)	The contract expiration time. (Used for FXFWD/FXNDF.)	C
Asset Class	The broad asset category for assessing risk exposure	M
Asset Subclass	The subcategory description of the asset class	C
Asset Type	Provides a more specific description of the asset subclass	C
Valuation Method	Specifies the type of valuation method applied	C
Security Description	Used to provide a textual description of a financial instrument	C
Foreign Exchange Type	Identifies the type of FX contract. Use Typ = 7 for direct FX (e.g., EUR/USD). Use Typ = 16 for NDFWD contracts (e.g., THB/INR settled in USD)	M
Currency One	Specifies the first or only reference currency of the trade	M
Currency Two	Specifies the second reference currency of the trade	M
Quote Basis	For foreign exchange quanto option feature	M
Fixed Rate	(FXFWD or FXNDF only). Specifies the forward FX rate alternative	C
Spot Rate	Specifies the FX spot rates the first or only reference currency of the trade	C
Forward Points	(FXFWD or FXNDF only) The interest rate differential in basis points between the base and quote currencies in a forward rate quote. May be a negative value. (The number of basis points added to or subtracted from the current spot rate of a currency pair to determine the forward rate for delivery on a specific value date.)	C
Delivery Type Indicator	Delivery type indicator	M
Position—Long	Gross long position. An affirmative zero value should be reported for the long position. (Both long and short positions are required.) For FXNDF use Typ = DLV for settlement currency	M
Position—Short	Gross short position. An affirmative zero value should be reported for the short position. (Both long and short positions are required.) For FXNDF use Typ = DLV for settlement currency	M
Final Mark to Market	Mark to market which includes the discount factor	M
Dollar Value of a Basis Point (DV01)—Long Currency	The dollar value of a one basis point change (DV01) in the yield of the underlying security and that of the hedging vehicle	M
Dollar Value of a Basis Point (DV01)—Short Currency	The dollar value of a one basis point change (DV01) in the yield of the underlying security and that of the hedging vehicle	M
Net Cash Flow	Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., profit/loss, price alignment interest, cash payments (fees, coupons, etc.)	M
Undiscounted Mark to Market	Mark to market, which does not include the discount factor	M
Price Alignment Interest	To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid	M
Universal (or Unique) Swap Identifier	Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character	M
Option Put/Call Indicator	Option type	C
Strike Rate	Option strike rate	C
Option Exercise Style	Exercise style	C
Option Cut Name	The code by which the expiry time is known in the market	C
Underlying Settlement Price/Fixing Currency	Settlement price for the position. (Underlying settlement is required for FXOPT, FXNDO.)	C
Underlying Exchange Security Code	Security code issued by the exchange; e.g., ticker symbol, the human recognizable trading identifier	C
Underlying Clearing Security Identifier	Code assigned by the DCO for the underlying contract	C
Underlying Unique Product Identifier	A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7	O
Underlying Security Type	Indicator which identifies the underlying derivative	C
Underlying Maturity Month Year	Month and year of the maturity	C
Underlying Maturity Date (Expiration)	For FXFWD/FXNDF, the date on which the principal amount becomes due. For NDFs, this represents the fixing date of the contract	C
Underlying Exchange Identifier (MIC)	Exchange where the underlying instrument is traded	C
Underlying Security Description	Textual description of a financial instrument	C
Option Long/Short Indicator	Indicates whether the option is short or long	C
Option Expiration	Adjusted option expiration date	C
Notional Long/Short	FX currency notional long or short	M
Implied Volatility	The implied volatility and quotation style for the contract, typically in natural log percent or index points	C
DELTA	Delta is the measure of how the option's value varies with changes in the underlying price	M
GAMMA	Gamma is the rate of change for delta with respect to the underlying asset's price	M
RHO	Rho measures the sensitivity of an option's price to a variation in the risk-free interest rate	M
THETA	Theta is the rate at which an option loses value as time passes	M
VEGA	Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset	M
Option Premium MTM	Premium mark to market, which includes the discount factor	C
Interest Rate Swaps (Daily Position Reporting)
Cleared Date	Date on which the trade was cleared at the DCO	M
Position Status	Position status: active, or terminated. Terminated positions should only be reported on the day of termination	M
DCO Pays Indicator	Indicate which cash flow the DCO pays	M
DCO Receives Indicator	Indicate which cash flow the DCO receives	M
Clearing Participant Pays Indicator	Indicate which cash flow the clearing member pays	M
Clearing Participant Receives Indicator	Indicate which cash flow the clearing member receives	M
Clearing Security Identifier	Code assigned by the DCO for a particular contract	M
Unique Product Identifier	A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7	O
Security Type	Registered commodity clearing identifier	M
