Guidelines for Creating, Recordkeeping and Reporting of Transaction Information under the Cabinet Office Order on OTC Derivatives

[Provisional Translation]
The original texts of the Guidelines are prepared in Japanese, and this translation is only provisional. The translation is to be used solely as reference material to aid the understanding of the Guidelines and is subject to any future changes. Guidelines for Creating, Recordkeeping and Reporting of Transaction Information specified in Article 4(1) of the Cabinet Office Order on the Regulation of Over-the￾Counter Derivatives Transactions, etc. December 2022 Financial Services Agency of Japan （November 2023 Revision）

1
Under Article 156 - 63 and Article 156 - 64 of the FIEA, Financial Instruments Clearing Organization, etc. (meaning a Financial Instruments Clearing Organization or a Foreign Financial Instruments Clearing Organization; the same applies hereafter) and Financial Instruments Business Operators, etc. (Financial Instruments Business Operators or Registered Financial Institutions; the same applies hereafter) must provide transaction information to a Trade Repository, etc. (meaning a Trade Repository (hereinafter referred to as the "TR" ) or Designated Foreign Trade Repository; the same applies hereafter). In addition, under Article 156 - 65 of the FIEA, the TR must prepare and preserve records on matters specified in Article 4, Paragraph 1 of the Cabinet Office Order with respect to the transaction information provided by a Financial Instruments Clearing Organization, etc. and a Financial Instruments Business Operator, etc., Financial Institutions, etc., and report the retained transaction information to the Prime Minister. These Guidelines provide the TR, the Financial Instruments Clearing Organization, etc. and the Financial Instruments Business Operator, etc., with details of matters specified in Article 4, Paragraph 1 of the Cabinet Office Order. 【Attachment 1】 "Definition and Interpretation of the matters to be reported" shows the definition and interpretation, etc. of the matters specified in Article 4, Paragraph 1 of the Cabinet Office Order. When reporting to TR, etc., a Financial Instruments Clearing Organization, etc. and a Financial Instruments Business Operator, etc., are requested to check the content of Attachment 1 "Definition and Interpretation of the matters to be reported" as necessary. Please refer to “CFTC Technical Specification Parts 43 and 45 swap data reporting and public dissemination requirements August 30, 2022 Version 3.1” for the items below. “ Mapping of Day count convention allowable values to ISO 20022, FpML, and FIX/FIXML values”, “Valuation method”, “Collateralisation category”, “Notional amount” Please refer to the “Harmonisation of critical OTC derivatives data elements (other than UTI and UPI) Revised CDE Technical Guidance – version 3” published by the ROC for ※ The following terms used in the text are as follows :
FIEA: Financial Instruments and Exchange Act (Act No.25 of 1948) Cabinet Office Order: Cabinet Office Order on the Regulation of Over-the-Counter Derivatives Transactions (Cabinet Office Order No.48 of 2012)

2 the“Allowable Combinations of Action/Event Type Grid.”
【Attachment 2】
For specific generation rules and methods, etc. please refer to Attachment 2: "How to determine the generation of Unique Transaction Identifier (UTI) ". 【Treatment of Existing Transactions】 Over-the-Counter Transactions of Derivatives that were traded before the effective date of these Guidelines (April 1, 2024) and have not matured as of the effective date (Existing Transactions), shall be deemed to have changed in the matters prescribed in
Article 4, Paragraph 1 of the Cabinet Office Order on the effective date, and the details
stated in these Guidelines regarding the changed matters shall be updated / provided as follows:
A. Transaction information provided or reported prior to the effective date:
Please provide the changed transaction information to the TR, etc. within 180 days from the effective date. *1 With respect to newly prescribed reporting matters, if you do not hold the relevant transaction information, you may leave this matter blank. However, in order to accumulate transaction information, a Financial Instruments Clearing Organization, etc. and a Financial Instruments Business Operator, etc. are requested to provide to TR, etc. the transaction information on matters provisionally determined by TR, etc. on the effective date. *2 Please provide evaluation information and collateral information at the time of provision to the TR, etc. (provided, however, this does not preclude provision from the effective date). B. If the maturity date is reached before the provision of the transaction information:
After the effective date, if the maturity date is reached before the provision of the transaction information in A, it is not necessary to update and provide the transaction information thereafter.
C. Treatment of cases where the day of the transaction (including the day when
obligations are assumed by the Financial Instruments Clearing Organization, etc.) executed is before the effective date of when the transaction information is submitted:
A change in transaction information shall be deemed to have occurred on the effective date, and the transaction information shall be provided to the TR, etc. by the reporting deadline (April 3, 2024) counting from the effective date.

3
【UPI and Delta】
UPI (Unique product identifier) and Delta were not included in the matters to be reported from April 1, 2024 in consideration of international discussions, etc. However, since the content has been finalized, it shall be reported to TRs, etc. from April 7, 2025. Established on December 9, 2022 1 st Revision on November 21, 2023

Definition and Interpretation of the matters to be reported December 2022 Financial Services Agency of Japan （November 2023 Revision） Attachment１

List of Reporting Matters
Data Element Name Source Data Element Name Source 1 Effective date CDE 39 Valuation amount CDE 2 Expiration date CDE 40 Valuation currency CDE 3 Early termination date CDE 41 Valuation timestamp CDE 4 Reporting timestamp CDE 42 Valuation method CDE 5 Execution timestamp CDE 43 Delta CDE 44 Collateral portfolio indicator CDE 45 Initial margin posted by the reporting counterparty (pre-haircut) CDE Data Element Name Source 46 Initial margin posted by the reporting counterparty (post-haircut) CDE 6 Entity responsible for reporting ESMA 47 Currency of initial margin posted CDE 7 Counterparty 1 (reporting counterparty) CDE 48 Initial margin collected by the reporting counterparty (pre-haircut) CDE 8 Counterparty 2 CDE 49 Initial margin collected by the reporting counterparty (post-haircut) CDE 9 Counterparty 2 identifier type CDE 50 Currency of initial margin collected CDE 10 Direction 1（Buyer/Seller） CDE 51 Variation margin posted by the reporting counterparty (pre-haircut) CDE 11 Direction 2 （Payer/Receiver） CDE 52 Variation margin posted by the reporting counterparty (post-haircut) CDE 12 Submitter identifier CFTC 53 Currency of variation margin posted CDE 13 New SDR identifier CFTC 54 Variation margin collected by the reporting counterparty (pre-haircut) CDE 14 Original swap SDR identifier CFTC 55 Variation margin collected by the reporting counterparty (post-haircut) CDE 56 Currency of variation margin collected CDE 57 Excess collateral posted by the reporting counterparty CDE Data Element Name Source 58 Currency of excess collateral posted CDE 15 Cleared CDE 59 Excess collateral collected by the reporting counterparty CDE 16 Central counterparty CDE 60 Currency of excess collateral collected CDE 17 Clearing member CDE 61 Collateralisation category CDE 18 Platform identifier CDE 62 Initial margin collateral portfolio code CFTC 19 Confirmed CDE 63 Variation margin collateral portfolio code CFTC 20 Final contractual settlement date CDE 21 Settlement currency CDE Matters relating to transaction prices ; 22 Clearing account origin CFTC Data Element Name Source 23 Original swap UTI CFTC 64 Price CDE 24 Clearing receipt timestamp CFTC 65 Price currency CDE 25 Unique transaction identifier (UTI) CFTC 66 Price notation CDE 26 Prior UTI (for one-to-one and one-to-many relations between transactions) CDE 67 Price unit of measure CDE 68 Price schedules - Unadjusted effective date of the price CDE 69 Price schedules - Unadjusted end date of the price CDE Data Element Name Source 27 Day count convention CDE 28 Payment frequency period CDE 71 Fixed rate CDE 29 Payment frequency period multiplier CDE 72 Spread CDE 30 Fixing date CFTC 73 Spread currency CDE 31 Floating rate reset frequency period CFTC 74 Spread notation CDE 32 Floating rate reset frequency period multiplier CFTC 75 Strike price CDE 33 Other payment amount CDE 76 Strike price currency/currency pair CDE 34 Other payment type CDE 77 Strike price notation CDE 35 Other payment currency CDE 78 Strike
price schedules - Unadjusted effective date of the strike price CDE 36 Other payment date CDE 79 Strike price schedules - Unadjusted end date of the strike price CDE 37 Other payment payer CDE 38 Other payment receiver CDE 81 Option premium amount CDE 82 Option premium currency CDE 83 Option premium payment date CDE 84 First exercise date CDE 85 Exchange rate CDE 86 Exchange rate basis CDE Matters relating to the date and time of executing a transaction, the date and time of evaluating a contract pertaining to a transaction, and other matters relating to the date and time pertaining to a transaction ; Appraisal value and valuation method of contracts pertaining to transactions, and matters related to collateral and margins ; Appraisal value and valuation method of contracts pertaining to transactions, and matters related to collateral and margins ; Matters concerning the assumption of obligations, settlement, and identification of transactions by financial instruments clearing organizations, etc. ; The method of calculating the number of days in transactions, the periodicity of regular monetary payments, and other matters related to payments ; 70 Price schedules - Price in effect between the unadjusted effective date and unadjusted end date inclusive CDE 80 Strike price schedules - Strike price in effect between the unadjusted effective date and unadjusted end date inclusive. CDE 1

List of Reporting Matters
Data Element Name Source Data Element Name Source 87 Notional amount CDE 129 Contract type ESMA 88 Call amount CDE 130 Option style ESMA 89 Put amount CDE 131 Option type ESMA 90 Notional currency CDE 132 Package identifier CDE 91 Call currency CDE 133 Package transaction price CDE 92 Put currency CDE 134 Package transaction price currency CDE 93 Quantity unit of measure CDE 135 Package transaction price notation CDE 136 Package transaction spread CDE 137 Package transaction spread currency CDE 138 Package transaction spread notation CDE ※ Matters and allowable values for each data elements will be revised in light of future international discussions. 97 Total notional quantity CDE Data Element Name Source 101 Action type CFTC 102 Event type CFTC 103 Event identifier CFTC 104 Event timestamp CFTC Data Element Name Source 105 Index factor CFTC 106 Embedded option type CFTC 107 Unique product identifier CFTC 108 Delivery type ESMA 109 Asset Class ESMA 110 Underlying identification type ESMA 111 Underlying identification ESMA 112 Indicator of the underlying index ESMA 113 Name of the underlying index ESMA 114 Reference entity ESMA 115 Indicator of the floating rate ESMA 116 Name of the floating rate ESMA 117 Floating rate reference period – time period ESMA 118 Floating rate reference period – multiplier ESMA 119 Derivative based on crypto-assets ESMA 120 Maturity date of the underlying ESMA 121 Seniority（CD） ESMA 122 Series （CD) ESMA 123 Version（CD) ESMA 124 CDS index attachment point CDE 125 CDS index detachment point CDE 126 Custom basket code CDE 127 Identifier of the basket's constituents CDE 128 Basket constituent identifier source CDE 100 Notional quantity schedules - Notional quantity which becomes effective on the associated unadjusted effective date CDE Whether it is a new transaction, a change, or a cancellation transaction, and other matters related to the process of transactions ; Matters related to the agreed financial indicators and other subject matter of transactions ; 98 Notional quantity schedules - Unadjusted date on which the associated notional quantity becomes effective CDE 99 Notional quantity schedules - Unadjusted end date of the notional quantity CDE 95 Notional amount schedule - unadjusted effective date of the notional amount CDE 96 Notional amount schedule - unadjusted end date of the notional amount CDE 94 Notional amount schedule - notional amount in effect on associated effective date CDE Matters relating to transaction prices ; Matters concerning types of contracts pertaining to transactions ; 2

