17 C.F.R. § 23 app Part 23, Subpart I, 1

Current through September 30, 2024

Appendix Part 23, Subpart I, 1 - Exhibits A-D

Exhibit A-Minimum Primary Economic Terms Data-Credit Swaps and Equity Swaps

Data categories and fields for all swaps	Comment
Asset Class	Field values: Credit, equity, FX, interest rates, other commodities.
The Unique Transaction Identifier for the swap	The UTI 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 or alternate identifier of the reporting counterparty	As provided in § 45.6 of this chapter.
An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap	Yes/No.
The Legal Entity Identifier or alternate identifier of the non-reporting party	As provided in § 45.6 of this chapter.
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 alternate identifier.
An indication of the counterparty selling protection	Field values: LEI, or alternate identifier.
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 alternate identifier.
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]

Data fields for all swaps	Comment
Asset Class	Field values: Credit, equity, FX, interest rates, other commodities.
The Unique Transaction Identifier for the swap	The UTI 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 or alternate identifier of the reporting counterparty	As provided in § 45.6 of this chapter.
An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap	Yes/No.
The Legal Entity Identifier or alternate identifier of the non-reporting party	As provided in § 45.6 of this chapter.
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]

Data fields for all swaps	Comment
Asset Class	Field values: Credit, equity, FX, interest rates, other commodities.
The Unique Transaction Identifier for the swap	The UTI 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 or alternate identifier of the reporting counterparty	As provided in § 45.6 of this chapter.
An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap	Yes/No.
The Legal Entity Identifier or alternate identifier of the non-reporting counterparty	As provided in § 45.6 of this chapter.
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., Fed Funds.
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

Data field for all swaps	Comment
Asset Class	Field values: Credit, equity, FX, interest rates, other commodities.
The Unique Transaction Identifier for the swap	The UTI 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 or alternate identifier of the reporting counterparty	As provided in § 45.6 of this chapter.
An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap	Yes/No.
The Legal Entity Identifier or alternate identifier of the non-reporting party	As provided in § 45.6 of this chapter.
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 alternate identifier.
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 alternate identifier.
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.

17 C.F.R. § 23 app Part 23, Subpart I, 1

86 FR 225, Jan. 5, 2021, as amended at 88 FR 8753, Feb. 10, 2023