CFR Part 20

CFR Part 20
in effect

17 C.F.R. § 20.1 Definitions.

As used in, and solely for the purposes of, this part: Business day means “business day” as that term is defined in § 1.3 of this chapter. Cleared product means a paired swap or swaption that a clearing organization offers or accepts for clearing. Clearing member means any person who is a member of, or enjoys the privilege of, clearing trades in its own name through a clearing organization. Clearing organization means the person or organization that acts as a medium between clearing members for the purpose of clearing swaps or swaptions or effecting settlements of swaps or swaptions. Closed swap or closed swaption means a swap or swaption that has been settled, exercised, closed out or terminated. Commodity reference price means the price series (including derivatives contract and cash market prices or price indices) used by the parties to a swap or swaption to determine payments made, exchanged, or accrued under the terms of the contracts. Counterparty means, from the perspective of one side to a contract, the person that is the direct legal counterparty corresponding to the other side of the contract. Clearing member customer means any person for whom a reporting entity clears a swap or swaption position. Futures equivalent means an economically equivalent amount of one or more futures contracts that represents a position or transaction in one or more paired swaps or swaptions consistent with the conversion guidelines in appendix A of this part. Open swap or swaption means a swap or swaption that has not been closed. Paired swap or paired swaption means an open swap or swaption that is: (1) Directly or indirectly linked, including being partially or fully settled on, or priced at a differential to, the price of any commodity futures contract listed in § 20.2; or (2) Directly or indirectly linked, including being partially or fully settled on, or priced at a differential to, the price of the same commodity for delivery at the same location or locations. Person means any “person” as that term is defined in § 1.3 of this chapter. Reportable account or consolidated account that is reportable means a consolidated account that includes a reportable position. Reportable position means: (1)(i) A position, in any one futures equivalent month, comprised of 50 or more futures equivalent paired swaps or swaptions based on the same commodity underlying a futures contract listed in § 20.2, grouped separately by swaps and swaptions, then grouped by gross long contracts on a futures equivalent basis or gross short contracts on a futures equivalent basis; (ii) For a consolidated account (described in § 20.4(a)) that includes a reportable position as defined in paragraph (1)(i) of this definition, all other positions in that account that are based on the commodity that renders the account reportable; and (iii) The first reporting day on which a consolidated account (described in § 20.4(a)) no longer includes a reportable position as described in paragraph (1)(i) of this definition (because on such day, the reporting entity's consolidated account shall continue to be considered and treated as if it in fact included reportable positions as described in paragraph (1)(i) of this definition); or (2) At the discretion of a reporting entity, and as an alternative to paragraph (1) of this definition, so long as the same method is consistently applied to all consolidated accounts (as described in § 20.4(a)) of the reporting entity, all positions on a gross basis in a consolidated account that are based on the same commodity. Reporting day means the period of time between a clearing organization or reporting entity's usual and customary last internal valuation of paired swaps or swaptions and the next such period, so long as the period of time is consistently observed on a daily basis and the Commission is notified, upon its request, of the manner by which such period is calculated and any subsequent changes thereto. Reporting entity means: (1) A clearing member; or (2) A swap dealer in one or more paired swaps or swaptions as that term is defined in section 1a of the Act and any Commission definitional regulations adopted thereunder. Swap means: (1) Until the effective date of any definitional rulemaking regarding “swap” by the Commission under section 1a of the Act, an agreement (including terms and conditions incorporated by reference therein) which is a commodity swap (including any option to enter into such swap) within the meaning of “swap agreement” under § 35.1(b)(1) of this chapter, or a master agreement for a commodity swap together with all supplements thereto; or (2) “Swap” as defined in section 1a of the Act and any Commission definitional regulations adopted thereunder, upon the effective date of such regulations. Swaption means an option to enter into a swap or a swap that is an option.

17 C.F.R. § 20.2 Covered contracts.

The futures and option contracts listed by designated contract markets for the purpose of reports filed and information provided under this part are as follows:

17 C.F.R. § 20.3 Clearing organizations.

(a) Reporting data records. For each reporting day, with respect to paired swaps or swaptions, clearing organizations shall report to the Commission, separately for each clearing member's proprietary and clearing member customer account, unique groupings of the data elements in paragraph (b) of this section (to the extent that there are such corresponding elements), in a single data record, so that each reported record is distinguishable from every other reported record (because of differing data values, as opposed to the arrangement of the elements). (b) Populating reported data records with data elements. Data records reported under paragraph (a) of this section shall include the following data elements: (1) An identifier assigned by the Commission to the clearing organization; (2) The identifier assigned by the clearing organization to the clearing member; (3) The identifier assigned by the clearing organization for a cleared product; (4) The reporting day; (5) A proprietary or clearing member customer account indicator; (6) The futures equivalent month; (7) The commodity reference price; (8) Gross long swap positions; (9) Gross short swap positions; (10) A swaption put or call side indicator; (11) A swaption expiration date; (12) A swaption strike price; (13) Gross long non-delta-adjusted swaption positions; and (14) Gross short non-delta-adjusted swaption positions. (c) End of reporting day data. For all futures equivalent months, clearing organizations shall report end of reporting day settlement prices for each cleared product and deltas for every unique swaption put and call, expiration date, and strike price.

