Quiero saber acerca de...

232

Federal Register / Vol. 86, No. 2 / Tuesday, January 5, 2021 / Rules and Regulations
jbell on DSKJLSW7X2PROD with RULES

CFTC-registered SD or MSP, in line with the terms of Letter 1929. The Commission stated that this amendment would promote legal certainty and clarity, facilitating efforts by market participants to take the application of the Commissions regulations into account in planning their uncleared swaps business, without undermining the effectiveness of the CFTC Margin Rule.
The Commission stated that the more widespread availability of the relief provided by Letter 1929 would promote efficient risk hedging by smaller CSEs that offer swaps services to smaller entities that are neither SDs nor MSPs. The Commission further noted that having the ability to use the riskbased IM calculation of a counterparty that is an SD or MSP would allow smaller CSEs to engage SDs and MSPs that otherwise might be disincentivized from trading with the CSEs. That is because for such CSEs, the single method of IM calculation available may be the standardized IM table, as the CSEs, given the discrete and limited nature of their swaps business, may find it uneconomical to develop and maintain a proprietary model. As a result, swap entity counterparties may be required to post higher amounts of IM to the CSEs, as the table-based method of calculation does not account for portfolio composition, diversification and hedges.
In the preamble to the Proposal, the Commission sought comment from the public on the proposed amendments.32
The comment period for the Proposal closed on October 23, 2020, and nine comment letters were received: one from an SD in the gas and electric power industry; 33 one from an SD in the oil and gas industry; 34 one from a life insurance trade association; 35 one from a group of swaps and financial industry advocates; 36 one from a futures industry group representing members active in 32 Margin Requirements for Uncleared Swaps for Swap Dealers and Major Swap Participants, 85 FR
59702 Sept. 23, 2020. The comment letters for the Proposal are available at: https comments.cftc.gov/
PublicComments/CommentList.aspx?id=4157.
33 Letter from Jennifer Minnis, BP Energy Company Oct. 23, 2020 BPEC 10/23/2020 Letter.
34 Letter from Scott Earnest, Shell Trading Risk Management, LLC Oct. 23, 2020 STRM 10/23/
2020 Letter.
35 Letter from Michael Lovendusky, American Council of Life Insurers Oct. 23, 2020 ACLI 10/
23/2020 Letter.
36 Letter from Tara Kruse, James Kemp, and Kyle Brandon for International Swaps and Derivatives Association ISDA, Global Foreign Exchange Division GFXD of the Global Financial Markets Association, and Securities Industry and Financial Markets Association, respectively, collectively, Associations Oct. 22, 2020 Associations 10/22/
2020 Letter.

