Federal Register - February 11, 2021
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Source: Federal Register
Federal Register / Vol. 86, No. 27 / Thursday, February 11, 2021 / Rules and Regulations confusion, but instead provides useful examples, and the list will not be eliminated as proposed.
D. Antitrust Considerations Section 15b of the CEA 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 purposes of the CEA, in issuing any order or adopting any Commission rule or regulation.277 In the notice of proposed rulemaking, the Commission requested comments on whether: 1 The proposed rulemaking implicates any other specific public interest to be protected by the antitrust laws; 2 the proposed rulemaking is anticompetitive; and 3 there are less anticompetitive means of achieving the relevant purposes of the CEA.
The Commission does not anticipate that the amendments to part 37 that it is adopting in this rule will result in anticompetitive behavior. The Commission received no comments on the antitrust considerations of the proposed rules finalized herein.
List of Subjects in 17 CFR Part 37
Swap execution facilities.
For the reasons stated in the preamble, the Commodity Futures Trading Commission amends 17 CFR
part 37 as follows:
1. The authority citation for Part 37
continues to read as follows:
Authority: 7 U.S.C. 1a, 2, 5, 6, 6c, 7, 7a 2, 7b3, and 12a, as amended by Titles VII
and VIII of the Dodd-Frank Wall Street Reform and Consumer Protection Act, Pub. L.
111203, 124 Stat. 1376.
2. Amend 37.205 by revising paragraph a and removing paragraph b2iv, the revision to read as follows:
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Audit trail.
a Audit trail required. A swap execution facility shall capture and retain all audit trail data necessary to detect, investigate, and prevent customer and market abuses. Such data shall be sufficient to reconstruct all indications of interest, requests for quotes, orders, and trades within a reasonable period of time and to provide evidence of any violations of the rules of the swap execution facility. An acceptable audit trail shall also permit the swap execution facility to track a customer order from the time of receipt 277 7
U.S.C. 19b.
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Subpart NFinancial Resources Sec.
37.1300 Core Principle 13Financial resources.
37.1301 General requirements.
37.1302 Types of financial resources.
37.1303 Liquidity of financial resources.
37.1304 Computation of costs to meet financial resources requirement.
37.1305 Valuation of financial resources.
37.1306 Reporting to the Commission.
37.1307 Delegation of authority.
37.1300 Core Principle 13Financial resources.
a In general. The swap execution facility shall have adequate financial, operational, and managerial resources to discharge each responsibility of the swap execution facility.
b Determination of resource adequacy. The financial resources of a swap execution facility shall be considered to be adequate if the value of the financial resources exceeds the total amount that would enable the swap execution facility to cover the operating costs of the swap execution facility for a one-year period, as calculated on a rolling basis.
37.1301
PART 37SWAP EXECUTION
FACILITIES
37.205
through execution on the swap execution facility.
3. Revise subpart N to read as follows:
General requirements.
a A swap execution facility shall maintain financial resources on an ongoing basis that are adequate to enable it to comply with the core principles set forth in section 5h of the Act and any applicable Commission regulations. Financial resources shall be considered adequate if their value exceeds the total amount that would enable the swap execution facility to cover its projected operating costs necessary for the swap execution facility to comply with section 5h of the Act and applicable Commission regulations for a one-year period, as calculated on a rolling basis pursuant to 37.1304.
b An entity that operates as both a swap execution facility and a derivatives clearing organization shall also comply with the financial resource requirements of 39.11 of this chapter.
37.1302
Types of financial resources.
Financial resources available to satisfy the requirements of 37.1301
may include:
a The swap execution facilitys own capital, meaning its assets minus its liabilities calculated in accordance with generally accepted accounting principles in the United States; and b Any other financial resource deemed acceptable by the Commission.
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37.1303
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Liquidity of financial resources.
The financial resources allocated by the swap execution facility to meet the ongoing requirements of 37.1301 shall include unencumbered, liquid financial assets i.e., cash and/or highly liquid securities equal to at least the greater of three months of projected operating costs, as calculated on a rolling basis, or the projected costs needed to wind down the swap execution facilitys operations, in each case as determined under 37.1304. If a swap execution facility lacks sufficient unencumbered, liquid financial assets to satisfy its obligations under this section, the swap execution facility may satisfy this requirement by obtaining a committed line of credit or similar facility in an amount at least equal to such deficiency.
37.1304 Computation of costs to meet financial resources requirement.
A swap execution facility shall each fiscal quarter, make a reasonable calculation of its projected operating costs and wind-down costs in order to determine its applicable obligations under 37.1301 and 37.1303. The swap execution facility shall have reasonable discretion in determining the methodologies used to compute such amounts. The Commission may review the methodologies and require changes as appropriate.
37.1305
Valuation of financial resources.
No less than each fiscal quarter, a swap execution facility shall compute the current market value of each financial resource used to meet its obligations under 37.1301 and 37.1303. Reductions in value to reflect market and credit risk haircuts shall be applied as appropriate.
37.1306
Reporting to the Commission.
a Each fiscal quarter, or at any time upon Commission request, a swap execution facility shall provide a report to the Commission that includes:
1 The amount of financial resources necessary to meet the requirements of 37.1301 and 37.1303, computed in accordance with the requirements of 37.1304, and the market value of each available financial resource, computed in accordance with the requirements of 37.1305; and 2 Financial statements, including the balance sheet, income statement, and statement of cash flows of the swap execution facility.
i The financial statements shall be prepared in accordance with generally accepted accounting principles in the United States, prepared in English, and denominated in U.S. dollars.
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