The CFTC approved a final rule amending certain definitions relating to swap portfolio reconciliation, explicitly excluding certain data fields that are collected under Part 45 of the CFTC's regulations for reconciliation purposes.
On May 2, 2016, the CFTC approved a final rule amending certain definitions relating to swap portfolio reconciliation, explicitly excluding certain data fields that are collected under Part 45 of the CFTC's regulations (final SDR data reporting rules).
The CFTC approved changes to the definitions of the terms "Material Terms" under CFTC Regulation 23.500(g) (17 C.F.R. § 23.500(g)) and "Portfolio Reconciliation" under CFTC Regulation 23.500(i)(1) (17 C.F.R. § 23.500(i)(1)) for swap portfolio reconciliation purposes.
A comment letter was submitted by ISDA, which agreed with the CFTC's exclusion of the Proposed Excluded Data Fields, but recommended that the CFTC further expand the list to include the following 24 data fields:
An indication of whether the reporting counterparty is a swap dealer (SD).
If the reporting counterparty is not an SD or an MSP, an indication of whether the reporting counterparty is a financial entity as defined in Section 2(h)(7)(c) of the Commodity Exchange Act (CEA).
An indication of whether the reporting counterparty is a US person.
If the swap will be allocated. (“Allocations” are (normally) post-trade events where a party (usually an asset manager but referred to in Part 45 as the “agent”) allocates a portion of an executed swap to clients who are the “actual” counterparties to the original transaction).
If the swap will be allocated, or is a post-allocation swap, the legal entity identifier (LEI) of the agent.
An indication of whether the swap is a post-allocation swap.
If the swap is a post-allocation swap, the unique swap identifier of the original transaction between the reporting counterparty and the agent.
An indication of whether the non-reporting counterparty is an SD.
An indication of whether the non-reporting counterparty is an MSP.
If the non-reporting counterparty is not an SD or an MSP, an indication of whether the reporting counterparty is a financial entity as defined in Section 2(h)(7)(c) of the CEA.
An indication of whether the non-reporting counterparty is a US person.
An indication that the swap is a multi-asset swap.
For a multi-asset swap, an indication of the primary asset class.
For a multi-asset swap, an indication of the secondary asset class(es).
An indication that the swap is a mixed swap.
For a mixed swap reported to two non-dually-registered swap data repositories, the identity of the other SDR (if any) to which the swap is or will be reported.
The identity of the counterparty electing the clearing requirement exception in Section 2(h)(7) of the CEA.
After considering the comments, the CFTC finalized the rule by:
Modifying the term "material terms" under Regulation 23.500(g) to mean "minimum primary economic terms of a swap, as defined in appendix 1 of part 45 of CFTC regulations, other than the 24 excluded data fields listed above."
Modifying the term "portfolio reconciliation" under 23.500(i)(1) to mean "any process by which the two parties to one or more swaps exchange the material terms of all swaps in the swap portfolio between the counterparties."
The rule does not impact data reporting under Part 45 or any other CFTCF data reporting rules. The data fields in Appendix 1 of the final SDR rules remain unchanged for purposes of those rules. For details on the data fields that must currently be reported under the final SDR rules, see The Dodd-Frank Act: CFTC Swap Data Reporting Required Data Fields Checklist.