{"data":{"id":"us/17-cfr-appendix-c-to-part-39","jurisdiction":"us","citation":"17 CFR Appendix C to Part 39","heading":"Appendix C to Part 39—Daily Reporting Data Fields","body":"A. Daily Cash Flow Reporting\nField name Description House \u0026 customer origin Individual customer account\nCommon Fields (Daily Cash Flow Reporting)\nTotal Message Count The total number of reports included in the file M M\nFIXML Message Type Financial Information eXchange Markup Language (FIXML) account summary report type M M\nSender ID The CFTC-issued derivatives clearing organization (DCO) identifier M M\nTo ID Indicate “CFTC” M M\nMessage Transmit Datetime The date and time the file is transmitted M M\nReport ID A unique identifier assigned by the Commodity Futures Trading Commission (CFTC) to each clearing member report M M\nReport Date The business date of the information being reported M M\nBase Currency Base currency referenced throughout report; provide exchange rate against this currency M M\nReport Time (Message Create Time) The report “as of” or information cut-off time M M\nDCO Identifier CFTC-assigned identifier for a DCO M M\nClearing Participant Identifier DCO-assigned identifier for a particular clearing member M M\nClearing Participant Name The name of the clearing member M M\nFund Segregation Type Clearing fund segregation type M M\nClearing Participant LEI Legal entity identifier (LEI) for a particular clearing member per International Organization for Standardization (ISO) 17442 C C\nClearing Participant LEI Name The LEI name associated with the clearing member LEI C C\nCustomer Position Identifier Proprietary identifier for a particular customer position account C N/A\nCustomer Position Name The name associated with the customer position identifier M N/A\nCustomer Position Account Type Type of account used for reporting C N/A\nCustomer LEI LEI for a particular customer; provide if available N/A C\nCustomer LEI Name The LEI name associated with the customer position LEI N/A C\nMargin Account Margin account identifier M N/A\nCustomer Margin Name The name associated with the customer margin identifier N/A C\nUnique Margin Identifier A single field that uniquely identifies the margin account. This field is used to identify associated positions M M\nCustomer Margin Identifier Proprietary identifier for a particular customer N/A M\nCustomer Margin Account Type Account type indicator N/A M\nFutures and Options (Daily Cash Flow Reporting)\nAdditional 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\nConcentration Risk Risk factor component to capture costs associated with the liquidation of a large position C C\nDelivery Margin Margin collected to cover delivery risk C N/A\nInitial 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\nLiquidity Risk Risk component to capture bid/offer costs associated with the liquidation of a large portfolio. C C\nMargin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A\nTotal 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\nVariation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A\nMarket Move Risk Margin amount associated with market move risk C C\nMargin Savings The margin savings amount for the clearing member where there is a cross-margining agreement with another DCO C N/A\nCollateral 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\nOption Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C C\nNet Option Value The credit or debit amount based on the long or short options positions C C\nBackdated Profit and Loss The profit and loss (P\u0026L) attributed to positions added that were novated on a prior date O N/A\nDay Trading Profit and Loss The P\u0026L attributed to the day's trades C N/A\nPosition Profit and Loss The P\u0026L of the previous day's position with today's price movement C N/A\nTotal Profit and Loss Unrealized P\u0026L or mark-to-market value of position(s) including change in mark to market (Total P\u0026L = Position P\u0026L + Day Trading P\u0026L + Backdated P\u0026L) M N/A\nCustomer 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\nCommodity Swaps (Daily Cash Flow Reporting)\nAdditional 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\nInitial 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\nMargin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A\nTotal 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\nVariation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A\nCollateral 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\nOption Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A\nNet 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\nBackdated Profit and Loss The P\u0026L attributed to positions added that were novated on a prior date C N/A\nDay Trading Profit and Loss The P\u0026L attributed to the day's trades C N/A\nPosition Profit and Loss The P\u0026L of the previous day's position with today's price movement C N/A\nTotal Profit and Loss Unrealized P\u0026L or mark to market value of position(s) including change in mark to market (Total P\u0026L = Position P\u0026L + Day Trading P\u0026L + Backdated P\u0026L) M N/A\nCredit Default Swaps (Daily Cash Flow Reporting)\nAdditional 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\nConcentration Risk Risk factor component to capture costs associated with the liquidation of a large position C C\nInitial 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\nLiquidity Risk Risk component to capture bid/offer costs associated with the liquidation of a large portfolio. C C\nMargin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A\nTotal 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\nVariation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A\nSpread Response Risk Risk factor component associated with credit spread level changes and credit term structure shape changes C C\nSystemic Risk Risk factor component to capture parallel shift of credit spreads C C\nCurve Risk Risk factor that captures curve shifts based on portfolio C C\nIndex 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\nSector Risk Risk factor component to capture sector risk C C\nJump to Default Risk Risk factor component to capture most extreme up/down move of a reference entity C C\nBasis Risk Risk factor component to capture basis risk between index and index constituent reference entities C C\nInterest Rate Risk Risk factor component associated with parallel shift movements in interest rates C C\nJump to Health Risk Risk factor component to capture extreme narrowing of credit spreads of a reference entity; also known as “idiosyncratic risk” C C\nOther Risk Any other risk factors included in the margin model C C\nRecovery Rate Sensitivity Risk Risk factor component to capture fluctuations of recovery rate assumptions C C\nWrong 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\nCollateral 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\nOption Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A\nInitial 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\nUpfront 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\nTrade Cash Adjustment Additional cash amount on trades. (Indicate gross pay/collect amounts.) C N/A\nQuarterly Coupon Regular payment of quarterly coupon premium amounts. (Indicate gross pay/collect amounts.) O N/A\nCredit