Asset Class	The broad asset category for assessing risk exposure	M
Asset Subclass	The subcategory description of the asset class	C
Asset Type	Provides a more specific description of the asset subclass	C
Swap Class	The classification or type of swap	M
Swap Subclass	The sub-classification or notional schedule type of the swap	C
Security Description	Used to provide a textual description of a financial instrument	M
Leg Type	Identifies if the leg is fixed or floating	M
Leg Notional	Notional amount associated with leg	M
Leg Notional Currency	Currency of the leg's notional amount	M
Leg Start Date Adj Bus Day Conv	If start date falls on a weekend or holiday, value defines how to adjust actual start date	C
Leg Start Date	Leg's effective date	M
Leg Maturity Date Adj Bus Day Conv	If the maturity date falls on a weekend or holiday, value defines how to adjust actual maturity date	C
Leg Maturity Date	The date on which the leg's principal amount becomes due	M
Leg Maturity Date Adj Calendar	Regarding the maturity date, this specifies which dates are considered holidays	C
Leg Calculation Period Adjusted Business Day Convention	If a date defining the calculation period falls on a holiday, this adjusts the actual dates based on the definition of the input	C
Leg Calculation Frequency	Calculation frequency, also known as the compounding frequency for compounded swaps	M
Leg First Reg Per Start Date	If there is a beginning stub, this indicates the date when the usual payment periods will begin	C
Leg Last Reg Per End Date	If there is an ending stub, this indicates the date when the usual payment periods will end	C
Leg Roll Conv	Indicates the day of the month when the payment is made	C
Leg Calc Per Adj Calendar	Regarding the calculation period, this specifies which dates are considered holidays	C
Leg Daycount	Defines how interest is accrued/calculated	C
Leg Comp Method	If payments are made on one timeframe but calculations are made on a shorter timeframe, this describes how to compound interest	C
Leg Pay Adj Bus Day Conv	If cash flow pay or receive date falls on a weekend or holiday, value defines actual date payment is made	C
Leg Pay Frequency	Frequency at which payments are made	M
Leg Pay Relative To	Payment relative to the beginning or end of the period	C
Leg Payment Lag	Number of business days after payment due date on which the payment is actually made	C
Leg Pay Adj Calendar	Regarding dates on which cash flow payments/receipts are scheduled, this specifies which dates are considered holidays	C
Leg Reset Relative To	Specifies whether reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date	C
Leg Reset Date Adj Bus Day Conv	Business day convention to apply to each reset date if the reset date falls on a holiday	C
Leg Reset Frequency	Frequency at which resets occur. If the Leg Reset Frequency is greater than the calculation per frequency, more than 1 reset date should be established for each calculation per frequency and some form of rate averaging is applicable	C
Leg Fixing Date Bus Day Conv	Business day convention to apply to each fixing date if the fixing date falls on a holiday	C
Leg Fixing Date Offset	Specifies the fixing date relative to the reset date in terms of a business days offset	C
Leg Fixing Day Type	The type of days to use to find the fixing date (i.e., business days, calendar days, etc.)	C
Leg Reset Date Adj Calendar	Regarding reset dates, this specifies which dates are considered holidays	C
Leg Fixing Date Calendar	Regarding the fixing date, this specifies which dates are considered holidays	C
Leg Fixed Rate or Amount	Only populate if Leg1 is Type “Fixed”. This should be expressed in decimal form (e.g., 4% should be input as “.04”)	C
Leg Index	If Stream is floating rate, this gives the index applicable to the floating rate	C
Leg Index Tenor	For the floating rate leg, the tenor of the leg. For the fixed rate leg, NULL	C
Leg Spread	Describes if there is a spread (typically an add-on) applied to the coupon rate	C
Leg Pmt Sched Notional	Variable notional swap notional values	C
Leg Initial Stub Rate	The interest rate applicable to the Initial Stub Period in decimal form (e.g., 4% should be input as “.04”)	C
Leg Initial Stub Rate Index 1	Stub rate can be a linear interpolation between two floating rate tenors. E.g., if the stub period is 2 months, rate is linear interpolation of 1-month and 3-month reference rates. Specify the first index	C
Leg Initial Stub Rate Index 2 Tenor	Stub rate can be a linear interpolation between two floating rate tenors. E.g., if the stub period is 2 months, rate is linear interpolation of 1-month and 3-month reference rates. Specify the second index	C
Leg Final Stub Rate	The interest rate applicable to the final stub period in decimal form (e.g., 4% should be input as “.04”)	C
Leg Final Stub Rate Index 1	Stub rate can be a linear interpolation between two floating rate tenors. E.g., if the stub period is 2 months, rate is linear interpolation of 1-month and 3-month reference rates. Specify the first index	C
Leg Final Stub Rate Index 2 Tenor	Stub rate can be a linear interpolation between two floating rate tenors. E.g., if the stub period is 2 months, rate is linear interpolation of 1-month and 3-month reference rates. Specify the second index	C
