Central counterparty means a clearing agency that interposes itself between the counterparties to transactions, acting functionally as the buyer to every seller and the seller to every buyer.
Clearing agency has the same meaning as set forth in 15 U.S.C. 78c(a)(23) .
Covered reporter means any central counterparty for repurchase agreement transactions that meets the criteria set forth in paragraph (b)(2) of this section; provided, however, that any covered reporter shall cease to be a covered reporter only if it does not meet the dollar threshold specified in paragraph (b)(2) for at least four consecutive calendar quarters.
General collateral trade means a repurchase agreement transaction in which the trade reported to the central counterparty is for a category of securities as opposed to a specific security.
Repurchase agreement transaction or transaction means an agreement of a counterparty to transfer securities to another counterparty in exchange for the receipt of cash, and the simultaneous agreement of the former counterparty to later reacquire the same securities (or any subsequently substituted securities) from that same counterparty in exchange for the payment of cash; or an agreement of a counterparty to acquire securities from another counterparty in exchange for the payment of cash, and the simultaneous agreement of the former party to later transfer back the same securities (or any subsequently substituted securities) to the latter counterparty in exchange for the receipt of cash.
Specific-security trade means a repurchase agreement transaction where the trade as reported to the central counterparty is for a mutually agreed upon specific security.
Table 1 to § 1610.10(c) -General Collateral Trades
Data element | Explanation |
File Observation Date | The observation date of the file (typically one business day before the day the file is submitted). |
Covered Reporter LEI | The Legal Entity Identifier of the covered reporter. |
Transaction ID | Respondent-generated unique transaction identifier. |
Submission Timestamp | Time that trade is first submitted to clearing service. |
Match Timestamp | Time that trade is matched by clearing service. |
Securities Asset Class Identifier Value | Asset class identifier. |
Securities Asset Class Identifier Type | Type of securities identifier used (the numbering system to which the identifier belongs). |
Cash Provider LEI | The Legal Entity Identifier of the cash provider. |
Cash Provider Name | The legal name of the cash provider. |
Cash Provider Internal Identifier | The internal identifier assigned by the covered reporter to the cash provider. |
Cash Provider Direct Clearing Member LEI | The Legal Entity Identifier of the direct clearing member through which the cash provider accessed the clearing service. |
Cash Provider Direct Clearing Member Name | The legal name of the of the direct clearing member through which the cash provider accessed the clearing service. |
Cash Provider Direct Clearing Member Internal Identifier | The internal identifier assigned by the covered reporter to the direct clearing member through which the cash provider accessed the clearing service. |
Securities Provider LEI | The Legal Entity Identifier of the securities provider. |
Securities Provider Name | The legal name of the securities provider. |
Securities Provider Internal Identifier | The internal identifier assigned by the covered reporter to the securities provider. |
Securities Provider Direct Clearing Member LEI | The Legal Entity Identifier of the direct clearing member through which the securities provider accessed the clearing service. |
Securities Provider Direct Clearing Member Name | The legal name of the direct clearing member through which the securities provider accessed the clearing service. |
Securities Provider Direct Clearing Member Internal Identifier | The internal identifier assigned by the covered reporter to the direct clearing member through which the securities provider accessed the clearing service. |
Broker LEI | The Legal Entity Identifier of the broker. |
Broker Name | The legal name of the broker. |
Broker Internal Identifier | The internal identifier assigned by the covered reporter to the broker. |
Start Date | The start date of the repurchase agreement. |
End Date | The date the repurchase agreement matures. |
Rate | The repurchase agreement rate, expressed as an annual percentage rate on an actual/360-day basis. |
Principal | The amount of cash borrowed or lent. |
Optionality | The type of optionality, if any, in the repurchase agreement. |
Minimum Maturity | The earliest possible date on which the transaction could end in accordance with its contractual terms (taking into account optionality). |
Table 2 to § 1610.10(c) -General Collateral Net Exposure
Data element | Explanation |
File Observation Date | The observation date of the file (typically one business day before the day the file is submitted). |
Covered Reporter LEI | The Legal Entity Identifier of the covered reporter. |
Direct Clearing Member LEI | The Legal Entity Identifier of the direct clearing member of the clearing service. |
Direct Clearing Member Name | The legal name of the direct clearing member. |
Direct Clearing Member Internal Identifier | The internal identifier assigned by the covered reporter to the direct clearing member. |
Transaction Side | Indicates the side of the transaction: Collateral was received by or delivered from the covered reporter. |
Securities Identifier Value | Identifier of securities transferred. |
Securities Identifier Type | Type of securities identifier used (the numbering system to which the identifier belongs). |
Securities Quantity | Par value or quantity (as applicable) of securities transferred. |
Securities Value | The market value as of most recent valuation of securities transferred, including accrued interest. |
