17 CFR Appendix 1
Exhibits A-D
April 15, 2021
Exhibit A—Minimum Primary Economic Terms Data—Credit Swaps and Equity Swaps
Open Table
| Data categories and fields for all swaps | Comment |
|---|---|
| Asset Class | Field values: Credit, equity, FX, interest rates, other commodities. |
| The Unique Swap Identifier for the swap | The USI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. |
| The Legal Entity Identifier of the reporting counterparty | As provided in §45.6, or substitute identifier for a natural person. |
| An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap | Yes/No. |
| The Legal Entity Identifier of the non-reporting party | As provided in §45.6, or substitute identifier for a natural person. |
| The Unique Product Identifier assigned to the swap | As provided in §45.7. |
| If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system | |
| If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository | |
| An indication of the counterparty purchasing protection | Field values: LEI, or substitute identifier for a natural person. |
| An indication of the counterparty selling protection | Field values: LEI, or substitute identifier for a natural person. |
| Information identifying the reference entity | The entity that is the subject of the protection being purchased and sold in the swap. Field values: LEI, or substitute identifier for a natural person. |
| Contract type | E.g., swap, swaption, forward, option, basis swap, index swap, basket swap. |
| Execution venue | The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of the swap execution facility or designated contract market, or “off-facility” if not so executed. |
| Start date | The date on which the swap starts or goes into effect. |
| Maturity, termination or end date | The date on which the swap expires. |
| The price | E.g., strike price, initial price, spread. |
| The notional amount, and the currency in which the notional amount is expressed | |
| The amount and currency (or currencies) of any up-front payment | |
| Payment frequency of the reporting counterparty | A description of the payment stream of the reporting counterparty, e.g., coupon. |
| Payment frequency of the non-reporting counterparty | A description of the payment stream of the non-reporting counterparty, e.g., coupon. |
| Clearing exception or exemption type | The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. |
| Indication of collateralization | Is the swap collateralized, and if so to what extent? Field values: Uncollateralized, partially collateralized, one-way collateralized, fully collateralized. |
| Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap | Use as many fields as required to report each such term. |
Exhibit B—Minimum Primary Economic Terms Data—Foreign Exchange Transactions
[Other than cross-currency swaps]
Open Table
| Data fields for all swaps | Comment |
|---|---|
| Asset Class | Field values: Credit, equity, FX, interest rates, other commodities. |
| The Unique Swap Identifier for the swap | The USI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. |
| The Legal Entity Identifier of the reporting counterparty | As provided in §45.6, or substitute identifier for a natural person. |
| An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap | Yes/No. |
| The Legal Entity Identifier of the non-reporting party | As provided in §45.6, or substitute identifier for a natural person. |
| The Unique Product Identifier assigned to the swap | As provided in §45.7. |
| If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system | |
| If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository | |
| Contract type | E.g., forward, non-deliverable forward (NDF), non-deliverable option (NDO), vanilla option, simple exotic option, complex exotic option. |
| Execution venue | The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of the swap execution facility or designated contract market, or “off-facility” if not so executed. |
| Currency 1 | ISO code. |
| Currency 2 | ISO code. |
| Notional amount 1 | For currency 1. |
| Notional amount 2 | For currency 2. |
| Exchange rate | Contractual rate of exchange of the currencies. |
| Delivery type | Physical (deliverable) or cash (non-deliverable). |
| Settlement or expiration date | Settlement date, or for an option the contract expiration date. |
| Clearing exception or exemption type | The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. |
| Indication of collateralization | Is the trade collateralized, and if so to what extent? Field values: Uncollateralized, partially collateralized, one-way collateralized, fully collateralized. |
| Any other term(s) of the trade matched or affirmed by the counterparties in verifying the trade | E.g., for options, premium, premium currency, premium payment date; for non-deliverable trades, settlement currency, valuation (fixing) date; indication of the economic obligations of the counterparties. Use as many fields as required to report each such term. |
Exhibit C—Minimum Primary Economic Terms Data—Interest Rate Swaps
[Including cross-currency swaps]
Open Table
| Data fields for all swaps | Comment |
|---|---|
| Asset Class | Field values: Credit, equity, FX, interest rates, other commodities. |
| The Unique Swap Identifier for the swap | The USI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. |
| The Legal Entity Identifier of the reporting counterparty | As provided in §45.6, or substitute identifier for a natural person. |
| An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap | Yes/No. |
| The Legal Entity Identifier of the non-reporting counterparty | As provided in §45.6, or substitute identifier for a natural person. |
| The Unique Product Identifier assigned to the swap | As provided in §45.7. |
| If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system | |
| If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository | |
| Contract type | E.g., swap, swaption, option, basis swap, index swap. |
| Execution venue | The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of the swap execution facility or designated contract market, or “off-facility” if not so executed. |
| Start date | The date on which the swap starts or goes into effect. |
| Maturity, termination or end date | The date on which the swap expires or ends. |