Basic view of the table
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Data Element Name
Enter "Leg1, Leg2" if reporting is required for Leg1 and Leg2 respectively. Definition of data elements Tolerances for each data element Points to note in reporting Source of the original text where details of matters are specified Reference source matter number Content in brief Example(s) Date 2015-07-06 (corresponds to 6 July 2015) Date and time 2014-11-05T13:15:30Z (corresponds to 5 November 2014, 1:15:30 pm, Coordinated Universal time) Up to 25 numerical characters including up to five decimal places 1352.67 12345678901234567890.12 1234567890123456789012.12 3 123456789012345678901234 5 12345678901234567890.1234 5 0 – 20000.25 Up to five numerical characters, no decimals are allowed 12345 123 20 Three alphanumeric characters USD X1X 999 Up to 25 alphanumeric characters asgaGEH3268EFdsagtTRCF5 43 aaaaaaaaaa x Boolean characters True False YYYY-MM-DDThh:mm:ssZ Definition of data elements Allowable values for each data element Basic view of the Allowable values for each data element Format Additional Explanation YYYY-MM-DD YYYY = four-digit year MM = two-digit month DD = two-digit day Leg1,Leg2 Varchar(25) The length is not fixed but limited at up to 25 alphanumerical characters. No special characters are permitted. If permitted, it would be explicitly stated in the format of the data element. Boolean Either “True” or “False” Num(25,5) The length is not fixed but limited to total of 25 numerical characters. Maximum of up to five numerical characters are allowed to right of the decimal point. For any given value the maximum allowed to the left of the decimal should be 25 minus the number of numerical characters present to the right of the decimal. Should the value have more than five digits after the decimal, reporting counterparties should round half￾up. Num(5) The length is not fixed but limited to five numerical characters. Char(3) The length is fixed at three alphanumeric characters. YYYY, MM, DD as above hh = two-digit hour (00 through 23) (am/pm NOT allowed) mm = two-digit minute (00 through 59) ss = two-digit second (00 through 59) T is fixed and indicates the beginning of the time element. Z is fixed and indicates that times are expressed in UTC (Coordinated Universal Time) and not in local time. Data Element Name Remarks Source ※ Abbreviations used in this guideline refers to the following documents :
CDE: Harmonisation of critical OTC derivatives data elements (other than UTI and UPI) Revised CDE Technical Guidance – version 3 CFTC: CFTC Technical Specification Parts 43 and 45 swap data reporting and public dissemination requirements March 1, 2023 Version 3.2 ESMA: Final Report Technical standards on reporting, data quality, data access and registration of Trade Repositories under EMIR REFIT 17 December 2020 ※ The following terms used in the text are as follows :
FSA Notification No. 105 : Designation of Transactions and Loans Designated by the Commissioner of the Financial Services Agency Excluded from Transactions Subject to Financial Instruments Obligation Assumption Service (FSA Notification No.105 of 2011) CCP：Central Counterparty. 3

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1 Effective date
Unadjusted date at which obligations under the OTC derivative transaction come into effect, as included in the confirmation. YYYY-MM-DD（UTC） If the effective date is not stated in the confirmation, report the Execution date. If the Execution date is not stated, report the Trade Date. Otherwise, the definition used by the internal management of each financial institution is permitted. CDE 2.1 2 Expiration date Unadjusted date at which obligations under the OTC derivative transaction stop being effective, as included in the confirmation. Early termination does not affect this data element. YYYY-MM-DD（UTC） If a contract is early terminated, the date of when the early termination occurred is to be entered in the Early termination date column, and the expiration date determined at the time of the original execution shall continue to be entered in the Expiration date column. CDE 2.2 3 Early termination date Effective date of the early termination (expiry) of the reported transaction. This data element is applicable if the termination of the transaction occurs prior to its maturity due to an ex-interim decision of a counterparty (or counterparties). Examples of early terminations (expiry) are: negotiated early termination; early termination under an optional early termination provision (“mutual put”); novation; offsetting (netting) transaction; option exercise; compression; early termination clause specified in the original contract which is a callable swap (bought embedded option); mutual credit break. YYYY-MM-DD（UTC） Early termination includes the exercise of options (including Swaption). This applies to cases where options are exercisable at any time during the term, such as American-type options. In such cases, enter the effective date when the rights are exercised. Offsetting (netting) transactions have the same effect as early termination, however reporting is not required unless the position held by the financial institution is offsetted and cleared out. CDE 2.3 4 Reporting timestamp Date and time of the submission of the report as reported to the trade repository. YYYY-MM-DDThh:mm:ssZ （UTC） System input time, data generation time, and system connection time are to be considered as acceptable values. In addition, if determining the time up to the seconds is impossible due to system restrictions, setting the seconds to "00" shall be acceptable. If it can be determined that the reporting date and time are the same as the trade date, then Trade Date, may be used as a substitute value. (If different, substitution will not be permitted.) CDE 2.4 Source Allowable values for each data element Remarks Data Element Name Leg1,Leg2 Definition of data elements 4

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
5
Execution timestamp
Date and time a transaction was originally executed, resulting in the generation of a new UTI. This data element remains unchanged throughout the life of the UTI. YYYY-MM-DDThh:mm:ssZ （UTC） System input time, data generation time, and system connection time are to be considered as acceptable values. In addition, if determining the time up to the seconds is impossible due to system restrictions, setting the seconds to "00" shall be acceptable. If it can be determined that the reporting date and time are the same as the trade date, then Trade Date, may be used as a substitute value. (If different, substitution will not be permitted.) CDE 2.5 6 Entity responsible for reporting The identifier of the financial institution that is the reporting obligation. ISO 17442 Legal Entity Identifier (LEI) Char(20) Reporting party of the trades will be determined based on the identifier reported for "Entity responsible for reporting" and by "Submitter identifier". Examples of who the reporting party is:
[Case 1] Where a party to a transaction is other than a fund (normal case) ・"Entity responsible for reporting" = Financial institution with reporting obligation and involved in the transaction as Counterparty 1 ・"Counterparty 1 (reporting counterparty)" = Same as above ・"Submitter identifier" = Same as above [Case 2] Where a trading party is a fund ・"Entity responsible for reporting" = Trust Bank LEI ・"Counterparty 1 (reporting counterparty)" = Fund LEI ・"Submitter identifier" = Trust bank LEI [Case 3] Reporting party is an agent, etc. (where a regional bank requests the Trust Bank, etc. to report) ・"Entity responsible for reporting" = Financial institution with reporting obligation and involved in the transaction as Counterparty 1 ・"Counterparty 1 (reporting counterparty)" = Same as above ・"Submitter identifier" = LEI of the agent acting as the service provider for reporting ESMA 3 7 Counterparty 1 (reporting counterparty) Identifier of the counterparty to an OTC derivative transaction who is fulfilling its reporting obligation via the report in question. In jurisdictions where both parties must report the transaction, the identifier of Counterparty 1 always identifies the reporting counterparty. In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty. ISO 17442 Legal Entity Identifier (LEI) Char(20) The fund reports its LEI. Reporting using branch/international branch LEI is not allowed. CDE 2.6 5

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Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
8 Counterparty 2
Identifier of the second counterparty to an OTC derivative transaction. In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty. ISO 17442 Legal Entity Identifier (LEI) Char(20) Varchar(72), for natural persons who are acting as private individuals (not eligible for an LEI per the ROC Statement - Individuals Acting in a Business Capacity). The fund reports its LEI. If LEI cannot be obtained, a tentative LEI is permitted. Tentative LEI must have a unique alphanumeric string to ensure the party can be uniquely identified. Examples for assigning tentative LEI:
[In the case of financial institutions]
Tentative LEI = Party LEI + Counterparty BIC Code [In the case of corporations and individuals] Tentative LEI = Trading Party LEI + Unique Alphanumeric Code (Control number assigned by the financial institution, etc.) If a fund LEI is yet to be obtained, the Trust Bank must share a tentative LEI for the fund (Trust Bank LEI + Unique Alphanumeric Code) with its counterparty financial institution. Enter the LEI of the clearing organization if the company transacts with a clearing organization prescribed in JFSA Notification No.105. Reporting using branch/international branch LEI is not allowed. CDE 2.7 9 Counterparty 2 identifier type Indicator of whether LEI was used to identify the Counterparty 2.

• True, for Legal entities
• False, for natural persons
  who are acting as private individuals (not eligible for an LEI per the ROC Statement - Individuals Acting in a Business Capacity) Under the CDE Guidance, legal entity is to be reported as "True" and individual as "False". However, for cases where a tentative LEI is used to report for a legal entity, it should be reported as "False". CDE 2.8 10 Direction 1 （Buyer/Seller） Indicator of whether the reporting counterparty is the buyer or the seller as determined at the time of the transaction. A non-exhaustive list of examples of instruments for which this data element could apply are:
• most forwards and forward-like contracts (except for foreign exchange forwards and foreign
  exchange non-deliverable forwards)
• most options and option-like contracts including swaptions, caps and floors
• credit default swaps (buyer/seller of protection)
• variance, volatility and correlation swaps
• contracts for difference and spreadbets
  This data element is not applicable to instrument types covered by data elements Direction 2. Char(4)
• BYER = buyer
• SLLR = seller
  CDE 2.13.1
  6

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Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
11
Direction 2
（Payer/Receiver）
Leg1,Leg2
Indicator of whether the reporting counterparty is the payer or the receiver of the Leg as determined at the time of the transaction. A non-exhaustive list of examples of instruments for which this data element could apply are:

• most swaps and swap-like contracts including interest rate swaps, credit total return swaps,
  and equity swaps (except for credit default swaps, variance, volatility, and correlation swaps)
• foreign exchange swaps, forwards, non-deliverable forwards
  This data element is not applicable to instrument types covered by data elements Direction 1. Char(4) ・MAKE = payer (for each Leg) ・TAKE = receiver (for each Leg) CDE 2.13.2 12 Submitter identifier Identifier of the entity submitting the data to the swap data repository (SDR). The Submitter identifier will be the same as the reporting counterparty, unless they use a third-party service provider to submit the data to SDR in which case, report the identifier of the third-party service provider. ISO 17442 Legal Entity Identifier (LEI) Char（20） See "Entity responsible for reporting". Applicable for central counterparty and financial institutions. If reporting is conducted using a platform, then the platform is deemed to be the submitter. CFTC 22 13 New SDR identifier Identifier of the new swap data repository where the swap transaction is transferred to. ISO 17442 Legal Entity Identifier (LEI) Char（20） If unapplicable, leave it blank. CFTC 105 14 Original swap SDR identifier Identifier of the swap data repository (SDR) to which the original swap was reported. ISO 17442 Legal Entity Identifier (LEI) Char（20） Applicable for central counterparty and financial institutions. CFTC 9 7

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
15 Cleared
Indicator of whether the transaction has been cleared, or is intended to be cleared, by a central counterparty.

• Y= yes, centrally cleared,
  for beta and gamma transactions.
• N= no, not centrally
  cleared.
• I= intent to clear, for alpha
  transactions that are planned to be submitted to clearing.
  "N" will be acceptable if "I" cannot be distinguished due to system limitation. If N or I, it is to be reported by the financial institution. If Yes, it is to be reported by the central counterparty. However, if the financial institution conducts a transaction with a clearing organization prescribed in Financial Services Agency Notification No. 105, the financial institution must report the transaction information as a bilateral transaction, even if it is a clearing transaction. Examples of reporting transactions with the central counterparty prescribed in JFSA Notification No. 105 are as follows :
  (Example : The following items are mandatory) 15 Cleared Y 16 LEI of central counterparty 17 LEI of the clearing member 22 Clearing account origin 23 Orginal swap UTI for alpha transaction CDE 2.14 16 Central counterparty Identifier of the central counterparty that cleared the transaction. This data element is not applicable if the value of the data element “Cleared” is “N” (“No, not centrally cleared”) or “I” (“Intent to clear”). ISO 17442 Legal Entity Identifier (LEI) Char(20) Reported by central counterparty. However, when a financial institution conducts a transaction with a central counterparty prescribed in JFSA Notification No. 105, the financial institution must report the transaction information as a bilateral transaction, even if it is a clearing transaction. CDE 2.15 17 Clearing member Identifier of the clearing member through which a derivative transaction was cleared at a central counterparty. This data element is applicable to cleared transactions under both the agency clearing model and the principal clearing model.
• In the case of the principal clearing model, the clearing member is identified as clearing
  member and also as a counterparty in both transactions resulting from clearing: (i) in the transaction between the central counterparty and the clearing member; and (ii) in the transaction between the clearing member and the counterparty to the original alpha transaction.
• In the case of the agency clearing model, the clearing member is identified as clearing
  member but not as the counterparty to transactions resulting from clearing. Under this model, the counterparties are the central counterparty and the client. This data element is not applicable if the value of the data element “Cleared” is “N” (“No, not centrally cleared”) or “I” (“Intent to clear”). ISO 17442 Legal Entity Identifier (LEI) Char(20) Reported by central counterparty. However, when a financial institution conducts a transaction with a central counterparty prescribed in JFSA Notification No. 105, the financial institution must report the transaction information as a bilateral transaction, even if it is a clearing transaction. (If clearing is concentrated through a clearing broker, report the identifiers of the clearing brokers.） CDE 2.16 8

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Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
18 Platform identifier
Identifier of the trading facility (eg multilateral trading facility, swap execution facility) on which the transaction was executed. ISO 10383 Segment Market Identifier Code (MIC) Char(4) If no trading facility was involved in the transaction:

