17 CFR Part 39 — Derivatives Clearing Organizations

PART 39—DERIVATIVES CLEARING ORGANIZATIONS Authority: 7 U.S.C. 2, 6(c), 7a-1, and 12a(5); 12 U.S.C. 5464; 15 U.S.C. 8325; Section 752 of the Dodd-Frank Wall Street Reform and Consumer Protection Act, Pub. L. 111-203, title VII, sec. 752, July 21, 2010, 124 Stat. 1749. Source: 76 FR 69430, Nov. 8, 2011, unless otherwise noted. Subpart A—General Provisions Applicable to Derivatives Clearing Organizations § 39.1 Scope. The provisions of this subpart A apply to any derivatives clearing organization, as defined under section 1a(15) of the Act and § 1.3 of this chapter, that is registered or is required to register with the Commission as a derivatives clearing organization pursuant to section 5b(a) of the Act, or that is applying for an exemption from registration pursuant to section 5b(h) of the Act. [86 FR 965, Jan. 7, 2021] § 39.2 Definitions. For the purposes of this part: Activity with a more complex risk profile (1) Clearing credit default swaps, credit default futures, or derivatives that reference either credit default swaps or credit default futures and (2) Any other activity designated as such by the Commission pursuant to § 39.33(a)(3). Backtest Business day Customer account or customer origin Depository institution Enterprise risk management Exempt derivatives clearing organization Fully collateralized position Good regulatory standing (1) In the case of an exempt derivatives clearing organization, either there has been no finding by the home country regulator of material non-observance of the Principles for Financial Market Infrastructures or other relevant home country legal requirements, or there has been a finding by the home country regulator of material non-observance of the Principles for Financial Market Infrastructures or other relevant home country legal requirements but any such finding has been or is being resolved to the satisfaction of the home country regulator by means of corrective action taken by the derivatives clearing organization; or (2) In the case of a derivatives clearing organization registered subject to compliance with subpart D of this part, either there has been no finding by the home country regulator of material non-observance of the relevant home country legal requirements, or there has been a finding by the home country regulator of material non-observance of the relevant home country legal requirements but any such finding has been or is being resolved to the satisfaction of the home country regulator by means of corrective action taken by the derivatives clearing organization. Home country Home country regulator House account or house origin Key personnel Principles for Financial Market Infrastructures Stress test Subpart C derivatives clearing organization (1) Is registered as a derivatives clearing organization under section 5b of the Act; (2) Is not a systemically important derivatives clearing organization; and (3) Has become subject to the provisions of subpart C of this part, pursuant to § 39.31. Substantial risk to the U.S. financial system (1) The derivatives clearing organization holds 20% or more of the required initial margin of U.S. clearing members for swaps across all registered and exempt derivatives clearing organizations; and (2) Twenty percent or more of the initial margin requirements for swaps at that derivatives clearing organization is attributable to U.S. clearing members; provided, however, U.S. clearing member Systemically important derivatives clearing organization Trust company U.S. branch or agency of a foreign banking organization [85 FR 4850, Jan. 27, 2020, as amended at 85 FR 67186, Oct. 21, 2020; 86 FR 965, Jan. 7, 2021; 88 FR 53682, Aug. 8, 2023] § 39.3 Procedures for registration. (a) Application for registration General procedure. (2) Application. (3) Alternative application procedures. (4) Submission of supplemental information. (5) Application amendments. (6) Public information. (7) Extension of time for review. (b) Stay of application review. (2) Delegation of authority. (ii) The Director of the Division of Clearing and Risk may submit to the Commission for its consideration any matter which has been delegated in this paragraph. (iii) Nothing in this paragraph prohibits the Commission, at its election, from exercising the authority delegated in paragraph (b)(2)(i) of this section. (c) Withdrawal of application for registration. (d) Amendment of an order of registration. (2) A derivatives clearing organization shall provide to the Commission, upon the Commission's request, any additional information and documentation necessary to review a request to amend an order of registration. (3) The Commission shall issue an amended order of registration upon a Commission determination, in its own discretion, that the derivatives clearing organization would maintain compliance with the Act and the Commission's regulations in this chapter upon amendment to the order. If deemed appropriate, the Commission may issue an amended order of registration subject to conditions. (4) The Commission may decline to issue an amended order based upon a Commission determination, in its own discretion, that the derivatives clearing organization would not continue to maintain compliance with the Act and the Commission's regulations in this chapter upon amendment to the order. (e) Reinstatement of dormant registration. (f) Vacation of registration Request. (i) The date that the vacation should take effect, which must be at least ninety days after the request was submitted; (ii) A description of how the derivatives clearing organization intends to transfer or otherwise unwind all open positions at the derivatives clearing organization and how such actions reflect the interests of affected clearing members and their customers; (iii) A statement that the derivatives clearing organization will continue to maintain its books and records for the requisite statutory and regulatory retention periods after its registration has been vacated; and (iv) A statement that the derivatives clearing organization will continue to make its books and records available for inspection by any representative of the Commission or the United States Department of Justice after its registration has been vacated, as required by § 1.31 of this chapter. (2) Notice to registered entities. (g) Request for transfer of open interest Submission. (2) Required information. (i) The underlying agreement that governs the transfer; (ii) A description of the transfer, including the reason for the transfer and the impact of the transfer on the rights and obligations of clearing members and market participants holding the positions that comprise the derivatives clearing organization's open interest; (iii) A discussion of the transferee's ability to comply with the Act, including the core principles applicable to derivatives clearing organizations, and the Commission's regulations in this chapter, as applicable; (iv) The transferee's rules marked to show changes that would result from acceptance of the transferred positions; (v) A list of products for which the derivatives clearing organization requests transfer of open interest; and (vi) A representation by the transferee that it is in and will maintain compliance with any applicable provisions of the Act, including the core principles applicable to derivatives clearing organizations, and the Commission's regulations upon the transfer of the open interest. (3) Commission action. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4851, Jan. 27, 2020; 85 FR 67186, Oct. 21, 2020] § 39.4 Procedures for implementing derivatives clearing organization rules and clearing new products. (a) Request for approval of rules. (b) Self-certification of rules. (c) Exemption from self-certification of rules. (d) Acceptance of new products for clearing. (2) A derivatives clearing organization that accepts for clearing a new product that is a swap shall comply with the requirements of § 39.5 of this part. (e) Orders regarding competition. (f) Holding securities in a futures portfolio margining account. [76 FR 69430, Nov. 8, 2011, as amended at 83 FR 7996, Feb. 23, 2018; 85 FR 4852, Jan. 27, 2020; 85 FR 67187, Oct. 21, 2020] § 39.5 Review of swaps for Commission determination on clearing requirement. (a) Eligibility to clear swaps. (2) A derivatives clearing organization that wishes to accept for clearing any swap that is not within a group, category, type, or class of swaps that the derivatives clearing organization already clears shall request a determination by the Commission of the derivatives clearing organization's eligibility to clear such a swap before accepting the swap for clearing. The request, which shall be filed electronically with the Secretary of the Commission, shall address the derivatives clearing organization's ability, if it accepts the swap for clearing, to maintain compliance with section 5b(c)(2) of the Act, specifically: (i) The sufficiency of the derivatives clearing organization's financial resources; and (ii) The derivative clearing organization's ability to manage the risks associated with clearing the swap, especially if the Commission determines that the swap is required to be cleared. (b) Swap submissions. (2) A derivatives clearing organization shall submit swaps to the Commission, to the extent reasonable and practicable to do so, by group, category, type, or class of swaps. The Commission may in its reasonable discretion consolidate multiple submissions from one derivatives clearing organization or subdivide a derivatives clearing organization's submission as appropriate for review. (3) The submission shall be filed electronically with the Secretary of the Commission and shall include: (i) A statement that the derivatives clearing organization is eligible to accept the swap, or group, category, type, or class of swaps for clearing and describes the extent to which, if the Commission were to determine that the swap, or group, category, type, or class of swaps is required to be cleared, the derivatives clearing organization will be able to maintain compliance with section 5b(c)(2) of the Act; (ii) A statement that includes, but is not limited to, information that will assist the Commission in making a quantitative and qualitative assessment of the following factors: (A) The existence of significant outstanding notional exposures, trading liquidity, and adequate pricing data; (B) The availability of rule framework, capacity, operational expertise and resources, and credit support infrastructure to clear the contract on terms that are consistent with the material terms and trading conventions on which the contract is then traded; (C) The effect on the mitigation of systemic risk, taking into account the size of the market for such contract and the resources of the derivatives clearing organization available to clear the contract; (D) The effect on competition, including appropriate fees and charges applied to clearing; and (E) The existence of reasonable legal certainty in the event of the insolvency of the relevant derivatives clearing organization or one or more of its clearing members with regard to the treatment of customer and swap counterparty positions, funds, and property; (iii) Product specifications, including copies of any standardized legal documentation, generally accepted contract terms, standard practices for managing any life cycle events associated with the swap, and the extent to which the swap is electronically confirmable; (iv) Participant eligibility standards, if different from the derivatives clearing organization's general participant eligibility standards; (v) Pricing sources, models, and procedures, demonstrating an ability to obtain sufficient price data to measure credit exposures in a timely and accurate manner, including any agreements with clearing members to provide price data and copies of executed agreements with third-party price vendors, and information about any price reference index used, such as the name of the index, the source that calculates it, the methodology used to calculate the price reference index and how often it is calculated, and when and where it is published publicly; (vi) Risk management procedures, including measurement and monitoring of credit exposures, initial and variation margin methodology, methodologies for stress testing and backtesting, settlement procedures, and default management procedures; (vii) Applicable rules, manuals, policies, or procedures; (viii) A description of the manner in which the derivatives clearing organization has provided notice of the submission to its members and a summary of any views on the submission expressed by the members (a copy of the notice to members shall be included with the submission); and (ix) Any additional information specifically requested by the Commission. (4) The Commission must have received the submission by the open of business on the business day preceding the acceptance of the swap, or group, category, type, or class of swaps for clearing. (5) The submission will be made available to the public and posted on the Commission Web site for a 30-day public comment period. A derivatives clearing organization that wishes to request confidential treatment for portions of its submission may do so in accordance with the procedures set out in § 145.9(d) of this chapter. (6) The Commission will review the submission and determine whether the swap, or group, category, type, or class of swaps described in the submission is required to be cleared. The Commission will make its determination not later than 90 days after a complete submission has been received, unless the submitting derivatives clearing organization agrees to an extension. The determination of when such submission is complete shall be at the sole discretion of the Commission. In making a determination that a clearing requirement shall apply, the Commission may impose such terms and conditions to the clearing requirement as the Commission determines to be appropriate. (c) Commission-initiated reviews. (2) Notice regarding any determination made under paragraph (c)(1) of this section will be made available to the public and posted on the Commission Web site for a 30-day public comment period. (3) If no derivatives clearing organization has accepted for clearing a particular swap, group, category, type, or class of swaps that the Commission finds would otherwise be subject to a clearing requirement, the Commission will: (i) Investigate the relevant facts and circumstances; (ii) Within 30 days of the completion of its investigation, issue a public report containing the results of the investigation; and (iii) Take such actions as the Commission determines to be necessary and in the public interest, which may include requiring the retaining of adequate margin or capital by parties to the swap, group, category, type, or class of swaps. (d) Stay of clearing requirement. (2) A counterparty to a swap that wishes to apply for a stay of the clearing requirement for that swap shall submit a written request to the Secretary of the Commission that includes: (i) The identity and contact information of the counterparty to the swap; (ii) The terms of the swap subject to the clearing requirement; (iii) The name of the derivatives clearing organization clearing the swap; (iv) A description of the clearing arrangement; and (v) A statement explaining why the swap should not be subject to a clearing requirement. (3) A derivatives clearing organization that has accepted for clearing a swap, or group, category, type, or class of swaps that is subject to a stay of the clearing requirement shall provide any information requested by the Commission in the course of its review. (4) The Commission will complete its review not later than 90 days after issuance of the stay, unless the derivatives clearing organization that clears the swap, or group, category, type, or class of swaps agrees to an extension. (5) Upon completion of its review, the Commission may: (i) Determine, subject to any terms and conditions as the Commission determines to be appropriate, that the swap, or group, category, type, or class of swaps must be cleared; or (ii) Determine that the clearing requirement will not apply to the swap, or group, category, type, or class of swaps, but clearing may continue on a non-mandatory basis. [76 FR 69430, Nov. 8, 2011, as amended at 88 FR 53682, Aug. 8, 2023] § 39.6 Exemption from derivatives clearing organization registration. (a) Eligibility for exemption. (1) The derivatives clearing organization is subject to comparable, comprehensive supervision and regulation by a home country regulator as demonstrated by the following: (i) The derivatives clearing organization is organized in a jurisdiction in which a home country regulator applies to the derivatives clearing organization, on an ongoing basis, statutes, rules, regulations, policies, or a combination thereof that, taken together, are consistent with the Principles for Financial Market Infrastructures; (ii) The derivatives clearing organization observes the Principles for Financial Market Infrastructures in all material respects; and (iii) The derivatives clearing organization is in good regulatory standing in its home country; and (2) A memorandum of understanding or similar arrangement satisfactory to the Commission is in effect between the Commission and the derivatives clearing organization's home country regulator, pursuant to which, among other things, the home country regulator agrees to provide to the Commission any information that the Commission deems necessary to evaluate the initial and continued eligibility of the derivatives clearing organization for exemption from registration or to review its compliance with any conditions of such exemption. (b) Conditions of exemption. (1) Clearing by or for U.S. persons and futures commission merchants. (i) A U.S. person that is a clearing member of the exempt derivatives clearing organization may clear swaps for itself and those persons identified in the definition of “proprietary account” set forth in § 1.3 of this chapter; (ii) A non-U.S. person that is a clearing member of the exempt derivatives clearing organization may clear swaps for any affiliated U.S. person identified in the definition of “proprietary” account set forth in § 1.3 of this chapter; and (iii) An entity that is registered with the Commission as a futures commission merchant may be a clearing member of the exempt derivatives clearing organization, or otherwise maintain an account with an affiliated broker that is a clearing member, for the purpose of clearing swaps only for itself and those persons identified in the definition of “proprietary account” set forth in § 1.3 of this chapter; and (2) Open access. (i) Provide that all swaps with the same terms and conditions, as defined by product specifications established under the exempt derivatives clearing organization's rules, submitted to the exempt derivatives clearing organization for clearing are economically equivalent within the exempt derivatives clearing organization and may be offset with each other within the exempt derivatives clearing organization, to the extent offsetting is permitted by the exempt derivatives clearing organization's rules; and (ii) Provide that there shall be non-discriminatory clearing of a swap executed bilaterally or on or subject to the rules of an unaffiliated electronic matching platform or trade execution facility. (3) Consent to jurisdiction; designation of agent for service of process. (i) Consent to jurisdiction in the United States; (ii) Designate, authorize, and identify to the Commission, an agent in the United States who shall accept any notice or service of process, pleadings, or other documents, including any summons, complaint, order, subpoena, request for information, or any other written or electronic documentation or correspondence issued by or on behalf of the Commission or the United States Department of Justice to the exempt derivatives clearing organization, in connection with any actions or proceedings brought against, or investigations relating to, the exempt derivatives clearing organization or any U.S. person or futures commission merchant that is a clearing member, or that clears swaps through a clearing member, of the exempt derivatives clearing organization; and (iii) Promptly inform the Commission of any change in its designated and authorized agent. (4) Compliance. (5) Inspection of books and records. (6) Observance of the Principles for Financial Market Infrastructures. (7) Representation