Accrued Coupon (Interest)	Net accrued coupon amount since the last payment in the leg currency. If reported by leg, indicate the associated stream (leg) description (e.g., “FIXED/FLOAT,” “FLOAT1/FLOAT2”)	M
Profit/Loss	Profit/loss resulting from changes in value due to changes in underlying curve movements or floating index rate resets. This should exclude impacts to NPVs from extraneous cash flows (price alignment interest, fees, and coupons)	M
Leg Current Period Rate	If leg is a floating leg, this indicates the current rate used to calculate the next floating Leg coupon in decimal form (e.g., 4% should be input as “.04”)	M
Leg Coupon Payment	Coupon amount for T + 1 in the leg currency. This should reflect the net cash flow that will actually occur on the following business day. Negative number indicates that a payment was made	M
Dollar Value of Basis Point (DV01)	Change in value in USD if the relevant pricing curve is shifted up by 1 basis point. DV01 = “dollar” value of a basis point in currency (not percentage) terms, the change in fair value of the leg, transaction, position, or portfolio (as appropriate) commensurate with a 1 basis point (0.01 percent) instantaneous, hypothetical increase in the related zero-coupon curves. DV01 may refer to non-dollar currencies and related curves. From the DCO's point of view: positive DV01 = profit/gain resulting from 1 basis point increase, negative DV01 = loss resulting from 1 basis point increase	M
Net Cash Flow	Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., Profit/Loss, price alignment interest, cash payments (fees, coupons, etc.)	M
Net Present Value	Net present value (NPV) of all positions by currency	M
Present Value of Other Payments	Includes the present value of any upfront and/or final/settlement payments that will be settled after the report date. Only include amounts that are affecting the NPV of current trades	M
Net Present Value Previous	Previous day's NPV by currency	C
Price Alignment Interest	To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid	M
Other Payments	Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.)	C
Universal (or Unique) Swap Identifier	Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character	C
Leg Initial Exchange	Amount of any exchange of cash flow at initiation of trade being cleared	C
Leg Initial Exchange Date	Date that the initial exchange is set to occur	C
Leg Final Exchange	Amount of any exchange of cash flow at maturity of trade	C
Leg Final Exchange Date	Date that the final exchange is set to occur	C
Option Exercise Style	Exercise style	C
Option Type	Specifies the option type	C
Option Start Date	The option adjusted start date	C
Option Adjusted Expiration Date	The IRS swaption adjusted expiration date	C
Option Buy/Sell Indicator	Indicates the buyer or seller of a swap stream	C
Underlying Clearing Security Identifier	Code assigned by the DCO for the underlying contract	C
Underlying Unique Product Identifier	A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to 17 CFR 45.7	C
Underlying Security Type	Indicator which identifies the underlying derivative	C
Underlying Asset Class	The underlying broad asset category for assessing risk exposure	C
Underlying Asset Subclass	The subcategory description of the asset class	C
Underlying Asset Type	Provides a more specific description of the asset subclass	C
Underlying Swap Class	The classification or type of swap	C
Underlying Swap Subclass	The sub-classification or notional schedule type of the swap	C
Underlying Security Description	Textual description of a financial instrument	C
Underlying Security Leg Type	Identifies if the leg is fixed or floating	C
Underlying Security Leg Notional	Notional amount associated with leg	C
Underlying Security Leg Currency	Currency of this leg's notional amount	C
Underlying Security Leg Index	If stream is floating rate, this gives the index applicable to the floating rate	C
Underlying Security Leg Index Tenor	For the floating rate leg, the tenor of the leg. For the fixed rate leg, NULL	C
Underlying Security Leg Fixed Rate Or Amount	Only populate if Leg1 is type “Fixed”. This should be in decimal form (e.g., 4% should be input as “.04”)	C
Underlying Security Leg Spread	Indicates whether there is a spread (typically an add-on) applied to the coupon rate	C
DELTA	Delta is the measure of how the option's value varies with changes in the underlying price	M
GAMMA	Gamma is the rate of change for delta with respect to the underlying asset's price	M
RHO	Rho measures the sensitivity of an option's price to a variation in the risk-free interest rate	M
THETA	Theta is the rate at which an option loses value as time passes	M
VEGA	Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset	M
Option Premium	Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller	C
Option Premium Date	Date option premium is paid	C
Trade Date	Date a transaction was originally executed, resulting in the generation of a new USI. For clearing swaps, the date when the DCO accepts the original swap	M
Event Description	Description for each position record	C
Forward Rate Agreements (Daily Position Reporting)
Previous Business Date	Previous business date	M
Position Status	Position status: active or terminated. Terminated positions should only be reported on the day of termination	M