Event Payments Cash settlement of credit events. (Indicate gross pay/collect amounts.) C N/A\nAccrued 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\nFinal Mark to Market Determined by marking the end-of-day position from par (100%) to the end-of-day settlement price M N/A\nBackdated Profit and Loss The P\u0026L attributed to positions added that were novated on a prior date C N/A\nDay Trading Profit and Loss The P\u0026L attributed to the day's trades C N/A\nPosition Profit and Loss The P\u0026L of the previous day's position with today's price movement C N/A\nTotal Profit and Loss Unrealized P\u0026L or mark-to-market value of position(s) including change in mark to market (Total P\u0026L = Position P\u0026L + Day Trading P\u0026L + Backdated P\u0026L) M N/A\nPrevious Accrued Coupon Previous day's accrued coupon M N/A\nPrevious Mark to Market Previous day's mark to market M N/A\nPrice 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\nForeign Exchange (Daily Cash Flow Reporting)\nAdditional 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\nInitial 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\nMargin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A\nTotal 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\nVariation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A\nCollateral 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\nOther Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) M N/A\nOption Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A\nPrice 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\nBackdated Profit and Loss The P\u0026L attributed to positions added that were novated on a prior date C N/A\nDay Trading Profit and Loss The P\u0026L attributed to the day's trades C N/A\nPosition Profit and Loss The P\u0026L of the previous day's position with today's price movement C N/A\nTotal Profit and Loss Unrealized P\u0026L or mark-to-market value of position(s) including change in mark to market (Total P\u0026L = Position P\u0026L + Day Trading P\u0026L + Backdated P\u0026L) M N/A\nInterest Rate Swaps (Daily Cash Flow Reporting)\nAdditional 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\nInitial 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\nMargin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A\nTotal 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\nVariation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A\nCross-Margined Products Profit/Loss P\u0026L resulting from changes in value due to changes in the futures price. This P\u0026L should only include changes to the cross-margined futures in the account C N/A\nOption Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A\nCollateral 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\nOther Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) C N/A\nNet 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\nNet Present Value Net present value (NPV) of all positions by currency M N/A\nNet Present Value Previous Previous day's NPV by currency M N/A\nPV 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\nPrice 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\nAccrued 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\nBackdated Profit and Loss The P\u0026L attributed to positions added that were novated on a prior date C N/A\nDay Trading Profit and Loss The P\u0026L attributed to the day's trades C N/A\nPosition Profit and Loss The P\u0026L of the previous day's position with today's price movement C N/A\nTotal Profit and Loss Unrealized P\u0026L or mark-to-market value of position(s) including change in mark to market (Total P\u0026L = Position P\u0026L + Day Trading P\u0026L + Backdated P\u0026L). M N/A\nEquity Cross Margin (Daily Cash Flow Reporting)\nAdditional 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\nInitial 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\nLiquidity Risk Risk component to capture bid/offer costs associated with the liquidation of a large portfolio C C\nMargin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date. M N/A\nTotal 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\nVariation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin. M N/A\nCollateral 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\nOption Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A\nNet Option Value The credit or debit amount based on the long or short options positions C C\nBackdated Profit and Loss The P\u0026L attributed to positions added that were novated on a prior date. C N/A\nDay Trading Profit and Loss The P\u0026L attributed to the day's trades C N/A\nPosition Profit and Loss The P\u0026L of the previous day's position with today's price movement C N/A\nTotal Profit and Loss Unrealized P\u0026L or mark to market value of position(s) including change in mark to market (Total P\u0026L = Position P\u0026L + Day Trading P\u0026L + Backdated P\u0026L) M N/A\nConsolidated (Daily Cash Flow Reporting)\nAdditional 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\nInitial 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\nMargin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A\nTotal 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\nVariation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A\nCollateral 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\nOption Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A\nBackdated Profit and Loss The P\u0026L attributed to positions added that were novated on a prior date C N/A\nDay Trading Profit and Loss The P\u0026L attributed to the day's trades C N/A\nPosition Profit and Loss The P\u0026L of the previous day's position with today's price movement C N/A\nTotal Profit and Loss Unrealized P\u0026L or mark-to-market value of position(s) including change in mark to market (Total P\u0026L = Position P\u0026L + Day Trading P\u0026L + Backdated P\u0026L) M N/A\nExempt DCO (Daily Cash Flow Reporting)\nAdditional 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\nInitial 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\nMargin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A\nTotal 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\nVariation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A\nCollateral 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\nMark-to-Market Determined by marking the end of day position(s) from par (100%) to the end of day settlement price M N/A\nM = mandatory C = conditional O = optional.