of good regulatory standing. (8) Other conditions. (c) General reporting requirements. (2) Each exempt derivatives clearing organization shall provide to the Commission the following information: (i) A report compiled as of the end of each trading day and submitted to the Commission by 10:00 a.m. U.S. Central time on the following business day, containing: (A) Initial margin requirements and initial margin on deposit for each U.S. person, with respect to swaps, provided however (B) Daily variation margin, separately listing the mark-to-market amount collected from or paid to each U.S. person, with respect to swaps; provided, however, (ii) A report compiled as of the last day of each fiscal quarter of the exempt derivatives clearing organization and submitted to the Commission no later than 17 business days after the end of the exempt derivatives clearing organization's fiscal quarter, containing: (A) The aggregate clearing volume of U.S. persons during the fiscal quarter, with respect to swaps. If a clearing member is a U.S. person, the volume figure shall include the transactions of the clearing member and all affiliates. If a clearing member is not a U.S. person, the volume figure shall include only transactions of affiliates that are U.S. persons. (B) The average open interest of U.S. persons during the fiscal quarter, with respect to swaps. If a clearing member is a U.S. person, the open interest figure shall include the positions of the clearing member and all affiliates. If a clearing member is not a U.S. person, the open interest figure shall include only positions of affiliates that are U.S. persons. (C) A list of U.S. persons and futures commission merchants that are either clearing members or affiliates of any clearing member, with respect to the clearing of swaps, as of the last day of the fiscal quarter. (iii) Prompt notice regarding any change in the home country regulatory regime that is material to the exempt derivatives clearing organization's continuing observance of the Principles for Financial Market Infrastructures or compliance with any of the requirements set forth in this section or in the order of exemption issued by the Commission; (iv) As available to the exempt derivatives clearing organization, any assessment of the exempt derivatives clearing organization's or the home country regulator's observance of the Principles for Financial Market Infrastructures, or any portion thereof, by a home country regulator or other national authority, or an international financial institution or international organization; (v) As available to the exempt derivatives clearing organization, any examination report, examination findings, or notification of the commencement of any enforcement or disciplinary action by a home country regulator; (vi) Immediate notice of any change with respect to the exempt derivatives clearing organization's licensure, registration, or other authorization to act as a derivatives clearing organization in its home country; (vii) In the event of a default by a U.S. person or futures commission merchant clearing swaps, with such event of default determined in accordance with the rules of the exempt derivatives clearing organization, immediate notice of the default including the name of the U.S. person or futures commission merchant clearing swaps, a list of the positions held by the U.S. person or futures commission merchant, and the amount of the U.S. person's or futures commission merchant's financial obligation; and (viii) Notice of action taken against a U.S. person or futures commission merchant clearing swaps by an exempt derivatives clearing organization, no later than two business days after the exempt derivatives clearing organization takes such action against a U.S. person or futures commission merchant. (d) Swap data reporting requirements. (e) Application procedures. (2) Application. (i) A cover letter containing the following information: (A) Exact name of applicant as specified in its charter, and the name under which business will be conducted (including acronyms); (B) Address of applicant's principal office; (C) List of principal office(s) and address(es) where clearing activities are/will be conducted; (D) A list of all regulatory licenses or registrations of the applicant (or exemptions from any licensing requirement) and the regulator granting such license or registration; (E) Date of the applicant's fiscal year end; (F) Contact information for the person or persons to whom the Commission should address questions and correspondence regarding the application; and (G) A signature and date by a duly authorized representative of the applicant. (ii) A description of the applicant's business plan for providing clearing services as an exempt derivatives clearing organization, including information as to the classes of swaps that will be cleared and whether the swaps are subject to a clearing requirement issued by the Commission or the applicant's home country regulator; (iii) Documents that demonstrate that the applicant is organized in a jurisdiction in which its home country regulator applies to the applicant, on an ongoing basis, statutes, rules, regulations, policies, or a combination thereof that, taken together, are consistent with the Principles for Financial Market Infrastructures; (iv) A written representation from the applicant's home country regulator that the applicant is in good regulatory standing; (v) Copies of the applicant's most recent disclosures that are necessary to observe the Principles for Financial Market Infrastructures, including the financial market infrastructure disclosure template set forth in Annex A to the Disclosure Framework and Assessment Methodology for the Principles for Financial Market Infrastructures, any other such disclosure framework issued under the authority of the International Organization of Securities Commissions that is required for observance of the Principles for Financial Market Infrastructures, and the URL to the specific page(s) on the applicant's website where such disclosures may be found; (vi) A representation that the applicant will comply with each of the requirements and conditions of exemption set forth in paragraphs (b), (c), and (d) of this section, and the terms and conditions of its order of exemption as issued by the Commission; (vii) A copy of the applicant's rules that meet the requirements of paragraphs (b)(2) and (d) of this section, as applicable; and (viii) The applicant's consent to jurisdiction in the United States, and the name and address of the applicant's designated agent in the United States, pursuant to paragraph (b)(3) of this section. (3) Submission of supplemental information. (4) Amendments to pending application. (5) Public information. (f) Modification or termination of exemption upon Commission initiative. (i) The exempt derivatives clearing organization observes the Principles for Financial Market Infrastructures in all material respects; or (ii) The exempt derivatives clearing organization is subject to comparable, comprehensive supervision and regulation by its home country regulator. (2) The Commission shall provide written notification to an exempt derivatives clearing organization that it is considering whether to terminate or modify an exemption pursuant to this paragraph and the basis for that consideration. (3) The exempt derivatives clearing organization may respond to the notification in writing no later than 30 business days following receipt of the notification, or at such later time as the Commission permits in writing. (4) Following receipt of a response from the exempt derivatives clearing organization, or after expiration of the time permitted for a response, the Commission may: (i) Issue an order of termination, effective as of a date to be specified therein. Such specified date shall be intended to provide the exempt derivatives clearing organization with a reasonable amount of time to wind down its swap clearing services for U.S. persons; (ii) Issue an amended order of exemption that modifies the terms and conditions of the exemption; or (iii) Provide written notification to the exempt derivatives clearing organization that the exemption will remain in effect without modification to the terms and conditions of the exemption. (g) Termination of exemption upon request by an exempt derivatives clearing organization. (i) Changed circumstances result in the exempt derivatives clearing organization no longer qualifying for an exemption; (ii) The exempt derivatives clearing organization intends to cease clearing swaps for U.S. persons; or (iii) In conjunction with the petition, the exempt derivatives clearing organization submits an application for registration in accordance with § 39.3(a)(2) or § 39.3(a)(3), as applicable, to become a registered derivatives clearing organization pursuant to section 5b(a) of the Act. (2) The petition for termination of exemption shall include a detailed explanation of the facts and circumstances supporting the request and the exempt derivatives clearing organization's plans for, as may be applicable, the liquidation or transfer of the swaps positions and related collateral of U.S. persons. (3) The Commission shall issue an order of termination within a reasonable time appropriate to the circumstances or, as applicable, in conjunction with the issuance of an order of registration. (h) Notice to clearing members of termination of exemption. (1) A copy of the Commission's order of termination; (2) A description of the procedures for orderly disposition of any open swaps positions that were cleared for U.S. persons; and (3) An instruction to clearing members, requiring that they provide the exempt derivatives clearing organization's notice of such termination to all U.S. persons clearing swaps through such clearing members. [86 FR 965, Jan. 7, 2021] § 39.7 Enforceability. An agreement, contract or transaction submitted to a derivatives clearing organization for clearing shall not be void, voidable, subject to rescission, or otherwise invalidated or rendered unenforceable as a result of: (a) A violation by the derivatives clearing organization of the provisions of the Act or of Commission regulations; or (b) Any Commission proceeding to alter or supplement a rule under section 8a(7) of the Act, to declare an emergency under section 8a(9) of the Act, or any other proceeding the effect of which is to alter, supplement, or require a derivatives clearing organization to adopt a specific rule or procedure, or to take or refrain from taking a specific action. § 39.8 Fraud in connection with the clearing of transactions on a derivatives clearing organization. It shall be unlawful for any person, directly or indirectly, in or in connection with the clearing of transactions by a derivatives clearing organization: (a) To cheat or defraud or attempt to cheat or defraud any person; (b) Willfully to make or cause to be made to any person any false report or statement or cause to be entered for any person any false record; or (c) Willfully to deceive or attempt to deceive any person by any means whatsoever. Subpart B—Compliance with Core Principles § 39.9 Scope. Except as otherwise provided by Commission order, the provisions of this subpart B apply to any derivatives clearing organization, as defined under section 1a(15) of the Act and § 1.3 of this chapter, that is registered with the Commission as a derivatives clearing organization pursuant to section 5b of the Act. The provisions of this subpart B do not apply to any exempt derivatives clearing organization, as defined under § 39.2. [86 FR 968, Jan. 7, 2021] § 39.10 Compliance with core principles. (a) To be registered and to maintain registration as a derivatives clearing organization, a derivatives clearing organization shall comply with each core principle set forth in section 5b(c)(2) of the Act and any requirement that the Commission may impose by rule or regulation pursuant to section 8a(5) of the Act; and (b) Subject to any rule or regulation prescribed by the Commission, a registered derivatives clearing organization shall have reasonable discretion in establishing the manner by which it complies with each core principle. (c) Chief compliance officer Designation. (i) The individual designated to serve as chief compliance officer shall have the background and skills appropriate for fulfilling the responsibilities of the position. No individual who would be disqualified from registration under sections 8a(2) or 8a(3) of the Act may serve as a chief compliance officer. (ii) The chief compliance officer shall report to the board of directors or the senior officer of the derivatives clearing organization or, if the derivatives clearing organization engages in substantial activities not related to clearing, the senior officer responsible for the derivatives clearing organization's clearing activities. The board of directors or the senior officer shall approve the compensation of the chief compliance officer. (iii) The chief compliance officer shall meet with the board of directors or the senior officer at least once a year. (iv) A change in the designation of the individual serving as the chief compliance officer of the derivatives clearing organization shall be reported to the Commission in accordance with the requirements of § 39.19(c)(4)(x). (2) Chief compliance officer duties. (i) Reviewing the derivatives clearing organization's compliance with the core principles set forth in section 5b of the Act, and the Commission's regulations thereunder; (ii) In consultation with the board of directors or the senior officer, resolving any conflicts of interest that may arise; (iii) Establishing and administering written policies and procedures reasonably designed to prevent violation of the Act; (iv) Taking reasonable steps to ensure compliance with the Act and Commission regulations relating to agreements, contracts, or transactions, and with Commission regulations prescribed under section 5b of the Act; (v) Establishing procedures for the remediation of noncompliance issues identified by the chief compliance officer through any compliance office review, look-back, internal or external audit finding, self-reported error, or validated complaint; and (vi) Establishing and following appropriate procedures for the handling, management response, remediation, retesting, and closing of noncompliance issues. (3) Annual report. (i) Contain a description of the derivatives clearing organization's written policies and procedures, including the code of ethics and conflict of interest policies; provided that, to the extent that the derivatives clearing organization's written policies and procedures have not materially changed since they were most recently described in an annual report to the Commission, and if the annual report containing the most recent description was submitted within the last five years, the annual report may instead incorporate by reference the relevant descriptions from the most recent annual report containing the description; (ii) Review each core principle and applicable Commission regulation in this chapter including, in the case of systemically important derivatives clearing organizations and subpart C derivatives clearing organizations, regulations in subpart C of this part, and with respect to each: (A) Identify, by name, rule number, or other identifier, the compliance policies and procedures that are designed to ensure compliance with each core principle and applicable regulation in this chapter; (B) Provide an assessment as to the effectiveness of these policies and procedures; (C) Discuss areas for improvement, and recommend potential or prospective changes or improvements to the derivatives clearing organization's compliance program and resources allocated to compliance; (iii) List any material changes to compliance policies and procedures since the last annual report; (iv) Describe the financial, managerial, and operational resources set aside for compliance with the Act and Commission regulations; and (v) Describe any material compliance matters, including incidents of noncompliance, since the date of the last annual report, and describe the corresponding action taken. (4) Submission of annual report to the Commission. (ii) The annual report shall be submitted to the Secretary of the Commission in the format and manner specified by the Commission not more than 90 days after the end of the derivatives clearing organization's fiscal year. The report shall include a certification by the chief compliance officer that, to the best of his or her knowledge and reasonable belief, and under penalty of law, the annual report is accurate and complete. (iii) The derivatives clearing organization shall promptly submit an amended annual report if material errors or omissions in the report are identified after submission. An amendment must contain the certification required under paragraph (c)(4)(ii) of this section. (iv) A derivatives clearing organization may request from the Commission an extension of time to submit its annual report in accordance with § 39.19(c)(3) of this part. (5) Recordkeeping. (A) A copy of all compliance policies and procedures and all other policies and procedures adopted in furtherance of compliance with the Act and Commission regulations; (B) Copies of materials, including written reports provided to the board of directors or the senior officer in connection with the review of the annual report under paragraph (c)(4)(i) of this section; and (C) Any records relevant to the annual report, including, but not limited to, work papers and other documents that form the basis of the report, and memoranda, correspondence, other documents, and records that are created, sent, or received in connection with the annual report and contain conclusions, opinions, analyses, or financial data related to the annual report. (ii) The derivatives clearing organization shall maintain records in accordance with § 1.31 of this chapter and § 39.20 of this part. (d) Enterprise risk management General. (2) Enterprise risk management framework. (3) Standards for enterprise risk management framework. (4) Enterprise risk officer. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4852, Jan. 27, 2020] § 39.11 Financial resources. (a) General. (1) Enable the derivatives clearing organization to meet its financial obligations to its clearing members notwithstanding a default by the clearing member creating the largest financial exposure for the derivatives clearing organization in extreme but plausible market conditions; Provided that if a clearing member controls another clearing member or is under common control with another clearing member, the affiliated clearing members shall be deemed to be a single clearing member for purposes of this provision; and (2) Enable the derivatives clearing organization to cover its operating costs for a period of at least one year, calculated on a rolling basis. A derivatives clearing organization shall identify and adequately manage its general business risks and hold sufficient liquid resources to cover potential business losses that are not related to clearing members' defaults, so that the derivatives clearing organization can continue to provide services as a going concern. (b) Types of financial resources. (i) The derivatives clearing organization's own capital; (ii) Guaranty fund deposits; (iii) Default insurance; (iv) Potential assessments for additional guaranty fund contributions, if permitted by the derivatives clearing organization's rules; and (v) Any other financial resource deemed acceptable by the Commission. (2) Financial resources available to satisfy the requirements of paragraph (a)(2) of this section may include: (i) The derivatives clearing organization's own capital; and (ii) Any other financial resource deemed acceptable by the Commission. (3) A financial resource may be allocated, in whole or in part, to satisfy the requirements of either paragraph (a)(1) or paragraph (a)(2) of this section, but not both paragraphs, and only to the extent the use of such financial resource is not otherwise limited by the Act, Commission regulations, the derivatives clearing organization's rules, or any contractual arrangements to which the derivatives clearing organization is a party. (c) Calculation of financial resources requirements. (2) When calculating its largest financial exposure, a derivatives clearing organization: (i) In netting its exposure against the clearing member's initial margin, shall: (A) Use only that portion of the margin amount on deposit (including initial margin and any add-ons) that is required; and (B) Use customer margin (including initial margin and any add-ons) only to the extent permitted by parts 1 and 22 of this chapter, as applicable; (ii) Shall combine the customer and house stress test losses of each clearing member using the same stress test scenarios; (iii) May net any gains in the house account with losses in the customer account, if permitted by the derivatives clearing organization's rules, but shall not net losses in the house account with gains in the customer account; and (iv) With respect to a clearing member's cleared swaps customer account, may net customer gains against customer losses only to the extent permitted by the derivatives clearing organization's rules. (3) A derivatives clearing organization shall, on a monthly basis, make a reasonable calculation of its projected operating costs over a 12-month period in order to determine the amount needed to meet the requirements of paragraph (a)(2) of this section. The derivatives clearing organization shall have reasonable discretion in determining the methodology used to compute such projected operating costs. The Commission may review the methodology and require changes as appropriate. (d) Valuation of financial resources. (2) If assessments for additional guaranty fund contributions are permitted by the derivatives clearing organization's rules, in calculating the financial resources available to meet its obligations under paragraph (a)(1) of this section: (i) The derivatives clearing organization shall have rules requiring that its clearing members have the ability to meet an assessment within the time frame of a normal end-of-day variation settlement cycle; (ii) The derivatives clearing organization shall monitor the financial and operational capacity of its clearing members to meet potential assessments; (iii) The derivatives clearing organization shall apply a 30 percent haircut to the value of potential assessments, and (iv) The derivatives clearing organization shall only count the value of assessments, after the haircut, to meet up to 20 percent of the total amount required under paragraph (a)(1) of this section. The value of the assessments may be determined by using the largest financial exposure in extreme but plausible market conditions prior to netting against required initial margin on deposit. (e) Liquidity of financial resources. (ii) The financial resources allocated by the derivatives clearing organization to meet the requirements of paragraph (a)(1) of this section shall be sufficiently liquid to enable the derivatives clearing organization to fulfill its obligations as a central counterparty during a one-day settlement cycle. The derivatives clearing organization shall maintain cash, U.S. Treasury obligations, or high quality, liquid, general obligations of a sovereign nation, in an amount greater than or equal to an amount calculated as follows: (A) Calculate the average daily settlement variation pay for each clearing member over the last fiscal quarter; (B) Calculate the sum of those average daily settlement variation pays; and (C) Using that sum, calculate the average of its clearing members' average daily settlement variation pays. (iii) If the total amount of the financial resources required pursuant to the calculation set forth in paragraph (e)(1)(ii) of this section is insufficient to enable the derivatives clearing organization to fulfill its obligations during a one-day settlement cycle, the derivatives clearing organization may take into account a committed line of credit or similar facility for the purpose of meeting the remainder of the requirement of this paragraph (e) (subject to the limitation in paragraph (e)(3) of this section). (iv) A derivatives clearing organization is not subject to paragraph (e)(1)(ii) of this section for fully collateralized positions. (2) The financial resources allocated by the derivatives clearing organization to meet the requirements of paragraph (a)(2) of this section must include unencumbered, liquid financial assets ( i.e., (3) A committed line of credit or similar facility may be allocated, in whole or in part, to satisfy the requirements of either paragraph (e)(1)(ii) or (e)(2) of this section, but not both paragraphs. (4)(i) Assets in a guaranty fund shall have minimal credit, market, and liquidity risks and shall be readily accessible on a same-day basis; (ii) Cash balances shall be invested or placed in safekeeping in a manner that bears little or no principal risk; and (iii) Letters of credit shall not be a permissible asset for a guaranty fund. (f) Reporting requirements. Quarterly reporting. (i) Report to the Commission; (A) The amount of financial resources necessary to meet the requirements of paragraph (a) of this section and §§ 39.33(a) and 39.39(d), if applicable; (B) The value of each financial resource available, computed in accordance with the requirements of paragraph (d) of this section; and (C) The manner in which the derivatives clearing organization meets the liquidity requirements of paragraph (e) of this section; (ii) Provide the Commission with a financial statement, including the balance sheet, income statement, and statement of cash flows, prepared in accordance with U.S. generally accepted accounting principles, of the derivatives clearing organization; provided, however, (iii) Report to the Commission the value of each individual clearing member's guaranty fund deposit, if the derivatives clearing organization reports having guaranty fund deposits as a financial resource available to satisfy the requirements of paragraph (a)(1) of this section and §§ 39.33(a) and 39.39(d), if applicable. (iv) The calculations required by this paragraph (f) shall be made as of the last business day of the derivatives clearing organization's fiscal quarter. The report shall be submitted not later than 17 business days after the end of the derivatives clearing organization's fiscal quarter, or at such later time as the Commission may permit, in its discretion, upon request by the derivatives clearing organization. (2) Annual reporting. (ii) The report required by paragraph (f)(2)(i) of this section shall be submitted not later than 90 days after the end of the derivatives clearing organization's fiscal year, or at such later time as the Commission may permit, in its discretion, upon request by the derivatives clearing organization. (iii) A derivatives clearing organization shall submit concurrently with the audited year-end financial statement required by paragraph (f)(2)(i) of this section: (A) A reconciliation, including appropriate explanations, of its balance sheet in the audited year-end financial statement with the balance sheet in the derivatives clearing organization's financial statement for the last quarter of the fiscal year when material differences exist or, if no material differences exist, a statement so indicating; and (B) Such further information as may be necessary to make the statements not misleading. (3) Other reporting. (A) Sufficient documentation explaining the methodology used to compute its financial resources requirements under paragraph (a) of this section and §§ 39.33(a) and 39.39(d), if applicable; and (B) Sufficient documentation explaining the basis for its determinations regarding the valuation and liquidity requirements set forth in paragraphs (d) and (e) of this section. (ii) A derivatives clearing organization shall provide to the Commission copies of any agreements establishing or amending a credit facility, insurance coverage, or other arrangement evidencing or otherwise supporting the derivatives clearing organization's conclusions regarding its: (A) Financial resources available to satisfy the requirements of paragraph (a) of this section and §§ 39.33(a) and 39.39(d), if applicable; and (B) Liquidity resources available to satisfy the requirements of paragraph (e) of this section and § 39.33(c), if applicable. (4) Certification. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4852, Jan. 27, 2020; 85 FR 35805, June 12, 2020] § 39.12 Participant and product eligibility. (a) Participant eligibility. (1) Fair and open access for participation. The participation requirements shall permit fair and open access; (i) A derivatives clearing organization shall not have restrictive clearing member standards if less restrictive requirements that achieve the same objective and that would not materially increase risk to the derivatives clearing organization or clearing members could be adopted; (ii) A derivatives clearing organization shall allow all market participants who satisfy participation requirements to become clearing members; (iii) A derivatives clearing organization shall not exclude or limit clearing membership of certain types of market participants unless the derivatives clearing organization can demonstrate that the restriction is necessary to address credit risk or deficiencies in the participants' operational capabilities that would prevent them from fulfilling their obligations as clearing members. (iv) A derivatives clearing organization shall not require that clearing members be swap dealers. (v) A derivatives clearing organization shall not require that clearing members maintain a swap portfolio of any particular size, or that clearing members meet a swap transaction volume threshold. (vi) No derivatives clearing organization shall require as a condition of accepting a swap for clearing that a futures commission merchant enter into an arrangement with a customer that: (A) Discloses to the futures commission merchant or any swap dealer or major swap participant the identity of a customer's original executing counterparty; (B) Limits the number of counterparties with whom a customer may enter into trades; (C) Restricts the size of the position a customer may take with any individual counterparty, apart from an overall limit for all positions held by the customer at the futures commission merchant; (D) Impairs a customer's access to execution of a trade on terms that have a reasonable relationship to the best terms available; or (E) Prevents compliance with the time frames set forth in § 1.74(b), § 23.610(b), or § 39.12(b)(7) of this chapter. (2) Financial resources. (ii) The participation requirements shall set forth capital requirements that are based on objective, transparent, and commonly accepted standards that appropriately match capital to risk. Capital requirements shall be scalable to the risks posed by clearing members. (iii) A derivatives clearing organization shall not set a minimum capital requirement of more than $50 million for any person that seeks to become a clearing member in order to clear swaps. (3) Operational requirements. (4) Monitoring. (5) Reporting. (ii) A derivatives clearing organization shall require clearing members that are futures commission merchants to provide the financial reports that are specified in § 1.10 of this chapter to the derivatives clearing organization. (iii) A derivatives clearing organization shall require clearing members that are not futures commission merchants to make the periodic financial reports provided pursuant to paragraph (a)(5)(i) of this section available to the Commission upon the Commission's request or, in lieu of imposing the requirement in this paragraph (a)(5)(iii), a derivatives clearing organization may provide such financial reports directly to the Commission upon the Commission's request. (iv) A derivatives clearing organization shall have rules that require clearing members to provide to the derivatives clearing organization, in a timely manner, information that concerns any financial or business developments that may materially affect the clearing members' ability to continue to comply with participation requirements under this section. (v) The requirements in paragraphs (a)(5)(i) and (iii) of this section shall not apply with respect to non-futures commission merchant clearing members of a derivatives clearing organization that only clear fully collateralized positions. (6) Enforcement. (b) Product eligibility. (i) Trading volume; (ii) Liquidity; (iii) Availability of reliable prices; (iv) Ability of market participants to use portfolio compression with respect to a particular swap product; (v) Ability of the derivatives clearing organization and clearing members to gain access to the relevant market for purposes of creating, liquidating, transferring, auctioning, and/or allocating positions; (vi) Ability of the derivatives clearing organization to measure risk for purposes of setting margin requirements; and (vii) Operational capacity of the derivatives clearing organization and clearing members to address any unusual risk characteristics of a product. (2) A derivatives clearing organization that clears swaps shall have rules providing that all swaps with the same terms and conditions, as defined by product specifications established under derivatives clearing organization rules, submitted to the derivatives clearing organization for clearing are economically equivalent within the derivatives clearing organization and may be offset with each other within the derivatives clearing organization. (3) A derivatives clearing organization shall provide for non-discriminatory clearing of a swap executed bilaterally or on or subject to the rules of an unaffiliated swap execution facility or designated contract market. (4) A derivatives clearing organization shall not require that one of the original executing parties be a clearing member in order for a product to be eligible for clearing. (5) A derivatives clearing organization shall select product unit sizes and other terms and conditions that maximize liquidity, facilitate transparency in pricing, promote open access, and allow for effective risk management. To the extent appropriate to further these objectives, a derivatives clearing organization shall select product units for clearing purposes that are smaller than the product units in which trades submitted for clearing were executed. (6) A derivatives clearing organization that clears swaps shall have rules providing that, upon acceptance of a swap by the derivatives clearing organization for clearing: (i) The original swap is extinguished; (ii) The original swap is replaced by an equal and opposite swap between the derivatives clearing organization and each clearing member acting as principal for a house trade or acting as agent for a customer trade; (iii) All terms of a cleared swap must conform to product specifications established under derivatives clearing organization rules; and (iv) If a swap is cleared by a clearing member on behalf of a customer, all terms of the swap, as carried in the customer account on the books of the clearing member, must conform to the terms of the cleared swap established under the derivatives clearing organization's rules. (7) Time frame for clearing Coordination with markets and clearing members. (B) Each derivatives clearing organization shall coordinate with each clearing member that is a futures commission merchant, swap dealer, or major swap participant to establish systems that enable the clearing member, or the derivatives clearing organization acting on its behalf, to accept or reject each trade submitted to the derivatives clearing organization for clearing by or for the clearing member or a customer of the clearing member as quickly as would be technologically practicable if fully automated systems were used. (ii) Transactions executed competitively on or subject to the rules of a designated contract market or swap execution facility. (A) For which the executing parties have clearing arrangements in place with clearing members of the derivatives clearing organization; (B) For which the executing parties identify the derivatives clearing organization as the intended clearinghouse; and (C) That satisfy the criteria of the derivatives clearing organization, including but not limited to applicable risk filters; provided that such criteria are non-discriminatory across trading venues and are applied as quickly as would be technologically practicable if fully automated systems were used. (iii) Swaps not executed on or subject to the rules of a designated contract market or a swap execution facility or executed non-competitively on or subject to the rules of a designated contract market or a swap execution facility. (A) That are submitted by the parties to the derivatives clearing organization, in accordance with § 23.506 of this chapter; (B) For which the executing parties have clearing arrangements in place with clearing members of the derivatives clearing organization; (C) For which the executing parties identify the derivatives clearing organization as the intended clearinghouse; and (D) That satisfy the criteria of the derivatives clearing organization, including but not limited to applicable risk filters; provided that such criteria are non-discriminatory across trading venues and are applied as quickly as would be technologically practicable if fully automated systems were used. (8) Confirmation. [76 FR 69430, Nov. 8, 2011, as amended at 77 FR 21309, Apr. 9, 2012; 85 FR 4855, Jan. 27, 2020] § 39.13 Risk management. (a) General. (b) Risk management framework. (c) Chief risk officer. (d) [Reserved] (e) Measurement of credit exposure. (1) Measure its credit exposure to each clearing member and mark to market such clearing member's open house and customer positions at least once each business day; and (2) Monitor its credit exposure to each clearing member periodically during each business day. (f) Limitation of exposure to potential losses from defaults. (1) The operations of the derivatives clearing organization would not be disrupted; and (2) Non-defaulting clearing members would not be exposed to losses that non-defaulting clearing members cannot anticipate or control. (g) Margin requirements General. (2) Methodology and coverage. (ii) A derivatives clearing organization shall use models that generate initial margin requirements sufficient to cover the derivatives clearing organization's potential future exposures to clearing members based on price movements in the interval between the last collection of variation margin and the time within which the derivatives clearing organization estimates that it would be able to liquidate a defaulting clearing member's positions (liquidation time); provided, however, (A) A minimum liquidation time that is one day for futures and options; (B) A minimum liquidation time that is one day for swaps on agricultural commodities, energy commodities, and metals; (C) A minimum liquidation time that is five days for all other swaps; or (D) Such longer liquidation time as is appropriate based on the specific characteristics of a particular product or portfolio; provided further (iii) The actual coverage of the initial margin requirements produced by such models, along with projected measures of the models' performance, shall meet an established confidence level of at least 99 percent, based on data from an appropriate historic time period, for: (A) Each product for which the derivatives clearing organization uses a product-based margin methodology; (B) Each spread within or between products for which there is a defined spread margin rate; (C) Each account held by a clearing member at the derivatives clearing organization, by house origin and by each customer origin; and (D) Each swap portfolio, including any portfolio containing futures and/or options and held in a commingled account pursuant to § 39.15(b)(2) of this part, by beneficial owner. (iv) A derivatives clearing organization shall determine the appropriate historic time period based on the characteristics, including volatility patterns, as applicable, of each product, spread, account, or portfolio. (3) Independent validation. (4) Spread and portfolio margins. (A) The products on which the positions are based are complements of, or substitutes for, each other; (B) One product is a significant input into the other product(s); (C) The products share a significant common input; or (D) The prices of the products are influenced by common external factors. (ii) A derivatives clearing organization shall regularly review its margin reductions and the correlations on which they are based. (5) Price data. (6) Daily review. (7) Backtests. (i) On a daily basis, a derivatives clearing organization shall conduct backtests with respect to products or swap portfolios that are experiencing significant market volatility, to test the adequacy of its initial margin