17 C.F.R. § 20.4 Reporting entities.

(a) Consolidated accounts. Each reporting entity shall combine all paired swap and swaption positions: (1) That are principal positions (swaps and swaptions to which the reporting entity is a direct legal counterparty), in a single consolidated account that it shall attribute to itself; and (2) That are positions of the reporting entity's counterparty in a single consolidated account that it shall attribute to that specific counterparty. (b) Reporting data records. Reporting entities shall report to the Commission, for each reporting day, and separately for each reportable position in a consolidated account described in paragraphs (a)(1) and (a)(2) of this section, unique groupings of the data elements in paragraph (c) of this section (to the extent that there are such corresponding elements), in a single data record, so that each reported record is distinguishable from every other reported record (because of differing data values, as opposed to the arrangement of the elements). (c) Populating reported data records with data elements. Data records reported under paragraph (b) of this section shall include the following data elements: (1) An identifier assigned by the Commission to the reporting entity; (2) An identifier indicating that a principal or counterparty position is being reported; (3) A 102S identifier assigned by the reporting entity to its counterparty; (4) The name of the counterparty whose position is being reported; (5) The reporting day; (6) If cleared, the identifier for the cleared product assigned by the clearing organization; (7) The commodity underlying the reportable positions; (8) The futures equivalent month; (9) A cleared or uncleared indicator; (10) A clearing organization identifier; (11) The commodity reference price; (12) An execution facility indicator; (13) Long paired swap positions; (14) Short paired swap positions; (15) A swaption put or call side indicator; (16) A swaption expiration date; (17) A swaption strike price; (18) Long non-delta-adjusted paired swaption positions; (19) Short non-delta-adjusted paired swaption positions; (20) Long delta-adjusted paired swaption positions (using economically reasonable and analytically supported deltas); (21) Short delta-adjusted paired swaption positions (using economically reasonable and analytically supported deltas); (22) Long paired swap or swaption notional value; and (23) Short paired swap or swaption notional value.

17 C.F.R. § 20.5 Series S filings.

(a) 102S filing. (1) When a counterparty consolidated account first becomes reportable, the reporting entity shall submit a 102S filing, in accordance with the form instructions and as specified in this section. (2) A reporting entity may submit a 102S filing only once for each counterparty, even if such persons at various times have multiple reportable positions in the same or different paired swaps or swaptions. (3) Reporting entities shall submit a 102S filing within three days following the first day a consolidated account first becomes reportable or at such time as instructed by the Commission upon special call. (4) Change updates. If any change causes the information filed by a clearing member or swap dealer on a Form 102 for a consolidated account to no longer be accurate, then such clearing member or swap dealer shall file an updated Form 102 with the Commission no later than 9 a.m. on the business day after such change occurs, or on such other date as directed by special call of the Commission, provided that, a clearing member or swap dealer may stop providing change updates for a Form 102 that it has submitted to the Commission for any consolidated account upon notifying the Commission or its designee that the account in question is no longer reportable as a consolidated account and has not been reportable as a consolidated account for the past six months. Unless otherwise specified by the Commission or its designee, the stated time is Eastern Time for information concerning markets located in that time zone, and Central Time for information concerning all other markets. (5) Refresh updates. For Consolidated Accounts—Starting on a date specified by the Commission or its designee and at the end of each annual increment thereafter (or such other date specified by the Commission or its designee that is equal to or greater than six months), each clearing member or swap dealer shall resubmit every Form 102 that it has submitted to the Commission for each of its consolidated accounts, provided that, a clearing member or swap dealer may stop providing refresh updates for a Form 102 that it has submitted to the Commission for any consolidated account upon notifying the Commission or its designee that the account in question is no longer reportable as a consolidated account and has not been reportable as a consolidated account for the past six months. (b) 40S filing. Every person subject to books or records requirement under § 20.6 shall after a special call upon such person by the Commission file with the Commission a 40S filing at such time and place as directed in the call. A 40S filing shall consist of the submission of a Form 40, which shall be completed by such person as if any references to futures or option contracts were references to paired swaps or swaptions as defined in § 20.1.