\nB. Daily Position Reporting\nField name Description Use\nCommon Fields (Daily Position Reporting)\nTotal Message Count The total number of reports included in the file M\nFIXML Message Type FIXML account summary report type M\nSender ID The CFTC-issued DCO identifier M\nTo ID Indicate “CFTC” M\nMessage Transmit Datetime The date and time the file is transmitted M\nReport ID A unique identifier assigned by the CFTC to each clearing member report M\nReport Date The business date of the information being reported M\nBase Currency Base currency referenced throughout report; provide exchange rate against this currency M\nReport Time (Message Create Time) The report “as of” or information cut-off time M\nMessage Event The event source being reported M\nMarket Segment ID Market segment associated with the position report M\nDCO Identifier CFTC-assigned identifier for a DCO M\nClearing Participant Identifier DCO-assigned identifier for a particular clearing member M\nClearing Participant Name The name of the clearing member M\nFund Segregation Type Clearing fund segregation type M\nClearing Participant LEI LEI for a particular clearing member C\nClearing Participant LEI Name The LEI name associated with the clearing member LEI C\nCustomer Position Identifier Proprietary identifier for a particular customer position account C\nCustomer Position Name The name associated with the customer position identifier M\nCustomer Position Account Type Type of account used for reporting C\nCustomer Position LEI LEI for a particular customer; must be provided when available C\nCustomer Position LEI Name The LEI name associated with the Customer Position LEI C\nCustomer Margin Identifier Proprietary identifier for a particular customer C\nCustomer Margin Name The name associated with the customer margin identifier C\nUnique Margin Identifier A single field that uniquely identifies the margin account. This field is used to identify associated positions M\nFutures and Options (Daily Position Reporting)\nSettlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M\nCross-Margin Entity Name of the entity associated with a cross-margined account C\nExchange Commodity Code Contract commodity code issued by the exchange; e.g., ticker symbol, the human recognizable trading identifier M\nClearing 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\nProduct Type Indicates the type of product with which the security is associated C\nSecurity Type Indicates type of security M\nMaturity Month Year Month and year of the maturity M\nMaturity Date The date on which the principal amount becomes due C\nAsset Class The broad asset category for assessing risk exposure M\nAsset Subclass The subcategory description of the asset class C\nAsset Type Provides a more specific description of the asset subclass C\nAsset Subtype Provides a more specific description of the asset type C\nSecurity Group (Sector) A name assigned to a group of related instruments which may be concurrently affected by market events and actions C\nUnit Leverage Factor The multiplier needed to convert a change of one point of the quoted index into local currency P\u0026L for a 1-unit long position M\nUnits Unit of measure M\nSettlement Method Method of settlement C\nExchange Identifier (MIC) Exchange where the instrument is traded, per ISO 10383 M\nSecurity Description Used to provide a textual description of a financial instrument M\nUnique Product Identifier A single field that uniquely identifies a given product. All positions with this identifier will have the same price M\nAlternate 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\nAlternate 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\nLast Trading Date The last day of trading in a futures contract M\nFirst Notice Date The first date on which delivery notices are issued C\nPosition (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\nPosition (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\nSettlement FX Info Settlement price foreign exchange conversion rate M\nChange in Settlement Price The quoted price change between the prior trading day's settlement and today's settlement M\nUnit Currency P\u0026L The local currency P\u0026L between the prior trading day's settlement and today's settlement for a 1-unit long position M\nOutright Initial Margin Initial margin for the position as if it were a stand-alone outright position C\nOption Exercise Style Exercise style C\nOption Strike Price Option strike price C\nOption Put/Call Indicator Option type C\nUnderlying Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date C\nUnderlying Exchange Commodity Code Underlying Contract code issued by the exchange C\nUnderlying 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\nUnderlying Product Type Indicates the type of product the security is associated with C\nUnderlying Security Type Indicator which identifies the underlying derivative type C\nUnderlying Security Group (Sector) A name assigned to a group of related instruments which may be concurrently affected by market events and actions C\nUnderlying Maturity Month Year Month and year of the maturity C\nUnderlying Maturity Date The date on which the principal amount becomes due C\nUnderlying Asset Class The underlying broad asset category for assessing risk exposure C\nUnderlying Asset Subclass The subcategory description of the asset class C\nUnderlying Asset Type Provides a more specific description of the asset subclass C\nUnderlying Asset Subtype Provides a more specific description of the asset type. C\nUnderlying Exchange Code (MIC) Exchange where the underlying instrument is traded C\nUnderlying Security Description Textual description of a financial instrument C\nUnique 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\nPrimary Options Exchange Code—Implied Volatility Quote This field identifies the main options chain for the future that provides the implied volatility quote C\nDELTA Delta is the measure of how the option's value varies with changes in the underlying price C\nImplied Volatility The implied volatility and quotation style for the contract, typically in natural log percent or index points C\nCustomer 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\nCommodity Swaps (Daily Position Reporting)\nSettlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M\nExchange Commodity Code Contract commodity code issued by the exchange; e.g., ticker symbol, the human recognizable trading identifier M\nClearing 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\nProduct Type Indicates the type of product with which the security is associated C\nSecurity Group (Sector) A name assigned to a group of related instruments which may be concurrently affected by market events and actions C\nUnique 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\nMaturity Month Year Month and year of the maturity M\nMaturity Date The date on which the principal amount becomes due C\nAsset Class The broad asset category for assessing risk exposure M\nAsset Subclass The subcategory description of the asset class C\nAsset Type Provides a more specific description of the asset subclass C\nUnit Leverage Factor The multiplier needed to convert a change of one point of the quoted index into local currency P\u0026L for a 1-unit long position C\nMinimum Tick Minimum price tick increment C\nUnits Unit of measure M\nSettlement Method Swap settlement method C\nExchange Identifier (MIC) Exchange where the instrument is traded M\nSecurity Description Used to provide a textual description of a financial instrument C\nSecurity Type Indicates type of security M\nPosition (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\nPosition (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\nNet 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\nSettlement FX Info Settlement price foreign exchange conversion rate M\nUniversal (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\nOption Exercise Style Exercise style C\nOption Put/Call Indicator Option type M\nOption Strike Price Option strike price M\nUnderlying Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M\nUnderlying