• XOFF, for transactions in
  listed instruments
• XXXX, for transactions in
  instruments that are not listed in any venue
• BILT, if the reporting
  counterparty cannot determine whether the instrument is listed or not, as per jurisdictional requirements. In Japan, an electronic trading platform operator is applicable as a swap execution facility. This may also be applicable for reporting when facilities in the United States and Europe are used. The CDE and CFTC Technical Specifications definitions include, but are not limited to, MTFs and SEFs. Referencing to the examples used in the definition, Japanese electronic trading platform operators will need to be included for reporting. CDE 2.17 19 Confirmed For new reportable transactions (as defined by the CPMI-IOSCO Technical Guidance:
  Harmonisation of the Unique Transaction Identifier), whether the Legally binding terms of an OTC derivatives contract were documented and agreed upon (confirmed) or not (unconfirmed). If documented and agreed, whether such confirmation was done:
• via a shared confirmation facility or platform, or a private/bilateral electronic system
  (electronic);
• via a human-readable written document, such as fax, paper or manually processed e-mails
  (non- electronic).
• NCNF = unconfirmed
• ECNF = electronic
• YCNF = non-electronic
  In cases where it is difficult to ascertain the status of the agreement through paper confirmation, it is acceptable to report as non-electronic (YCNF) with agreement (DONE), However, this will be limited to cases where the status can be promptly confirmed post agreement. In cases where it is already known in advance that it will take some time before an agreement can be reached, it is expected to be reported as unconfirmed (NCNF) and then changed to non-electronic (YCNF) post agreement. Reporting of Confirmation Timestamp is optional. CDE 2.18 20 Final contractual settlement date Unadjusted date as per the contract, by which all transfer of cash or assets should take place and the counterparties should no longer have any outstanding obligations to each other under that contract. For products that may not have a final contractual settlement date (eg American options), this data element reflects the date by which the transfer of cash or asset would take place if termination were to occur on the expiration date. YYYY-MM-DD（UTC） CDE 2.19 9

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
21
Settlement currency
Leg1,Leg2
Currency for the cash settlement of the transaction when applicable. For multicurrency products that do not net, the settlement currency of each Leg. This data element is not applicable for physically settled products (eg physically settled swaptions). ISO 4217 Char(3) Offshore currencies are to be reported as onshore currency. For products denominated in multiple currencies which do not net (i.e. currency swaps that exchange JPY and foreign currency), reporting data must consist of two separate records (receipt and payment). CDE 2.20 22 Clearing account origin Indicator of whether the clearing member acted as principal for a house trade or an agent for a customer trade.

• HOUS=House
• CLIE=Client
  Reported by central counterparty. However, when a financial institution conducts a transaction with a central counterparty prescribed in JFSA Notification No. 105, the financial institution must report the transaction information as a bilateral transaction, even if it is a clearing transaction. CFTC 3 23 Original swap UTI The unique transaction identifier (UTI) of the original swap submitted for clearing to the derivatives clearing organization (DCO) that is replaced by clearing swaps. Varchar(52) UTI Reported by central counterparty. However, when a financial institution conducts a transaction with a central counterparty prescribed in JFSA Notification No. 105, the financial institution must report the transaction information as a bilateral transaction, even if it is a clearing transaction. CFTC 8 24 Clearing receipt timestamp The date and time, expressed in UTC, the original swap was received by the derivatives clearing organization (DCO) for clearing and recorded by the DCO’s system. YYYY-MM-DDThh:mm:ssZ （UTC） Reported by central counterparty. However, when a financial institution conducts a transaction with a central counterparty prescribed in JFSA Notification No. 105, the financial institution must report the transaction information as a bilateral transaction, even if it is a clearing transaction. CFTC 10 25 Unique transaction identifier (UTI) Requiring the reporting of the UTI. Varchar(52) UTI CFTC 103 10

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
26
Prior UTI (for one￾to-one and one-to￾many relations between transactions) UTI assigned to the predecessor transaction that has given rise to the reported transaction due to a lifecycle event, in a one-to-one relation between transactions (eg in the case of a novation, when a transaction is terminated, and a new transaction is generated) or in a one￾to-many relation between transactions (eg in clearing or if a transaction is split into several different transactions). This data element is not applicable when reporting many-to-one and many-to-many relations between transactions (eg in the case of a compression). Varchar(52） UTI This is applicable to one to-many or one to-one novation transactions. In addition to novation, it is to be applied to new transactions arising from the exercise of swap rights for swaptions and clearing transactions (β and γ transactions) reported by central counterparty. Additionally, in the case of novation, it is to be reported in cases where a new financial institution joins the contract (step-in party). However, in cases where no UTI has been assigned in the past, or it is physically difficult to obtain the Prior UTI, a tentative Prior UTI (unique number established by each financial institution) may be used. CDE 2.96 27 Day count convention Fixed rate day count convention Leg1,Leg2 Floating rate day count convention Leg1Leg2 For each Leg of the transaction, where applicable: day count convention (often also referred to as day count fraction or day count basis or day count method) that determines how interest payments are calculated. It is used to compute the year fraction of the calculation period, and indicates the number of days in the calculation period divided by the number of days in the year. Char(4)

• A001
• A002
• A003
• A004
• A005
• A006
• A007
• A008
• A009
• A010
• A011
• A012
• A013
• A014
• A015
• A016
• A017
• A018
• A019
• A020
• NARR
  To be reported for fixed and variable convention, and for Leg1 and Leg2. CDE 2.22 11

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
28
Payment frequency period
Fixed rate payment frequency period
Leg1,Leg 2
Floating rate payment frequency period Leg
1,Leg 2
For each Leg of the transaction, where applicable: time unit associated with the frequency of payments, eg day, week, month, year or term of the stream. Ｃｈａｒ(4)

• DAIL = daily
• WEEK = weekly
• MNTH = monthly
• YEAR = yearly
• ADHO = ad hoc which
  applies when payments are irregular
• EXPI = payment at term
  To be reported for fixed and variable convention, and for Leg1 and Leg2. CDE 2.23 29 Payment frequency period multiplier Fixed rate payment frequency period multiplier Leg 1,Leg 2 Floating rate payment frequency period multiplier Leg 1,Leg 2 For each Leg of the transaction, where applicable: number of time units (as expressed by the payment frequency period) that determines the frequency at which periodic payment dates occur. For example, a transaction with payments occurring every two months is represented with a payment frequency period of “MNTH” (monthly) and a payment frequency period multiplier of 2. This data element is not applicable if the payment frequency period is “ADHO”. If payment frequency period is “EXPI”, then the payment frequency period multiplier is 1. If the payment frequency is intraday, then the payment frequency period is “DAIL” and the payment frequency multiplier is 0. Any value greater than or equal to zero. Num(3,0) To be reported for fixed and variable convention, and for Leg1 and Leg2. CDE 2.24 30 Fixing date Leg1,Leg2 Describes the specific date when a non-deliverable forward as well as various types of FX OTC options such as cash-settled options that will "fix" against a particular exchange rate, which will be used to compute the ultimate cash settlement. YYYY-MM￾DDThh:mm:ssZ(UTC) If determining the time up to the seconds is impossible due to system restrictions, setting the time up to the seconds to "00" shall be acceptable. However, please report to the extent possible (for example, the case where seconds cannot be captured, enter the time up to the minute that can be captured, and report the second as "00Z"). CFTC 54 31 Floating rate reset frequency period Leg1,Leg2 For each floating Leg of the swap transaction, where applicable, time unit associated with the frequency of resets, e.g., day, week, month, year or term of the stream. Ｃｈａｒ(4) ・DAIL = Daily
• WEEK = Weekly
• MNTH = Monthly
• YEAR = Yearly
• ADHO = Ad hoc which
  applies when payments are irregular
• EXPI = Payment at term
  CFTC 55
  12

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
32
Floating rate reset frequency period multiplier Leg1,Leg2 For each floating Leg of the swap transaction, where applicable, number of time units (as expressed by the Floating rate reset frequency period) that determines the frequency at which periodic payment dates for reset occur. For example, a transaction with reset payments occurring every two months is represented with a Floating rate reset frequency period of “MNTH” (monthly) and a Floating rate reset frequency period multiplier of 2 This data element is not applicable if the Floating rate reset frequency period is “ADHO”. If Floating rate reset frequency period is “EXPI”, then the Floating rate reset frequency period multiplier is 1. If the reset frequency period is intraday, then the Floating rate reset frequency period is “DAIL” and the Floating rate reset frequency period multiplier is 0. Any value greater than or equal to zero. Num(3,0) CFTC 56 33 Other payment amount Payment amounts with corresponding payment types to accommodate requirements of transaction descriptions from different asset classes. Num(25,5) Exchange of principal amount is reported as both receipt and payment. With respect to the exchange of principal amount for currency swaps, following is an example of how to handle the principal amount difference arising for a Mark-to-Market type transaction. Example : If the initial USD principal is 1 and the spot at execution time is 110, then the JPY principal is fixed at 110. Assuming that the interest payment period is three months and the spot after three months is 100, the new principal amount in U.S. dollars is 1.1, which is calculated by dividing the fixed principal amount in yen of 110 by the spot amount of 100, and the change in the principal amount in U.S. dollars (0.1) shall be received and paid. For above example the expected values would be to:
・ Report the difference as other payment amount.
・ Report "modify" and other payment type as "PEXH". Also, report the new principal amount in notional amount. In the above example :
Notional Amount: USD 1.1
Other payment Type: PEXH
Other payment amount: USD 0.1
CDE 2.83
13

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
34 Other payment type
Type of Other payment amount.
Option premium payment is not included as a payment type as premiums for option are reported using the option premium dedicated data element. Char(4)

• UFRO = Upfront Payment,
  ie the initial payment made by one of the counterparties either to bring a transaction to fair value or for any other reason that may be the cause of an off-market transaction
• UWIN = Unwind or Full
  termination, ie the final settlement payment made when a transaction is unwound prior to its end date; Payments that may result due to full termination of derivative transaction(s)
• PEXH = Principal
  Exchange, ie Exchange of notional values for cross￾currency swaps Exchange of principal amount is to be reported as both receipt and payment. CDE 2.84 35 Other payment currency Currency in which Other payment amount is denominated. ISO 4217 Char(3) CDE 2.85 36 Other payment date Unadjusted date on which the other payment amount is paid. YYYY-MM-DD（UTC） CDE 2.86 14

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
37
Other payment payer
Identifier of the payer of Other payment amount.
Char(20), for an LEI code
If LEI cannot be obtained, a tentative LEI is permitted.
(Varchar(72))
[In the case of financial institutions]
Tentative LEI = Party LEI + Counterparty BIC Code [In the case of corporations and individuals] Tentative LEI = Trading Party LEI + Unique Alphanumeric Code (Control number assigned by the financial institution, etc.) Tentative LEI must have a unique alphanumeric string to ensure the party can be uniquely identified.The fund reports its LEI. CDE 2.87 38 Other payment receiver Identifier of the receiver of Other payment amount. Char(20), for an LEI code If LEI cannot be obtained, a tentative LEI is permitted. (Varchar(72)) [In the case of financial institutions] Tentative LEI = Party LEI + Counterparty BIC Code [In the case of corporations and individuals] Tentative LEI = Trading Party LEI + Unique Alphanumeric Code (Control number assigned by the financial institution, etc.) Tentative LEI must have a unique alphanumeric string to ensure the party can be uniquely identified.The fund reports its LEI. CDE 2.88 39 Valuation amount Current value of the outstanding contract without applying any valuation adjustments (some examples include XVA adjustment such as CVA, DVA, etc). Any value. Num(25,5) Valuation amount does not take into account the various valuation adjustments such as CVA (Credit Valuation Adjustment). Amount to be reported is to be the pre￾adjusted valuation amount. CDE 2.25 40 Valuation currency Currency in which the valuation amount is denominated. Currencies included in ISO 4217. Char(3) CDE 2.26 15

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
41
Valuation timestamp
Date and time of the last valuation marked to market, provided by the central counterparty or calculated using the current or last available market price of the inputs. If for example a currency exchange rate is the basis for a transaction’s valuation, then the valuation timestamp reflects the moment in time that exchange rate was current. YYYY-MM-DDThh:mm:ssZ （UTC） Valuation time period specified by each financial institution is permitted. CDE 2.27 42 Valuation method Source and method used for the valuation of the transaction by the reporting counterparty. If at least one valuation input is used that is classified as mark-to-model, then the whole valuation is classified as mark-to-model. If only inputs are used that are classified as mark-to-market, then the whole valuation is classified as mark-to-market. Char(4)

• MTMA= mark-to-market
• MTMO= mark-to-model
• CCPV= central
  counterparty’s valuation
  CDE 2.28
  43 Delta
  The ratio of the change in the price of an OTC derivative transaction to the change in the price of the underlier. Num(25,5) Internal definitions based on each financial institution are acceptable. Reporting is required for options and swaptions shall be excluded. Reporting (including any amendments made on an existing trade), is required from April 7, 2025. CDE 2.71 44 Collateral portfolio indicator Indicator of whether the collateralisation was performed on a portfolio basis. By “on a portfolio basis”, it is meant a set of transactions that are margined together (either on a net or a gross basis) contrary to the scenario where the margin is calculated and posted for each individual transaction separately. Boolean: True or False
• True, if collateralised on a
  portfolio basis
• False, if not part of a
  portfolio
  True, if collateralisation has been set for each parties involved in the transaction. Whether or not the collateralisation is set will be assumed based on CSA agreement, however it should also include any independently created collateral agreements other than CSA agreement. True, if there is a collateral agreement that covers more than one transaction even if there is only one currently outstanding balance. CDE 2.29 16