DCO Pays Indicator	Indicates which cash flow the DCO pays	M
DCO Receives Indicator	Indicates which cash flow the DCO receives	M
Clearing Participant Pays Indicator	Indicates which cash flow the clearing member pays	M
Clearing Participant Receives Indicator	Indicates which cash flow the clearing member receives	M
Clearing Security Identifier	Code assigned by the DCO for a particular contract	M
Unique Product Identifier	A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to 17 CFR 45.7	O
Security Type	Registered commodity clearing identifier	M
Asset Class	The broad asset category for assessing risk exposure	M
Asset Subclass	The subcategory description of the asset class	C
Asset Type	Provides a more specific description of the asset subclass	C
FRA Type	Type of swap stream	M
Notional Amount	Stream notional amount	M
Notional Currency	Currency of leg notional amount	M
Start Date	Date the position was established	M
Maturity Date	The date on which the principal amount becomes due	M
Payment Day Count Convention	Defines how interest is accrued/calculated	M
Payment Accrual Days	Number of accrual days between the effective date and maturity date	M
First Payment Date	Date on which the payment is made. Always report the adjusted date	C
Reset Date Bus Day Convention	Business day convention to apply to each fixing date if the fixing date falls on a holiday	M
Reset Date Fixing Date	Date on which the payment is fixed. Always report the adjusted date	M
Fixed Rate	The fixed amount in decimal terms	M
Float Index	The index for the floating portion of the Forward Rate Agreement (FRA)	M
Float First Tenor	First tenor associated with the index	M
Float Second Tenor	Second tenor associated with the index	C
Float Spread	In basis point terms	M
Float Reference Rate	The fixed floating rate in decimal terms	M
PV01	Change in value in native currency if the relevant pricing curve is shifted up by 1 basis point	M
Dollar Value of Basis Point (DV01)	Change in value in USD if the relevant pricing curve is shifted up by 1 basis point. DV01 = “dollar” value of a basis point in currency (not percentage) terms, the change in fair value of the leg, transaction, position, or portfolio (as appropriate) commensurate with a 1 basis point (0.01 percent) instantaneous, hypothetical increase in the related zero-coupon curves. DV01 may refer to non-dollar currencies and related curves. From the DCO's point of view: positive DV01 = profit/gain resulting from 1 basis point increase, negative DV01 = loss resulting from 1 basis point increase	M
Net Present Value	Net present value (NPV) of all positions by currency	M
Settlement FX Info	Settlement price foreign exchange conversion rate	M
Net Present Value Previous	Previous day's NPV by currency	M
Price Alignment Interest	To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid	M
Universal (or Unique) Swap Identifier	Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character	C
Settlement Amount	The amount paid/received on the Payment Date. Always report adjusted date. (The position pays on a negative amount.)	M
Other Payments	Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.)	C
Net Cash Flow	Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., profit/loss, price alignment interest, cash payments (fees, coupons, etc.)	C
Profit/Loss	Profit/Loss resulting from changes in value due to changes in underlying curve movements or floating index rate resets. Should exclude impacts to NPVs from extraneous cash flows (price alignment interest, fees, and coupons)	C
Present Value of Other Payments	Includes the present value of any upfront and/or final/settlement payments that will be settled after the report date. Only include amounts that are affecting the NPV of current trades	C
Trade Date	Actual trade date for each position record (including specifically, the cleared date and the trade date)	M
Event Description	Description for each position record	C
Inflation Index Swaps (Daily Position Reporting)
Cleared Date	Date on which the trade was cleared at the DCO	M
Position Status	Position's status: active or terminated. Terminated positions should only be reported on the day of termination	M
DCO Pays Indicator	Indicate which cash flow the DCO pays	M
DCO Receives Indicator	Indicate which cash flow the DCO receives	M
Clearing Participant Pays Indicator	Indicate which cash flow the clearing member pays	M
Clearing Participant Receives Indicator	Indicate which cash flow the clearing member receives	M
Clearing Security Identifier	Code assigned by the DCO for a particular contract	M
Unique Product Identifier	A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to 17 CFR 45.7	O
Security Type	Registered commodity clearing identifier	M
Asset Class	The broad asset category for assessing risk exposure	M
Asset Subclass	The subcategory description of the asset class	C
Asset Type	Provides a more specific description of the asset subclass	C
Swap Class	The classification or type of swap	M
Swap Subclass	The sub-classification or notional schedule type of the swap	C
Security Description	Used to provide a textual description of a financial instrument	M
Leg Type	Identifies if the leg is fixed or floating	M
Leg Notional	Notional amount associated with leg	M
Leg Notional Currency	Currency of the leg's notional amount	M