VerDate Sep<11>2014

16:32 Jan 04, 2021

Jkt 253001

the physical commodities markets; 37
one from a managed fund industry group; 38 one from a regulated funds association; 39 one from a representative of the asset management industry; 40 and one from a group of commercial firms in the energy industry.41
II. Final Rule, Summary of Comments and Commission Response The Commission is adopting revisions to the method for calculating AANA for determining whether an FEU has MSE
and the timing for compliance with the IM requirements after the end of the last phase of compliance to align these aspects of the CFTC Margin Rule with the BCBS/IOSCO Framework, as proposed. The Commission is also amending Regulation 23.154a, consistent with the terms of Letter 19
29, and thus allowing CSEs to use the risk-based model calculation of IM of counterparties that are CFTC-registered SDs or MSPs swap entities 42 to determine the amount of IM to be collected from such counterparties.
All the comment letters received on the Proposal generally expressed support for the proposed amendments 43
and the Commissions efforts to identify and address challenges in the implementation of the CFTCs margin requirements as the phased compliance schedule nears conclusion.44
37 Letter from Allison Lurton, Financial Industry Association Oct. 22, 2020 FIA 10/22/2020 Letter.
38 Letter from Jennifer W. Han, Managed Funds Association Oct. 22, 2020 MFA 10/22/2020
Letter.
39 Letter from Sarah A. Bessin, Investment Company Institute Oct. 22, 2020 ICI 10/22/2020
Letter.
40 Letter from Jason Silverstein, Asset Management Group of the Securities Industry and Financial Markets Association Oct. 22, 2020
SIFMA AMG 10/22/2020 Letter.
41 Letter from Alexander S. Holtan, Commercial Energy Working Group Oct. 22, 2020 Working Group 10/22/2020 Letter.
42 Regulation 23.151 defines the term swap entity as a person that is registered with the Commission as an SD or MSP under the CEA.
43 See ACLI 10/23/2020 Letter at 1; Associations 10/22/2020 Letter at 1; BPEC 10/23/2020 Letter at 2; FIA 10/22/2020 Letter at 23; ICI 10/22/2020
Letter at 1; MFA 10/22/2020 Letter at 1; SIFMA
AMG 10/22/2020 Letter at 1; STRM 10/23/2020
Letter at 1; Working Group 10/22/2020 Letter at 3.
A commenter stated that the Proposal reflects the realities of the marketplace and further aligns the U.S. regulations with the global regulators. See ACLI 10/23/2020 Letter at 2. Other commenters stated that the Proposal would enable the implementation of the IM requirements in a practical and efficient manner, as market participants prepare for forthcoming compliance dates, reducing complexity and burden associated with implementation and would foster greater liquidity and contribute to the lowering of hedging costs, particularly in the last phases of the compliance schedule. See BPEC 10/23/2020 Letter at 2; MFA 10/22/2020 Letter at 2.
44 While expressing support for the Proposal, commenters asked the Commission to consider
PO 00000

Frm 00010

Fmt 4700

Sfmt 4700

Commenters expressed support for the Proposal even in the absence of parallel action by the U.S. prudential regulators, while urging the CFTC to continue coordination with the prudential regulators and encourage corresponding amendments to the prudential regulators margin rules so that prudentially regulated SDs and MSPs and their counterparties are not disadvantaged by requirements that are neither globally nor domestically harmonized.45
A. Regulation 23. 151Amendments to MSE Definition As noted above, a CSE must exchange IM with respect to uncleared swaps with a counterparty that is an FEU that has MSE beginning in the last phase of the phased compliance schedule, which will start on September 1, 2022.46
Regulation 23.151 provides that an entity has MSE if it has more than $8
billion in AANA, calculated on a daily basis, during June, July, and August of the prior year.47 An FEU that has MSE
based on the calculation of AANA over June, July, and August of 2021 would come within the scope of the IM
requirements beginning on September 1, 2022. In subsequent calendar years after September 1, 2022, however, because the base year for calculating AANA is the prior year, the annual determination of MSE, which triggers the applicability of the IM requirements, would be January 1 of each year,48 using the other issues raised by the CFTC Margin Rule, including whether to exclude commodity swaps from the CFTCs uncleared margin requirements, the need to harmonize the definition of financial entity under section 2h7 of the CEA and the definition of financial end user under the CFTC
Margin Rule, whether treasury affiliates of an SD
should be exempt from the CFTCs uncleared margin requirements, and other topics raised in prior communications to the Commission. See FIA
10/22/2020 Letter at 2; MFA 10/22/2020 Letter at 2. The commenters also asked the Commission to consider other recommendations from the Margin Subcommittee Report not addressed in the Proposal. See ACLI 10/23/2020 Letter at 2;
Associations 10/22/2020 Letter at 1; SIFMA AMG
10/22/2020 Letter at 4. The Commission will not currently act on these additional matters as they fall outside the scope of the Proposal. The Commission is aware of these issues and will continue to consider them and monitor pertinent developments to determine whether further Commission action concerning these matters is appropriate in the future.
45 ACLI 10/23/2020 Letter at 1; Associations 10/
22/2020 Letter at 4; MFA 10/22/2020 Letter at 2.
46 See 17 CFR 23.161a7 requiring CSEs to comply with the CFTCs IM requirements with respect to uncleared swaps with counterparties that are FEUs with MSE beginning on September 1, 2022.
47 For definition of MSE, see supra note 15.
48 January 1 is not explicitly set out in the Commissions regulations as the determination date for MSE after the last phase of compliance.
However, absent the Final Rule, Regulation
E:FRFM05JAR1.SGM

05JAR1