Table 3 to § 1610.10(c) -Specific-Security Trades
Data element | Explanation |
File Observation Date | The observation date of the file (typically one business day before the day the file is submitted). |
Covered Reporter LEI | The Legal Entity Identifier of the covered reporter. |
Transaction ID | Respondent-generated unique transaction identifier. |
Cash Provider LEI | The Legal Entity Identifier of the cash provider. |
Cash Provider Name | The legal name of the cash provider. |
Cash Provider Internal Identifier | The internal identifier assigned by the covered reporter to the cash provider. |
Cash Provider Direct Clearing Member LEI | The Legal Entity Identifier of the direct clearing member through which the cash provider accessed the clearing service. |
Cash Provider Direct Clearing Member Name | The legal name of the of the direct clearing member through which the cash provider accessed the clearing service. |
Cash Provider Direct Clearing Member Internal Identifier | The internal identifier assigned by the covered reporter to the direct clearing member through which the cash provider accessed the clearing service. |
Securities Provider LEI | The Legal Entity Identifier of the securities provider. |
Securities Provider Name | The legal name of the securities provider. |
Securities Provider Internal Identifier | The internal identifier assigned by the covered reporter to the securities provider. |
Securities Provider Direct Clearing Member LEI | The Legal Entity Identifier of the direct clearing member through which the securities provider accessed the clearing service. |
Securities Provider Direct Clearing Member Name | The legal name of the direct clearing member through which the securities provider accessed the clearing service. |
Securities Provider Direct Clearing Member Internal Identifier | The internal identifier assigned by the covered reporter to the direct clearing member through which the securities provider accessed the clearing service. |
Broker LEI | The Legal Entity Identifier of the broker. |
Broker Name | The legal name of the broker. |
Broker Internal Identifier | The internal identifier assigned by the covered reporter to the broker. |
Submission Timestamp | Time that trade is first submitted to clearing service. |
Match Timestamp | Time that trade is matched by clearing service. |
Start Date | The start date of the repurchase agreement. |
End Date | The date when the repurchase agreement matures; the close leg settlement date. |
Optionality | The type of optionality, if any. |
Minimum Maturity | The earliest possible date on which the transaction could end in accordance with its contractual terms (taking into account optionality). |
Security Identifier Value | Identifier of pledged security. |
Securities Identifier Type | Type of securities identifier used (the numbering system to which the identifier belongs). |
Securities Quantity | Par value or quantity (as applicable) of securities transferred. |
Substitution Collateral Identifier Value | Asset class identifier or no substitution. |
Substitution Collateral Identifier Type | Type of securities identifier used (the numbering system to which the identifier belongs). |
Cash Provider Start Leg Amount | The amount of cash transferred by the cash provider on the open leg of the transaction. |
Securities Provider Start Leg Amount | The amount of cash received by the securities provider on the open leg of the transaction. |
Cash Provider Rate | The rate of interest received by the cash provider, expressed as an annual percentage rate on an actual/360-day basis. |
Securities Provider Rate | The rate of interest paid by the securities provider, expressed as an annual percentage rate on an actual/360-day basis. |
Cash Provider Close Leg Settlement Amount | The amount of cash received by the cash provider on the close leg of the transaction. |
Securities Provider Close Leg Settlement Amount | The amount of cash paid by the securities provider on the close leg of the transaction. |
Note 1 to paragraph (e)(2): For example, if this section became effective on March 20, 2019, a central counterparty that meets the dollar threshold specified in paragraph (b)(2) of this section for the calendar quarter ending December 31, 2018, would be required to submit its first report under paragraph (e)(1)(i) of this section on the first business day after September 16, 2019, its first report under paragraph (e)(1)(ii) of this section on November 15, 2019, and its first report with data elements requiring an LEI (other than that of the covered reporter) on May 13, 2020 (if the covered reporter effected the rulemaking described in paragraph (e)(1)(iii) of this section).
Note 2 to paragraph (e)(3): For example, if this section became effective on March 20, 2019, a central counterparty that first meets the dollar threshold specified in paragraph (b)(2) of this section for the calendar quarter ending June 30, 2019, would be required to submit its first report under paragraphs (e)(1)(i) and (ii) of this section on January 2, 2020, and its first report with data elements requiring an LEI (other than that of the covered reporter) on May 13, 2020 (if the covered reporter effected the rulemaking described in paragraph (e)(1)(iii) of this section by May 13, 2020).
Note 3 to paragraph (e)(3): For example, if this section became effective on March 20, 2019, a central counterparty that first met the dollar threshold specified in paragraph (b)(2) for the calendar quarter ending June 30, 2020, would be required to comply with all of the reporting requirements under this section on January 2, 2021 (and would continue to be required to report all data elements requiring a legal name or internal identifier for at least 365 days after the effective date of the covered reporter's rulemaking described in paragraph (e)(1)(iii) if such effective date occurred after January 2, 2021).
12 C.F.R. §1610.10