Exchange Commodity Code Underlying Contract code issued by the exchange C\nUnderlying 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\nUnderlying Product Type Indicates the type of product the security is associated with C\nUnderlying Security Group (Sector) A name assigned to a group of related instruments which may be concurrently affected by market events and actions C\nUnderlying Maturity Month Year Month and year of the maturity M\nUnderlying Maturity Date The date on which the principal amount becomes due C\nUnderlying Asset Class The underlying broad asset category for assessing risk exposure M\nUnderlying Asset Subclass The subcategory description of the asset class C\nUnderlying Asset Type Provides a more specific description of the asset subclass C\nUnderlying Exchange Code (MIC) Exchange where the underlying instrument is traded M\nUnderlying Security Type Indicates type of security M\nUnderlying Security Description Textual description of a financial instrument C\nDELTA Delta is the measure of how the option's value varies with changes in the underlying price C\nCredit Default Swaps (Daily Position Reporting)\nSettlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M\nExchange Security Identifier Contract code issued by the exchange O\nRedcode 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\nUnique 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\nSecurity Type Indicator which identifies the derivative type M\nRestructuring Type This field is used if the index has been restructured due to a credit event M\nSeniority Type The class of debt M\nMaturity Date The date on which the principal amount becomes due C\nAsset Class The broad asset category for assessing risk exposure M\nAsset Subclass The subcategory description of the asset class C\nAsset Type Provides a more specific description of the asset subclass C\nReference 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\nCoupon Rate The coupon rate associated with this CDS transaction stated in Basis Points M\nSecurity Description (Reference Entity) Name of CDS index or single-name or sovereign debt M\nRecovery Factor The assumed recovery rate used to determine the CDS price O\nPosition (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\nPosition (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\n5 YR Equivalent Notional The five-year equivalent notional amount for each risk factor/reference entity CDS contract M\nAccrued Coupon Coupon obligation from the first day of the coupon period through the current clearing trade date M\nProfit and Loss Unrealized P\u0026L 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\nCredit 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\nMark to Market Determined by marking the end of day position(s) from par (100%) to the end of day settlement price M\nPrice Value of a Basis Point (PV01) Change in P\u0026L of a position given a one basis point move in CDS spread value. May also be referred to as DV01, Sprd DV01 M\nPrevious Accrued Coupon Previous day's accrued coupon M\nPrevious Mark to Market Previous day's mark to market M\nUniversal (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\nOption Strike Price Option strike price C\nSettlement Method Method of settlement C\nOption Exercise Style Exercise style C\nOption Put/Call Indicator Option type C\nOption Type Specifies the option type C\nOption Start Date The option adjusted start date C\nOption Expiration Date—Adjusted The CDS option adjusted expiration date C\nUnderlying Exchange Security Identifier The underlying contract alias used by outside vendors to uniquely identify the contract O\nUnderlying 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\nUnderlying 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\nUnderlying Security Type Indicator which identifies the underlying derivative type C\nUnderlying Restructuring Type This field is used if the underlying index has been restructured due to a credit event C\nUnderlying Seniority Type The underlying class of debt C\nUnderlying Maturity Date The date on which the principal amount becomes due C\nUnderlying Asset Class The underlying broad asset category for assessing risk exposure C\nUnderlying Asset Subclass The subcategory description of the asset class C\nUnderlying Asset Type Provides a more specific description of the asset subclass C\nUnderlying Reference Entity Type (Sector) Specifies the type of underlying reference entity for first-to-default CDS basket contracts C\nUnderlying Coupon Rate The underlying coupon rate associated with this CDS transaction stated in basis points C\nUnderlying Security Description Textual description of a financial instrument C\nUnderlying Recovery Factor The assumed recovery rate used to determine the underlying CDS price C\nDELTA Delta is the measure of how the option's value varies with changes in the underlying price M\nGAMMA Gamma is the rate of change for delta with respect to the underlying asset's price M\nRHO Rho measures the sensitivity of an option's price to a variation in the risk-free interest rate M\nTHETA Theta is the rate at which an option loses value as time passes M\nVEGA Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset M\nOption Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C\nOption Premium Date Date swaption premium is paid C\nForeign Exchange (Daily Position Reporting)\nSettle Date Settle date of the position M\nSettlement Price/Fixing Currency Settlement price of the position M\nDiscount Factor Discount factor for the position. Use the factor for the Mark to Market (MTM) currency M\nValuation Date Valuation date of the position M\nDelivery Date Delivery date of the position M\nClearing Security Identifier Code assigned by the DCO for a particular contract M\nUnique 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\nSecurity Type Registered commodity clearing identifier. (Underlying instrument is required for Security Type = FXOPT | FXNDO.) M\nMaturity Month Year Month and year of the maturity C\nMaturity 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\nMaturity Time (Expiration) The contract expiration time. (Used for FXFWD/FXNDF.) C\nAsset Class The broad asset category for assessing risk exposure M\nAsset Subclass The subcategory description of the asset class C\nAsset Type Provides a more specific description of the asset subclass C\nValuation Method Specifies the type of valuation method applied C\nSecurity Description Used to provide a textual description of a financial instrument C\nForeign 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\nCurrency One Specifies the first or only reference currency of the trade M\nCurrency Two Specifies the second reference currency of the trade M\nQuote Basis For foreign exchange quanto option feature M\nFixed Rate (FXFWD or FXNDF only). Specifies the forward FX rate alternative C\nSpot Rate Specifies the FX spot rates the first or only reference currency of the trade C\nForward 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\nDelivery Type Indicator Delivery type indicator M\nPosition—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\nPosition—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\nFinal Mark to Market Mark to market which includes the discount factor M\nDollar 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\nDollar 