requirements, as follows: (A) For that product if the derivatives clearing organization uses a product-based margin methodology; (B) For each spread involving that product if there is a defined spread margin rate; (C) For each account held by a clearing member at the derivatives clearing organization that contains a significant position in that product, by house origin and by each customer origin; and (D) For each such swap portfolio, including any portfolio containing futures and/or options and held in a commingled account pursuant to § 39.15(b)(2) of this part, by beneficial owner. (ii) On at least a monthly basis, a derivatives clearing organization shall conduct backtests to test the adequacy of its initial margin requirements, as follows: (A) For each product for which the derivatives clearing organization uses a product-based margin methodology; (B) For each spread for which there is a defined spread margin rate; (C) For each account held by a clearing member at the derivatives clearing organization, by house origin and by each customer origin; and (D) For each swap portfolio, including any portfolio containing futures and/or options and held in a commingled account pursuant to § 39.15(b)(2) of this part, by beneficial owner. (iii) In conducting backtests of initial margin requirements, a derivatives clearing organization shall compare portfolio losses only to those components of initial margin that capture changes in market risk factors. (8) Customer margin Gross margin. (B) For purposes of calculating the gross initial margin requirement for each clearing member's customer account(s), a derivatives clearing organization shall have rules that require its clearing members to provide to the derivatives clearing organization reports each day setting forth end-of-day gross positions of each individual customer account within each customer origin of the clearing member. (C) A derivatives clearing organization may not, and may not permit its clearing members to, net positions of different customers against one another. (D) A derivatives clearing organization may collect initial margin for its clearing members' house accounts on a net basis. (E) For purposes of this paragraph (g)(8)(i), each separate account of a separate account customer (as such terms are defined in § 1.44 of this chapter) shall be treated as an account of a separate individual customer. (ii) Customer initial margin requirements. (iii) Withdrawal of customer initial margin. (9) Time deadlines. (10) Types of assets. (11) Valuation. (12) Haircuts. (13) Concentration limits or charges. (14) Pledged assets. (h) Other risk control mechanisms Risk limits. (A) The method of computing risk exposure; (B) The applicable threshold(s); and (C) The applicable financial resources under this provision; provided however, that the ratio of exposure to capital must remain the same across all capital levels. The Commission may review such methods, thresholds, and financial resources and require the application of different methods, thresholds, or financial resources, as appropriate. (ii) A derivatives clearing organization may permit a clearing member to exceed the threshold(s) applied pursuant to paragraph (h)(1)(i) of this section provided that the derivatives clearing organization requires the clearing member to post additional initial margin that the derivatives clearing organization deems sufficient to appropriately eliminate excessive risk exposure at the clearing member. The Commission may review the amount of additional initial margin and require a different amount of additional initial margin, as appropriate. (2) Large trader reports. (3) Stress tests. (i) On a daily basis, a derivatives clearing organization shall conduct stress tests with respect to each large trader who poses significant risk to a clearing member or the derivatives clearing organization, including futures, options, and swaps cleared by the derivatives clearing organization, which are held by all clearing members carrying accounts for each such large trader. The derivatives clearing organization shall have reasonable discretion in determining which traders to test and the methodology used to conduct such stress tests. The Commission may review the selection of accounts and the methodology and require changes, as appropriate. (ii) On at least a weekly basis, a derivatives clearing organization shall conduct stress tests with respect to each clearing member account, by house origin and by each customer origin, and each swap portfolio, including any portfolio containing futures and/or options and held in a commingled account pursuant to § 39.15(b)(2) of this part, by beneficial owner, under extreme but plausible market conditions. The derivatives clearing organization shall have reasonable discretion in determining the methodology used to conduct such stress tests. The Commission may review the methodology and require changes, as appropriate. (iii) The requirements in paragraphs (h)(3)(i) and (ii) of this section do not apply with respect to clearing member accounts that hold only fully collateralized positions. (4) Portfolio compression. provided, however, (5) Clearing members' risk management policies and procedures. (A) Require its clearing members to maintain current written risk management policies and procedures, which address the risks that such clearing members may pose to the derivatives clearing organization; and (B) Require its clearing members to provide to the derivatives clearing organization or the Commission, upon request, information and documents regarding their risk management policies, procedures, and practices, including, but not limited to, information and documents relating to the liquidity of their financial resources and their settlement procedures. (ii) A derivatives clearing organization shall review the risk management policies, procedures, and practices of each of its clearing members, which address the risks that such clearing members may pose to the derivatives clearing organization, on a periodic basis, take appropriate action to address concerns identified in such reviews, and document such reviews and the basis for determining what action was appropriate to take. (iii) A derivatives clearing organization that clears fully collateralized positions may exclude from the requirements of paragraphs (h)(5)(i) and (ii) of this section those clearing members that clear only fully collateralized positions. (6) Additional authority. (i) Imposing enhanced capital requirements; (ii) Imposing enhanced margin requirements; (iii) Imposing position limits; (iv) Prohibiting an increase in positions; (v) Requiring a reduction of positions; (vi) Liquidating or transferring positions; and (vii) Suspending or revoking clearing membership. (i) Cross-margining. (2) The Commission may request additional information in support of a rule submission filed under this paragraph (i), and may approve such rules in accordance with § 40.5 of this chapter. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4855, Jan. 27, 2020; 85 FR 35805, June 12, 2020; 88 FR 53682, Aug. 8, 2023; 90 FR 7939, Jan. 22, 2025] § 39.14 Settlement procedures. (a) Definitions Settlement. (i) Payment and receipt of variation margin for futures, options, and swaps; (ii) Payment and receipt of option premiums; (iii) Deposit and withdrawal of initial margin for futures, options, and swaps; (iv) All payments due in final settlement of futures, options, and swaps on the final settlement date with respect to such positions; and (v) All other cash flows collected from or paid to each clearing member, including but not limited to, payments related to swaps such as coupon amounts. (2) Settlement bank. (b) Daily settlements. (c) Settlement banks. (1) A derivatives clearing organization shall have documented criteria that must be met by any settlement bank used by the derivatives clearing organization or its clearing members, including criteria addressing the capitalization, creditworthiness, access to liquidity, operational reliability, and regulation or supervision of such bank(s). (2) A derivatives clearing organization shall monitor each approved settlement bank on an ongoing basis to ensure that such bank continues to meet the criteria established pursuant to paragraph (c)(1) of this section. (3) A derivatives clearing organization shall monitor the full range and concentration of its exposures to its own and its clearing members' settlement bank(s) and assess its own and its clearing members' potential losses and liquidity pressures in the event that the settlement bank with the largest share of settlement activity were to fail. A derivatives clearing organization shall take any one or more of the following actions, to the extent that any such action or actions are reasonably necessary in order to eliminate or strictly limit such exposures: (i) Maintain settlement accounts at one or more additional settlement banks; and/or (ii) Approve one or more additional settlement banks that its clearing members could choose to use; and/or (iii) Impose concentration limits with respect to one or more of its own or its clearing members' settlement banks; and/or (iv) Take any other appropriate actions. (d) Settlement finality. (e) Recordkeeping. (f) Netting arrangements. (g) Physical delivery. (1) Establish rules that clearly state each obligation that the derivatives clearing organization has assumed with respect to physical deliveries, including whether it has an obligation to make or receive delivery of a physical instrument or commodity, or whether it indemnifies clearing members for losses incurred in the delivery process; and (2) Ensure that the risks of each such obligation are identified and managed. § 39.15 Treatment of funds. (a) Required standards and procedures. (b) Customer funds Segregation. (2) Commingling. (i) Identification of the products that would be commingled, including product specifications or the criteria that would be used to define eligible products; (ii) Analysis of the risk characteristics of the eligible products and of the derivatives clearing organization's ability to manage those risks, addressing any characteristics that are unusual in relation to the other products cleared by the derivatives clearing organization, such as margining, liquidity, default management, pricing, or other risk characteristics; (iii) Analysis of the liquidity of the respective markets for the eligible products, the ability of clearing members and the derivatives clearing organization to offset or mitigate the risk of such eligible products in a timely manner, without compromising the financial integrity of the account, and, as appropriate, proposed means for addressing insufficient liquidity; (iv) A description of any additional requirements that would apply to clearing members permitted to commingle eligible products; (v) A description of any risk management changes that the derivatives clearing organization will implement to oversee its clearing members' risk management of eligible products, or an analysis of why existing risk management systems and procedures are adequate in connection with the proposed commingling; (vi) An analysis of the ability of the derivatives clearing organization to manage a potential default with respect to any of the eligible products that would be commingled, including a discussion of any default management procedures that are unique to the products eligible for commingling; (vii) A discussion of the extent to which the derivatives clearing organization anticipates allowing portfolio margining of commingled positions, including a description and analysis of any margin reduction applied to correlated positions and the language of any applicable clearing rules or procedures, and an express confirmation that any portfolio margining will be allowed only as permitted under § 39.13(g)(4); and (viii) Any other information necessary for the Commission to determine the rule submission's compliance with the Act and the Commission's regulations in this chapter, which the Commission may request as supplemental information if not provided in the initial submission. The Commission may extend the review period for the rule submission in accordance with § 40.5(d) of this chapter in order to request and obtain supplemental information as necessary. (c) Holding of funds and assets. (d) Transfer of customer positions. (1) The customer has instructed the carrying clearing member to make the transfer; (2) The customer is not currently in default to the carrying clearing member; (3) The transferred positions will have appropriate margin at the receiving clearing member; (4) Any remaining positions will have appropriate margin at the carrying clearing member; and (5) The receiving clearing member has consented to the transfer. (e) Permitted investments. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4856, Jan. 27, 2020; 88 FR 53683, Aug. 8, 2023] § 39.16 Default rules and procedures. (a) General. (b) Default management plan. (c) Default procedures. (2) A derivatives clearing organization shall have rules that set forth its default procedures, including: (i) The derivatives clearing organization's definition of a default; (ii) The actions that the derivatives clearing organization may take upon a default, which shall include public notice of a declaration of default on its website and the prompt transfer, liquidation, or hedging of the customer or house positions of the defaulting clearing member, as applicable, and which may include, in the discretion of the derivatives clearing organization, the auctioning or allocation of such positions to other clearing members; (iii) Any obligations that the derivatives clearing organization imposes on its clearing members to participate in auctions, or to accept allocations, of the customer or house positions of the defaulting clearing member, provided that: (A) The derivatives clearing organization shall permit a clearing member to outsource to a qualified third party, authority to act in the clearing member's place in any auction, subject to appropriate safeguards imposed by the derivatives clearing organization; (B) The derivatives clearing organization shall permit a clearing member to outsource to a qualified third party, authority to act in the clearing member's place in any allocations, subject to appropriate safeguards imposed by the derivatives clearing organization; and (C) The derivatives clearing organization shall not require a clearing member to bid for a portion of, or accept an allocation of, the defaulting clearing member's positions that is not proportional to the size of the bidding or accepting clearing member's positions in the same product class at the derivatives clearing organization; (iv) The sequence in which the funds and assets of the defaulting clearing member and its customers and the financial resources maintained by the derivatives clearing organization would be applied in the event of a default; (v) A provision that the funds and assets of a defaulting clearing member's customers shall not be applied to cover losses with respect to a house default; (vi) A provision that the excess house funds and assets of a defaulting clearing member shall be applied to cover losses with respect to a customer default, if the relevant customer funds and assets are insufficient to cover the shortfall; and (3) A derivatives clearing organization shall make its default rules publicly available as provided in § 39.21 of this part. (d) Insolvency of a clearing member. (2) No later than upon receipt of such notice, a derivatives clearing organization shall review the continuing eligibility of the clearing member for clearing membership; and (3) No later than upon receipt of such notice, a derivatives clearing organization shall take any appropriate action, in its discretion, with respect to such clearing member or its house or customer positions, including but not limited to liquidation or transfer of positions, suspension, or revocation of clearing membership. (e) Fully collateralized positions. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4857, Jan. 27, 2020] § 39.17 Rule enforcement. (a) General. (1) Maintain adequate arrangements and resources for the effective monitoring and enforcement of compliance (by itself and its clearing members) with the rules of the derivatives clearing organization and the resolution of disputes; (2) Have the authority and ability to discipline, limit, suspend, or terminate the activities of a clearing member due to a violation by the clearing member of any rule of the derivatives clearing organization; and (3) Report to the Commission regarding rule enforcement activities and sanctions imposed against clearing members as provided in paragraph (a)(2) of this section, in accordance with § 39.19(c)(4)(xvi). (b) Authority to enforce rules. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4858, Jan. 27, 2020] § 39.18 System safeguards. (a) Definitions. Controls Controls testing Enterprise technology risk assessment External penetration testing Internal penetration testing Key controls Recovery time objective Relevant area Security incident Security incident response plan Security incident response plan testing Vulnerability testing Wide-scale disruption (b) Program of risk analysis and oversight General. (i) The development of appropriate controls and procedures; and (ii) The development of automated systems that are reliable, secure, and have adequate scalable capacity. (2) Elements of program. (i) Information security, including, but not limited to, controls relating to: Access to systems and data (including, least privilege, separation of duties, account monitoring and control); user and device identification and authentication; security awareness training; audit log maintenance, monitoring, and analysis; media protection; personnel security and screening; automated system and communications protection (including, network port control, boundary defenses, encryption); system and information integrity (including, malware defenses, software integrity monitoring); vulnerability management; penetration testing; security incident response and management; and any other elements of information security included in generally accepted best practices; (ii) Business continuity and disaster recovery planning and resources, including, but not limited to the controls and capabilities described in paragraph (c) of this section; and any other elements of business continuity and disaster recovery planning and resources included in generally accepted best practices; (iii) Capacity and performance planning, including, but not limited to, controls for monitoring the derivatives clearing organization's systems to ensure adequate scalable capacity (including, testing, monitoring, and analysis of current and projected future capacity and performance, and of possible capacity degradation due to planned automated system changes); and any other elements of capacity and performance planning included in generally accepted best practices; (iv) Systems operations, including, but not limited to, system maintenance; configuration management (including, baseline configuration, configuration change and patch management, least functionality, inventory of authorized and unauthorized devices and software); event and problem response and management; and any other elements of system operations included in generally accepted best practices; (v) Systems development and quality assurance, including, but not limited to, requirements development; pre-production and regression testing; change management procedures and approvals; outsourcing and vendor management; training in secure coding practices; and any other elements of systems development and quality assurance included in generally accepted best practices; and (vi) Physical security and environmental controls, including, but not limited to, physical access and monitoring; power, telecommunication, and environmental controls; fire protection; and any other elements of physical security and environmental controls included in generally accepted best practices. (3) Standards for program. (4) Resources. (c) Business continuity and disaster recovery General. (2) Recovery time objective. (3) Coordination of plans. (i) Coordinate its business continuity and disaster recovery plan with those of its clearing members, in a manner adequate to enable effective resumption of daily processing, clearing, and settlement of transactions following a disruption; (ii) Initiate and coordinate periodic, synchronized testing of its