| Day count convention | |
| Notional amount (leg 1) | The current active notional amount. |
| Notional currency (leg 1) | ISO code. |
| Notional amount (leg 2) | The current active notional amount. |
| Notional currency (leg 2) | ISO code. |
| Payer (fixed rate) | Is the reporting party a fixed rate payer? Yes/No/Not applicable. |
| Payer (floating rate leg 1) | If two floating legs, the payer for leg 1. |
| Payer (floating rate leg 2) | If two floating legs, the payer for leg 2. |
| Direction | For swaps: Whether the principal is paying or receiving the fixed rate. For float-to-float and fixed-to-fixed swaps: Indicate N/A. For non-swap instruments and swaptions: Indicate the instrument that was bought or sold. |
| Option type | E.g., put, call, straddle. |
| Fixed rate | |
| Fixed rate day count fraction | E.g., actual 360. |
| Floating rate payment frequency | |
| Floating rate reset frequency | |
| Floating rate index name/rate period | E.g., USD-Libor-BBA. |
| Clearing exception or exemption type | The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. |
| Indication of collateralization | Is the swap collateralized, and if so to what extent? Field values: Uncollateralized, partially collateralized, one-way collateralized, fully collateralized. |
| Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap | E.g., early termination option clause. Use as many fields as required to report each such term. |
Exhibit D—Minimum Primary Economic Terms Data—Other Commodity Swaps
Open Table
| Data field for all swaps | Comment |
|---|---|
| Asset Class | Field values: Credit, equity, FX, interest rates, other commodities. |
| The Unique Swap Identifier for the swap | The USI is a unique identifier assigned to all swap transactions which identifies the transaction (the swap and its counterparties) uniquely throughout its duration. |
| The Legal Entity Identifier of the reporting counterparty | As provided in §45.6, or substitute identifier for a natural person. |
| An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap | Yes/No. |
| The Legal Entity Identifier of the non-reporting party | As provided in §45.6, or substitute identifier for a natural person. |
| The Unique Product Identifier assigned to the swap | As provided in §45.7. |
| If no Unique Product Identifier is available for the swap because the swap is not sufficiently standardized, the taxonomic description of the swap pursuant to the CFTC-approved product classification system | |
| If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the swap data repository | |
| Contract type | E.g., swap, swaption, option, basis swap, index swap. |
| Execution venue | The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of the swap execution facility or designated contract market, or “off-facility” if not so executed. |
| Start date | The date on which the swap commences or goes into effect (e.g., in physical oil, the pricing start date). |
| Maturity, termination, or end date | The date on which the swap expires or ends (e.g., in physical oil, the pricing end date). |
| Buyer | The counterparty purchasing the product: (E.g., the payer of the fixed price (for a swap), or the payer of the floating price on the underlying swap (for a put swaption), or the payer of the fixed price on the underlying swap (for a call swaption). Field values: LEI, if available, or substitute identifier, for a natural person. |
| Seller | The counterparty offering the product: (E.g., the payer of the floating price (for a swap), the payer of the fixed price on the underlying swap (for a put swaption), or the payer of the floating price on the underlying swap (for a call swaption). Field values: LEI, or substitute identifier, for a natural person. |
| Quantity unit | The unit of measure applicable for the quantity on the swap. E.g., barrels, bushels, gallons, pounds, tons. |
| Quantity | The amount of the commodity (the number of quantity units) quoted on the swap. |
| Quantity frequency | The rate at which the quantity is quoted on the swap. E.g., hourly, daily, weekly, monthly. |
| Total quantity | The quantity of the commodity for the entire term of the swap. |
| Settlement method | Physical delivery or cash. |
| Price | The price of the swap. For options, the strike price. |
| Price unit | The unit of measure applicable for the price of the swap. |
| Price currency | ISO code. |
| Buyer pay index | The published price as paid by the buyer (if applicable). For swaptions, applies to the underlying swap. |
| Buyer pay averaging method | The averaging method used to calculate the index of the buyer pay index. For swaptions, applies to the underlying swap. |
| Seller pay index | The published price as paid by the seller (if applicable). For swaptions, applies to the underlying swap. |
| Seller pay averaging method | The averaging method used to calculate the index of the seller pay index. For swaptions, applies to the underlying swap. |
| Grade | If applicable, the grade of the commodity to be delivered, e.g., the grade of oil or refined product. |
| Option type | Descriptor for the type of option transaction. E.g., put, call, straddle. |
| Option style | E.g., American, European, European Daily, European Monthly, Asian. |
| Option premium | The total amount paid by the option buyer. |
| Hours from through | For electric power, the hours of the day for which the swap is effective. |
| Hours from through time zone | For electric power, the time zone prevailing for the hours during which electricity is transmitted. |
| Days of week | For electric power, the profile applicable for the delivery of power. |
| Load type | For electric power, the load profile for the delivery of power. |
| Clearing exception or exemption type | The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. |
| Indication of collateralization | Is the swap collateralized, and if so to what extent? Field values: Uncollateralized, partially collateralized, one-way collateralized, fully collateralized. |
| Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap | Use as many fields as required to report each such term. |
[86 FR 225, Jan. 5, 2021]
Tried the LawStack mobile app?
Join thousands and try LawStack mobile for FREE today.
- Carry the law offline, wherever you go.
- Download CFR, USC, rules, and state law to your mobile device.