Leg Start Date Adj Bus Day Conv	If start date falls on a weekend or holiday, value defines how to adjust actual start date	C
Leg Start Date	Leg's effective date	M
Leg Maturity Date Adj Bus Day Conv	If the maturity date falls on a weekend or holiday, value defines how to adjust actual maturity date	C
Leg Maturity Date	The date on which the leg's principal amount becomes due	M
Leg Maturity Date Adj Calendar	Regarding the maturity date, this specifies which dates are considered holidays	C
Leg Calc Per Adj Bus Day Conv	If a date defining the calculation period falls on a holiday, this adjusts the actual dates based on the definition of the input	C
Leg Calc Frequency	Calculation frequency, also known as the compounding frequency for compounded swaps	M
Leg Roll Conv	Describes the day of the month when the payment is made	C
Leg Calc Per Adj Calendar	Regarding the calculation period, this specifies which dates are considered holidays	C
Leg Stream Daycount	Defines how interest is accrued/calculated	M
Payment Stream Comp Method	If payments are made on one timeframe but calculations are made on a shorter timeframe, this describes how to compound interest	C
Payment Stream Business Day Conv	If cash flow pay or receive date falls on a weekend or holiday, value defines actual date payment is made	C
Payment Stream Frequency	Frequency at which payments are made	M
Payment Stream Relative To	Specifies the anchor date when the payment date is relative to that date	C
Payment Stream First Date	The unadjusted first payment date	C
Payment Stream Last Regular Date	The unadjusted last regular payment date	C
Payment Leg Calendar	Regarding dates on which cash flow payments/receipts are scheduled, this specifies which dates are considered holidays	C
Leg Reset Date Bus Day Conv	Business day convention to apply to each reset date if the reset date falls on a holiday	C
Leg Reset Date Relative To	Specifies the anchor date when reset date is relative to that date	C
Leg Reset Frequency	Frequency at which resets occur. If the Leg Reset Frequency is greater than the calculation per frequency, more than 1 reset date should be established for each calculation per frequency and some form of rate averaging is applicable	C
Leg Reset Fixing Date Offset	Specifies the fixing date relative to the reset date in terms of a business days offset	C
Leg Fixing Day Type	The type of days to use to find the fixing date (i.e., business days, calendar days, etc.)	C
Leg Reset Date Calendar	Regarding reset dates, this specifies which dates are considered holidays	C
Leg Fixing Date Bus Day Conv	Business day convention to apply to each fixing date if the fixing date falls on a holiday	C
Leg Fixing Date Calendar	Regarding the fixing date, this specifies which dates are considered holidays	C
Fixed Leg Rate or Amount	Only populate if Leg1 is Type “Fixed”. This should be expressed in decimal form (e.g., 4% should be input as .04)	C
Floating Leg Inflation Index	If leg is floating rate, this gives the index applicable to the floating rate	C
Floating Leg Spread	Describes if there is a spread (typically an add-on) applied to the coupon rate	C
Floating Leg Payment Inflation Lag	Number of business days after payment due date on which the payment is actually made	C
Floating Leg Payment Inflation Interpolation Method	The method used when calculating the inflation index level from multiple points. The most common is the linear method	C
Floating Leg Inflation Index Initial Level	Initial known index level for the first calculation period	C
Floating Leg Inflation Index Fallback Bond Ind	Indicates whether a fallback bond as defined in the 2006 International Swaps and Derivatives Association (ISDA) Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is “Y” (True/Yes)	O
Leg Pmt Sched Notional	Variable notional swap notional values	C
Leg Stub Type	Stubs apply to initial or ending periods that are shorter than the usual interval between payments	C
Leg Initial Stub Fixed Rate	The interest rate applicable to the Initial Stub Period in decimal form (e.g., 4% should be input as “.04”)	C
Leg Final Stub Fixed Rate	The interest rate applicable to the final stub period in decimal form (e.g., 4% should be input as “.04”)	C
Leg Initial Stub Floating Rate Index 1 Tenor	Stub rate can be a linear interpolation between two floating rate tenors. E.g., if the stub period is 2 months, rate is linear interpolation of 1-month and 3-month reference rates. Specify the first index	C
Leg Initial Stub Floating Rate Index 2 Tenor	Stub rate can be a linear interpolation between two floating rate tenors. E.g., if the stub period is 2 months, rate is linear interpolation of 1-month and 3-month reference rates. Specify the second index	C
Leg Final Stub Floating Rate Index 1 Tenor	Stub rate can be a linear interpolation between two floating rate tenors. E.g., if the stub period is 2 months, rate is linear interpolation of 1-month and 3-month reference rates. Specify the first index	C
Leg Final Stub Rate Floating Index 2 Tenor	Stub rate can be a linear interpolation between two floating rate tenors. E.g., if the stub period is 2 months, rate is linear interpolation of 1-month and 3-month reference rates. Specify the second index	C
Leg First Reg Per Start Date	If there is a beginning stub, this describes the date when the usual payment periods will begin	C