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
45
Initial margin posted by the reporting counterparty (pre￾haircut) Monetary value of initial margin that has been posted by the reporting counterparty, including any margin that is in transit and pending settlement unless inclusion of such margin is not allowed under the jurisdictional requirements. If the collateralisation is performed at portfolio level, the initial margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin posted relates to such single transaction. This refers to the total current value of the initial margin, rather than to its daily change. The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include default fund contributions, nor collateral posted against liquidity provisions to the central counterparty, ie committed credit lines. If the initial margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by the reporting counterparty and reported as one total value. Any value greater than or equal to zero. Num(25,5) Collateral reporting shall be separate from transaction reporting. If the collateralisation is performed at portfolio level, then the portfolio code and the amount of collateral (gross amount) should be reported together at the time of collateral reporting. CDE 2.31 46 Initial margin posted by the reporting counterparty (post￾haircut) Monetary value of initial margin that has been posted by the reporting counterparty, including any margin that is in transit and pending settlement unless inclusion of such margin is not allowed under the jurisdictional requirements. If the collateralisation is performed at portfolio level, the initial margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin posted relates to such single transaction. This refers to the total current value of the initial margin after application of the haircut (if applicable), rather than to its daily change. The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include default fund contributions, nor collateral posted against liquidity provisions to the central counterparty, ie committed credit lines. If the initial margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by the reporting counterparty and reported as one total value. Any value greater than or equal to zero. Num(25,5) Collateral reporting shall be separate from transaction reporting. If the collateralisation is performed at portfolio level, then the portfolio code and the amount of collateral (gross amount) should be reported together at the time of collateral reporting. CDE 2.32 47 Currency of initial margin posted Currency in which the initial margin posted is
denominated. If the initial margin posted is denominated in more than one currency, this data element reflects one of those currencies into which the reporting counterparty has chosen to convert all the values of posted initial margins. Currencies included in ISO 4217. Char(3) "Initial margin posted by the reporting counterparty (pre￾haircut)" and "Initial margin posted by the reporting counterparty (post-haircut)" shall be reported. CDE 2.33 17

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
48
Initial margin collected by the reporting counterparty (pre￾haircut) Monetary value of initial margin that has been collected by the reporting counterparty, including any margin that is in transit and pending settlement unless inclusion of such margin is not allowed under the jurisdictional requirements. If the collateralisation is performed at portfolio level, the initial margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin collected relates to such single transaction. This refers to the total current value of the initial margin, rather than to its daily change. The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include collateral collected by the central counterparty as part of its investment activity. If the initial margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by the reporting counterparty and reported as one total value. Any value greater than or equal to zero. Num(25,5) Collateral reporting shall be separate from transaction reporting. If the collateralisation is performed at portfolio level, then the portfolio code and the amount of collateral (gross amount) should be reported together at the time of collateral reporting. CDE 2.34 49 Initial margin collected by the reporting counterparty (post￾haircut) Monetary value of initial margin that has been collected by the reporting counterparty, including any margin that is in transit and pending settlement unless inclusion of such margin is not allowed under the jurisdictional requirements. If the collateralisation is performed at portfolio level, the initial margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the initial margin collected relates to such single transaction. This refers to the total current value of the initial margin after application of the haircut (if applicable), rather than to its daily change. The data element refers both to uncleared and centrally cleared transactions. For centrally cleared transactions, the data element does not include collateral collected by the central counterparty as part of its investment activity. If the initial margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by the reporting counterparty and reported as one total value. Any value greater than or equal to zero. Num(25,5) Collateral reporting shall be separate from transaction reporting. If the collateralisation is performed at portfolio level, then the portfolio code and the amount of collateral (gross amount) should be reported together at the time of collateral reporting. CDE 2.35 50 Currency of initial margin collected Currency in which the initial margin collected is denominated. If the initial margin collected is denominated in more
than one currency, this data element reflects one of those currencies into which the reporting counterparty has chosen to convert all the values of collected initial margins. Currencies included in ISO 4217. Char(3) "Initial margin collected by the reporting counterparty (pre-haircut)" and "Initial margin collected by the reporting counterparty (post-haircut)" shall be reported. CDE 2.36 18

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
51
Variation margin posted by the reporting counterparty (pre￾haircut) Monetary value of the variation margin posted by the reporting counterparty (including the cash-settled one), and including any margin that is in transit and pending settlement unless inclusion of such margin is not allowed under the jurisdictional requirements. Contingent variation margin is not included. If the collateralisation is performed at portfolio level, the variation margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin posted relates to such single transaction. This data element refers to the total current value of the variation margin, cumulated since the first reporting of variation margins posted for the portfolio/transaction. If the variation margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by the reporting counterparty and reported as one total value. Any value greater than or equal to zero. Num(25,5) Collateral reporting shall be separate from transaction reporting. If the collateralisation is performed at portfolio level, then the portfolio code and the amount of collateral (gross amount) should be reported together at the time of collateral reporting. CDE 2.37 52 Variation margin posted by the reporting counterparty (post￾haircut) Monetary value of the variation margin posted by the reporting counterparty (including the cash-settled one), and including any margin that is in transit and pending settlement unless inclusion of such margin is not allowed under the jurisdictional requirements. Contingent variation margin is not included. If the collateralisation is performed at portfolio level, the variation margin posted relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin posted relates to such single transaction. This data element refers to the total current value of the variation margin after application of the haircut (if applicable), cumulated since the first reporting of posted variation margins for the portfolio/transaction. If the variation margin posted is denominated in more than one currency, those amounts are converted into a single currency chosen by the reporting counterparty and reported as one total value. Any value greater than or equal to zero. Num(25,5) Collateral reporting shall be separate from transaction reporting. If the collateralisation is performed at portfolio level, then the portfolio code and the amount of collateral (gross amount) should be reported together at the time of collateral reporting. CDE 2.38 53 Currency of variation margin posted Currency in which the variation margin posted is denominated. If the variation margin posted is denominated in more than one currency, this data element reflects one of those currencies into which the reporting counterparty has chosen to convert all the values of posted variation margins.
Currencies included in ISO 4217. Char(3) "Variation margin posted by the reporting counterparty (pre-haircut)" and "Variation margin posted by the reporting counterparty (post-haircut)" shall be reported. CDE 2.39 19

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
54
Variation margin collected by the reporting counterparty (pre￾haircut) Monetary value of the variation margin collected by the reporting counterparty (including the cash- settled one), and including any margin that is in transit and pending settlement unless inclusion of such margin is not allowed under the jurisdictional requirements. Contingent variation margin is not included. If the collateralisation is performed at portfolio level, the variation margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin collected relates to such single transaction. This refers to the total current value of the variation margin, cumulated since the first reporting of collected variation margins for the portfolio/transaction. If the variation margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by the reporting counterparty and reported as one total value. Any value greater than or equal to zero. Num(25,5) Collateral reporting shall be separate from transaction reporting. If the collateralisation is performed at portfolio level, then the portfolio code and the amount of collateral (gross amount) should be reported together at the time of collateral reporting. CDE 2.40 55 Variation margin collected by the reporting counterparty (post￾haircut) Monetary value of the variation margin collected by the reporting counterparty (including the cash- settled one), and including any margin that is in transit and pending settlement unless inclusion of such margin is not allowed under the jurisdictional requirements. Contingent variation margin is not included. If the collateralisation is performed at portfolio level, the variation margin collected relates to the whole portfolio; if the collateralisation is performed for single transactions, the variation margin collected relates to such single transaction. This refers to the total current value of the variation margin collected after application of the haircut (if applicable), cumulated since the first reporting of collected variation margins for the portfolio/transaction. If the variation margin collected is denominated in more than one currency, those amounts are converted into a single currency chosen by the reporting counterparty and reported as one total value. Any value greater than or equal to zero. Num(25,5) Collateral reporting shall be separate from transaction reporting. If the collateralisation is performed at portfolio level, then the portfolio code and the amount of collateral (gross amount) should be reported together at the time of collateral reporting. CDE 2.41 56 Currency of variation margin collected Currency in which the variation margin collected is denominated. If the variation margin collected is denominated in more than one currency, this data element reflects one of those currencies into which the reporting counterparty has chosen to convert all the values of
collected variation margins. Currencies included in ISO 4217. Char(3) "Variation margin collected by the reporting counterparty (pre-haircut)" and "Variation margin collected by the reporting counterparty (post-haircut)" shall be reported. CDE 2.42 57 Excess collateral posted by the reporting counterparty Monetary value of any additional collateral posted by the reporting counterparty separate and independent from initial and variation margin. This refers to the total current value of the excess collateral before application of the haircut (if applicable), rather than to its daily change. Any initial or variation margin amount posted that exceeds the required initial margin or required variation margin, is reported as part of the initial margin posted or variation margin posted respectively rather than included as excess collateral posted. For centrally cleared transactions, excess collateral is reported only to the extent it can be assigned to a specific portfolio or transaction. Any value greater than or equal to zero. Num(25,5) By definition, excess collateral should be managed separately from both initial margin and variation margin. (Example : Independent Amount) CDE 2.43 20

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
58
Currency of excess collateral posted
Currency in which the excess collateral posted is denominated.
If the excess collateral posted is denominated in more than one currency, this data element reflects one of those currencies into which the reporting counterparty has chosen to convert all the values of posted excess collateral. Currencies included in ISO 4217. Char(3) By definition, excess collateral should be managed separately from both initial margin and variation margin. (Example : Independent Amount) CDE 2.44 59 Excess collateral collected by the reporting counterparty Monetary value of any additional collateral collected by the reporting counterparty separate and independent from initial and variation margin. This data element refers to the total current value of the excess collateral before application of the haircut (if applicable), rather than to its daily change. Any initial or variation margin amount collected that exceeds the required initial margin or required variation margin, is reported as part of the initial margin collected or variation margin collected respectively, rather than included as excess collateral collected. For centrally cleared transactions excess collateral is reported only to the extent it can be assigned to a specific portfolio or transaction. Any value greater than or equal to zero. Num(25,5) By definition, excess collateral should be managed separately from both initial margin and variation margin. (Example : Independent Amount) CDE 2.45 60 Currency of excess collateral collected Currency in which the excess collateral collected is denominated. If the excess collateral is denominated in more than one currency, this data element reflects one of those currencies into which the reporting counterparty has chosen to convert all the values of collected excess collateral. Currencies included in ISO 4217. Char(3) By definition, excess collateral should be managed separately from both initial margin and variation margin. (Example : Independent Amount) CDE 2.46 61 Collateralisation category Indicator of whether a collateral agreement (or collateral agreements) between the counterparties exists (uncollateralised/partially collateralised/one-way collateralised/fully collateralised). This data element is provided for each transaction or each portfolio, depending on whether the collateralisation is performed at the transaction or portfolio level, and is applicable to both cleared and uncleared transactions. Char(4) CDE 2.47 62 Initial margin collateral portfolio code If collateral is reported on a portfolio basis, a unique code assigned by the reporting counterparty to the portfolio that tracks the aggregate initial margin of a set of open swap transactions. This data element is not applicable if the collateralisation was performed on a transaction level basis, or if there is no collateral agreement, or if no collateral is posted or received. The portfolio code is required for both collateral reporting and valuation reporting in order to link the 2 data sets. Varchar(52) Report the unique code assigned by the financial
institution. If collateralisation is performed separately for each parties involved in the transaction, report the code per each party. CFTC 116 21

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
63
Variation margin collateral portfolio code
If collateral is reported on a portfolio basis, a unique code assigned by the reporting counterparty to the portfolio that tracks the aggregate variation margin related to a set of open swap transactions. This data element is not applicable if the collateralisation was performed on a transaction level basis, or if there is no collateral agreement, or if no collateral is posted or received. The portfolio code is required for both collateral reporting and valuation reporting in order to link the 2 data sets. Varchar(52) Report the unique code assigned by the financial institution. If collateralisation is performed separately for each parties involved in the transaction, report the code per each party. CFTC 124 64 Price Price specified in the OTC derivative transaction. It does not include fees, taxes or commissions. For equity forwards and similar products, this data element refers to the forward price of the underlying or reference asset. For equity swaps, portfolios swaps, and similar products, this data element refers to the initial price of the underlying or reference asset. For contracts for difference and similar products, this data element refers to the initial price of the underlier. This data element is not applicable to:

• Interest rate swaps and forward rate agreements, as it is understood that the information included in the
  data elements Fixed rate and Spread may be interpreted as the price of the transaction.
• Interest rate options and interest rate swaptions, as it is understood that the information included in the data
  elements Strike price and Option premium may be interpreted as the price of the transaction.
• Foreign exchange swaps, forwards and options, as it is understood that the information included in the data
  elements Exchange rate, Strike price, and Option premium may be interpreted as the price of the transaction.
• Equity options, as it is understood that the information included in the data elements Strike price and Option
  premium may be interpreted as the price of the transaction.
• Credit default swaps and credit total return swaps, as it is understood that the information included in the
  data elements Fixed rate, Spread and Upfront payment (Other payment type: Upfront payment) may be interpreted as the price of the transaction. Where the price is not known when a new transaction is reported, the price is updated as it becomes available. For transactions that are part of a package, this data element contains the price of the component transaction where applicable.
• Num(18,13), any value, if
  Price notation = 1
• Num(11,10), any value
  expressed as decimal (eg
  0.0257 instead of 2.57%), if
  Price notation = 3
  CDE 2.50
  65 Price currency
  Currency in which the price is denominated.
  Price currency is only applicable if Price notation = 1.
  Currencies included in ISO
  4217.
  Char(3)
  CDE 2.51
  22

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
66 Price notation Manner in which the price is expressed.
Char(1)

• 1 = monetary amount
• 3 = decimal
  The above allowable values might be restricted based on jurisdictional requirements (eg certain jurisdictions might require the value to be reported as a decimal instead of percentage). CDE 2.52 67 Price unit of measure Unit of measure in which the price is expressed. Char(4) ISO 20022:
  UnitOfMeasureCode codeset
  CDE 2.53
  68
  Price schedules -
  Unadjusted effective date of the price
  YYYY-MM-DD（UTC）
  Applicable for products where the prices will vary throughout the life of transaction. For those products that are not applicable, reporting is not required. CDE 2.54.1 69 Price schedules - Unadjusted end date of the price YYYY-MM-DD（UTC） Applicable for products where the prices will vary throughout the life of transaction. For those products that are not applicable, reporting is not required. CDE 2.54.2 70 Price schedules - Price in effect between the unadjusted effective date and unadjusted end date inclusive ・ Num(18,13) , if Price notation = 1 ・Num(11,10), if Price notation = 3 Applicable for products where the prices will vary throughout the life of transaction. For those products that are not applicable, reporting is not required. CDE 2.54.3 For OTC derivative transactions with prices varying throughout the life of the transaction:
• 68: Unadjusted effective date of the price
• 69: Unadjusted end date of the price
  (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period)
• 70: Price in effect between the unadjusted effective date and unadjusted end date inclusive.
  Price schedule is only applicable if the price varies per schedule. The currency, notation, and unit of measure for the varying prices in the schedule are reported in Price currency, Price notation, and Price unit of measure data elements. 23

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
71 Fixed rate Leg1,Leg2
For each Leg of the transaction, where applicable: for OTC derivative transactions with periodic payments, per annum rate of the fixed Leg(s). ・Num(11,10)

• Positive and negative
  values expressed as decimal (eg 0.0257 instead of 2.57%).
  In case the receipt and payment amount is fixed, it is to be converted into a rate. CDE 2.55 72 Spread Leg1,Leg2 For each Leg of the transaction, where applicable: for OTC derivative transactions with periodic payments (eg interest rate fixed/float swaps, interest rate basis swaps, commodity swaps),
• spread on the individual floating Leg(s) index reference price, in the case where there is a
  spread on a floating Leg(s). For example, USD-LIBOR-BBA plus .03 or WTI minus USD 14.65; or
• difference between the reference prices of the two floating Leg indexes. For example, the
  9.00 USD “Spread” for a WCS vs. WTI basis swap where WCS is priced at 43 USD and WTI
  is priced at 52 USD.
• Num(18,13), any value, if
  Spread notation = 1
• Num(11,10), any value
  expressed as decimal (eg
  0.0257 instead of 2.57%), if
  Spread notation = 3
• Num(5), any integer value
  expressed in basis points
  (eg 257 instead of 2.57%), if
  Spread notation = 4
  CDE 2.57
  73 Spread currency Leg1,Leg2
  For each Leg of the transaction, where applicable: currency in which the spread is denominated. This data element is only applicable if Spread notation = 1. Currencies included in ISO 4217. Char(3) CDE 2.58 24

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
74 Spread notation Leg1,Leg2 For each Leg of the transaction, where applicable: manner in which the spread is expressed. Char(1)

• 1 = monetary amount
• 3 = decimal
• 4 = basis points
  The above allowable values might be restricted based on jurisdictional requirements (eg certain jurisdictions might require the value to be reported as a decimal instead of percentage). CDE 2.59 75 Strike price
• For options other than FX options, swaptions and similar products, price at which the owner
  of an option can buy or sell the underlying asset of the option.
• For foreign exchange options, exchange rate at which the option can be exercised,
  expressed as the rate of exchange from converting the unit currency into the quoted currency. In the example 0.9426 USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 = EUR 0.9426.Where the strike price is not known when a new transaction is reported, the strike price is updated as it becomes available.
• For volatility and variance swaps and similar products the volatility strike price is reported in
  this data element.
• Num(18,13), any value (eg
  USD 6.39) expressed as
  6.39, for equity options, commodity options, foreign exchange options and similar products, if Strike price notation = 1.
• Num(11,10,), any value
  expressed as decimals (eg
  0.021 instead of 2.1%), for
  interest rate options, interest rate and credit swaptions quoted in spread, and similar products, if Strike price notation = 3. In the case of over-the-counter derivatives transactions with a Strike Price schedule, report the Strike Price as of the commencement of the transaction. CDE 2.60 76 Strike price currency/currency pair For equity options, commodity options, and similar products, currency in which the strike price is denominated. For foreign exchange options: Currency pair and order in which the strike price is expressed. It is expressed as unit currency/quoted currency. In the example 0.9426 USD/EUR, USD is the unit currency and EUR is the quoted currency, USD 1 = EUR 0.9426 Strike price currency/currency pair is only applicable if Strike price notation = 1. Currencies included in ISO 4217. Char(3) For foreign exchange options: Char(3)/Char(3); [Unit currency/Quoted currency] without restricting the currency pair ordering (ie the Strike price currency pair may be USD/EUR or EUR/USD). CDE 2.61 25

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
77
Strike price notation
Manner in which the Strike price is expressed.
Char(1)

• 1 = monetary amount
• 3=decimal
  The above allowable values might be restricted based on jurisdictional requirements (eg certain jurisdictions might require the value to be reported as a decimal instead of percentage). CDE 2.62 78 Strike price schedules - Unadjusted effective date of the strike price YYYY-MM-DD（UTC） Applicable for products where the Strike price will vary throughout the life of transaction. For those products that are not applicable, reporting is not required. CDE 2.63.1 79 Strike price schedules - Unadjusted end date of the strike price YYYY-MM-DD（UTC） Applicable for products where the Strike price will vary throughout the life of transaction. For those products that are not applicable, reporting is not required. CDE 2.63.2 80 Strike price schedules - Strike price in effect between the unadjusted effective date and unadjusted end date inclusive. Any value greater than zero. ・Num(18,13), any value (eg USD 6.39) expressed as 6.39, for equity options, commodity options, foreign exchange options and similar products if Strike price notation = 1. ・Num(11,10), any value expressed as decimal (eg
  0.021 instead of 2.1%), for
  interest rate options, interest rate and credit swaptions quoted in spread, and similar products, if Strike price notation = 3. Applicable for products where the Strike price will vary throughout the life of transaction. For those products that are not applicable, reporting is not required. (Reporting is not required if Strike Price is not stated.) CDE 2.63.3 For options, swaptions and similar products with strike prices varying throughout the life of the transaction:
• 78: Unadjusted effective date of the strike price
• 79: Unadjusted end date of the strike price
  (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period)
• 80: Strike price in effect between the unadjusted effective date and unadjusted end date
  inclusive.
  Strike price schedule is only applicable if the strike price varies per schedule. The currency for the varying strike prices in the schedule is reported in Strike price currency data element. 26

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
81
Option premium amount
For options and swaptions of all asset classes, monetary amount paid by the option buyer. This data element is not applicable if the instrument is not an option or does not embed any optionality. Num(25,5) Any value greater than or equal to zero. CDE 2.64 82 Option premium currency For options and swaptions of all asset classes, currency in which the option premium amount is denominated. This data element is not applicable if the instrument is not an option or does not embed any optionality. Currencies included in ISO 4217. Char(3) CDE 2.65 83 Option premium payment date Unadjusted date on which the option premium is paid. YYYY-MM-DD（UTC） If option premiums are paid in installments, report the first payment date. CDE 2.66 84 First exercise date First unadjusted date during the exercise period in which an option can be exercised. For European-style options, this date is same as the Expiration date. For American-style options, the first possible exercise date is the unadjusted date included in the execution timestamp. For knock-in options, where the first exercise date is not known when a new transaction is reported, the first exercise date is updated as it becomes available. This data element is not applicable if the instrument is not an option or does not embed any optionality. YYYY-MM-DD（UTC） CDE 2.67 85 Exchange rate Exchange rate between the two different currencies specified in the OTC derivative transaction agreed by the counterparties at the inception of the transaction, expressed as the rate of exchange from converting the unit currency into the quoted currency. In the example
0.9426 USD/EUR, USD is the unit currency and EUR is the quoted currency; USD 1 = EUR
0.9426.
Any value greater than zero.
Num(18,13) CDE 2.68
27

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
86
Exchange rate basis
Currency pair and order in which the exchange rate is denominated, expressed as unit currency/quoted currency. In the example 0.9426 USD/EUR, USD is the unit currency and EUR is the quoted currency, USD 1 = EUR 0.9426. Char(3)/Char(3); [Unit currency/Quoted currency], without restricting the currency pair ordering (ie the exchange rate basis may be USD/EUR or EUR/USD). Any pair of currencies included in ISO 4217. CDE 2.69 87 Notional amount Leg1,Leg2 For each Leg of the transaction, where applicable:

• for OTC derivative transactions negotiated in monetary amounts, amount specified in the
  contract.
• for OTC derivative transactions negotiated in non-monetary amounts.
• For OTC derivative transactions with a notional amount schedule, the initial notional
  amount, agreed by the counterparties at the inception of the transaction, is reported in this data element.
• For OTC foreign exchange options, in addition to this data element, the amounts are
  reported using the data elements Call amount and Put amount. For amendments or lifecycle events, the resulting outstanding notional amount is reported; (steps in notional amount schedules are not considered to be amendments or lifecycle events);
• Where the notional amount is not known when a new transaction is reported, the notional
  amount is updated as it becomes available.
  Num(25,5)
  For products denominated in multiple currencies which are not netted (i.e. currency swaps that exchange JPY and foreign currency), reporting data must consist of two separate records (receipt and payment). CDE 2.70 88 Call amount For foreign exchange options, the monetary amount that the option gives the right to buy. Any value greater than zero. Num(25,5) This item is limited to currency options for which there are call amounts and put amounts. Call Amount/Put Amount will report the same amount as Notional Amount - Leg1/Leg2. CDE 2.72 89 Put amount For foreign exchange options, the monetary amount that the option gives the right to sell. Any value greater than zero. Num(25,5) This item is limited to currency options for which there are call amounts and put amounts. Call Amount/Put Amount will report the same amount as Notional Amount - Leg1/Leg2. CDE 2.73 28

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
90 Notional currency Leg1,Leg2
For each Leg of the transaction, where applicable: currency in which the notional amount is denominated. Currencies included in ISO 4217. Char(3) For products denominated in multiple currencies which are not netted (i.e. currency swaps that exchange JPY and foreign currency), reporting data must consist of two separate records (receipt and payment). CDE 2.74 91 Call currency For foreign exchange options, the currency in which the Call amount is denominated. Currencies included in ISO 4217. Char(3) If Call Amount and Put Amount are reported, call currency and put currency is expected to be reported for all option transactions. CDE 2.75 92 Put currency For foreign exchange options, the currency in which the Put amount is denominated. Currencies included in ISO 4217. Char(3) If Call Amount and Put Amount are reported, call currency and put currency is expected to be reported for all option transactions. CDE 2.76 93 Quantity unit of measure Leg1,Leg2 For each Leg of the transaction, where applicable: unit of measure in which the Total notional quantity and the Notional quantity schedules are expressed. Char(4) ISO 20022:
UnitOfMeasureCode codeset
CDE 2.77
29