business continuity and disaster recovery plan with those of its clearing members; and (iii) Ensure that its business continuity and disaster recovery plan takes into account the plans of its providers of essential services, including telecommunications, power, and water. (d) Outsourcing. (i) Using its own employees as personnel, and property that it owns, licenses, or leases; or (ii) Through written contractual arrangements with another derivatives clearing organization or other service provider. (2) Retention of responsibility. (3) Testing of resources. (e) Testing General. (i) Its automated systems to ensure that they are reliable, secure, and have adequate scalable capacity; and (ii) Its business continuity and disaster recovery capabilities, using testing protocols adequate to ensure that the derivatives clearing organization's backup resources are sufficient to meet the requirements of paragraph (c) of this section. (2) Vulnerability testing. (i) A derivatives clearing organization shall conduct such vulnerability testing at a frequency determined by an appropriate risk analysis, but no less frequently than quarterly. (ii) Such vulnerability testing shall include automated vulnerability scanning, which shall follow generally accepted best practices. (iii) A derivatives clearing organization shall conduct vulnerability testing by engaging independent contractors or by using employees of the derivatives clearing organization who are not responsible for development or operation of the systems or capabilities being tested. (3) External penetration testing. (i) A derivatives clearing organization shall conduct such external penetration testing at a frequency determined by an appropriate risk analysis, but no less frequently than annually. (ii) A derivatives clearing organization shall engage independent contractors to conduct the required annual external penetration test. A derivatives clearing organization may conduct other external penetration testing by using employees of the derivatives clearing organization who are not responsible for development or operation of the systems or capabilities being tested. (4) Internal penetration testing. (i) A derivatives clearing organization shall conduct such internal penetration testing at a frequency determined by an appropriate risk analysis, but no less frequently than annually. (ii) A derivatives clearing organization shall conduct internal penetration testing by engaging independent contractors, or by using employees of the derivatives clearing organization who are not responsible for development or operation of the systems or capabilities being tested. (5) Controls testing. (i) A derivatives clearing organization shall conduct controls testing, which includes testing of each control included in its program of risk analysis and oversight, at a frequency determined by an appropriate risk analysis, but shall test and assess key controls no less frequently than every three years. A derivatives clearing organization may conduct such testing on a rolling basis over the course of the required period. (ii) A derivatives clearing organization shall engage independent contractors to test and assess the key controls included in the derivatives clearing organization's program of risk analysis and oversight no less frequently than every three years. A derivatives clearing organization may conduct any other controls testing required by this section by using independent contractors or employees of the derivatives clearing organization who are not responsible for development or operation of the systems or capabilities being tested. (6) Security incident response plan testing. (i) The derivatives clearing organization shall conduct such security incident response plan testing at a frequency determined by an appropriate risk analysis, but no less frequently than annually. (ii) The derivatives clearing organization's security incident response plan shall include, without limitation, the derivatives clearing organization's definition and classification of security incidents, its policies and procedures for reporting security incidents and for internal and external communication and information sharing regarding security incidents, and the hand-off and escalation points in its security incident response process. (iii) The derivatives clearing organization may coordinate its security incident response plan testing with other testing required by this section or with testing of its other business continuity-disaster recovery and crisis management plans. (iv) The derivatives clearing organization may conduct security incident response plan testing by engaging independent contractors or by using employees of the derivatives clearing organization. (7) Enterprise technology risk assessment. (i) A derivatives clearing organization shall conduct an enterprise technology risk assessment at a frequency determined by an appropriate risk analysis, but no less frequently than annually. A derivatives clearing organization that has conducted an enterprise technology risk assessment that complies with this section may conduct subsequent assessments by updating the previous assessment. (ii) A derivatives clearing organization may conduct enterprise technology risk assessments by using independent contractors or employees of the derivatives clearing organization who are not responsible for development or operation of the systems or capabilities being assessed. (8) Scope of testing and assessment. (i) Interfere with the derivatives clearing organization's operations or with fulfillment of its statutory and regulatory responsibilities; (ii) Impair or degrade the reliability, security, or capacity of the derivatives clearing organization's automated systems; (iii) Add to, delete, modify, exfiltrate, or compromise the integrity of any data related to the derivatives clearing organization's regulated activities; or (iv) Undertake any other unauthorized action affecting the derivatives clearing organization's regulated activities or the hardware or software used in connection with those activities. (9) Internal reporting and review. (10) Remediation. (f) Recordkeeping. (1) Current copies of the derivatives clearing organization's business continuity and disaster recovery plan and other emergency procedures. Such plan and procedures shall be updated at a frequency determined by an appropriate risk analysis, but no less frequently than annually; (2) All assessments of the derivatives clearing organization's operational risks or system safeguards-related controls; (3) All reports concerning testing and assessment required by this section, whether conducted by independent contractors or by employees of the derivatives clearing organization; and (4) All other documents requested by staff of the Division of Clearing and Risk, or any successor division, in connection with Commission oversight of system safeguards pursuant to the Act or Commission regulations, or in connection with Commission maintenance of a current profile of the derivatives clearing organization's automated systems. (5) Nothing in paragraph (f) of this section shall be interpreted as reducing or limiting in any way a derivatives clearing organization's obligation to comply with § 1.31 of this chapter. (g) Notice of exceptional events. (1) Any hardware or software malfunction, security incident, or targeted threat that materially impairs, or creates a significant likelihood of material impairment, of automated system operation, reliability, security, or capacity; or (2) Any activation of the derivatives clearing organization's business continuity and disaster recovery plan. (h) Notice of planned changes. (1) Planned changes to the derivatives clearing organization's automated systems that may impact the reliability, security, or capacity of such systems; and (2) Planned changes to the derivatives clearing organization's program of risk analysis and oversight. [81 FR 64336, Sept. 19, 2016] § 39.19 Reporting. (a) General. (b) Submission of reports General requirement. (2) Certification. (3) Time zones. (c) Reporting requirements. (1) Daily reporting. (A) Initial margin requirements and initial margin on deposit for each clearing member, by house origin and by each customer origin, and by each individual customer account. The derivatives clearing organization shall identify each individual customer account, using both a legal entity identifier, where available, and any internally-generated identifier, within each customer origin for each clearing member; (B) Daily variation margin, separately listing the mark-to-market amount collected from or paid to each clearing member, by house origin and by each customer origin; (C) All other daily cash flows relating to clearing and settlement including, but not limited to, option premiums and payments related to swaps such as coupon amounts, collected from or paid to each clearing member, by house origin and by each customer origin; and (D) End-of-day positions, including as appropriate the risk sensitivities and valuation data that the derivatives clearing organization generates, creates, or calculates in connection with managing the risks associated with such positions, for each clearing member, by house origin and by each customer origin, and by each individual customer account. The derivatives clearing organization shall identify each individual customer account, using both a legal entity identifier, where available, and any internally-generated identifier, within each customer origin for each clearing member. (ii) The report shall contain the information required by paragraphs (c)(1)(i)(A) through (D) of this section for each of the following, other than fully collateralized positions: (A) All futures positions, and options positions, as applicable; (B) All swaps positions; and (C) All securities positions that are: ( 1 ( 2 (iii) Notwithstanding the specific fields set forth in appendix C to this part, a derivatives clearing organization may choose to submit, after consultation with staff of the Division of Clearing and Risk, any additional data field that is necessary or appropriate to better capture the information that is being reported. (2) Quarterly reporting. (3) Annual reporting. (i) The annual report of the chief compliance officer required by § 39.10; and (ii) Audited year-end financial statements of the derivatives clearing organization as required by § 39.11(f)(2). (iii) [Reserved] (iv) The reports required by this paragraph (c)(3) shall be filed not later than 90 days after the end of the derivatives clearing organization's fiscal year, or at such later time as the Commission may permit, in its discretion, upon request by the derivatives clearing organization. (4) Event-specific reporting Decrease in financial resources. (A) The total value of the financial resources as of the close of business the day the 25 percent threshold was reached; (B) If reporting a decrease in value from the previous business day, the total value of the financial resources immediately prior to the 25 percent decline; (C) A breakdown of the value of each financial resource reported in each of paragraphs (c)(4)(i)(A) and (B) of this section, calculated in accordance with the requirements of § 39.11(d) or § 39.33(b), as applicable, including the value of each individual clearing member's guaranty fund deposit if the derivatives clearing organization reports guaranty fund deposits as a financial resource; and (D) A detailed explanation for the decrease. (ii) Decrease in liquidity resources. (A) The total value of the liquidity resources as of the close of business the day the 25 percent threshold was reached; (B) If reporting a decrease in value from the previous business day, the total value of the liquidity resources immediately prior to the 25 percent decline; (C) A breakdown of the value of each liquidity resource reported in each of paragraphs (c)(4)(ii)(A) and (B) of this section, calculated in accordance with the requirements of § 39.11(e) or § 39.33(c), as applicable, including the value of each individual clearing member's guaranty fund deposit if the derivatives clearing organization reports guaranty fund deposits as a liquidity resource; and (D) A detailed explanation for the decrease. (iii) Decrease in ownership equity. (A) Pro forma financial statements reflecting the derivatives clearing organization's estimated future financial condition following the anticipated decrease for reports submitted prior to the anticipated decrease and current financial statements for reports submitted after such a decrease; and (B) A detailed explanation for the decrease or anticipated decrease in the balance. (iv) Six-month liquid asset requirement. (v) Change in current assets. (vi) Request to clearing member to reduce its positions. (A) The name of the clearing member; (B) The time the clearing member was contacted; (C) The number of positions for futures and options, and for swaps, the number of outstanding trades and notional amount, by which the derivatives clearing organization requested the reduction; (D) All products that are the subject of the request; and (E) The reason for the request. (vii) Determination to transfer or liquidate positions. (A) The name of the clearing member; (B) The time the clearing member was contacted; (C) The products that are subject to the determination; (D) The number of positions for futures and options, and for swaps, the number of outstanding trades and notional amount, that are subject to the determination; and (E) The reason for the determination. (viii) Default of a clearing member. (A) The name of the clearing member; (B) The products the clearing member defaulted upon; (C) The number of positions for futures and options, and for swaps, the number of outstanding trades and notional amount, the clearing member defaulted upon; and (D) The amount of the financial obligation. (ix) Change in ownership or corporate or organizational structure Reporting requirement. ( 1 ( 2 ( 3 (B) Required information. (C) Time of report. (D) Confirmation of change report. (x) Change in key personnel. (xi) Change in legal name. (xii) Change in credit facility funding arrangement. (xiii) Change in liquidity funding arrangement. (xiv) Change in settlement bank arrangements. (xv) Issues with credit facility funding arrangements, liquidity funding arrangements, custodian banks, or settlement banks. (xvi) Sanctions against a clearing member. (xvii) Financial condition and events. (A) The institution of any legal proceedings which may have a material adverse financial impact on the derivatives clearing organization; (B) Any event, circumstance or situation that materially impedes the derivatives clearing organization's ability to comply with this part and is not otherwise required to be reported under this section; or (C) A material adverse change in the financial condition of any clearing member that is not otherwise required to be reported under this section. (xviii) Financial statements material inadequacies. (xix) Change in fiscal year. (xx) Change in independent accounting firm. (xxi) Major decision of the board of directors. (xxii) System safeguards. (A) Exceptional events as required by § 39.18(g); or (B) Planned changes as required by § 39.18(h). (xxiii) Margin model issues. (xxiv) Recovery and wind-down plans. (xxv) Updates to responses to the Disclosure Framework for Financial Market Infrastructures. (5) Requested reporting. (i) Any information related to its business as a clearing organization, including information relating to trade and clearing details. (ii) A written demonstration, containing supporting data, information and documents, that the derivatives clearing organization is in compliance with one or more core principles and relevant provisions of this part. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4858, Jan. 27, 2020; 88 FR 53683, Aug. 8, 2023] § 39.20 Recordkeeping. (a) Requirement to maintain information. (1) All cleared transactions, including swaps; (2) All information necessary to record allocation of bunched orders for cleared swaps; (3) All information required to be created, generated, or reported under this part 39, including but not limited to the results of and methodology used for all tests, reviews, and calculations in connection with setting and evaluating margin levels, determining the value and adequacy of financial resources, and establishing settlement prices; (4) All rules and procedures required to be submitted pursuant to this part 39 and part 40 of this chapter, including all proposed changes in rules, procedures or operations subject to § 40.10 of this chapter; and (5) Any data or documentation required by the Commission or by the derivatives clearing organization to be submitted to the derivatives clearing organization by its clearing members, or by any other person in connection with the derivatives clearing organization's clearing and settlement activities. (b) Form and manner of maintaining information General. (2) Exception for swap data. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4860, Jan. 27, 2020] § 39.21 Public information. (a) General. (b) Availability of information. (c) Public disclosure. (1) The terms and conditions of each contract, agreement, and transaction cleared and settled by the derivatives clearing organization; (2) Each clearing and other fee that the derivatives clearing organization charges its clearing members; (3) Information concerning its margin-setting methodology, except that a derivatives clearing organization that clears only fully collateralized positions instead may disclose that it does not employ a margin-setting methodology because it clears only fully collateralized positions; (4) The size and composition of the financial resource package available in the event of a clearing member default, updated as of the end of the most recent fiscal quarter or upon Commission request and posted as promptly as practicable after submission of the report to the Commission under § 39.11(f)(1)(i)(A), except that a derivatives clearing organization that clears only fully collateralized positions instead may disclose that it does not maintain a financial resource package to be used in the event of a clearing member default because it clears only fully collateralized positions; (5) Daily settlement prices, volume, and open interest for each contract, agreement, or transaction cleared or settled by the derivatives clearing organization, posted no later than the business day following the day to which the information pertains; (6) The derivatives clearing organization's rulebook, including rules and procedures for defaults in accordance with § 39.16; (7) A current list of all clearing members, except that a derivatives clearing organization may omit any clearing member that clears only fully collateralized positions and is not a futures commission merchant; (8) A list of all swaps that the derivatives clearing organization will accept for clearing that identifies which swaps on the list are required to be cleared, in accordance with § 50.3(a) of this chapter; and (9) Any other information that is relevant to participation in the clearing and settlement activities of the derivatives clearing organization. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4861, Jan. 27, 2020; 88 FR 53684, Aug. 8, 2023] § 39.22 Information sharing. A derivatives clearing organization shall enter into, and abide by the terms of, each appropriate and applicable domestic and international information-sharing agreement, and shall use relevant information obtained from each such agreement in carrying out the risk management program of the derivatives clearing organization. [85 FR 4861, Jan. 27, 2020] § 39.23 Antitrust considerations. Unless necessary or appropriate to achieve the purposes of the Act, a derivatives clearing organization shall not adopt any rule or take any action that results in any unreasonable restraint of trade, or impose any material anticompetitive burden. § 39.24 Governance. (a) General. (i) Are written; (ii) Are clear and transparent; (iii) Place a high priority on the safety and efficiency of the derivatives clearing organization; and (iv) Explicitly support the stability of the broader financial system and other relevant public interest considerations of clearing members, customers of clearing members, and other relevant stakeholders. (2) The board of directors shall make certain that the derivatives clearing organization's design, rules, overall strategy, and major decisions appropriately reflect the legitimate interests of clearing members, customers of clearing members, and other relevant stakeholders. (3) To the extent consistent with other statutory and regulatory requirements on confidentiality and disclosure: (i) Major decisions of the board of directors shall be clearly disclosed to clearing members, other relevant stakeholders, and to the Commission; and (ii) Major decisions of the board of directors having a broad market impact shall be clearly disclosed to the public. (b) Governance arrangement requirements. (1) Are clear and documented; (2) To an extent consistent with other statutory and regulatory requirements on confidentiality and disclosure, are disclosed, as appropriate, to the Commission, other relevant authorities, clearing members, customers of clearing members, owners of the derivatives clearing organization, and to the public; (3) Describe the structure pursuant to which the board of directors, committees, and management operate; (4) Include clear and direct lines of responsibility and accountability; (5) Clearly specify the roles and responsibilities of the board of directors and its committees, including the establishment of a clear and documented risk management framework; (6) Clearly specify the roles and responsibilities of management; (7) Describe procedures pursuant to which the board of directors oversees the chief risk officer, risk management committee, and material risk decisions; (8) Provide risk management and internal control personnel with sufficient independence, authority, resources, and access to the board of directors so that the operations of the derivatives clearing organization are consistent with the risk management framework established by the board of directors; (9) Assign responsibility and accountability for risk decisions, including in crises and emergencies; (10) Assign responsibility for implementing the: (i) Default rules and procedures required by §§ 39.16 and 39.35, as applicable; (ii) System safeguard rules and procedures required by §§ 39.18 and 39.34, as applicable; and (iii) Recovery and wind-down plans required by § 39.39, as applicable; (11) Establish one or more risk management committees and require the board of directors to consult with, and consider and respond to input from, the risk management committee(s) on all matters that could materially affect the risk profile of the derivatives clearing organization, including any material change to the derivatives clearing organization's margin model, default procedures, participation requirements, and risk monitoring practices, as well as the clearing of new products that could materially affect the risk profile of the derivatives clearing organization. A derivatives clearing organization shall maintain written policies and procedures to make certain that: (i) The risk management committee consultation process is described in detail, and includes requirements for the derivatives clearing organization to document the board's consideration of and response to risk management committee input and create and maintain minutes of each risk management committee meeting; (ii) A risk management committee includes at least two clearing member representatives and, if applicable, at least two representatives of customers of clearing members; and (iii) Membership of a risk management committee is rotated on a regular basis; and (12) Establish one or more market participant risk advisory working groups as a forum to seek risk-based input from a broad array of market participants, such that a diverse cross-section of the derivatives clearing organization's clearing members and customers of clearing members are represented, regarding all matters that could materially affect the risk profile of the derivatives clearing organization. A derivatives clearing organization shall maintain written policies and procedures related to the formation and role of each risk advisory working group, and include requirements for the derivatives clearing organization to document and provide to the risk management committee, at a minimum, a summary of the topics discussed and the main points raised during each meeting of the risk advisory working group. Each market participant risk advisory working group shall convene at least two times per year. (c) Fitness standards. (i) Directors; (ii) Members of any disciplinary committee; (iii) Members of the derivatives clearing organization; (iv) Members of risk management committee(s); (v) Any other individual or entity with direct access to the settlement or clearing activities of the derivatives clearing organization; and (vi) Any other party affiliated with any individual or entity described in this paragraph. (2) A derivatives clearing organization shall maintain policies to make certain that: (i) The board of directors consists of suitable individuals having appropriate skills and incentives; (ii) The performance of the board of directors and the performance of individual directors is reviewed on a regular basis; and (iii) Managers have the appropriate experience, skills, and integrity necessary to discharge operational and risk management responsibilities. (3) A derivatives clearing organization shall maintain policies designed to enable members of risk management committee(s) to provide informed opinions in the form of risk-based input on all matters presented to the risk management committee for consideration, and perform their duties in a manner that supports the safety and efficiency of the derivatives clearing organization and the stability of the broader financial system. (d) Fully collateralized positions. [85 FR 4861, Jan. 27, 2020, as amended at 88 FR 44690, July 13, 2023] § 39.25 Conflicts of interest. A derivatives clearing organization shall: (a) Establish and enforce rules to minimize conflicts of interest in the decision-making process of the derivatives clearing organization; (b) Establish a process for resolving such conflicts of interest; and (c) Have procedures for identifying, addressing, and managing conflicts of interest involving members of the board of directors. [85 FR 4862, Jan. 27, 2020, as amended at 88 FR 53684, Aug. 8, 2023] § 39.26 Composition of governing boards. A derivatives clearing organization shall ensure that the composition of the governing board or board-level committee of the derivatives clearing organization includes market participants and individuals who are not executives, officers, or employees of the derivatives clearing organization or an affiliate thereof. [85 FR 4862, Jan. 27, 2020] § 39.27 Legal risk considerations. (a) Legal authorization. (b) Legal framework. (1) The derivatives clearing organization to act as a counterparty, including novation; (2) Netting arrangements; (3) The derivatives clearing organization's interest in collateral; (4) The steps that a derivatives clearing organization would take to address a default of a clearing member, including but not limited to, the unimpeded ability to liquidate collateral and close out or transfer positions in a timely manner; (5) Finality of settlement and funds transfers that are irrevocable and unconditional when effected (no later than when a derivatives clearing organization's accounts are debited and credited); and (6) Other significant aspects of the derivatives clearing organization's operations, risk management procedures, and related requirements. (c) Conflict of laws. (1) The derivatives clearing organization shall identify and address any material conflict of law issues. The derivatives clearing organization's contractual agreements shall specify a choice of law. (2) The derivatives clearing organization shall be able to demonstrate the enforceability of its choice of law in relevant jurisdictions and that its rules, procedures, and contracts are enforceable in all relevant jurisdictions. (3) The derivatives clearing organization shall ensure on an ongoing basis that the memorandum required in paragraph (b) of Exhibit R to appendix A to this part is accurate and up to date and shall submit an updated memorandum to the Commission promptly following all material changes to the analysis or content contained in the memorandum. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4862, Jan. 27, 2020] §§ 39.28-39.29 [Reserved] Subpart C—Provisions Applicable to Systemically Important Derivatives Clearing Organizations and Derivatives Clearing Organizations That Elect To Be Subject to the Provisions of This Subpart Source: 78 FR 72514, Dec. 2, 2013, unless otherwise noted. § 39.30 Scope. (a) The provisions of this subpart apply to each of the following: a subpart C derivatives clearing organization, a systemically important derivatives clearing organization, and any derivatives clearing organization, as defined under section 1a(15) of the Act and § 1.3 of this chapter, seeking to become a subpart C derivatives clearing organization pursuant to § 39.31. (b) A systemically important derivatives clearing organization is subject to the provisions of subparts A and B of this part in addition to the provisions of this subpart. (c) A subpart C derivatives clearing organization is subject to the provisions of subparts A and B of this part in addition to the provisions of this subpart except for §§ 39.41 and 39.42. [78 FR 72514, Dec. 2, 2013, as amended at 83 FR 7996, Feb. 23, 2018] § 39.31 Election to become subject to the provisions of this subpart. (a) Election eligibility. (2) An applicant for registration as a derivatives clearing organization pursuant to § 39.3 may elect to become a subpart C derivatives clearing organization subject to the provisions of this subpart as part of its application for registration using the procedures set forth in paragraph (c) of this section. (b) Election and withdrawal procedures applicable to registered derivatives clearing organizations Election. (2) Submission of supplemental information. (3) Amendments. (4) Effective date. (i) Upon the later of the following, provided the Commission has neither stayed nor denied such election as set forth in paragraph (b)(5) of this section. (A) The effective date specified by the derivatives clearing organization in its Subpart C Election Form; or (B) Ten business days after the derivatives clearing organization files its Subpart C Election Form with the Commission; (ii) Or upon the effective date set forth in written notification from the Commission that it shall permit the election to take effect after a stay issued pursuant to paragraph (b)(5) of this section. (5) Stay or denial of election. (6) Commission acknowledgement. (7) Withdrawal of election. (c) Election and withdrawal procedures applicable to applicants for registration as derivatives clearing organization Election. (2) Election review and effective date. (3) Submission of supplemental information. (4) Amendments. (5) Withdrawal of election. (d) Public information. (e) Rescission of election. Notice of intent to rescind. (i) The effective date of the rescission; and (ii) A certification signed by the relevant duly authorized representative of the subpart C derivatives clearing organization, as specified in paragraph three of the General Instructions to the Subpart C Election Form, stating that the subpart C derivatives clearing organization: (A) Has provided the notice to its clearing members required by paragraph (e)(3)(i)(A) of this section; (B) Will provide the notice to its clearing members required by paragraph (e)(3)(i)(B) of this section; (C) Has provided the notice to the general public required by paragraph (e)(3)(ii)(A) of this section; (D) Will provide notice to the general public required by paragraph (e)(3)(ii)(B) of this section; and (E) Has removed all references to the organization as a subpart C derivatives clearing organization and a qualifying central counterparty on its Web site and in all other material that it provides to its clearing members and customers, other market participants or members of the public, as required by paragraph (e)(3)(ii)(C) of this section. (2) Effective date. (3) Additional notice requirements. (A) No later than the filing of a notice of its intent to rescind its election to be subject to the provisions of this subpart, written notice that it intends to file such notice with the Commission and the effective date thereof; and (B) On the effective date of the rescission of its election to be subject to the provisions of this subpart, written notice that the rescission has become effective. (ii) A subpart C derivatives clearing organization shall: (A) No later than the filing of a notice of its intent to rescind its election to be subject to the provisions of this subpart, provide notice to the general public, displayed prominently on its Web site, of its intent to rescind its election to be subject to the provisions of this subpart; (B) On and after the effective date of the rescission of its election to be subject to the provisions of this subpart, provide notice to the general public, displayed prominently on its Web site, that the rescission has become effective; and (C) Prior to the filing of a notice of its intent to rescind its election to become subject to the provisions of this subpart, remove all references to the derivatives clearing organization's status as a subpart C derivatives clearing organization and a qualifying central counterparty on its Web site and in all other materials that it provides to its clearing members and customers, other market participants, or the general public. (iii) The employees and representatives of a derivatives clearing organization that has filed a notice of its intent to rescind its election to be subject to the provisions of this subpart shall refrain from referring to the organization as a subpart C derivatives clearing organization and a qualifying central counterparty on and after the date that the notice of intent to rescind the election is filed. (4) Effect of rescission. (f) Loss of designation as a systemically important derivatives clearing organization. (g) All forms and notices required by this section shall be filed electronically with the Secretary of the Commission in the format and manner specified by the Commission. § 39.32 [Reserved] § 39.33 Financial resources requirements for systemically important derivatives clearing organizations and subpart C derivatives clearing organizations. (a) General rule. (2) The Commission shall, if it deems appropriate, determine whether a systemically important derivatives clearing organization or subpart C derivatives clearing organization is systemically important in multiple jurisdictions. In determining whether a systemically important derivatives clearing organization or subpart C derivatives clearing organization is systemically important in multiple jurisdictions, the Commission shall consider whether the derivatives clearing organization: (i) Is a systemically important derivatives clearing organization, as defined by § 39.2; or (ii) Has been determined to be systemically important by one or more jurisdictions other than the United States pursuant to a designation process that considers whether the foreseeable effects of a failure or disruption of the derivatives clearing organization could threaten the stability of each relevant jurisdiction's financial system. (3) The Commission shall, if it deems appropriate, determine whether any of the activities of a systemically important derivatives clearing organization or a subpart C derivatives clearing organization, in addition to clearing credit default swaps, credit default futures, and any derivatives that reference either credit default swaps or credit default futures, has a more complex risk profile. In determining whether an activity has a more complex risk profile, the Commission will consider characteristics such as discrete jump-to-default price changes or high correlations with potential participant defaults as factors supporting (though not necessary for) a finding of a more complex risk profile. (4) For purposes of this section, if a clearing member controls another clearing member or is under common control with another clearing member, such affiliated clearing members shall be deemed to be a single clearing member. (b) Valuation of financial resources. i.e., (c) Liquidity resources Minimum amount of liquidity resources. (ii) A systemically important derivatives clearing organization and subpart C derivatives clearing organization that is subject to § 39.33(a)(1) shall consider (2) Satisfaction of settlement in all relevant currencies. (3) Qualifying liquidity resources. (A) Cash in the currency of the requisite obligations, held either at the central bank of issue or at a creditworthy commercial bank; (B) Committed lines of credit; (C) Committed foreign exchange swaps; (D) Committed repurchase agreements; or (E) ( 1 ( 2 1 (ii) With respect to the arrangements described in paragraph (c)(3)(i) of this section, the systemically important derivatives clearing organization or subpart C derivatives clearing organization must take appropriate steps to verify that such arrangements do not include material adverse change conditions and are enforceable, and will be highly reliable, in extreme but plausible market conditions. (4) Additional liquidity resources. ad hoc (d) Liquidity providers. (i) A depository institution, a U.S. branch or agency of a foreign banking organization, a trust company, or a syndicate of depository institutions, U.S. branches or agencies of foreign banking organizations, or trust companies providing a line of credit, foreign exchange swap facility or repurchase facility to a systemically important derivatives clearing organization or subpart C derivatives clearing organization; (ii) Any other counterparty relied upon by a systemically important derivatives clearing organization or subpart C derivatives clearing organization to meet its minimum liquidity resources requirement under paragraph (c) of this section. (2) In fulfilling its obligations under paragraph (c) of this section, each systemically important derivatives clearing organization and subpart C derivatives clearing organization shall undertake due diligence to confirm that each of its liquidity providers, whether or not such liquidity provider is a clearing member, has: (i) Sufficient information to understand and manage the liquidity provider's liquidity risks; and (ii) The capacity to perform as required under its commitments to provide liquidity to the systemically important derivatives clearing organization or subpart C derivatives clearing organization. (3) Where relevant to a liquidity provider's ability reliably to perform its commitments with respect to a particular currency, the systemically important derivatives clearing organization or subpart C derivatives clearing organization may take into account the liquidity provider's access to the central bank of issue of that currency. (4) Each systemically important derivatives clearing organization and subpart C derivatives clearing organization shall regularly test its procedures for accessing its liquidity resources under paragraph (c)(3)(i) of this section, including testing its arrangements under paragraph (c)(3)(ii) and its relevant liquidity provider(s) under paragraph (d)(1) of this section. (5) A systemically important derivatives clearing organization with access to accounts and services at a Federal Reserve Bank, pursuant to section 806(a) of the Dodd-Frank Act, 12 U.S.C. 5465(a), shall use such accounts and services where practical. (e) Documentation of financial resources and liquidity resources. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4862, Jan. 27, 2020] § 39.34 System safeguards for systemically important derivatives clearing organizations and subpart C derivatives clearing organizations. (a) Notwithstanding § 39.18(c)(2), the business continuity and disaster recovery plan described in § 39.18(c)(1) for each systemically important derivatives clearing organization and subpart C derivatives clearing organization shall have the objective of enabling, and the physical, technological, and personnel resources described in § 39.18(c)(1) shall be sufficient to enable, the systemically important derivatives clearing organization or subpart C derivatives clearing organization to recover its operations and resume daily processing, clearing, and settlement no later than two hours following the disruption, for any disruption including a wide-scale disruption. (b) To facilitate its ability to achieve the recovery time objective specified in paragraph (a) of this section in the event of a wide-scale disruption, each systemically important derivatives clearing organization and subpart C derivatives clearing organization must maintain a degree of geographic dispersal of physical, technological and personnel resources consistent with the following for each activity necessary for the daily processing, clearing, and settlement of existing and new contracts: (1) Physical and technological resources (including a secondary site), sufficient to enable the entity to meet the recovery time objective after interruption of normal clearing by a wide-scale disruption, must be located outside the relevant area of the physical and technological resources the systemically important derivatives clearing organization or subpart C derivatives clearing organization normally relies upon to conduct that activity, and must not rely on the same critical transportation, telecommunications, power, water, or other critical infrastructure components the entity normally relies upon for such activities; (2) Personnel, who live and work outside that relevant area, sufficient to enable the entity to meet the recovery time objective after interruption of normal clearing by a wide-scale disruption affecting the relevant area in which the personnel the entity normally relies upon to engage in such activities are located; (3) The provisions of § 39.18(d) shall apply to these resource requirements. (c) Each systemically important derivatives clearing organization and subpart C derivatives clearing organization must conduct regular, periodic tests of its business continuity and disaster recovery plans and resources and its capacity to achieve the required recovery time objective in the event of a wide-scale disruption. The provisions of § 39.18(e) shall apply to such testing. (d) The Commission may, upon request, grant an entity, which has been designated as a systemically important derivatives clearing organization or that has elected to become subject to subpart C, up to one year to comply with any provision of this section. [78 FR 72514, Dec. 2, 2013, as amended at 81 FR 64339, Sept. 19, 2016] § 39.35 Default rules and procedures for uncovered credit losses or liquidity shortfalls (recovery) for systemically important derivatives clearing organizations and subpart C derivatives clearing organizations. (a) Allocation of uncovered credit losses. (1) Allocate losses exceeding the financial resources available to the systemically important derivatives clearing organization or subpart C derivatives clearing organization; (2) Repay any funds it may borrow; and (3) Replenish any financial resources it may employ during such a stress event, so that the systemically important derivatives clearing organization or subpart C derivatives clearing organization can continue to operate in a safe and sound manner. (b) Allocation of uncovered liquidity shortfalls. (i) An individual or combined default involving one or more clearing members' obligations to the systemically important derivatives clearing organization or subpart C derivatives clearing organization; or (ii) A liquidity shortfall exceeding the financial resources of the systemically important derivatives clearing organization or subpart C derivatives clearing organization. (2) The rules and procedures described in paragraph (b)(1) of this section shall: (i) Enable the systemically important derivatives clearing organization or subpart C derivatives clearing organization promptly to meet its payment obligations in all relevant currencies; (ii) Be designed to enable the systemically important derivatives clearing organization or subpart C derivatives clearing organization to avoid unwinding, revoking, or delaying the same-day settlement of payment obligations; and (iii) Address the systemically important derivatives clearing organization's or subpart C derivatives clearing organization's process to replenish any liquidity resources it may employ during a stress event so that it can continue to operate in a safe and sound manner. § 39.36 Risk management for systemically important derivatives clearing organizations and subpart C derivatives clearing organizations. (a) Stress tests of financial resources. (1) Perform, on a daily basis, stress testing of its financial resources using predetermined parameters and assumptions; (2) Perform comprehensive analyses of stress testing scenarios and underlying parameters to ascertain their appropriateness for determining the systemically important derivatives clearing organization's or subpart C derivatives clearing organization's required level of financial resources in current and evolving market conditions; (3) Perform the analyses required by paragraph (a)(2) of this section at least monthly and when products cleared or markets served display high volatility or become less liquid, when the size or concentration of positions held by clearing members increases significantly, or as otherwise appropriate, evaluate the stress testing scenarios, models, and underlying parameters more frequently than once a month; (4) For the analyses required by paragraphs (a)(1) and (2) of this section, include a range of relevant stress scenarios, in terms of both defaulting clearing members' positions and possible price changes in liquidation periods. The scenarios considered shall include, but are not limited to, the following: (i) Relevant peak historic price volatilities; (ii) Shifts in other market factors including, as appropriate, price determinants and yield curves; (iii) Multiple defaults over various time horizons; (iv) Simultaneous pressures in funding and asset markets; and (v) A range of forward-looking stress scenarios in a variety of extreme but plausible market conditions. (5) Establish procedures for: (i) Reporting stress test results to its risk management committee or board of directors, as applicable; and (ii) Using the results to assess the adequacy of, and to adjust, its total amount of financial resources; and (6) Use the results of stress tests to support compliance with the minimum financial resources requirement set forth in § 39.11(a)(1) or § 39.33(a), as applicable. (b) Sensitivity analysis of margin model. (2) For the purposes of this paragraph (b), a sensitivity analysis of a margin model includes: (i) Reviewing a wide range of parameter settings and assumptions that reflect possible market conditions in order to understand how the level of margin coverage might be affected by highly stressed market conditions. The range of parameters and assumptions should capture a variety of historical and hypothetical conditions, including the most volatile periods that have been experienced by the markets served by the systemically important derivatives clearing organization or subpart C derivatives clearing organization and extreme changes in the correlations between prices. The parameters and assumptions should be appropriate in light of the specific characteristics, considered on a current basis, of particular products and portfolios cleared. (ii) Testing of the ability of the models or model components to react appropriately using actual or hypothetical datasets and assessing the impact of different model parameter settings. (iii) Evaluating potential losses in clearing members' proprietary positions and, where appropriate, customer positions. (3) A systemically important derivatives clearing organization or subpart C derivatives clearing organization involved in activities with a more complex risk profile shall take into consideration parameter settings that reflect the potential impact of the simultaneous default of clearing members and, where applicable, the underlying credit instruments. (c) Stress tests of liquidity resources. (1) Perform, on a daily basis, stress testing of its liquidity resources using predetermined parameters and assumptions; (2) Perform comprehensive analyses of stress testing scenarios and underlying parameters to ascertain their appropriateness for determining the systemically important derivatives clearing organization's or subpart C derivatives clearing organization's required level of liquidity resources in current and evolving market conditions; (3) Perform the analyses required by paragraph (c)(2) of this section at least monthly and when products cleared or markets served display high volatility or become less liquid, when the size or concentration of positions held by clearing members increases significantly, or as otherwise appropriate, evaluate its stress testing scenarios, models, and underlying parameters more frequently than once a month; (4) For the analyses required by paragraphs (c)(1) and (2) of this section, include a range of relevant stress scenarios, in terms of both defaulting clearing members' positions and possible price changes in liquidation periods. The scenarios considered shall include, but are not limited to, the following: (i) Relevant peak historic price volatilities; (ii) Shifts in other market factors including, as appropriate, price determinants and yield curves; (iii) Multiple defaults over various time horizons; (iv) Simultaneous pressures in funding and asset markets; and (v) A range of forward-looking stress scenarios in a variety of extreme but plausible market conditions. (5) For the scenarios enumerated in paragraph (c)(4) of this section, consider the following: (i) All entities that might pose material liquidity risks to the systemically important derivatives clearing organization or subpart C derivatives clearing organization, including settlement banks, permitted depositories, liquidity providers, and other entities, (ii) Multiday scenarios as appropriate, (iii) Inter-linkages between its clearing members and the multiple roles that they may play in the systemically important derivatives clearing organization's or subpart C derivatives clearing organization's risk management; and (iv) The probability of multiple failures and contagion effect among clearing members. (6) Establish procedures for: (i) Reporting stress test results to its risk management committee or board of directors, as applicable; and (ii) Using the results to assess the adequacy of, and to adjust its total amount of liquidity resources. (7) Use the results of stress tests to support compliance with the liquidity resources requirement set forth in § 39.33(c). (d) Margin model assessment. (e) Independent validation. (f) Custody and investment risk. (g) Settlement banks. (1) Monitor, manage, and limit its credit and liquidity risks arising from its settlement banks; (2) Establish, and monitor adherence to, strict criteria for its settlement banks that take account of, among other things, their regulation and supervision, creditworthiness, capitalization, access to liquidity, and operational reliability; and (3) Monitor and manage the concentration of credit and liquidity exposures to its settlement banks. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4862, Jan. 27, 2020] § 39.37 Additional disclosure for systemically important derivatives clearing organizations and subpart C derivatives clearing organizations. In addition to the requirements of § 39.21, each systemically important derivatives clearing organization and subpart C derivatives clearing organization shall: (a) Complete and publicly disclose its responses to the Disclosure Framework for Financial Market Infrastructures published by the Committee on Payment and Settlement Systems and the Board of the International Organization of Securities Commissions; (b)(1) Review and update its responses disclosed as required by paragraph (a) of this section at least every two years and following material changes to the systemically important derivatives clearing organization's or subpart C derivatives clearing organization's system or the environment in which it operates. A material change to the systemically important derivatives clearing organization's or subpart C derivatives clearing organization's system or the environment in which it operates is a change that would significantly change the accuracy and usefulness of the existing responses; and (2) Provide notice to the Commission of updates to its responses required by paragraph (b)(1) of this section following material changes no later than ten business days after the updates are made. Such notice shall be accompanied by a copy of the text of the responses that shows all deletions and additions made to the immediately preceding version of the responses; (c) Publicly disclose relevant basic data on transaction volume and values consistent with the standards set forth in the Public Quantitative Disclosure Standards for Central Counterparties published by the Committee on Payments and Market Infrastructures and the International Organization of Securities Commissions; (d) Publicly disclose rules, policies, and procedures concerning segregation and portability of customers' positions and funds, including whether each of: (1) Futures customer funds, as defined in § 1.3 of this chapter; (2) Cleared Swaps Customer Collateral, as defined in § 22.1 of this chapter; or (3) Foreign futures or foreign options secured amount, as defined in § 1.3 of this chapter is: (i) Protected on an individual or omnibus basis or (ii) Subject to any constraints, including any legal or operational constraints that may impair the ability of the systemically important derivatives clearing organization or subpart C derivatives clearing organization to segregate or transfer the positions and related collateral of a clearing member's customers. [78 FR 72514, Dec. 2, 2013, as amended at 83 FR 7996, Feb. 23, 2018; 85 FR 4862, Jan. 27, 2020; 88 FR 53684, Aug. 8, 2023] § 39.38 Efficiency for systemically important derivatives clearing organizations and subpart C derivatives clearing organizations. (a) General rule. (1) Clearing and settlement arrangements; (2) Operating structure and procedures; (3) Scope of products cleared; and (4) Use of technology. (b) Review of efficiency. (c) Clear goals and objectives. (d) Each systemically important derivatives clearing organization and subpart C derivatives clearing organization shall facilitate efficient payment, clearing and settlement by accommodating internationally accepted communication procedures and standards. § 39.39 Recovery and wind-down for systemically important derivatives clearing organizations and subpart C derivatives clearing organizations. (a) Definitions. (1) General business risk (2) Wind-down (3) Recovery ex ante (4) Operational risk (5) Unencumbered liquid financial assets (b) Recovery and wind-down plan. (1) Recovery or orderly wind-down, necessitated by uncovered credit losses or liquidity shortfalls; and, separately, (2) Recovery or orderly wind-down necessitated by general business risk, operational risk, or any other risk that threatens the derivatives clearing organization's viability as a going concern. (c)(1) In developing the plans specified in paragraph (b) of this section, the systemically important derivatives clearing organization or subpart C derivatives clearing organization shall identify scenarios that may potentially prevent it from being able to meet its obligations, provide its critical operations and services as a going concern and assess the effectiveness of a full range of options for recovery or orderly wind-down. The plans shall include procedures for informing the Commission, as soon as practicable, when the recovery plan is initiated or wind-down is pending. (2) A systemically important derivatives clearing organization or subpart C derivatives clearing organization shall have procedures for providing the Commission and the Federal Deposit Insurance Corporation with information needed for purposes of resolution planning. (d) Financial resources to support the recovery and wind-down plan. (2) Each systemically important derivatives clearing organization and subpart C derivatives clearing organization shall maintain sufficient unencumbered liquid financial assets, funded by the equity of its owners, to implement its recovery or wind-down plans pursuant to paragraph (b)(2) of this section. In general, the financial resources required by § 39.11(a)(2) may be sufficient, but the systemically important derivatives clearing organization or subpart C derivatives clearing organization shall analyze its particular circumstances and risks and maintain any additional resources that may be necessary to implement the plans. In allocating sufficient financial resources to implement the plans, the systemically important derivatives clearing organization or subpart C derivatives clearing organization shall comply with § 39.11(e)(2). The plan shall include evidence and analysis to support the conclusion that the amount considered necessary is, in fact, sufficient to implement the plans. (3) Resources counted in meeting the requirements of §§ 39.11(a)(1) and 39.33 may not be allocated, in whole or in part, to the recovery plans required by paragraph (b)(2) of this section. Other resources may be allocated, in whole or in part, to the recovery plans required by either paragraphs (b)(1) or (2) of this section, but not both paragraphs, and only to the extent the use of such resources is not otherwise limited by the Act, Commission regulations, the systemically important derivatives clearing organization's or subpart C derivatives clearing organization's rules, or any contractual arrangements to which the systemically important derivatives clearing organization or subpart C derivatives clearing organization is a party. (e) Plan for raising additional financial resources. (f) The Commission may, upon request, grant an entity, which has been designated as a systemically important derivatives clearing organization or that has elected to become subject to subpart C, up to one year to comply with any provision of this section or of § 39.35. [76 FR 69430, Nov. 8, 2011, as amended at 85 FR 4862, Jan. 27, 2020] § 39.40 Consistency with the Principles for Financial Market Infrastructures. This subpart C is intended to establish standards which, together with subparts A and B of this part, are consistent with section 5b(c) of the Act and the Principles for Financial Market Infrastructures published by the Committee on Payment and Settlement Systems and the Board of the International Organization of Securities Commissions and should be interpreted in that context. § 39.41 Special enforcement authority for systemically important derivatives clearing organizations. For purposes of enforcing the provisions of Title VIII of the Dodd-Frank Act, a systemically important derivatives clearing organization shall be subject to, and the Commission has authority under the provisions of subsections (b) through (n) of section 8 of the Federal Deposit Insurance Act (12 U.S.C. 1818) in the same manner and to the same extent as if the systemically important derivatives clearing organization were an insured depository institution and the Commission were the appropriate Federal banking agency for such insured depository institution. § 39.42 Advance notice of material risk-related rule changes by systemically important derivatives clearing organizations. A systemically important derivatives clearing organization shall provide notice to the Commission in advance of any proposed change to its rules, procedures, or operations that could materially affect the nature or level of risks presented by the systemically important derivatives clearing organization, in accordance with the requirements of § 40.10 of this chapter. §§ 39.43-39.49 [Reserved] Subpart D—Provisions Applicable to Derivatives Clearing Organizations Subject to Compliance with Core Principles Through Compliance with Home Country Regulatory Regime Source: 85 FR 67187, Oct. 21, 2020, unless otherwise noted. § 39.50 Scope. The provisions of this subpart D apply to any derivatives clearing organization that is registered through the process described in § 39.3(a)(3) of this part or as otherwise provided by order of the Commission. § 39.51 Compliance with the core principles through compliance with home country regulatory regime. (a) Eligibility. (i) The Commission determines that compliance by the derivatives clearing organization with its home country regulatory regime constitutes compliance with the core principles set forth in section 5b(c)(2) of the Act; (ii) The derivatives clearing organization is in good regulatory standing in its home country; (iii) The Commission determines the derivatives clearing organization does not pose substantial risk to the U.S. financial system; and (iv) A memorandum of understanding or similar arrangement satisfactory to the Commission is in effect between the Commission and the derivatives