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Federal Register / Vol. 86, No. 2 / Tuesday, January 5, 2021 / Rules and Regulations
227

EXHIBIT BMINIMUM PRIMARY ECONOMIC TERMS DATAFOREIGN EXCHANGE TRANSACTIONSContinued 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.
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.

Any other terms of the trade matched or affirmed by the counterparties in verifying the trade.

EXHIBIT CMINIMUM PRIMARY ECONOMIC TERMS DATAINTEREST RATE SWAPS
Including 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 counterparty
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
Execution venue

Start date
Maturity, termination or end date
Day count convention
Notional amount leg 1
Notional currency leg 1
Notional amount leg 2
Notional currency leg 2
Payer fixed rate
Payer floating rate leg 1
Payer floating rate leg 2
Direction

Option type
Fixed rate
Fixed rate day count fraction
Floating rate payment frequency
Floating rate reset frequency
Floating rate index name/rate period
Clearing exception or exemption type
Indication of collateralization

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Any other terms of the swap matched or affirmed by the counterparties in verifying the swap.

As provided in 45.6, or substitute identifier for a natural person.
As provided in 45.7.

E.g., swap, swaption, option, basis swap, index 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 or ends.
The current active notional amount.
ISO code.
The current active notional amount.
ISO code.
Is the reporting party a fixed rate payer? Yes/No/Not applicable.
If two floating legs, the payer for leg 1.
If two floating legs, the payer for leg 2.
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.
E.g., put, call, straddle.
E.g., actual 360.

E.g., USD-Libor-BBA.
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.
E.g., early termination option clause. Use as many fields as required to report each such term.

EXHIBIT DMINIMUM PRIMARY ECONOMIC TERMS DATAOTHER COMMODITY SWAPS
Data field for all swaps
Comment
Asset Class

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

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