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\nNet 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\nUndiscounted Mark to Market Mark to market, which does not include the discount factor M\nPrice 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\nUniversal (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\nOption Put/Call Indicator Option type C\nStrike Rate Option strike rate C\nOption Exercise Style Exercise style C\nOption Cut Name The code by which the expiry time is known in the market C\nUnderlying Settlement Price/Fixing Currency Settlement price for the position. (Underlying settlement is required for FXOPT, FXNDO.) C\nUnderlying Exchange Security Code Security code issued by the exchange; e.g., ticker symbol, the human recognizable trading identifier C\nUnderlying Clearing Security Identifier Code assigned by the DCO for the underlying contract C\nUnderlying 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\nUnderlying Security Type Indicator which identifies the underlying derivative C\nUnderlying Maturity Month Year Month and year of the maturity C\nUnderlying 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\nUnderlying Exchange Identifier (MIC) Exchange where the underlying instrument is traded C\nUnderlying Security Description Textual description of a financial instrument C\nOption Long/Short Indicator Indicates whether the option is short or long C\nOption Expiration Adjusted option expiration date C\nNotional Long/Short FX currency notional long or short M\nImplied Volatility The implied volatility and quotation style for the contract, typically in natural log percent or index points C\nDELTA Delta is the measure of how the option's value varies with changes in the underlying price M\nGAMMA Gamma is the rate of change for delta with respect to the underlying asset's price M\nRHO Rho measures the sensitivity of an option's price to a variation in the risk-free interest rate M\nTHETA Theta is the rate at which an option loses value as time passes M\nVEGA Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset M\nOption Premium MTM Premium mark to market, which includes the discount factor C\nInterest Rate Swaps (Daily Position Reporting)\nCleared Date Date on which the trade was cleared at the DCO M\nPosition Status Position status: active, or terminated. Terminated positions should only be reported on the day of termination M\nDCO Pays Indicator Indicate which cash flow the DCO pays M\nDCO Receives Indicator Indicate which cash flow the DCO receives M\nClearing Participant Pays Indicator Indicate which cash flow the clearing member pays M\nClearing Participant Receives Indicator Indicate which cash flow the clearing member receives M\nClearing Security Identifier Code assigned by the DCO for a particular contract M\nUnique 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\nSecurity Type Registered commodity clearing identifier M\nAsset Class The broad asset category for assessing risk exposure M\nAsset Subclass The subcategory description of the asset class C\nAsset Type Provides a more specific description of the asset subclass C\nSwap Class The classification or type of swap M\nSwap Subclass The sub-classification or notional schedule type of the swap C\nSecurity Description Used to provide a textual description of a financial instrument M\nLeg Type Identifies if the leg is fixed or floating M\nLeg Notional Notional amount associated with leg M\nLeg Notional Currency Currency of the leg's notional amount M\nLeg Start Date Adj Bus Day Conv If start date falls on a weekend or holiday, value defines how to adjust actual start date C\nLeg Start Date Leg's effective date M\nLeg 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\nLeg Maturity Date The date on which the leg's principal amount becomes due M\nLeg Maturity Date Adj Calendar Regarding the maturity date, this specifies which dates are considered holidays C\nLeg 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\nLeg Calculation Frequency Calculation frequency, also known as the compounding frequency for compounded swaps M\nLeg First Reg Per Start Date If there is a beginning stub, this indicates the date when the usual payment periods will begin C\nLeg Last Reg Per End Date If there is an ending stub, this indicates the date when the usual payment periods will end C\nLeg Roll Conv Indicates the day of the month when the payment is made C\nLeg Calc Per Adj Calendar Regarding the calculation period, this specifies which dates are considered holidays C\nLeg Daycount Defines how interest is accrued/calculated C\nLeg Comp Method If payments are made on one timeframe but calculations are made on a shorter timeframe, this describes how to compound interest C\nLeg 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\nLeg Pay Frequency Frequency at which payments are made M\nLeg Pay Relative To Payment relative to the beginning or end of the period C\nLeg Payment Lag Number of business days after payment due date on which the payment is actually made C\nLeg Pay Adj Calendar Regarding dates on which cash flow payments/receipts are scheduled, this specifies which dates are considered holidays C\nLeg 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\nLeg Reset Date Adj Bus Day Conv Business day convention to apply to each reset date if the reset date falls on a holiday C\nLeg 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\nLeg Fixing Date Bus Day Conv Business day convention to apply to each fixing date if the fixing date falls on a holiday C\nLeg Fixing Date Offset Specifies the fixing date relative to the reset date in terms of a business days offset C\nLeg Fixing Day Type The type of days to use to find the fixing date (i.e., business days, calendar days, etc.) C\nLeg Reset Date Adj Calendar Regarding reset dates, this specifies which dates are considered holidays C\nLeg Fixing Date Calendar Regarding the fixing date, this specifies which dates are considered holidays C\nLeg 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\nLeg Index If Stream is floating rate, this gives the index applicable to the floating rate C\nLeg Index Tenor For the floating rate leg, the tenor of the leg. For the fixed rate leg, NULL C\nLeg Spread Describes if there is a spread (typically an add-on) applied to the coupon rate C\nLeg Pmt Sched Notional Variable notional swap notional values C\nLeg Initial Stub Rate The interest rate applicable to the Initial Stub Period in decimal form (e.g., 4% should be input as “.04”) C\nLeg 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\nLeg 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\nLeg Final Stub Rate The interest rate applicable to the final stub period in decimal form (e.g., 4% should be input as “.04”) C\nLeg 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\nLeg 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\nAccrued 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\nProfit/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\nLeg 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\nLeg 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\nDollar 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\nNet 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\nNet Present Value Net present value (NPV) of all