This section of the FEDERAL REGISTER

contains regulatory documents having general

applicability and legal effect, most of which

are keyed to and codified in the Code of

Federal Regulations, which is published under

50 titles pursuant to 44 U.S.C. 1510.

The Code of Federal Regulations is sold by

the Superintendent of Documents.

Rules and Regulations Federal Register

223 

Vol. 86, No. 2 

Tuesday, January 5, 2021 

1 17 CFR 23.502. Commission regulations referred 

to herein are found at 17 CFR chapter I. 

2 17 CFR 1.3. 

3 17 CFR 23.502; see Confirmation, Portfolio 

Reconciliation, Portfolio Compression, and Swap 

Trading Relationship Documentation Requirements 

for Swap Dealers and Major Swap Participants, 77 

FR 55904, 55926 (Sept. 11, 2012) (‘‘Portfolio 

Reconciliation Final Rule’’). 

4 17 CFR 23.500(i). 

FARM CREDIT ADMINISTRATION 

12 CFR Part 620 

RIN 3052–AD37 

District Financial Reporting 

AGENCY: Farm Credit Administration. 

ACTION: Notification of effective date. 

SUMMARY: The Farm Credit 

Administration (FCA or we) is 

amending our regulations governing 

how a Farm Credit bank presents 

information on its related associations 

when preparing annual bank financial 

statements on a stand-alone basis. The 

final rule provides two presentation 

options when disclosing related 

association financial information in an 

annual bank report: By footnote or 

attached in a supplement. 

DATES: The regulation amending 12 CFR 

part 620 published on October 8, 2020 

(85 FR 63428) is effective on December 

4, 2020. 

FOR FURTHER INFORMATION CONTACT: 

Technical information: Joi Neal, 

Senior Accountant, Office of Regulatory 

Policy, (703) 883–4223, TTY (703) 883– 

4056, nealj@fca.gov. 

Legal information: Laura McFarland, 

Senior Counsel, Office of General 

Counsel, (703) 883–4020, TTY (703) 

883–4056, mcfarlandl@fca.gov. 

SUPPLEMENTARY INFORMATION: On 

October 8, 2020, FCA issued a final rule 

to improve shareholder access to district 

financial information by providing an 

additional method of presenting 

financial information on a bank’s related 

associations to those banks preparing 

annual financial statements on a standalone basis. 

In accordance with 12 U.S.C. 

2252(c)(1), the effective date of the rule 

is no earlier than 30 days from the date 

of publication in the Federal Register 

during which either or both Houses of 

Congress are in session. Based on the 

records of the sessions of Congress, the 

effective date of the regulation is 

December 4, 2020. 

Dated: December 7, 2020. 

Dale Aultman, 

Secretary, Farm Credit Administration Board. 

[FR Doc. 2020–27191 Filed 1–4–21; 8:45 am] 

BILLING CODE 6705–01–P 

COMMODITY FUTURES TRADING 

COMMISSION 

17 CFR Part 23 

RIN 3038–AF08 

Portfolio Reconciliation Requirements 

for Swap Dealers and Major Swap 

Participants—Revision of ‘‘Material 

Terms’’ Definition 

AGENCY: Commodity Futures Trading 

Commission. 

ACTION: Interim final rule; request for 

comment. 

SUMMARY: The Commodity Futures 

Trading Commission (‘‘Commission’’ or 

‘‘CFTC’’) is adopting, and invites 

comments on, an interim final rule 

(‘‘Interim Final Rule’’) to amend the 

definition of ‘‘material terms’’ to 

maintain current portfolio reconciliation 

requirements for swap dealers and 

major swap participants following the 

effective date of changes to a recently 

amended Commission regulation. 

DATES: 

Effective Date. This interim final rule 

is effective January 5, 2021. 

Comment Date: Comments must be 

received on or before March 8, 2021. 

Comments submitted by mail will be 

accepted as timely if they are 

postmarked on or before that date. 

ADDRESSES: You may submit comments, 

identified by RIN 3038–AF08, by any of 

the following methods: 

• CFTC Comments Portal: https://

comments.cftc.gov. Select the ‘‘Submit 

Comments’’ link for this rulemaking and 

follow the instructions on the Public 

Comment Form. 