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
94
Notional amount
schedule - notional
amount in effect on associated effective date Leg1,Leg2 Num(25,5) Reported for over-the-counter derivative transactions negotiated in monetary amounts with a notional amount
schedule, and the notional amount is expected vary.
For swaps involving accumulation and amortization of the notional amount:
・ The initial notional amount agreed to by the parties at the commencement of the transaction is to be reported as Notional amount. ・ In addition, Notional amount schedule etc. should be reported at the time of commencement of transactions. ・ In the event of any subsequent changes to the
schedule,
report the changed notional amount schedule by selecting "ACTION TYPE" to "MODI" and "EVENT TYPE" to "TRAD". (There is no need to change the Notional amount schedule, if there is no change from the original schedule) ・ The initial notional amount reported at the start of the transaction will remain the same. CDE 2.78.3 95 Notional amount
schedule -
unadjusted effective date of the notional amount Leg1,Leg2 YYYY-MM-DD（UTC） Reported for over-the-counter derivative transactions negotiated in monetary amounts with a notional amount
schedule, and the notional amount is expected to vary.
CDE 2.78.1
96
Notional amount
schedule -
unadjusted end date of the notional amount
Leg1,Leg2 YYYY-MM-DD（UTC）
Reported for over-the-counter derivative transactions negotiated in monetary amounts with a notional amount
schedule, and the notional amount is expected to vary.
CDE 2.78.2
For each Leg of the transaction, where applicable:
for OTC derivative transactions negotiated in monetary amounts with a notional amount
schedule:

• 95: Unadjusted date on which the associated notional amount becomes effective
• 96: Unadjusted end date of the notional amount
  (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period)
• 94: Notional amount which becomes effective on the associated unadjusted effective date.
  The initial notional amount and associated unadjusted effective and end date are reported as the first values of the schedule. This data element is not applicable to OTC derivative transactions with notional amounts that are condition- or event-dependent. The currency of the varying notional amounts in the
  schedule is reported in Notional currency.
  30

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
97
Total notional quantity
Leg1,Leg2
For each Leg of the transaction, where applicable: aggregate Notional quantity of the underlying asset for the term of the transaction. Where the Total notional quantity is not known when a new transaction is reported, the Total notional quantity is updated as it becomes available. Any value greater than or equal to zero. Num(25,5) CDE 2.79 98 Notional quantity schedules - Unadjusted date on which the associated notional quantity becomes effective Leg1,Leg2 YYYY-MM-DD（UTC） Reported for over-the-counter derivative transactions negotiated in non-monetary amounts with a notional quanity schedule, and the notional quantity is expected to vary. CDE 2.80.1 99 Notional quantity schedules - Unadjusted end date of the notional quantity Leg1,Leg2 YYYY-MM-DD（UTC） Reported for over-the-counter derivative transactions negotiated in non-monetary amounts with a notional quanity schedule, and the notional quantity is expected to vary. CDE 2.80.2 100 Notional quantity schedules - Notional quantity which becomes effective on the associated unadjusted effective date Leg1,Leg2 Any value greater than or equal to zero. Num(25,5) Reported for over-the-counter derivative transactions negotiated in non-monetary amounts with a notional quanity schedule, and the notional quantity is expected to vary. CDE 2.80.3 For each Leg of the transaction, where applicable: for OTC derivative transactions negotiated in non- monetary amounts with a Notional quantity schedule

• 98: Unadjusted date on which the associated notional quantity becomes effective
• 99: Unadjusted end date of the notional quantity
  (not applicable if the unadjusted end date of a given schedule’s period is back-to-back with the unadjusted effective date of the subsequent period);
• 100: Notional quantity which becomes effective on the associated unadjusted effective date.
  The initial notional quantity and associated unadjusted effective and end date are be reported as the first values of the schedule. This data element is not applicable to OTC derivative transactions with notional quantities that are condition- or event-dependent. The quantity unit of measure for the varying notional quantities in the schedule is reported in Quantity unit of measure. 31

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
101 Action type
Type of action taken on the swap transaction or type of end-of-day reporting. Actions may include, but are not limited to, new, modify, correct, error, terminate, revive, transfer out, valuation, and collateral. New: An action that reports a new swap transaction. It applies to the first message relating to a new UTI. Modify: An action that modifies the state of a previously submitted transaction (e.g., credit event) or changes a term of a previously submitted transaction due to a newly negotiated modification (amendment) or updates previously missing information (e.g., post price swap). It does not include correction of a previous transaction. Correct:
An action that corrects erroneous data of a previously submitted transaction. Error: An action of cancellation of a wrongly submitted entire transaction in case it never came into existence or was not subject to the reporting requirements but was reported erroneously, or a cancellation of duplicate report. Terminate: An action that closes an existing transaction because of a new event (e.g., Compression, Novation). This does not apply to transactions that terminate at contractual maturity date. Revive: An action that reinstates a swap transaction that was reported as error or terminated by mistake. Transfer out:
An action that transfers swap transaction from one SDR to another SDR (change of swap data repository). Valuation: An update to valuation data. There will be no corresponding Event type. Collateral: An update to collateral margin data. There will be no corresponding Event type.

• NEWT = New
• MODI = Modify
• CORR = Correct
• EROR = Error
• TERM = Terminate
• REVI = Revive
• PRTO = Transfer out
• VALU = Valuation
• MARU = Collateral
  Status for reporting items such as "LEI" and "Confirm" could change during contract period. For those updates which does not involve contractual changes or error corrections, use Action Type: Modify. If New, Correct, or Modify occurs on the same day as the valuation for a same transaction, report the correction and valuation separately. [Specific example] (Specific example 1) Where an equity option transaction is knocked-out (currently reported as modify with a notional amount of 0) Report "ACTION TYPE" as "Terminate (TERM)" and "EVENT TYPE" as "Early Termination (EART)". (Specific Example 2) Where a customer cancels an equity option transaction (currently reported as cancel) Report "ACTION TYPE" as "Terminate (TERM)" and "EVENT TYPE" as "Early Termination (EART)". (Specific example 3) Exercise of equity option transactions (previously excluded from reporting) Report "ACTION TYPE" as "Terminate (TERM)" "EVENT TYPE" as "Exercise (EXER)". In cases where the rights are exercised, it is expectd to be reported as "Terminate" and "Exercise". CFTC 26 32

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
102 Event type
Explanation or reason for the action being taken on the swap transaction. Events may include, but are not limited to, trade, novation, compression or risk reduction exercise, early termination, clearing, exercise, allocation, clearing and allocation, credit event, and transfer. Trade: A creation or modification of a transaction. Novation: A novation Legally moves partial or all of the financial risks of a swap from a transferor to a transferee and has the effect of terminating/modifying the original transaction and creating a new transaction to identify the exposure between the transferor/transferee and remaining party. Compression or Risk Reduction Exercise: Compressions and risk reduction exercises generally have the effect of terminating or modifying (i.e., reducing the notional value) a set of existing transactions and of creating a set of new transaction(s). These processes result in largely the same exposure of market risk that existed prior to the event for the counterparty. Early termination: Termination of an existing swap transaction prior to scheduled termination or maturity date. Clearing: Central clearing is a process where a derivatives clearing organization interposes itself between counterparties to contracts, becoming the buyer to every seller and the seller to every buyer. It has the effect of terminating an existing transaction between the buyer and the seller and thereby ensuring the performance of open contracts. Exercise: The process by which a counterparty fully or partially exercises their rights specified in the contract of an option or a swaption. Allocation:
The process by which an agent, having facilitated a single swap transaction on behalf of several clients, allocates a portion of the executed swap to the clients. Clearing and Allocation:
A simultaneous clearing and allocation event in a derivatives clearing organization. Credit event:
An event or trigger that results in the termination or modification of the state of a previously submitted credit derivative transaction. Applies only to credit derivatives. Transfer:
The process by which a swap is transferred to another SDR that has the effect of the closing of the swap transaction at one SDR or opening of the same swap transaction using the same UTI/USI in a different SDR (new). Corporate event:
A corporate action on equity underlying that impacts the transactions on that equity. Upgrade: An upgrade of an outstanding transaction performed in order to ensure its conformity with the amended reporting requirements.

• TRAD = Trade
• NOVA = Novation
• COMP = Compression or
  Risk Reduction
• ETRM = Early termination
• CLRG = Clearing
• EXER = Exercise
• ALOC = Allocation
• CLAL = Clearing &
  Allocation
• CREV = Credit event
• PTNG = Transfer
• CORP = Corporate event
• UPDT = Upgrade
  CFTC 27
  103 Event identifier
  Unique identifier to link swap transactions resulting from an event may be, but is not limited to, compression, and credit event. The unique identifier may be assigned by the reporting counterparty or a service provider. Varchar(52) ISO 17442 Legal Entity Identifier (LEI) code of the entity assigning the event identifier followed by a unique identifier up to 32 characters. This element is necessary as Prior UTIs cannot be used for compression and credit events. Any ID assigned by a service provider is expected to be reported. However if the assignment is done by the reporting counterparty, then it is not expected for the assigned ID to be shared between the parties to the transaction. CFTC 29 33

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
104 Event timestamp
Date and time of occurrence of the event as determined by the reporting counterparty or a service provider. In the case of a clearing event, date and time when the original swap is accepted by the derivative clearing organization (DCO) for clearing and recorded by the DCO’s system should be reported in this data element. The time element is as specific as technologically practicable. YYYY-MM-DDThh:mm:ssZ （UTC） System input time, data generation time, and system connection time are to be considered as acceptable values. In addition, if determining the time up to the seconds is impossible due to system restrictions, setting the seconds to "00" shall be acceptable. Cancellation report of α - transactions by financial institutions do not necessarily have to match the date and time recorded by the central counterparty's system. The date and time recorded by the central counterparty's system will be submitted by the central counterparty when they report their β and γ transactions. CFTC 30 105 Index factor The index version factor or percent, expressed as a decimal value, that multiplied by the Notional amount yields the notional amount covered by the seller of protection for credit default swap. Num(11,10) Any value between 0 and 1 (including 0 and 1), expressed as decimal (e.g.,
0.05 instead of 5%).
(Example)
Gross Notional amount : JPY 1 billion
Reference : Index comprised of 50 Japanese companies (iTraxx Japan) Notional amount for each company : JPY 20 million each Credit event settlement : <Credit event occur for company #1> ①Company #1 to settle for JPY 20 million ②Gross Notional amount reduced to 980 million yen, contract to be continued ⇒ The INDEX Factor will become 98%. (Calculate notional amount after the credit event) INDEX Factor will be 100% at the start of the transaction, and will become Version2 notional/Version1 notional when the credit event occurs. CFTC 85 106 Embedded option type Type of option or optional provision embedded in a contract.

• MDET = Mandatory early
  termination
• OPET = Optional early
  termination
• CANC = Cancelable
• EXTD = Extendible
• OTHR = Other
  Embedded options are products that combines with other options, such as callable swaps. CFTC 86 34

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
107
Unique product identifier
A unique set of characters that represents a particular OTC derivative. Char(12) ISO 4914 Unique product identifier A list of allowable values and their format will be published by the UPI issuer. Reporting (including any amendments made on an existing trade), is required from April 7, 2025. CFTC 87 108 Delivery type Indicates whether the contract is settled physically or in cash. 4 alphabetic characters:
・CASH = Cash
・PHYS = Physical
・OPTL = Optional for counterparty or when determined by a third party ESMA 47 109 Asset Class Each reported contract shall be classified according to the asset class it is based on. ・CRDT = Credit ・CURR = Currency ・EQUI = Equity ・INTR = Interest Rate ・OTHR=Other When the underlying assets of the derivatives are crypto￾assets :
Select "OTHR = Other"
ESMA 11
110
Underlying identification type
The type of relevant underlying identifier.
1 alphabetic character:
・I = ISIN
・B = Basket
・X = Index
ESMA 13
111
Underlying identification
The direct underlying shall be identified by using a unique identification for this underlying based on its type. For Credit Default Swaps, the ISIN of the reference obligation should be provided. For underlying identification type I: ISO 6166 ISIN 12 character alphanumeric code For underlying identification type X: ISO 6166 ISIN if available If the reference asset is an index without ISIN, report the asset under "Indicator of the underlying index". ESMA 14 35

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
112
Indicator of the underlying index
An indication of the underlying index, where available.
The indication of the floating rate index. 4 alphabetic characters:
・ESTR = €STR
・SONA = SONIA
・SOFR = SOFR
・EONA = EONIA
・EONS = EONIA SWAP
・EURI = EURIBOR
・EUUS = EURODOLLAR
・EUCH = EuroSwiss
・GCFR = GCF REPO
・ISDA = ISDAFIX
・LIBI = LIBID
・LIBO = LIBOR
・MAAA = Muni AAA
・PFAN = Pfandbriefe
・TIBO = TIBOR
・STBO = STIBOR
・BBSW = BBSW
・JIBA = JIBAR
・BUBO = BUBOR
・CDOR = CDOR
・CIBO = CIBOR
・MOSP = MOSPRIM
・NIBO = NIBOR
・PRBO = PRIBOR
・TLBO = TELBOR
・WIBO = WIBOR
・TREA = Treasury
・SWAP = SWAP
・FUSW = Future SWAP
・EFFR = Effective Federal Funds Rate
・OBFR = Overnight Bank Funding Rate
・CZNA = CZEONIA
・TONA = TONA
・TORF = TORF
・RCTR = RBATCTR
・CORA = CORRA
・BCOL = CABROVER
・HKIO = HIBOR
・BJUO = MUTSCALM
・ETIO = JBATIBOR
・SIBO = SIBOR
・SSOR = SOR
・SORA = SORA
If the indicator of the underlying index does not exist in the list, report the index using the "Name of the underlying index". ESMA 15 113 Name of the underlying index The full name of the underlying index as assigned by the index provider. Up to 50 alphanumeric characters. If the indicator of the underlying index does not exist in the list, report the full name of the index here. ESMA 16 114 Reference entity Identification of the underlying reference entity. ISO 3166 - 2 character country code, or ISO 3166-2 - 2 character country code followed by dash “-“ and up to 3 alphanumeric character country subdivision code, or ISO 17442 Legal Entity Identifier (LEI) 20 alphanumeric character code ESMA 144 36