positions by currency M\nPresent 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\nNet Present Value Previous Previous day's NPV by currency C\nPrice 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\nOther Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) C\nUniversal (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\nLeg Initial Exchange Amount of any exchange of cash flow at initiation of trade being cleared C\nLeg Initial Exchange Date Date that the initial exchange is set to occur C\nLeg Final Exchange Amount of any exchange of cash flow at maturity of trade C\nLeg Final Exchange Date Date that the final exchange is set to occur C\nOption Exercise Style Exercise style C\nOption Type Specifies the option type C\nOption Start Date The option adjusted start date C\nOption Adjusted Expiration Date The IRS swaption adjusted expiration date C\nOption Buy/Sell Indicator Indicates the buyer or seller of a swap stream C\nUnderlying Clearing Security Identifier Code assigned by the DCO for the underlying contract C\nUnderlying 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\nUnderlying Security Type Indicator which identifies the underlying derivative C\nUnderlying Asset Class The underlying broad asset category for assessing risk exposure C\nUnderlying Asset Subclass The subcategory description of the asset class C\nUnderlying Asset Type Provides a more specific description of the asset subclass C\nUnderlying Swap Class The classification or type of swap C\nUnderlying Swap Subclass The sub-classification or notional schedule type of the swap C\nUnderlying Security Description Textual description of a financial instrument C\nUnderlying Security Leg Type Identifies if the leg is fixed or floating C\nUnderlying Security Leg Notional Notional amount associated with leg C\nUnderlying Security Leg Currency Currency of this leg's notional amount C\nUnderlying Security Leg Index If stream is floating rate, this gives the index applicable to the floating rate C\nUnderlying Security Leg Index Tenor For the floating rate leg, the tenor of the leg. For the fixed rate leg, NULL C\nUnderlying 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\nUnderlying Security Leg Spread Indicates whether there is a spread (typically an add-on) applied to the coupon rate C\nDELTA Delta is the measure of how the option's value varies with changes in the underlying price M\nGAMMA Gamma is the rate of change for delta with respect to the underlying asset's price M\nRHO Rho measures the sensitivity of an option's price to a variation in the risk-free interest rate M\nTHETA Theta is the rate at which an option loses value as time passes M\nVEGA Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset M\nOption Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C\nOption Premium Date Date option premium is paid C\nTrade 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\nEvent Description Description for each position record C\nForward Rate Agreements (Daily Position Reporting)\nPrevious Business Date Previous business date M\nPosition Status Position status: active or terminated. Terminated positions should only be reported on the day of termination M\nDCO Pays Indicator Indicates which cash flow the DCO pays M\nDCO Receives Indicator Indicates which cash flow the DCO receives M\nClearing Participant Pays Indicator Indicates which cash flow the clearing member pays M\nClearing Participant Receives Indicator Indicates which cash flow the clearing member receives M\nClearing Security Identifier Code assigned by the DCO for a particular contract M\nUnique 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\nSecurity Type Registered commodity clearing identifier M\nAsset Class The broad asset category for assessing risk exposure M\nAsset Subclass The subcategory description of the asset class C\nAsset Type Provides a more specific description of the asset subclass C\nFRA Type Type of swap stream M\nNotional Amount Stream notional amount M\nNotional Currency Currency of leg notional amount M\nStart Date Date the position was established M\nMaturity Date The date on which the principal amount becomes due M\nPayment Day Count Convention Defines how interest is accrued/calculated M\nPayment Accrual Days Number of accrual days between the effective date and maturity date M\nFirst Payment Date Date on which the payment is made. Always report the adjusted date C\nReset Date Bus Day Convention Business day convention to apply to each fixing date if the fixing date falls on a holiday M\nReset Date Fixing Date Date on which the payment is fixed. Always report the adjusted date M\nFixed Rate The fixed amount in decimal terms M\nFloat Index The index for the floating portion of the Forward Rate Agreement (FRA) M\nFloat First Tenor First tenor associated with the index M\nFloat Second Tenor Second tenor associated with the index C\nFloat Spread In basis point terms M\nFloat Reference Rate The fixed floating rate in decimal terms M\nPV01 Change in value in native currency if the relevant pricing curve is shifted up by 1 basis point M\nDollar 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\nNet Present Value Net present value (NPV) of all positions by currency M\nSettlement FX Info Settlement price foreign exchange conversion rate M\nNet Present Value Previous Previous day's NPV by currency M\nPrice 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\nUniversal (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\nSettlement Amount The amount paid/received on the Payment Date. Always report adjusted date. (The position pays on a negative amount.) M\nOther Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) C\nNet 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\nProfit/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\nPresent 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\nTrade Date Actual trade date for each position record (including specifically, the cleared date and the trade date) M\nEvent Description Description for each position record C\nInflation Index Swaps (Daily Position Reporting)\nCleared Date Date on which the trade was cleared at the DCO M\nPosition Status Position's status: active or terminated. Terminated positions should only be reported on the day of termination M\nDCO Pays Indicator Indicate which cash flow the DCO pays M\nDCO Receives Indicator Indicate which cash flow the DCO receives M\nClearing Participant Pays Indicator Indicate which cash flow the clearing member pays M\nClearing Participant Receives Indicator Indicate which cash flow the clearing member receives M\nClearing Security Identifier Code assigned by the DCO for a particular contract M\nUnique 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\nSecurity Type Registered commodity clearing identifier M\nAsset Class The broad asset category for assessing risk exposure M\nAsset Subclass The subcategory description of the asset class C\nAsset Type Provides a more specific description of the asset subclass C\nSwap Class The classification or type of swap M\nSwap Subclass The sub-classification or notional schedule type of the swap C\nSecurity Description Used to provide a textual description of a financial instrument M\nLeg Type Identifies if the leg is fixed or floating M\nLeg Notional Notional amount associated with leg