• Mail: Send to Christopher 

Kirkpatrick, Secretary of the 

Commission, Commodity Futures 

Trading Commission, Three Lafayette 

Center, 1155 21st Street NW, 

Washington, DC 20581. 

• Hand Delivery/Courier: Follow the 

same instructions as for Mail, above. 

Please submit your comments using 

only one of these methods. Submissions 

through the CFTC Comments Portal are 

encouraged. 

Instructions: All submissions received 

must include the agency name and RIN 

number for this rulemaking. For 

additional details on submitting 

comments, see the ‘‘Public 

Participation’’ heading of the 

SUPPLEMENTARY INFORMATION section of 

this document. 

FOR FURTHER INFORMATION CONTACT: 

Joshua Sterling, Director, (202) 418– 

6056, jsterling@cftc.gov; Jacob Chachkin, 

Special Counsel, (202) 418–5496, 

jchachkin@cftc.gov; or Gregory Scopino, 

Special Counsel, gscopino@cftc.gov, 

202–418–5175, Market Participants 

Division (‘‘MPD’’), Commodity Futures 

Trading Commission, Three Lafayette 

Centre, 1155 21st Street NW, 

Washington, DC 20581. 

SUPPLEMENTARY INFORMATION: 

I. Background 

Commission regulation 23.502 1

requires swap dealers (‘‘SDs’’) and major 

swap participants (‘‘MSPs’’), as defined 

in § 1.3 of the Commission’s 

regulations,2 to reconcile their swap 

portfolios with one another and provide 

non-SD and non-MSP counterparties 

with regular opportunities for portfolio 

reconciliation.3 Commission regulation 

23.500(i) defines ‘‘portfolio 

reconciliation’’ as any process by which 

the two counterparties to one or more 

swaps exchange the material terms and 

valuations of all swaps in the swap 

portfolio between the counterparties 

and resolve any identified discrepancy 

in such material terms and valuations.4

Commission regulation 23.500(g) 

defines ‘‘material terms’’ to mean the 

minimum ‘‘primary economic terms’’ of 

a swap, as defined in appendix 1 of part 

45 of the Commission’s regulations, 

with the exception of 24 enumerated 

terms that were excluded from the 

definition of ‘‘material terms’’ as part of 

a Commission effort to reduce the 

regulatory burden on SDs and MSPs by 

eliminating the need to reconcile data 

field terms that were static or did not 


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224 Federal Register / Vol. 86, No. 2 / Tuesday, January 5, 2021 / Rules and Regulations 

5 17 CFR 23.500(g). 

6Portfolio Reconciliation Final Rule, 77 FR at 

55927. 

7See Swap Data Recordkeeping and Reporting 

Requirements, 85 FR 75503 (Nov. 25, 2020). The 

SDR Rule did not expressly contemplate making 

changes to the Portfolio Reconciliation Final Rule 

for SDs and MSPs. 

8See 17 CFR 23.500(g). 

9Because appendix 1 to subpart I of part 23 only 

will be used as a reference in connection with the 

requirements for portfolio reconciliation exercises, 

the appendix will include only those terms that SDs 

and MSPs are required to reconcile under 

regulation 23.502. 

Because § 45.5 is being amended by the SDR Rule 

and will no longer discuss unique swap identifiers 

(‘‘USIs’’), for clarity the Commission has changed 

only the explanatory comment in appendix 1 for 

each USI field from ‘‘As provided in § 45.5.’’ to 

‘‘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 Commission believes this change 

will mitigate possible confusion and serve to 

maintain current portfolio reconciliation processes 

for SDs and MSPs. 

10 17 CFR 145.9. 

11 5 U.S.C. 553 et seq. 

12 5 U.S.C. 552. 

13See 5 U.S.C. 553(b). 

14See 5 U.S.C. 553(b)(3)(B). 