Leg Last Reg Per End Date	If there is an ending stub, this describes the date when the usual payment periods will end	C
Leg Accrued Interest (Coupon)	The net accrued coupon amount since the last payment in the leg currency. If reported by leg, indicate the associated stream (leg) description (e.g., “FIXED/FLOAT,” “FLOAT1/FLOAT2”)	M
Profit/Loss	Profit/Loss resulting from changes in value due to changes in underlying curve movements or floating index rate resets. This should exclude impacts to NPVs from extraneous cash flows (price alignment interest, fees, and coupons)	M
Leg Coupon Amount	Coupon amount for T + 1 in the leg currency. This should reflect the net cash flow that will actually occur on the following business day. A negative number indicates payment was made	M
Leg Current Period Coupon Rate	If leg is a floating leg, this indicates the current rate used to calculate the next floating leg coupon in decimal form (e.g., 4% should be input as “.04”)	M
I01	Change in value in native currency if the relevant pricing curve is shifted up by 1 basis point	M
Dollar Value of Basis Point (DV01)	Change in value in native currency of the swap/swaption/floor/cap if relevant pricing curve is shifted up by 1 basis point. DV01 = “dollar” value of a basis point in currency (not percentage) terms, the change in fair value of the leg, transaction, position, or portfolio (as appropriate) commensurate with a 1 basis point (0.01 percent) instantaneous, hypothetical increase in the related zero-coupon curves. DV01 may refer to non-dollar currencies and related curves. From the DCO's point of view: positive DV01 = profit/gain resulting from 1 basis point increase, negative DV01 = loss resulting from 1 basis point increase	M
Net Cash Flow	Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., profit/loss, price alignment interest, cash payments (fees, coupons, etc.)	M
Net Present Value	Net present value (NPV) of all positions by currency	M
Present Value Of Other Payments	Includes the present value of any upfront and/or final/settlement payments that will be settled after the report date. Only include amounts that are affecting the NPV of current trades	M
Net Present Value Previous	Previous day's NPV by currency	C
Price Alignment Interest	To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid	M
Universal or Unique) Swap Identifier	Universal (or Unique) Swap Identifier (USI) namespace and USI. Enter the USI Namespace and the USI separated by a pipe “|” character.	C
Stream Initial Exchange	Amount of any exchange of cash flow at initiation of trade being cleared	C
Stream Initial Exchange Date	Date that the initial exchange is set to occur	C
Stream Final Exchange	Amount of any exchange of cash flow at maturity of trade	C
Stream Final Exchange Date	Date that the final exchange is set to occur	C
Other Payments	Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.)	C
Trade Date	Actual trade date for each position record (including specifically, the cleared date and the trade date)	M
Event Description	Description for each position record	C
Equity Cross Margin (Daily Position Reporting)
Exchange Security Identifier	Contract code issued by the exchange	M
Clearing Security Identifier	Code assigned by the DCO for a particular contract	M
Product Type	Indicates the type of product the security is associated with	C
Security Type	Indicates type of security	M
Maturity Month Year	Month and year of the maturity	M
Maturity Date	The date on which the principal amount becomes due. For NDFs, this represents the fixing date of the contract	C
Asset Class	The broad asset category for assessing risk exposure	M
Asset Subclass	The subcategory description of the asset class	C
Asset Type	Provides a more specific description of the asset subclass	C
Security Description	Used to provide a textual description of a financial instrument	M
Position (Long)	Long position size. If a position is quoted in a unit of measure (UOM) different from the contract, specify the UOM. If a position is measured in a currency, specify the currency	M
Position (Short)	Short position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency	M
Settlement Price/Currency	Settlement price, prior settlement price, settlement currency, and final settlement date	M
Option Strike Price	Option strike price	C
Option Put/Call Indicator	Option type	C
Underlying Exchange Commodity Code	Underlying Contract code issued by the exchange	C
Underlying Clearing Commodity Code	Registered commodity clearing identifier. The code is for the contract as if it were traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used	C
Underlying Product Type	Indicates the type of product the security is associated with	C
Underlying Security Type	Indicator which identifies the underlying derivative	C
Underlying Maturity Month Year	Month and year of the maturity	C
Underlying Maturity Date	The date on which the principal amount becomes due	C
Underlying Asset Class	The underlying broad asset category for assessing risk exposure	C
Underlying Asset Subclass	The subcategory description of the asset class	C
Underlying Asset Type	Provides a more specific description of the asset subclass	C
Underlying Settlement Price/Currency	Settlement price, prior settlement price, settlement currency, and final settlement date	C