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
115
Indicator of the floating rate
Leg1,Leg2 An indication of the interest rate, where available.
The indication of the floating rate index. 4 alphabetic characters:
・ESTR = €STR
・SONA = SONIA
・SOFR = SOFR
・EONA = EONIA
・EONS = EONIA SWAP
・EURI = EURIBOR
・EUUS = EURODOLLAR
・EUCH = EuroSwiss
・GCFR = GCF REPO
・ISDA = ISDAFIX
・LIBI = LIBID
・LIBO = LIBOR
・MAAA = Muni AAA
・PFAN = Pfandbriefe
・TIBO = TIBOR
・STBO = STIBOR
・BBSW = BBSW
・JIBA = JIBAR
・BUBO = BUBOR
・CDOR = CDOR
・CIBO = CIBOR
・MOSP = MOSPRIM
・NIBO = NIBOR
・PRBO = PRIBOR
・TLBO = TELBOR
・WIBO = WIBOR
・TREA = Treasury
・SWAP = SWAP
・FUSW = Future SWAP
・EFFR = Effective Federal Funds Rate
・OBFR = Overnight Bank Funding Rate
・CZNA = CZEONIA
・TONA = TONA
・TORF = TORF
・RCTR = RBATCTR
・CORA = CORRA
・BCOL = CABROVER
・HKIO = HIBOR
・BJUO = MUTSCALM
・ETIO = JBATIBOR
・SIBO = SIBOR
・SSOR = SOR
・SORA = SORA
If the floating rate index does not exist in the list, report the index using the "Name of the floating rate". ESMA 84 100 116 Name of the floating rate Leg1,Leg2 The full name of the interest rate as assigned by the index provider. Up to 50 alphanumeric characters. Use this item when the Indicator of the floating rate does not include a floating rate index to be reported. ESMA 85 101 117 Floating rate reference period – time period Leg1,Leg2 Time period describing the reference period for the floating rate of Leg1,Leg2. 4 alphabetic characters:
・DAIL = daily
・WEEK = weekly
・MNTH = monthly
・YEAR = yearly
・ADHO = ad hoc which applies when payments are irregular ・EXPI = payment at term ESMA 89 105 37

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
118
Floating rate reference period – multiplier
Leg1,Leg2 Multiplier of the time period describing the reference period for the floating rate of Leg1,Leg2. Any integer value greater than or equal to zero up to 3 numeric characters. ESMA 90 106 119 Derivative based on crypto-assets Indicator whether the derivative is based on cryptoassets. Boolean: True or False ESMA 12 120 Maturity date of the underlying In case of swaptions, maturity date of the underlying swap. YYYY-MM-DD（UTC） Reported for swaptions only. ESMA 142 121 Seniority（CD） Indicates the seniority of the debt security, or debt basket or index underlying a derivative. 4 alphabetic characters ・SNDB = Senior, such as Senior Unsecured Debt (Corporate/Financial), Foreign Currency Sovereign Debt (Government), ・SBOD = Subordinated, such as Subordinated or Lower Tier 2 Debt (Banks), Junior Subordinated or Upper Tier 2 Debt (Banks), ・OTHR = Other, such as Preference Shares or Tier 1 Capital (Banks) or other credit derivatives ESMA 143 122 Series （CD) The series number of the composition of the index if applicable. Integer field up to 5 characters. ESMA 145 38

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
123 Version（CD)
A new version of a series is issued if one of the constituents defaults and the index has to be reweighted to account for the new number of total constituents within the index. Integer field up to 5 characters. ESMA 146 124 CDS index attachment point Defined lower point at which the level of losses in the underlying portfolio reduces the notional of a tranche. For example, the notional in a tranche with an attachment point of 3% will be reduced after 3% of losses in the portfolio have occurred. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket). Num(11,10) Any value between 0 and 1 (including 0 and 1)expressed as decimal (eg
0.05 instead of 5%).
CDE 2.81
125
CDS index detachment point
Defined point beyond which losses in the underlying portfolio no longer reduce the notional of a tranche. For example, the notional in a tranche with an attachment point of 3% and a detachment point of 6% will be reduced after there have been 3% of losses in the portfolio. 6% losses in the portfolio deplete the notional of the tranche. This data element is not applicable if the transaction is not a CDS tranche transaction (index or custom basket). Num(11,10) Any value between 0 and 1 (including 0 and 1)expressed as decimal (eg
0.05 instead of 5%).
CDE 2.82
126
Custom basket code
If the OTC derivative transaction is based on a custom basket, unique code assigned by the structurer of the custom basket to link its constituents. This data element is not applicable if no custom basket is involved or no unique code has been assigned to it. Varchar(72) LEI of the basket structurer followed by 52 alphanumeric characters. A custom basket should be used for any asset class which refers to multiple indices (i.e. first to default, rainbow options, etc.). CDE 2.97 127 Identifier of the basket's constituents Underliers that represent the constituents of a custom basket, in line with the underlier ID within the UPI reference data elements, as defined by the CPMI-IOSCO Technical Guidance:
Harmonisation of the Unique Product Identifier. This data element is not applicable if no custom basket is involved. Varchar(350) An identifier that can be used to determine an asset, index or benchmark included in a basket. Up to 350 alphanumeric characters. CDE 2.98 128 Basket constituent identifier source Source of the underliers’ identifiers that represent the constituents of a custom basket. This data element is not applicable if no custom basket is involved. Varchar(350) The origin, or publisher, of the associated basket constituent identifier. Up to 350 alphanumeric characters. CDE 2.101 39

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
129 Contract type Each reported contract shall be classified according to its type. ・CFDS = Financial contracts for difference ・FRAS = Forward rate agreements ・FORW = Forwards ・OPTN = Option ・SPDB = Spreadbet ・SWAP = Swap ・SWPT = Swaption ・OTHR = Other ESMA 10 130 Option style Indicates whether the option may be exercised only at a fixed date (European), a series of pre-specified dates (Bermudan) or at any time during the life of the contract (American). 4 alphabetic characters:
・AMER = American
・BERM = Bermudan
・EURO = European
For Caps and Floors, report "EURO". ESMA 133
131 Option type
Indication as to whether the derivative contract is a call (right to purchase a specific underlying asset) or a put (right to sell a specific underlying asset) or whether it cannot be determined whether it is a call or a put at the time of execution of the derivative contract. In case of swaptions it shall be:

• “Put”, in case of receiver swaption, in which the buyer has the right to enter into a swap as
  a fixed-rate receiver.
  -“Call”, in case of payer swaption, in which the buyer has the right to enter into a swap as a fixed-rate payer. In case of Caps and Floors it shall be:
  -“Put”, in case of a Floor.
  -“Call”, in case of a Cap.
  4 alphabetic character:
  ・PUTO = Put
  ・CALL = Call
  ・OTHR = where it cannot be determined whether it is a call or a put ESMA 132 132 Package identifier Identifier (determined by the reporting counterparty) in order to connect
• two or more transactions that are reported separately by the reporting counterparty, but that
  are negotiated together as the product of a single economic agreement.
• two or more reports pertaining to the same transaction whenever jurisdictional reporting
  requirement does not allow the transaction to be reported with a single report to TRs. A package may include reportable and non-reportable transactions. This data element is not applicable
• if no package is involved, or
• to allocations
  Where the package identifier is not known when a new transaction is reported, the package identifier is updated as it becomes available. Varchar(35) It shall be a unique identifier. It is not expected to be shared with the parties involved in the transaction. CDE 2.89 40

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
133
Package transaction price
Traded price of the entire package in which the reported derivative transaction is a component. This data element is not applicable if

• no package is involved, or
• package transaction spread is used
  Prices and related data elements of the transactions (Price currency, Price notation, Price unit of measure) that represent individual components of the package are reported when available. The package transaction price may not be known when a new transaction is reported but may be updated later.
• Num(18,13), any value, if
  Package transaction price notation = 1
• Num(11,10), any value
  expressed as decimal (eg
  0.0257 instead of 2.57%), if
  Package transaction price notation = 3
  CDE 2.90
  134
  Package transaction price currency
  Currency in which the Package transaction price is denominated. This data element is not applicable if
• no package is involved, or
• Package transaction spread is used, or
• Package transaction price notation = 3
  Currencies included in ISO
  4217.
  Char(3)
  CDE 2.91
  135
  Package transaction price notation
  Manner in which the Package transaction price is expressed. This data element is not applicable if
• no package is involved, or
• Package transaction spread is used
  Char(1)
• 1 = monetary amount
• 3 = decimal
  The above allowable values might be restricted based on jurisdictional requirements (eg certain jurisdictions might require the value to be reported as a decimal instead of percentage). CDE 2.92 41

＃
Source
Allowable values for each data element
Remarks
Data Element
Name
Leg1,Leg2 Definition of data elements
136
Package transaction spread
Traded price of the entire package in which the reported derivative transaction is a component of a package transaction. Package transaction price when the price of the package is expressed as a spread, difference between two reference prices. This data element is not applicable if

• no package is involved, or
• Package transaction price is used
  Spread and related data elements of the transactions (spread currency, Spread notation) that represent individual components of the package are reported when available. Package transaction spread may not be known when a new transaction is reported but may be updated later.
• Num(18,13), any value, if
  Package transaction spread notation = 1
• Num(11,10), any value
  expressed as decimal (eg
  0.0257 instead of 2.57%), if
  Package transaction spread notation = 3
• Num(5), any integer value
  expressed in basis points
  (eg 257 instead of 2.57%), if
  Package transaction spread notation = 4
  CDE 2.93
  137
  Package transaction spread currency
  Currency in which the Package transaction spread is denominated. This data element is not applicable if
• no package is involved, or
• Package transaction price is used, or
• Package transaction spread notation = 3 or = 4
  Currencies included in ISO
  4217.
  Char(3)
  CDE 2,94
  138
  Package transaction spread notation
  Manner in which the Package transaction spread is expressed. This data element is not applicable if
• no package is involved, or
• Package transaction price is used
  Char(1)
• 1 = monetary amount
• 3 = decimal
• 4 = basis points
  The above allowable values might be restricted based on jurisdictional requirements (example, certain jurisdictions might require the value to be reported as a decimal instead of percentage). CDE 2.95 42

How to determine the generation of Unique Transaction Identifier (UTI) December 2022 Financial Services Agency of Japan Attachment 2

1
１.Background and Overview
The Financial Instruments and Exchange Act (hereinafter referred to as”FIEA”) and the Cabinet Office Order on the Regulation of Over-the-Counter Derivatives Transactions, etc. (hereinafter referred to as”Cabinet Office Order”), which was amended in August 2022, require financial instruments clearing organizations (central counterparty clearing houses (CCPs)) and financial instruments business operators (FIBOs)) to provide OTC derivatives trade data to trade repositories (TRs). TRs are required to prepare and preserve the records concerning items specified in Article 4(1) of the Cabinet Office Order and submit trade data to Prime Minister. One of the items to be reported is the identification of transactions (Unique Transaction Identifier (UTI)). The “How to determine the generation of Unique Transaction Identifier (UTI)” summarizes approaches related to mainly UTI generation responsibility and UTI sharing. This document reflects discussions raised in the public-private sector meeting, which includes the Financial Services Agency of Japan (hereinafter referred to as the “JFSA”), financial services industry organizations, market infrastructure providers, and financial institutions. ２.Premise (１) Definition of terms The definitions used in this “How to determine the generation of Unique Transaction Identifier (UTI)” are as follows. Terms Descriptions Reporting Entity “Financial instruments clearing organizations” as defined in Article 1(2)(viii) of the Cabinet Office Order and “business operators, etc. that are subject to the creation of trade data (transaction information)” (BOCTDs) as defined in Article 2(4)(iv)(a) of the Cabinet Office Order. Non-Reporting Entity An entity other than the Reporting Entity. Cross-jurisdictional Transactions Transactions reported in Japan and other jurisdictions. Interest Rate Derivatives Interest rate swaps and interest rate options or similar instruments. Trading Platform Trading Platform is not defined in the “Technical guidance: Harmonisation of the unique transaction identifier” ("Technical Guidance") issued in 2017 by the Committee on Payments and Market Infrastructures and the International Organization of Securities Commissions (“CPMI-IOSCO”). This document refers