15Further, if the Commission were to provide an 

opportunity for notice and comment prior to the 

amendments’ effectiveness, the SDR Rule may take 

effect during the intervening period, causing 

impact the valuation of swaps.5 In 

explaining the rationale for requiring 

SDs and MSPs to engage in portfolio 

reconciliation, the Commission noted 

that portfolio reconciliation can identify 

and reduce overall risk ‘‘[b]y identifying 

and managing mismatches in key 

economic terms and valuation for 

individual transactions across an entire 

portfolio.’’ 6

On September 17, 2020, the 

Commission adopted a final rule 

revising parts 45, 46 and 49 of its 

regulations on swap data recordkeeping 

and reporting requirements for swap 

data repositories (‘‘SDRs’’), derivatives 

clearing organizations (‘‘DCOs’’), swap 

execution facilities, derivatives contract 

markets, SDs, MSPs, and swap 

counterparties that are neither SDs nor 

MSPs (‘‘SDR Rule’’).7 As part of the SDR 

Rule, the Commission made significant 

changes to appendix 1 of part 45 of the 

Commission regulations, which, as 

discussed above, is referenced in the 

definition of ‘‘material terms’’ set forth 

in Commission regulation 23.500(g). As 

a result of these changes, among other 

things, the new appendix 1 will no 

longer use the concept of ‘‘primary 

economic terms’’ and will no longer 

contain the data fields that are explicitly 

referenced in § 23.500(g).8

II. Interim Final Rule 

To maintain the status quo for 

portfolio reconciliation requirements 

under § 23.502 and ensure that SDs and 

MSPs can continue to engage in their 

required portfolio reconciliation 

exercises without disruption, in this 

Interim Final Rule the Commission is 

copying existing appendix 1 of part 45 

as a new appendix 1 to subpart I of part 

23, and amending § 23.500(g) to 

reference appendix 1 to subpart I of part 

23 instead of appendix 1 to part 45.9 By 

doing so, the Commission will enable 

SDs and MSPs to avoid having to 

modify their portfolio reconciliation 

procedures and practices under § 23.502 

despite the changes made by the SDR 

Rule. By this Interim Final Rule, the 

Commission is making technical 

organizational changes to its regulations 

to ensure that market participants will 

continue engaging in portfolio 

reconciliation exercises in their current 

manner, without disruption. Thus, the 

goal of these technical amendments is to 

maintain the Commission’s regulatory 

requirements in connection with 

portfolio reconciliation without change. 

Without these amendments, market 

participants would lack meaningful 

regulatory reference concerning how to 

perform portfolio reconciliation 

exercises in light of changes made to 

appendix 1 of part 45 by the SDR Rule. 

III. Public Participation 

The Commission is issuing this 

Interim Final Rule to maintain the status 

quo for portfolio reconciliation 

requirements under § 23.502 and ensure 

that SDs and MSPs can continue to 

engage in their required portfolio 

reconciliation exercises without 

disruption, as discussed above. This 

approach enables these regulatory 

changes to take effect sooner than would 

be possible with the publication of a 

notice of proposed rulemaking in 

advance. Nonetheless, the Commission 

welcomes public comments from 

interested persons regarding any aspect 

of its consideration of, and the changes 

made by, this Interim Final Rule, as well 

as the following pertaining to potential 

additional amendments in the future. 

Should the Commission propose 

modifying appendix 1 to subpart I of 

part 23 (as adopted by this Interim Final 

Rule) to make it more consistent with 

appendix 1 to part 45 (as amended by 

the SDR Rule) or make other changes? 

If yes, what specific modifications 

should the Commission propose and 

why? In addition, should the 

Commission provide that the 

reconciliation of a Unique Product 

Identifier (‘‘UPI’’) constitutes the 

reconciliation of each other material 

term that is included in the UPI? Why 

or why not? 

All comments must be submitted in 

English, or if not, accompanied by an 

English translation. Please refer to the 

ADDRESSES section above. Except as 

described below regarding confidential 

business information, all comments are 

considered part of the public record and 

will be posted as received to http://

comments.cftc.gov for public inspection. 

The information made available online 

includes personal identifying 

information (such as name and address) 

which is voluntarily submitted by the 

commenter. You should submit only 

information that you wish to make 

available publicly. 