M = mandatory C = conditional O = optional.

C. Risk Metric Ladder Reporting

Field name	Description	Use
Common Fields (Risk Metric Ladder Reporting)
Total Message Count	The total number of reports included in the file	M
FIXML Message Type	FIXML account summary report type	M
Sender ID	The CFTC-issued DCO identifier	M
To ID	Indicate “CFTC”	M
Message Transmit Datetime	The date and time the file is transmitted	M
Report ID	A unique identifier assigned by the CFTC to each clearing member report	M
Report Date	The business date of the information being reported	M
Base Currency	Base currency referenced throughout report; provide exchange rate against this currency	M
Report Time (Message Create Time)	The report “as of” or information cut-off time	M
Message Event	The event source being reported	M
Ladder Indicator	Indicator that identifies the type of risk metric ladder	M
DCO Identifier	CFTC-assigned identifier for a DCO	M
Clearing Participant Identifier	DCO-assigned identifier for a particular clearing member	M
Clearing Participant Name	The name of the clearing member	M
Fund Segregation Type	Clearing fund segregation type	M
Clearing Participant LEI	LEI for a particular clearing member	M
Clearing Participant LEI Name	The LEI name associated with the clearing member LEI	M
Customer Identifier	Proprietary identifier for a particular customer position account	C
Customer Name	The name associated with the customer position identifier	C
Customer Account Type	Type of account used for reporting	C
Customer LEI	LEI for a particular customer; provide if available	C
Customer LEI Name	The LEI name associated with the customer position LEI	C
Unique Margin Identifier	A single field that uniquely identifies the margin account. This field us used to identify associated positions	C
Delta Ladder (Daily Reporting)
Currency	ISO 4217 currency code	M
FX Rate	Rate used to convert the currency to USD	M
Curve Name	Name of the reference curve	M
Tenor	Number of days from the report date	M
Sensitivity	Theoretical profit and loss with a single upward basis point shift	M
Gamma Ladder (Daily Reporting)
Currency	ISO 4217 currency code	M
FX Rate	Rate used to convert the currency to USD	M
Curve Name	Name of the reference curve	M
Tenor	Number of days from the report date	M
Sensitivity	Theoretical profit and loss with a single upward basis point shift	M
Vega Ladder (Daily Reporting)
Currency	ISO 4217 currency code	M
FX Rate	Rate used to convert the currency to USD	M
Curve Name	Name of the reference curve	M
Tenor	Number of days from the report date	M
Sensitivity	Theoretical profit and loss with a single upward basis point shift	M

M = mandatory C = conditional O = optional.