M\nLeg Notional Currency Currency of the leg's notional amount M\nLeg Start Date Adj Bus Day Conv If start date falls on a weekend or holiday, value defines how to adjust actual start date C\nLeg Start Date Leg's effective date M\nLeg 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\nLeg Maturity Date The date on which the leg's principal amount becomes due M\nLeg Maturity Date Adj Calendar Regarding the maturity date, this specifies which dates are considered holidays C\nLeg 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\nLeg Calc Frequency Calculation frequency, also known as the compounding frequency for compounded swaps M\nLeg Roll Conv Describes the day of the month when the payment is made C\nLeg Calc Per Adj Calendar Regarding the calculation period, this specifies which dates are considered holidays C\nLeg Stream Daycount Defines how interest is accrued/calculated M\nPayment 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\nPayment 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\nPayment Stream Frequency Frequency at which payments are made M\nPayment Stream Relative To Specifies the anchor date when the payment date is relative to that date C\nPayment Stream First Date The unadjusted first payment date C\nPayment Stream Last Regular Date The unadjusted last regular payment date C\nPayment Leg Calendar Regarding dates on which cash flow payments/receipts are scheduled, this specifies which dates are considered holidays C\nLeg Reset Date Bus Day Conv Business day convention to apply to each reset date if the reset date falls on a holiday C\nLeg Reset Date Relative To Specifies the anchor date when reset date is relative to that date C\nLeg 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\nLeg Reset Fixing Date Offset Specifies the fixing date relative to the reset date in terms of a business days offset C\nLeg Fixing Day Type The type of days to use to find the fixing date (i.e., business days, calendar days, etc.) C\nLeg Reset Date Calendar Regarding reset dates, this specifies which dates are considered holidays C\nLeg Fixing Date Bus Day Conv Business day convention to apply to each fixing date if the fixing date falls on a holiday C\nLeg Fixing Date Calendar Regarding the fixing date, this specifies which dates are considered holidays C\nFixed 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\nFloating Leg Inflation Index If leg is floating rate, this gives the index applicable to the floating rate C\nFloating Leg Spread Describes if there is a spread (typically an add-on) applied to the coupon rate C\nFloating Leg Payment Inflation Lag Number of business days after payment due date on which the payment is actually made C\nFloating 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\nFloating Leg Inflation Index Initial Level Initial known index level for the first calculation period C\nFloating 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\nLeg Pmt Sched Notional Variable notional swap notional values C\nLeg Stub Type Stubs apply to initial or ending periods that are shorter than the usual interval between payments C\nLeg 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\nLeg 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\nLeg 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\nLeg 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\nLeg 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\nLeg 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\nLeg First Reg Per Start Date If there is a beginning stub, this describes the date when the usual payment periods will begin C\nLeg Last Reg Per End Date If there is an ending stub, this describes the date when the usual payment periods will end C\nLeg 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\nProfit/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\nLeg 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\nLeg 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\nI01 Change in value in native currency if the relevant pricing curve is shifted up by 1 basis point M\nDollar 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\nNet 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\nNet Present Value Net present value (NPV) of all positions by currency M\nPresent 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\nNet Present Value Previous Previous day's NPV by currency C\nPrice 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\nUniversal 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\nStream Initial Exchange Amount of any exchange of cash flow at initiation of trade being cleared C\nStream Initial Exchange Date Date that the initial exchange is set to occur C\nStream Final Exchange Amount of any exchange of cash flow at maturity of trade C\nStream Final Exchange Date Date that the final exchange is set to occur C\nOther Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) C\nTrade Date Actual trade date for each position record (including specifically, the cleared date and the trade date) M\nEvent Description Description for each position record C\nEquity Cross Margin (Daily Position Reporting)\nExchange Security Identifier Contract code issued by the exchange M\nClearing Security Identifier Code assigned by the DCO for a particular contract M\nProduct Type Indicates the type of product the security is associated with C\nSecurity Type Indicates type of security M\nMaturity Month Year Month and year of the maturity M\nMaturity Date The date on which the principal amount becomes due. For NDFs, this represents the fixing date of the contract C\nAsset Class The broad asset category for assessing risk exposure M\nAsset Subclass The subcategory description of the asset class C\nAsset Type Provides a more specific description of the asset subclass C\nSecurity Description Used to provide a textual description of a financial instrument M\nPosition (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\nPosition (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\nSettlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M\nOption Strike Price Option strike price C\nOption Put/Call Indicator Option type C\nUnderlying Exchange Commodity Code Underlying Contract code issued by the exchange C\nUnderlying 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\nUnderlying Product Type Indicates the type of product the security is associated with C\nUnderlying Security Type Indicator which identifies the underlying derivative C\nUnderlying Maturity Month Year Month and year of the maturity C\nUnderlying Maturity Date The date on which the principal amount becomes due C\nUnderlying Asset Class The underlying broad asset category for assessing risk exposure C\nUnderlying Asset Subclass The subcategory description of the asset class C\nUnderlying Asset Type Provides a more specific description of the asset subclass C\nUnderlying Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date C\nM = mandatory C = conditional O = optional.