If you want to submit material that 

you consider to be confidential business 

information as part of your comment, 

but do not want it to be posted online, 

you must submit your comment by mail 

or hand delivery/courier and include a 

petition for confidential treatment as 

described in § 145.9 of the 

Commission’s regulations.10

The Commission reserves the right, 

but shall have no obligation, to review, 

pre-screen, filter, redact, refuse or 

remove any or all of your submission 

from http://comments.cftc.gov that it 

may deem to be inappropriate for 

publication, such as obscene language. 

All submissions that have been redacted 

or removed that contain comments on 

the merits of the rulemaking will be 

retained in the rulemaking record and 

will be considered as required under the 

Administrative Procedure Act 

(‘‘APA’’) 11 and other applicable laws, 

and may be accessible under the 

Freedom of Information Act.12

IV. Related Matters 

A. Administrative Procedure Act 

The APA generally requires federal 

agencies to publish a notice of proposed 

rulemaking and provide an opportunity 

for public comment before issuing a 

new rule.13 However, an agency may 

issue a new rule without a prepublication public comment period 

when it for ‘‘good cause’’ finds that 

prior notice and comment is 

‘‘impracticable, unnecessary, or contrary 

to the public interest.’’ 14 The 

Commission has determined that there 

is good cause to find that a prepublication comment period is 

unnecessary because this Interim Final 

Rule involves technical, ministerial 

changes that simply move the 

placement of the current requirements 

from one part of the Commission’s 

regulations (part 45) to another (part 23) 

to retain the status quo for purposes of 

part 23’s mandated portfolio 

reconciliation exercises.15 For this 


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Federal Register / Vol. 86, No. 2 / Tuesday, January 5, 2021 / Rules and Regulations 225 

confusion regarding SD and MSP portfolio 

reconciliation requirements. 

16 5 U.S.C. 553(d)(3). 

17 5 U.S.C. 601 et seq. 18See 5 U.S.C. 603(a). 

19 44 U.S.C. 3501 et seq. 

20 7 U.S.C. 19(a). 

21 7 U.S.C. 19(b). 

reason, the Commission finds that it is 

unnecessary to publish notice of these 

amendments under section 553(b)(3)(B) 

of the APA. 

For the same reason, the Commission 

also finds good cause to dispense with 

the 30-day delayed effective date 

requirement under section 553(d)(3) of 

the APA.16 Accordingly, the 

amendments will be effective 

immediately upon publication in the 

Federal Register. 

B. Regulatory Flexibility Act 

The Regulatory Flexibility Act 17

requires federal agencies to consider 

whether the rules they propose will 

have a significant economic impact on 

a substantial number of small entities 

and, if so, to provide a regulatory 

flexibility analysis regarding the 

economic impact on those entities. 

Because, as discussed above, the 

Commission is not required to publish 

a notice of proposed rulemaking for this 

rule, a regulatory flexibility analysis is 

not required.18

C. Paperwork Reduction Act 

The Paperwork Reduction Act of 1995 

(‘‘PRA’’) 19 imposes certain 

requirements on Federal agencies, 

including the Commission, in 

connection with their conducting or 

sponsoring any collection of 

information, as defined by the PRA. The 

Commission may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

unless it displays a currently valid 

Office of Management and Budget 

control number. 

Because it maintains the status quo 

under § 23.502, this final rulemaking 

will not impose any new recordkeeping 

or information collection requirements, 

or other collections of information. 

D. Consideration of Costs and Benefits 

Section 15(a) of the CEA 20 requires 

the Commission to ‘‘consider the costs 

and benefits’’ of its actions before 

promulgating a regulation under the 

CEA. Section 15(a) further specifies that 

the costs and benefits shall be evaluated 

in light of five broad areas of market and 

public concern: (1) Protection of market 

participants and the public; (2) 

efficiency, competitiveness and 

financial integrity of futures markets; (3) 

price discovery; (4) sound risk 

management practices; and (5) other 

public interest considerations. The 

Commission considers the costs and 

benefits resulting from its discretionary 

determinations with respect to the 

section 15(a) factors. 