2 to the Trading Platform as electronic trading platforms (ETP) for example, and does not include CCPs. Confirmation Platform The Technical Guidance refers to platforms confirming trades electronically. (２) UTI UTI is a unique code that is assigned to each reportable transaction. It is intended to prevent duplicative reporting and to facilitate global data aggregation by regulators. UTIs structure and format is specified in ISO 23897 as a concatenated combination of the LEI (20 characters) of the UTI generator at the point of generation and a unique identifier created by that entity, structured with a maximum of 52 characters constructed solely from upper-case alphabetic characters A-Z or the digits 0-9 (inclusive in both cases). (Reference) Waterfall Approach under the Technical Guidance The Technical Guidance requires the generation of new UTI not only in the course of initial reports of new reportable transactions, but also when (i) there is a change to either counterparty (e.g. due to clearing, etc.), or when (ii) an OTC derivatives transaction is replaced by one or more other OTC derivatives transactions (e.g. due to compression, netting, the transaction is split into different transactions, etc.), whether or not they involve the same or different counterparties. The Technical Guidance takes a waterfall approach to determine the UTI generator as follows. Step Factor to consider Responsibility for UTI generation 1 Is a CCP a counterparty to this transaction? If so, the CCP. Otherwise, see step 2. 2 Is a counterparty to this transaction a clearing member of a CCP, and if so is that clearing member acting in its clearing member capacity for this transaction? If so, the clearing member. Otherwise, see step 3. 3 Was the transaction executed on a trading platform? If so, the trading platform. Otherwise, see step 4. 4 Is the transaction cross-jurisdictional (i.e. are the counterparties to the If so, see step 10. Otherwise, see step 5.

3
Step Factor to consider Responsibility for UTI generation transaction subject to more than one jurisdiction’s reporting rules)? 5 Do both counterparties have reporting obligations? If so, see step 6. Otherwise, see step 7. 6 Has the transaction been electronically confirmed or will it be and, if so, is the confirmation platform able, willing and permitted to generate a UTI within the required time frame under the applicable rules? If so, the confirmation platform. Otherwise, see step 7. 7 Does the jurisdiction employ a counterparty-status-based approach (e.g., rule definition or registration status) for determining which entity should have responsibility for generating the UTI? If so, see step 8. Otherwise, see step 11 8 Do the counterparties have the same regulatory status for UTI generation purposes under the relevant jurisdiction? If so, see step 11. Otherwise, see step 9 9 Do the applicable rules determine which entity should have responsibility for generating the UTI? If so, the assigned entity. Otherwise, see step 12. 10 Does one of the jurisdictions have a sooner deadline for reporting than the other(s)? If so, then the UTI generation rules of the jurisdiction with the sooner reporting deadline should be followed. Otherwise, see step 11. 11 Do the counterparties have an agreement governing which entity should have responsibility for generating the UTI for this transaction? If so, the agreed entity. Otherwise, see step 12. 12 Has the transaction been electronically confirmed or will it be and, if so, is the confirmation platform able, willing and permitted to generate a UTI within the required If so, the confirmation platform. Otherwise, see step 13.

4
Step Factor to consider Responsibility for UTI generation time frame under the applicable rules? 13 Is there a single TR to which reports relating to the transaction have to be made, and is that TR able, willing and permitted to generate UTIs under the applicable rules? If so, the TR. Otherwise, one of the counterparties, based on sorting the identifiers of the counterparties with the characters of the identifier reversed and picking the counterparty that comes first in this sort sequence. ３.Approach for UTI Generation Responsibility in Japan (１) Concept The concept regarding the generation responsibility of UTIs in Japan is described below. [Transactions between Reporting Entities] (i) UTI is generated in accordance to the Technical Guidance as described above. (ii) Otherwise, including cases where it is practically difficult to follow (i), the parties determine the UTI generation responsibility based on bilateral agreement. Other method may also be considered, such as an agreement that one party, based on its scale, will always be the UTI generator. Excessive burdens should be avoided. If the Trading Platform or the Confirmation Platform is unable to generate UTI due to system trouble or other temporary reasons, the Reporting Party needs to report a provisional UTI and then replace it with a genuine UTI. In case of transactions between BOCTDs, where the one’s average month￾end notional amount of outstanding OTC derivatives exceeds JPY300 billion for the previous fiscal year from April to March while the other one is not, the former BOCTD could be regarded as the UTI generator. This is because that the latter one would be exempted from reporting requirements for certain OTC derivatives defined in Article 7(3) and Article 8(4) of the Cabinet Office order and Article 1 and 2 of the JFSA Notification No. 11 of 2021 "Financial Instruments Business Operators, etc. and Transactions designated by the Financial Services Agency Commissioner.”

5
[Transactions between Reporting Entities and Non-Reporting Entities] If the UTIs for transactions between Reporting Entity and Non-Reporting Entity (certain FIBOs, non FIBOs, and Individuals, etc.) are not generated by any platform, the Reporting Entity has responsibility for generating UTI. [Transactions between Non-Reporting Entities] Transactions between non-reporting entities are not required to be reported. (２) Consideration by financial products characteristics The following summarizes the classification of generating parties by product in consideration of (１) and market practice in Japan. A. Interest Rate Derivatives, CDS

1 Alpha transactions are transactions between parties to the original transactions before cleared through a CCP. When reporting beta and gamma transactions, which are transactions between a CCP and each party to the alpha transaction executed as a result of clearing, CCPs need UTI of an alpha transaction as a prior UTI. Therefore, UTI should be properly linked from the Trading or Confirmation Platform such as through request for clearing (The same approach shall apply hereafter with respect to a clearing transaction). 2 In case where the transaction is cleared through CCPs designated by the JFSA Notification No.105 of 2011, " Designation of Transactions and Loans Designated by the Commissioner of the Financial Services Agency Excluded from Transactions Subject to Financial Instruments Obligation Assumption Service “, a Reporting Entity is required to report the transaction. (The same shall apply hereafter.) (i) Infrastructure used in the process of transaction (ii) Cleared/ not cleared (iii) Transaction Type UTI generator Notes Trading Platform Cleared alpha 1 Trading Platform () If the transaction is not cleared, contracting counterparty shall report as a bilateral transaction. beta and gamma CCP CCP is required to report the transaction. 2 Not cleared Trading Platform () Confirmation Platform Cleared alpha Confirmation Platform (*) Only if UTI is not generated by the Trading Platform.

6

• If the Trading/Confirmation platform does not agree to generate UTI, the
  UTI generator should be determined in accordance to "transactions other than the above". B. Equity derivatives Infrastructure used in the process of transaction UTI generator Confirmation platform Confirmation platform (*) Transactions other than the above Determined by bilateral agreement
• If the Confirmation platform does not agree to generate UTI, the UTI
  generator should be determined in accordance to "transactions other than the above".
  C. Currency options, NDF
  4 and NDO
  The UTI should be generated following the approach described in (1) above. As for swaptions, UTIs shall be generated respectively at the time of new transactions and exercise.

3 For example, the paper confirmation issuer or larger Reporting Entity could be a UTI generator. 4 non-deliverable forward If the transaction is not cleared, contracting counterparty shall report as a bilateral transaction. beta and gamma CCP CCP is required to report the transaction 5 . Not cleared Confirmation Platform (*) Only if it is not generated by the Trading Platform. Transactions other than the above Bilateral agreement 3

7
(３)Cross-jurisdictional Transactions
In principle, the waterfall approach of the Technical Guidance should apply to Cross-jurisdictional Transactions, but if it is difficult to confirm Step 10 "Does one of the jurisdictions have a sooner deadline for reporting than the other(s)?,” counterparties may skip and move to the step 11.

• Where it is difficult to obtain a comprehensive and accurate understanding of
  the regulations to which counterparties are subject to, the above treatment is applied, and the reporting party is not required to determine a jurisdiction with the soonest reporting deadlines, as requested in the step 10. However, it is necessary to negotiate with the counterparty beforehand. In addition, this treatment is not prioritized over the rules of other jurisdictions, and the Reporting Party should also respect rules which the counterparty is subject to. ４.Approach for UTI Sharing in Japan (１) Concept In case for transactions between Reporting Entities, both parties are required to report the same UTI. UTI should be shared between the entities in a timely manner and no later than the reporting deadline. Although UTI sharing method will be decided by each transaction, this document sets out the primary approach as follows. Infrastructure used in the process of transaction Approach for UTI sharing Trading Platform Confirmation Platform Confirmation Platform5 SWIFT SWIFT 6 Otherwise i.e. paper confirmation* or e-mail
• Note that operational risk is higher compared with other methods. Sharing using
  electronic methods are preferred wherever possible.
  In principle, UTI should be shared promptly such as at the time of execution, since the trade data (transaction information) must be reported to the TRs within T+2 business days. However, on the assumption that UTI should be shared in time for reporting as much as possible, if it takes some time to share the UTI,

5 When a Trading Platform is used, this is limited to cases where UTIs generated by the Trading Platform are shared via the Confirmation Platform (the same applies in "(2) A"). 6 The SWIFT messages set “22M (UTI Namespace/Issuer Code)”and “22N (Transaction Identifier)" as tags for UTI.

8 reporting of provisional UTI assigned by the receiving counterparty is permitted. The provisional UTI should be replaced as soon as the genuine UTI is assigned. (２) Consideration by financial products characteristics Based on the concept in (１) above, this document sets out more detailed sharing method by products characteristics as follows. For products not described in this document, sharing method should be determined bilaterally. A. Interest Rate Derivatives, CDS (i) Infrastructure used in the process of transaction (ii) Cleared/ not cleared (iii) Transaction Type Approach for UTI sharing Trading Platform Cleared alpha Confirmation Platform beta and gamma To be shared via CCP reporting tools if necessary. Not cleared Confirmation Platform Confirmation Platform Cleared alpha Confirmation Platform beta and gamma To be shared via CCP reporting tools if necessary. Not cleared Confirmation Platform Transactions other than above A paper confirmation or e-mail as example. B. Equity derivatives Infrastructure used in the process of transaction Approach for UTI sharing Confirmation Platform Confirmation Platform Transactions other than above Paper confirmation or e-mail
C. Currency options, NDF and NDO
Shared via SWIFT, paper confirmation or e-mail

9
５.Other Issues
(１) Lifecycle events that require generation of a new UTI The determination on whether or not a new UTI is required to be generated for each transaction should be considered in accordance with Technical Guidance. When a transaction is terminated and replaced with one or more other transactions, new UTIs should be used. 7 The basic approach is as follows:
(i) If new information is being reported for a legacy OTC derivatives transaction, or some of the previously reported information has changed, then the report should be updated using the same UTI. Examples of situations where the previous UTI should be maintained include:
a. A revaluation or similar is reported. b. Some previously reported information, such as whether the trade has been confirmed, has changed.
c. The contract is an amortizing swap or similar, and the notional has
changed in accordance with the contractual terms. d. Reporting of end-of-life events such as early termination. 8 e. Some previously reported information that was incorrect and is being corrected unless the incorrect information is the UTI itself. (ii) Otherwise, a new UTI should be used. Examples of this include:
a. A change to either counterparty. This includes Novation 9 or clearing where either of the counterparty is changed to a CCP. b. Where an OTC derivatives transaction is replaced by one or more other transactions, regardless of whether same or different counterparties are involved. (e.g., Compressions)

7 As for swaptions, a UTI shall be allocated at the time of the new transaction. Then, following the exercise of swaptions, a new UTI shall be allocated respectively to each underlying swaps, and the existing UTI shall be reported as prior UTI. 8 The same approach applies to partial unwind. 9 In the case of a full novation, a new UTI should be allocated to the transaction at the time of the novation (where the counterparty has changed), and the existing UTI of the original terminated transaction should be reported as prior UTI. In the case of a partial novation, the UTI of the original transaction remains unchanged. For the transaction corresponding to novation (which the counterparty has changed), new UTI should be allocated, and the UTI of the original transaction should be reported as prior UTI.

10
(２)Outstanding transactions
There are two possible cases where a UTI field for outstanding transaction needs to be updated after the new reporting requirement comes into effect:
(i) where no identifier is generated or (ii) where any relevant transaction identifier such as Unique Swap Identifier(USI) or UTI not in line with Technical Guidance is already generated. In the case of (i), a new UTI shall be generated by the Reporting Entity, and in the case of (ii), the existing relevant transaction identifier shall be reported. As for transactions executed between two or more Reporting Entities, the newly generated UTIs for case (i) does not need to be shared if the different newly generated UTIs are reported by each Reporting Entities.