\nC. Risk Metric Ladder Reporting\nField name Description Use\nCommon Fields (Risk Metric Ladder Reporting)\nTotal Message Count The total number of reports included in the file M\nFIXML Message Type FIXML account summary report type M\nSender ID The CFTC-issued DCO identifier M\nTo ID Indicate “CFTC” M\nMessage Transmit Datetime The date and time the file is transmitted M\nReport ID A unique identifier assigned by the CFTC to each clearing member report M\nReport Date The business date of the information being reported M\nBase Currency Base currency referenced throughout report; provide exchange rate against this currency M\nReport Time (Message Create Time) The report “as of” or information cut-off time M\nMessage Event The event source being reported M\nLadder Indicator Indicator that identifies the type of risk metric ladder M\nDCO Identifier CFTC-assigned identifier for a DCO M\nClearing Participant Identifier DCO-assigned identifier for a particular clearing member M\nClearing Participant Name The name of the clearing member M\nFund Segregation Type Clearing fund segregation type M\nClearing Participant LEI LEI for a particular clearing member M\nClearing Participant LEI Name The LEI name associated with the clearing member LEI M\nCustomer Identifier Proprietary identifier for a particular customer position account C\nCustomer Name The name associated with the customer position identifier C\nCustomer Account Type Type of account used for reporting C\nCustomer LEI LEI for a particular customer; provide if available C\nCustomer LEI Name The LEI name associated with the customer position LEI C\nUnique Margin Identifier A single field that uniquely identifies the margin account. This field us used to identify associated positions C\nDelta Ladder (Daily Reporting)\nCurrency ISO 4217 currency code M\nFX Rate Rate used to convert the currency to USD M\nCurve Name Name of the reference curve M\nTenor Number of days from the report date M\nSensitivity Theoretical profit and loss with a single upward basis point shift M\nGamma Ladder (Daily Reporting)\nCurrency ISO 4217 currency code M\nFX Rate Rate used to convert the currency to USD M\nCurve Name Name of the reference curve M\nTenor Number of days from the report date M\nSensitivity Theoretical profit and loss with a single upward basis point shift M\nVega Ladder (Daily Reporting)\nCurrency ISO 4217 currency code M\nFX Rate Rate used to convert the currency to USD M\nCurve Name Name of the reference curve M\nTenor Number of days from the report date M\nSensitivity Theoretical profit and loss with a single upward basis point shift M\nM = mandatory C = conditional O = optional.\nD. Curve Reference Reporting\nField name Description Use\nCommon Fields (Curve Reference Reporting)\nTotal Message Count The total number of reports included in the file M\nFIXML Message Type FIXML account summary report type M\nSender ID The CFTC-issued DCO identifier M\nTo ID Indicate “CFTC” M\nMessage Transmit Datetime The date and time the file is transmitted M\nReport ID A unique identifier assigned by the CFTC to each clearing member report M\nReport Date The business date of the information being reported M\nBase Currency Base currency referenced throughout report; provide exchange rate against this currency M\nReport Time (Message Create Time) The report “as of” or information cut-off time M\nMessage Event The event source being reported M\nDCO Identifier CFTC-assigned identifier for a DCO M\nCurrency Curve (Daily Reporting)\nCurve Reference curve name M\nCurrency ISO 4217 currency code M\nMaturity Date The date on which the principal amount becomes due M\nPar Rate Rate such that the maturity will pay in order to sell at par today M\nZero Rate Curve (Daily Reporting)\nCurrency ISO 4217 currency code M\nCurve Reference curve name M\nMaturity Date The date on which the principal amount becomes due M\nOffset The difference in days between the maturity date and reporting date M\nAccrual Factor The difference in years between the maturity date and reporting date M\nDiscount Factor Value used to compute the present value of future cash flows values M\nZero Rate Averages of the one-period forward rates up to their maturity M\nM = mandatory C = conditional O = optional.\nE. Backtesting Reporting\nField name Description Use\nCommon Fields (Backtesting Reporting)\nTotal Message Count The total number of reports included in the file M\nFIXML Message Type FIXML account summary report type M\nSender ID The CFTC-issued DCO identifier M\nTo ID Indicate “CFTC” M\nMessage Transmit Datetime The date and time the file is transmitted M\nReport ID A unique identifier assigned by the CFTC to each clearing member report M\nReport Date The business date of the information being reported M\nBase Currency Base currency referenced throughout report; provide exchange rate against this currency M\nReport Time (Message Create Time) The report “as of” or information cut-off time M\nMessage Event The event source being reported M\nBreach Indicator Indicates the breach file M\nDCO Identifier CFTC-assigned identifier for a DCO M\nClearing Participant Identifier DCO-assigned identifier for a particular clearing member M\nClearing Participant Name The name of the clearing member M\nFund Segregation Type Clearing fund segregation type M\nClearing Participant LEI LEI for a particular clearing member M\nClearing Participant LEI Name The LEI name associated with the clearing member LEI M\nCustomer Identifier Proprietary identifier for a particular customer position account C\nCustomer Name The name associated with the customer position identifier C\nCustomer Account Type Type of account used for reporting C\nCustomer LEI LEI for a particular customer; provide if available C\nCustomer LEI Name The LEI name associated with the customer position LEI C\nUnique Margin Identifier A single field that uniquely identifies the margin account. This field us used to identify associated positions C\nBreach Details (Daily Reporting)\nInitial 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\nBacktesting 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\nBacktesting Metric Amount Amount on the positions for which Initial Margin is computed M\nBreach Amount Difference between the Initial Margin and Backtesting Metric Amount M\nMargin Period of Risk Holding period for which the Backtesting Metric is calculated in days M\nBreach Summary (Daily Reporting)\nTotal Instance Total number of testing dates for the account M\nNumber of Breaches Total number of breaches in the testing period M\nTest Range Start Beginning date of the test M\nTest Range End End date of the test M\nM = mandatory C = conditional O = optional.\nF. Manifest Reporting\nField name Description Use\nManifest Reporting\nTotal Message Count The total number of reports included in the file M\nFIXML Message Type FIXML account summary report type M\nSender ID The CFTC-issued DCO identifier M\nTo ID Indicate “CFTC” M\nMessage Transmit Datetime The date and time the file is transmitted M\nFilenames List of files to be sent M\nM = mandatory C = conditional O = optional.","path":["Title 17—Commodity and Securities Exchanges","CHAPTER I—COMMODITY FUTURES TRADING COMMISSION","PART 39—DERIVATIVES CLEARING ORGANIZATIONS"],"source_url":"https://www.ecfr.gov/api/versioner/v1/full/2026-08-25/title-17.xml","current_through":"2026-08-25","vintage":"","retrieved_at":"2026-08-27T02:24:31Z","sha256":"33f676d0f76d3f988ded6ec3677ed83d240e04b9940cc13c167d1b680ee39381","source_id":"us-cfr","stale":true,"prev":"us/17-cfr-appendix-b-to-part-39","next":"us/17-cfr-40.1"},"notice":"GroundRules: Original legal text. Not legal advice."}