This Interim Final Rule does not 

impose any substantive regulatory 

obligations on any person. Rather, the 

Commission is adopting technical 

amendments to part 23 of its regulations 

to maintain the status quo for portfolio 

reconciliation requirements under 

§ 23.502 and ensure that SDs and MSPs 

can continue to engage in their required 

portfolio reconciliation exercises 

without disruption, as discussed above. 

Accordingly, relative to the status quo 

baseline there are no material, 

quantifiable costs or benefits associated 

with this rulemaking. This Interim Final 

Rule does not impact the efficiency, 

competitiveness, and financial integrity 

of the futures markets because this 

Interim Final Rule is nothing more than 

a technical, administrative action that 

moves specific requirements from part 

45 of the Commission’s regulations to 

part 23. 

E. Antitrust Laws 

Section 15(b) of the CEA 21 requires 

the Commission to take into 

consideration the public interest to be 

protected by the antitrust laws and 

endeavor to take the least 

anticompetitive means of achieving the 

objectives of the CEA as well as the 

policies and purposes of the CEA, in 

issuing any order or adopting any 

Commission rule or regulation 

(including any exemption under section 

4(c) or 4c(b)), or in requiring or 

approving any bylaw, rule, or regulation 

of a contract market or registered futures 

association established pursuant to 

section 17 of the CEA. 

The Commission believes that the 

public interest to be protected by the 

antitrust laws is the promotion of 

competition. The Commission has 

considered this Interim Final Rule to 

determine whether it is anticompetitive 

and has identified no anticompetitive 

effects. Having done so, it also has not 

identified any less anticompetitive 

means of achieving the purposes of the 

CEA. 

List of Subjects in 17 CFR Part 23 

Authority delegations (Government 

agencies), Commodity futures, 

Reporting and recordkeeping 

requirements. 

For the reasons stated in the 

preamble, the Commodity Futures 

Trading Commission amends 17 CFR 

part 23 as set forth below: 

PART 23—SWAP DEALERS AND 

MAJOR SWAP PARTICIPANTS 

■ 1. The authority citation for part 23 

continues to read as follows: 

Authority: 7 U.S.C. 1a, 2, 6, 6a, 6b, 6b– 

1, 6c, 6p, 6r, 6s, 6t, 9, 9a, 12, 12a, 13b, 13c, 

16a, 18, 19, 21. 

Section 23.160 also issued under 7 U.S.C. 

2(i); Sec. 721(b), Pub. L. 111–203, 124 Stat. 

1641 (2010). 

■ 2. In § 23.500, revise paragraph (g) to 

read as follows: 

§ 23.500 Definitions. 

* * * * * 

(g) Material terms means the 

minimum primary economic terms as 

defined in appendix 1 of subpart I of 

part 23 of this chapter. 

* * * * * 

■ 3. Add Appendix 1 to subpart I of part 

23 to read as follows: 

Part 23, Subpart I, Appendix 1 

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 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. 


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EXHIBIT A—MINIMUM PRIMARY ECONOMIC TERMS DATA—CREDIT SWAPS AND EQUITY SWAPS—Continued 

Data categories and fields for all swaps Comment 

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] 

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. 


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EXHIBIT B—MINIMUM PRIMARY ECONOMIC TERMS DATA—FOREIGN EXCHANGE TRANSACTIONS—Continued 

[Other than cross-currency swaps] 

Data fields for all swaps Comment 

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 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

Data field for all swaps Comment 

Asset Class ............................................................................................... Field values: Credit, equity, FX, interest rates, other commodities. 


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EXHIBIT D—MINIMUM PRIMARY ECONOMIC TERMS DATA—OTHER COMMODITY SWAPS—Continued 

Data field for all swaps Comment 

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. 


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Federal Register / Vol. 86, No. 2 / Tuesday, January 5, 2021 / Rules and Regulations 229 

1See Confirmation, Portfolio Reconciliation, 

Portfolio Compression, and Swap Trading 

Relationship Documentation Requirements for 

Swap Dealers and Major Swap Participants, 77 FR 

55904, 55927 (Sept. 11, 2012). 

