Federal Register - January 5, 2021
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Source: Federal Register
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Federal Register / Vol. 86, No. 2 / Tuesday, January 5, 2021 / Rules and Regulations EXHIBIT AMINIMUM PRIMARY ECONOMIC TERMS DATACREDIT SWAPS AND EQUITY SWAPSContinued 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
An indication of the counterparty selling protection
Information identifying the reference entity
Contract type
Execution venue
Start date
Maturity, termination or end date
The price
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
Payment frequency of the non-reporting counterparty
Clearing exception or exemption type
Indication of collateralization
Any other terms of the swap matched or affirmed by the counterparties in verifying the swap.
Field values: LEI, or substitute identifier for a natural person.
Field values: LEI, or substitute identifier for a natural person.
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.
E.g., swap, swaption, forward, option, basis swap, index swap, basket swap.
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.
The date on which the swap starts or goes into effect.
The date on which the swap expires.
E.g., strike price, initial price, spread.
A description of the payment stream of the reporting counterparty, e.g., coupon.
A description of the payment stream of the non-reporting counterparty, e.g., coupon.
The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative.
Is the swap collateralized, and if so to what extent? Field values:
Uncollateralized, partially collateralized, one-way collateralized, fully collateralized.
Use as many fields as required to report each such term.
EXHIBIT BMINIMUM PRIMARY ECONOMIC TERMS DATAFOREIGN EXCHANGE TRANSACTIONS
Other than cross-currency swaps Data fields for all swaps
Comment
Asset Class
The Unique Swap Identifier for the swap
Field values: Credit, equity, FX, interest rates, other commodities.
The USI is a unique identifier assigned to all swap transactions which identifies the transaction the swap and its counterparties uniquely throughout its duration.
As provided in 45.6, or substitute identifier for a natural person.
Yes/No.
The Legal Entity Identifier of the reporting counterparty
An indication of whether the reporting counterparty is a derivatives clearing organization with respect to the swap.
The Legal Entity Identifier of the non-reporting party
The Unique Product Identifier assigned to the swap
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
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Execution venue
Currency 1
Currency 2
Notional amount 1
Notional amount 2
Exchange rate
Delivery type
Settlement or expiration date
Clearing exception or exemption type
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As provided in 45.6, or substitute identifier for a natural person.
As provided in 45.7.
E.g., forward, non-deliverable forward NDF, non-deliverable option NDO, vanilla option, simple exotic option, complex exotic option.
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.
ISO code.
ISO code.
For currency 1.
For currency 2.
Contractual rate of exchange of the currencies.
Physical deliverable or cash non-deliverable.
Settlement date, or for an option the contract expiration date.
The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative.
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