17 C.F.R. § 20.6 Maintenance of books and records.

(a) Every clearing organization shall keep all records of transactions in paired swaps or swaptions, and methods used to convert paired swaps or swaptions into futures equivalents, in accordance with the requirements of § 1.31 of this chapter. (b) Every reporting entity shall keep all records of transactions in paired swaps or swaptions, and methods used to convert paired swaps or swaptions into futures equivalents, in accordance with the requirements of § 1.31 of this chapter. (c) Every person with equal to or greater than 50 gross all-months-combined futures equivalent positions in paired swaps or swaptions on the same commodity shall: (1) Keep books and records showing all records for transactions resulting in such positions, which may be kept and reproduced for Commission inspection in the record retention format that such person has developed in the normal course of its business operations; and (2) Keep books and records showing transactions in the cash commodity underlying such positions or its products and byproducts, and all commercial activities that are hedged or which have risks that are mitigated by such positions, which may be kept in accordance with the recordkeeping schedule and reproduced for Commission inspection in the record retention format that such person has developed in the normal course of its business operations. (d) All books and records required to be kept by paragraphs (a) through (c) of this section shall be furnished upon request to the Commission along with any pertinent information concerning such positions, transactions, or activities.

17 C.F.R. § 20.7 Form and manner of reporting and submitting information or filings.

Unless otherwise instructed by the Commission, a clearing organization or reporting entity shall submit data records and any other information required under this part to the Commission as follows: (a) Using the format, coding structure, and electronic data transmission procedures approved in writing by the Commission; (b) For clearing organizations, not later than 9:00 a.m. eastern time on the next business day following the reporting day or at such other time as instructed by the Commission; and (c) For clearing members and swap dealers, not later than 12:00 p.m. eastern time on the second (T+2) business day following the reporting day or at such other time as instructed by the Commission.

17 C.F.R. § 20.8 Delegation of authority.

(a) The Commission hereby delegates, until it orders otherwise, to the Director of the Division of Enforcement, or such other employee or employees as the Director may designate from time to time, the authority in § 20.6(d) for issuing a special call. (b) The Commission hereby delegates, until it orders otherwise, to the Director of the Division of Market Oversight or such other employee or employees as the Director may designate from time to time, the authority in § 20.10 for determining the described compliance schedules. (c) The Commission hereby delegates, until it orders otherwise, to the Director of the Office of Data and Technology, in consultation with the Director of the Division of Market Oversight, or such other employee or employees as the Directors each may designate from time to time, the authority: (1) In § 20.5(a)(3) for issuing a special call for a 102S filing; and (2) In § 20.5(b) for issuing a special call for a 40S filing. (d) The Commission hereby delegates, until it orders otherwise, to the Director of the Office of Data and Technology, with the concurrence of the Director of the Division of Market Oversight, or such other employee or employees as the Directors each may designate from time to time, the authority, in § 20.7, for providing instructions or determining the format, coding structure, and electronic data transmission procedures for submitting data records and any other information required under this part. (e) The Directors of the Division of Enforcement, Division of Market Oversight, and the Office of Data and Technology may submit to the Commission for its consideration any matter which has been delegated in this section. (f) Nothing in this section prohibits the Commission, at its election, from exercising the authority delegated in this section.

17 C.F.R. § 20.9 Sunset provision.

(a) Except as otherwise provided in paragraph (b) of this section, the sections of this part shall become ineffective and unenforceable upon a Commission finding that, through the issuance of an order, operating swap data repositories are processing positional data and that such processing will enable the Commission to effectively surveil trading in paired swaps and swaptions and paired swap and swaption markets. (b) The Commission may determine, in its discretion, to maintain the effectiveness and enforceability of any section of this part, or any requirement therein, in an order issued under paragraph (a) of this section, upon finding that such sections, or requirements therein, provide the Commission with positional data or data elements that materially improves the accuracy and surveillance utility of the positional data processed by swap data repositories.

17 C.F.R. § 20.10 Compliance schedule.

(a) Clearinghouses, clearing members and persons with books and records obligations shall comply with the requirements of this part upon the effective date of this part. (b) Swap dealers that are not clearing members shall comply with the requirements of this part upon the effective date of final regulations further defining the term swap dealer. (c) The Commission may permit, for a period not to exceed six calendar months following the effective date specified in paragraph (a) of this section, the submission of reports pursuant to §§ 20.3 and 20.4 that differ in content, or are submitted in a form and manner which is other than prescribed by the provisions of this part, provided that the submitter is making a good faith attempt to comply with all of the provisions of this part. (d) Unless determined otherwise by the Commission, paired swap and swaption position and market reports submitted under parts 15 through 19, or 21 of this chapter, or any order of the Commission, shall continue to be submitted under those parts or orders until swap dealers are required to comply with § 20.4. (e) The Commission may extend the compliance date established in paragraph (b) of this section by an additional six calendar months based on resource limitations or lack of experience in reporting transactions to the Commission for a swap dealer that is not an affiliate of a bank holding company and: (1) Is not registered with the Commission as a futures commission merchant and is not an affiliate of a futures commission merchant; (2) Is not registered with the Securities and Exchange Commission as a broker or dealer and is not an affiliate of a broker or dealer; and (3) Is not supervised by any Federal prudential regulator.

17 C.F.R. § 20.11 Diversified commodity indices.

For the purpose of reporting in futures equivalents, paired swaps and swaptions using commodity reference prices that are commonly known diversified indices with publicly available weightings may be reported as if such indices underlie a single futures contract with monthly expirations for each calendar month and year.

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