1 7 U.S.C. 6s(e) (capital and margin requirements). 

2CEA section 1a(47), 7 U.S.C. 1a(47) (swap 

definition); Regulation 1.3, 17 CFR 1.3 (further 

definition of a swap). A swap includes, among other 

things, an interest rate swap, commodity swap, 

credit default swap, and currency swap. 

3CEA section 1a(39), 7 U.S.C. 1a(39) (defining the 

term ‘‘prudential regulator’’ to include the Board of 

Governors of the Federal Reserve System; the Office 

of the Comptroller of the Currency; the Federal 

Deposit Insurance Corporation; the Farm Credit 

Administration; and the Federal Housing Finance 

Agency). The definition of prudential regulator 

further specifies the entities for which these 

agencies act as prudential regulators. The 

prudential regulators published final margin 

requirements in November 2015. See generally 

Margin and Capital Requirements for Covered Swap 

Entities, 80 FR 74840 (Nov. 30, 2015) (‘‘Prudential 

Margin Rule’’). The Prudential Margin Rule is 

substantially similar to the CFTC Margin Rule, 

including with respect to the CFTC’s phasing-in of 

margin requirements. 

4CEA section 4s(e)(1)(B), 7 U.S.C. 6s(e)(1)(B). SDs 

and MSPs for which there is a prudential regulator 

must meet the margin requirements for uncleared 

swaps established by the applicable prudential 

regulator. CEA section 4s(e)(1)(A), 7 U.S.C. 

6s(e)(1)(A). 

5CEA section 4s(e)(2)(B)(ii), 7 U.S.C. 

6s(e)(2)(B)(ii). In Regulation 23.151, the 

Commission further defined this statutory language 

to mean all swaps that are not cleared by a 

registered derivatives clearing organization or a 

derivatives clearing organization that the 

Commission has exempted from registration as 

provided under the CEA. 17 CFR 23.151. 

6CEA section 1a(49), 7 U.S.C. 1a(49) (swap dealer 

definition); Regulation 1.3 (further definition of 

swap dealer). 

7CEA section 1a(32), 7 U.S.C. 1a(32) (major swap 

participant definition); Regulation 1.3 (further 

definition of major swap participant). 

8CEA section 4s(e)(3)(A), 7 U.S.C. 6s(e)(3)(A). 

* * * * * 

Issued in Washington, DC, on November 

25, 2020, by the Commission. 

Robert Sidman, 

Deputy Secretary of the Commission. 

Note: The following appendices will not 

appear in the Code of Federal Regulations. 

Appendices to Portfolio Reconciliation 

Requirements for Swap Dealers and 

Major Swap Participants—Revision of 

‘‘Material Terms’’ Definition—Voting 

Summary and Chairman’s and 

Commissioners’ Statements 

Appendix 1—Voting Summary 

On this matter, Chairman Tarbert and 

Commissioners Quintenz, Behnam, Stump, 

and Berkovitz voted in the affirmative. No 

Commissioner voted in the negative. 

Appendix 2—Statement of 

Commissioner Dan M. Berkovitz 

I support today’s interim final rule that 

will maintain the continuity of swap 

portfolio reconciliation requirements for 

swap dealers. In September 2012, the 

Commission established in regulation 23.502 

the requirement for swap dealers to regularly 

reconcile key material terms of swaps in 

portfolios with certain counterparties. These 

portfolios can include hundreds, thousands, 

and even tens of thousands of individual 

swap transactions. Regularly reconciling 

economic terms that determine the periodic 

payments made on swap portfolios reduces 

the likelihood of significant disputes and 

potential payment shortfalls or interruptions. 

Reducing these events reduces risk in the 

financial system, particularly during times of 

market stress.1

On September 17, 2020, the Commission 

adopted a final rule revising parts 45, 46, and 

49 of its regulations on swap data 

recordkeeping and reporting requirements. In 

the amendments, significant changes were 

made to material terms that are crossreferenced in regulation 23.502. The 

unintended consequence would be to render 

the portfolio reconciliation requirement 

ineffective when the swap data regulations go 

into effect in approximately 60 days. The IFR 

corrects this unintended consequence by 

reestablishing the same material economic 

terms identified for regulation 23.502, 

thereby maintaining the status quo for the 

portfolio reconciliation requirement. This is 

a necessary action to maintain the risk 

reducing effects of that requirement. 