D. Curve Reference Reporting

Field name	Description	Use
Common Fields (Curve Reference Reporting)
Total Message Count	The total number of reports included in the file	M
FIXML Message Type	FIXML account summary report type	M
Sender ID	The CFTC-issued DCO identifier	M
To ID	Indicate “CFTC”	M
Message Transmit Datetime	The date and time the file is transmitted	M
Report ID	A unique identifier assigned by the CFTC to each clearing member report	M
Report Date	The business date of the information being reported	M
Base Currency	Base currency referenced throughout report; provide exchange rate against this currency	M
Report Time (Message Create Time)	The report “as of” or information cut-off time	M
Message Event	The event source being reported	M
DCO Identifier	CFTC-assigned identifier for a DCO	M
Currency Curve (Daily Reporting)
Curve	Reference curve name	M
Currency	ISO 4217 currency code	M
Maturity Date	The date on which the principal amount becomes due	M
Par Rate	Rate such that the maturity will pay in order to sell at par today	M
Zero Rate Curve (Daily Reporting)
Currency	ISO 4217 currency code	M
Curve	Reference curve name	M
Maturity Date	The date on which the principal amount becomes due	M
Offset	The difference in days between the maturity date and reporting date	M
Accrual Factor	The difference in years between the maturity date and reporting date	M
Discount Factor	Value used to compute the present value of future cash flows values	M
Zero Rate	Averages of the one-period forward rates up to their maturity	M

M = mandatory C = conditional O = optional.

E. Backtesting Reporting

Field name	Description	Use
Common Fields (Backtesting Reporting)
Total Message Count	The total number of reports included in the file	M
FIXML Message Type	FIXML account summary report type	M
Sender ID	The CFTC-issued DCO identifier	M
To ID	Indicate “CFTC”	M
Message Transmit Datetime	The date and time the file is transmitted	M
Report ID	A unique identifier assigned by the CFTC to each clearing member report	M
Report Date	The business date of the information being reported	M
Base Currency	Base currency referenced throughout report; provide exchange rate against this currency	M
Report Time (Message Create Time)	The report “as of” or information cut-off time	M
Message Event	The event source being reported	M
Breach Indicator	Indicates the breach file	M
DCO Identifier	CFTC-assigned identifier for a DCO	M
Clearing Participant Identifier	DCO-assigned identifier for a particular clearing member	M
Clearing Participant Name	The name of the clearing member	M
Fund Segregation Type	Clearing fund segregation type	M
Clearing Participant LEI	LEI for a particular clearing member	M
Clearing Participant LEI Name	The LEI name associated with the clearing member LEI	M
Customer Identifier	Proprietary identifier for a particular customer position account	C
Customer Name	The name associated with the customer position identifier	C
Customer Account Type	Type of account used for reporting	C
Customer LEI	LEI for a particular customer; provide if available	C
Customer LEI Name	The LEI name associated with the customer position LEI	C
Unique Margin Identifier	A single field that uniquely identifies the margin account. This field us used to identify associated positions	C
Breach Details (Daily Reporting)
Initial Margin	Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons	M
Backtesting Metric	Indicates the type of profit and loss calculation used for backtesting: • VM—Variation Margin • STATIC—Static Portfolio P/L (Clean P/L) • DIRTY—Dirty P/L • MTMA—Mark to Market P/L • MTMO—Mark to Model P/L • OTHER	M
Backtesting Metric Amount	Amount on the positions for which Initial Margin is computed	M
Breach Amount	Difference between the Initial Margin and Backtesting Metric Amount	M
Margin Period of Risk	Holding period for which the Backtesting Metric is calculated in days	M
Breach Summary (Daily Reporting)
Total Instance	Total number of testing dates for the account	M
Number of Breaches	Total number of breaches in the testing period	M
Test Range Start	Beginning date of the test	M
Test Range End	End date of the test	M

M = mandatory C = conditional O = optional.

F. Manifest Reporting

Field name	Description	Use
Manifest Reporting
Total Message Count	The total number of reports included in the file	M
FIXML Message Type	FIXML account summary report type	M
Sender ID	The CFTC-issued DCO identifier	M
To ID	Indicate “CFTC”	M
Message Transmit Datetime	The date and time the file is transmitted	M
Filenames	List of files to be sent	M

M = mandatory C = conditional O = optional.

[88 FR 53684, Aug. 8, 2023

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