[FR Doc. 2020–26536 Filed 1–4–21; 8:45 am] 

BILLING CODE 6351–01–P 

COMMODITY FUTURES TRADING 

COMMISSION 

17 CFR Part 23 

RIN 3038–AF05 

Margin Requirements for Uncleared 

Swaps for Swap Dealers and Major 

Swap Participants 

AGENCY: Commodity Futures Trading 

Commission. 

ACTION: Final rule. 

SUMMARY: The Commodity Futures 

Trading Commission (‘‘Commission’’ or 

‘‘CFTC’’) is adopting amendments 

(‘‘Final Rule’’) to its margin 

requirements for uncleared swaps for 

swap dealers (‘‘SDs’’) and major swap 

participants (‘‘MSPs’’) for which there is 

not a prudential regulator (‘‘CFTC 

Margin Rule’’). The Commission is 

amending the CFTC Margin Rule to 

revise the calculation method for 

determining whether certain entities 

come within the scope of its initial 

margin (‘‘IM’’) requirements for 

uncleared swaps beginning in the last 

phase of the phased compliance 

schedule, which starts on September 1, 

2022, and the timing for compliance 

with the IM requirements after the end 

of the phased compliance schedule. 

These amendments align certain aspects 

of the CFTC Margin Rule with the Basel 

Committee on Banking Supervision and 

the International Organization of 

Securities Commissions’ (‘‘BSBS/ 

IOSCO’’) Framework for margin 

requirements for non-centrally cleared 

derivatives (‘‘BCBS/IOSCO 

Framework’’). The Commission is also 

amending the CFTC Margin Rule to 

allow SDs and MSPs subject to the 

CFTC Margin Rule to use the risk-based 

model calculation of IM of a 

counterparty that is a CFTC-registered 

SD or MSP to determine the amount of 

IM to be collected from the counterparty 

and to determine whether the IM 

threshold amount for the exchange of 

IM has been exceeded such that 

documentation concerning the 

collection, posting, and custody of IM 

would be required. 

DATES: This rule is effective February 4, 

2021. 

FOR FURTHER INFORMATION CONTACT: 

Joshua B. Sterling, Director, 202–418– 

6056, jsterling@cftc.gov; Thomas J. 

Smith, Deputy Director, 202–418–5495, 

tsmith@cftc.gov; Warren Gorlick, 

Associate Director, 202–418–5195, 

wgorlick@cftc.gov; or Carmen MoncadaTerry, Special Counsel, 202–418–5795, 

cmoncada-terry@cftc.gov, Market 

Participants Division, Commodity 

Futures Trading Commission, Three 

Lafayette Centre, 1155 21st Street NW, 

Washington, DC 20581. 

SUPPLEMENTARY INFORMATION: 

I. Background 

Section 4s(e) of the Commodity 

Exchange Act (‘‘CEA’’ or ‘‘Act’’) 1

requires the Commission to adopt rules 

establishing minimum initial and 

variation margin requirements for all 

swaps 2 that are (i) entered into by an SD 

or MSP for which there is no prudential 

regulator 3 (collectively, ‘‘covered swap 

entities’’ or ‘‘CSEs’’) 4 and (ii) not 

cleared by a registered derivatives 

clearing organization (‘‘uncleared 

swaps’’).5 To offset the greater risk to the 

SD 6 or MSP 7 and the financial system 

arising from the use of uncleared swaps, 

these requirements must (i) help ensure 

the safety and soundness of the SD or 

MSP and (ii) be appropriate for the risk 

associated with the uncleared swaps 

held by the SD or MSP.8

Pursuant to its rulemaking authority 

under section 4s(e), the Commission in 

2016 promulgated Regulations 23.150 

through 23.161, namely the CFTC 

Margin Rule, which requires CSEs to 


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