clearing organization's home country regulator, pursuant to which, among other things, the home country regulator agrees to provide to the Commission any information that the Commission deems appropriate to evaluate the initial and continued eligibility of the derivatives clearing organization for registration or to review its compliance with any conditions of such registration. (2) To the extent that the derivatives clearing organization's home country regulatory regime lacks legal requirements that correspond to those core principles less related to risk, the Commission may, in its discretion, grant registration subject to conditions that would address the relevant core principles. (b) Conditions. (1) Applicable requirements under the Act and Commission regulations. (2) Open access. (i) Provide that all swaps with the same terms and conditions, as defined by product specifications established under the derivatives clearing organization's rules, submitted to the derivatives clearing organization for clearing are economically equivalent within the derivatives clearing organization and may be offset with each other within the derivatives clearing organization, to the extent offsetting is permitted by the derivatives clearing organization's rules; and (ii) Provide that there shall be non-discriminatory clearing of a swap executed bilaterally or on or subject to the rules of an unaffiliated electronic matching platform or trade execution facility. (3) Consent to jurisdiction; designation of agent for service of process. (i) Consent to jurisdiction in the United States; (ii) Designate, authorize, and identify to the Commission, an agent in the United States who shall accept any notice or service of process, pleadings, or other documents, including any summons, complaint, order, subpoena, request for information, or any other written or electronic documentation or correspondence issued by or on behalf of the Commission or the United States Department of Justice to the derivatives clearing organization, in connection with any actions or proceedings brought against, or investigations relating to, the derivatives clearing organization or any of its U.S. clearing members; and (iii) Promptly inform the Commission of any change in its designated and authorized agent. (4) Compliance. (5) Inspection of books and records. (6) Representation of good regulatory standing. (7) Other conditions. (c) General reporting requirements. (2) Each derivatives clearing organization shall provide to the Commission the following information: (i) A report compiled as of the end of each trading day and submitted to the Commission by 10 a.m. U.S. central time on the following business day, containing with respect to swaps: (A) Total initial margin requirements for all clearing members; (B) Initial margin requirements and initial margin on deposit for each U.S. clearing member, by house origin and by each customer origin, and by each individual customer account; and (C) Daily variation margin, separately listing the mark-to-market amount collected from or paid to each U.S. clearing member, by house origin and by each customer origin, and by each individual customer account. (ii) A report compiled as of the last day of each fiscal quarter of the derivatives clearing organization and submitted to the Commission no later than 17 business days after the end of the derivatives clearing organization's fiscal quarter, containing a list of U.S. clearing members, with respect to the clearing of swaps, as of the last day of the fiscal quarter. (iii) Prompt notice regarding any change in the home country regulatory regime; (iv) As available to the derivatives clearing organization, any examination report or examination findings by a home country regulator, and notify the Commission within five business days after it becomes aware of the commencement of any enforcement or disciplinary action or investigation by a home country regulator; (v) Immediate notice of any change with respect to the derivatives clearing organization's licensure, registration, or other authorization to act as a derivatives clearing organization in its home country; (vi) In the event of a default by a clearing member, with such event of default determined in accordance with the rules of the derivatives clearing organization, immediate notice of the default including the amount of the clearing member's financial obligation; provided, however, (vii) Notice of action taken against a U.S. clearing member by a derivatives clearing organization, no later than two business days after the derivatives clearing organization takes such action against a U.S. clearing member. (d) Modification of registration upon Commission initiative. (i) Compliance with the derivatives clearing organization's home country regulatory regime satisfies the core principles set forth in section 5b(c)(2) of the Act; (ii) The derivatives clearing organization is in good regulatory standing in its home country; or (iii) The derivatives clearing organization does not pose substantial risk to the U.S. financial system. (2) The Commission shall provide written notification to a derivatives clearing organization that it is considering whether to modify an order of registration pursuant to this paragraph and the basis for that consideration. (3) The derivatives clearing organization may respond to the notification in writing no later than 30 business days following receipt of the notification, or at such later time as the Commission permits in writing. (4) Following receipt of a response from the derivatives clearing organization, or after expiration of the time permitted for a response, the Commission may: (i) Issue an order requiring the derivatives clearing organization to comply with all requirements applicable to derivatives clearing organizations in the Act and this chapter, effective as of a date to be specified therein. The specified date shall be intended to provide the derivatives clearing organization with a reasonable amount of time to come into compliance with the Act and Commission regulations or request a vacation of registration in accordance with § 39.3(f); (ii) Issue an amended order of registration that modifies the terms and conditions of the order; or (iii) Provide written notification to the derivatives clearing organization that the order of registration will remain in effect without modification to its terms and conditions. Appendix A to Part 39—Form DCO Derivatives Clearing Organization Application for Registration [85 FR 4863, Jan. 27, 2020] Appendix B to Part 39—Subpart C Election Form [85 FR 4891, Jan. 27, 2020] Appendix C to Part 39—Daily Reporting Data Fields A. Daily Cash Flow Reporting Field name Description House & Individual Common Fields (Daily Cash Flow Reporting) Total Message Count The total number of reports included in the file M M FIXML Message Type Financial Information eXchange Markup Language (FIXML) account summary report type M M Sender ID The CFTC-issued derivatives clearing organization (DCO) identifier M M To ID Indicate “CFTC” M M Message Transmit Datetime The date and time the file is transmitted M M Report ID A unique identifier assigned by the Commodity Futures Trading Commission (CFTC) to each clearing member report M M Report Date The business date of the information being reported M M Base Currency Base currency referenced throughout report; provide exchange rate against this currency M M Report Time (Message Create Time) The report “as of” or information cut-off time M M DCO Identifier CFTC-assigned identifier for a DCO M M Clearing Participant Identifier DCO-assigned identifier for a particular clearing member M M Clearing Participant Name The name of the clearing member M M Fund Segregation Type Clearing fund segregation type M M Clearing Participant LEI Legal entity identifier (LEI) for a particular clearing member per International Organization for Standardization (ISO) 17442 C C Clearing Participant LEI Name The LEI name associated with the clearing member LEI C C Customer Position Identifier Proprietary identifier for a particular customer position account C N/A Customer Position Name The name associated with the customer position identifier M N/A Customer Position Account Type Type of account used for reporting C N/A Customer LEI LEI for a particular customer; provide if available N/A C Customer LEI Name The LEI name associated with the customer position LEI N/A C Margin Account Margin account identifier M N/A Customer Margin Name The name associated with the customer margin identifier N/A C Unique Margin Identifier A single field that uniquely identifies the margin account. This field is used to identify associated positions M M Customer Margin Identifier Proprietary identifier for a particular customer N/A M Customer Margin Account Type Account type indicator N/A M Futures and Options (Daily Cash Flow Reporting) Additional Margin Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin M N/A Concentration Risk Risk factor component to capture costs associated with the liquidation of a large position C C Delivery Margin Margin collected to cover delivery risk C N/A Initial Margin Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons M M Liquidity Risk Risk component to capture bid/offer costs associated with the liquidation of a large portfolio. C C Margin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A Total Margin The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO M N/A Variation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A Market Move Risk Margin amount associated with market move risk C C Margin Savings The margin savings amount for the clearing member where there is a cross-margining agreement with another DCO C N/A Collateral on Deposit The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement M N/A Option Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C C Net Option Value The credit or debit amount based on the long or short options positions C C Backdated Profit and Loss The profit and loss (P&L) attributed to positions added that were novated on a prior date O N/A Day Trading Profit and Loss The P&L attributed to the day's trades C N/A Position Profit and Loss The P&L of the previous day's position with today's price movement C N/A Total Profit and Loss Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L) M N/A Customer Margin Omnibus Parent The margin identifier for the omnibus account associated with the customer margin identifier. (Conditional on reported customer position being part of a separately reported omnibus account position.) N/A C Commodity Swaps (Daily Cash Flow Reporting) Additional Margin Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin M N/A Initial Margin Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons M M Margin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A Total Margin The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO M M Variation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A Collateral on Deposit The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement M N/A Option Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A Net Cash Flow Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., profit/loss, price alignment interest, cash payments (fees, coupons, etc.) C N/A Backdated Profit and Loss The P&L attributed to positions added that were novated on a prior date C N/A Day Trading Profit and Loss The P&L attributed to the day's trades C N/A Position Profit and Loss The P&L of the previous day's position with today's price movement C N/A Total Profit and Loss Unrealized P&L or mark to market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L) M N/A Credit Default Swaps (Daily Cash Flow Reporting) Additional Margin Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin M N/A Concentration Risk Risk factor component to capture costs associated with the liquidation of a large position C C Initial Margin Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons M M Liquidity Risk Risk component to capture bid/offer costs associated with the liquidation of a large portfolio. C C Margin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A Total Margin The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO M C Variation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A Spread Response Risk Risk factor component associated with credit spread level changes and credit term structure shape changes C C Systemic Risk Risk factor component to capture parallel shift of credit spreads C C Curve Risk Risk factor that captures curve shifts based on portfolio C C Index Spread Risk Risk factor component associated with risks due to widening/tightening spreads of credit default swap (CDS) indices relative to each other C C Sector Risk Risk factor component to capture sector risk C C Jump to Default Risk Risk factor component to capture most extreme up/down move of a reference entity C C Basis Risk Risk factor component to capture basis risk between index and index constituent reference entities C C Interest Rate Risk Risk factor component associated with parallel shift movements in interest rates C C Jump to Health Risk Risk factor component to capture extreme narrowing of credit spreads of a reference entity; also known as “idiosyncratic risk” C C Other Risk Any other risk factors included in the margin model C C Recovery Rate Sensitivity Risk Risk factor component to capture fluctuations of recovery rate assumptions C C Wrong Way Risk Risk that occurs when exposure to a counterparty is adversely correlated with the credit quality of that counterparty. It arises when default risk and credit exposure increase together C C Collateral on Deposit The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement M N/A Option Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A Initial Coupon Amount of coupon premium amount accrued from the start of the current coupon period through the trade date. (Indicate gross pay/collect amounts.) O N/A Upfront Payment The difference in market value between the standard coupon and the market spread as well as the coupon accrued through the trade date. (Indicate gross pay/collect amounts.) O N/A Trade Cash Adjustment Additional cash amount on trades. (Indicate gross pay/collect amounts.) C N/A Quarterly Coupon Regular payment of quarterly coupon premium amounts. (Indicate gross pay/collect amounts.) O N/A Credit Event Payments Cash settlement of credit events. (Indicate gross pay/collect amounts.) C N/A Accrued Coupon Coupon obligation from the first day of the coupon period through the current clearing trade date. The sum of accrued coupon for each position in the clearing member's portfolio (by origin). M N/A Final Mark to Market Determined by marking the end-of-day position from par (100%) to the end-of-day settlement price M N/A Backdated Profit and Loss The P&L attributed to positions added that were novated on a prior date C N/A Day Trading Profit and Loss The P&L attributed to the day's trades C N/A Position Profit and Loss The P&L of the previous day's position with today's price movement C N/A Total Profit and Loss Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L) M N/A Previous Accrued Coupon Previous day's accrued coupon M N/A Previous Mark to Market Previous day's mark to market M N/A Price Alignment Interest To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid M N/A Foreign Exchange (Daily Cash Flow Reporting) Additional Margin Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin M N/A Initial Margin Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons. M M Margin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A Total Margin The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO M M Variation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A Collateral on Deposit The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement M N/A Other Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) M N/A Option Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A Price Alignment Interest To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid M N/A Backdated Profit and Loss The P&L attributed to positions added that were novated on a prior date C N/A Day Trading Profit and Loss The P&L attributed to the day's trades C N/A Position Profit and Loss The P&L of the previous day's position with today's price movement C N/A Total Profit and Loss Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L) M N/A Interest Rate Swaps (Daily Cash Flow Reporting) Additional Margin Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin M N/A Initial Margin Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons M M Margin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A Total Margin The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO M M Variation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A Cross-Margined Products Profit/Loss P&L resulting from changes in value due to changes in the futures price. This P&L should only include changes to the cross-margined futures in the account C N/A Option Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A Collateral on Deposit The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement M N/A Other Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) C N/A Net Coupon Payment Net amount of any coupon cash flows recognized on report date but actually occurring on currency's settlement convention date. (Indicate gross pay/collect amounts.) M N/A Net Present Value Net present value (NPV) of all positions by currency M N/A Net Present Value Previous Previous day's NPV by currency M N/A PV of Other Payments Includes the present value of any upfront and/or final/settlement payments that will be settled after the report date. Only include amounts that are affecting the NPV of current trades M N/A Price Alignment Interest To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid M N/A Accrued Coupon Coupon obligation from the first day of the coupon period through the current clearing trade date. The sum of accrued coupon for each position in the clearing member's portfolio (by origin) M N/A Backdated Profit and Loss The P&L attributed to positions added that were novated on a prior date C N/A Day Trading Profit and Loss The P&L attributed to the day's trades C N/A Position Profit and Loss The P&L of the previous day's position with today's price movement C N/A Total Profit and Loss Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L). M N/A Equity Cross Margin (Daily Cash Flow Reporting) Additional Margin Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin M N/A Initial Margin Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons resulting from liquidity/concentration charges M M Liquidity Risk Risk component to capture bid/offer costs associated with the liquidation of a large portfolio C C Margin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date. M N/A Total Margin The total margin requirement for the origin. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO M N/A Variation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin. M N/A Collateral on Deposit The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement M N/A Option Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A Net Option Value The credit or debit amount based on the long or short options positions C C Backdated Profit and Loss The P&L attributed to positions added that were novated on a prior date. C N/A Day Trading Profit and Loss The P&L attributed to the day's trades C N/A Position Profit and Loss The P&L of the previous day's position with today's price movement C N/A Total Profit and Loss Unrealized P&L or mark to market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L) M N/A Consolidated (Daily Cash Flow Reporting) Additional Margin Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin M N/A Initial Margin Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons M N/A Margin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A Total Margin The consolidated non-U.S. margin requirement for the origin. The consolidated non-U.S. margin requirement should include the initial margin requirement plus any additional margin required by the DCO M N/A Variation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A Collateral on Deposit The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement M N/A Option Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C N/A Backdated Profit and Loss The P&L attributed to positions added that were novated on a prior date C N/A Day Trading Profit and Loss The P&L attributed to the day's trades C N/A Position Profit and Loss The P&L of the previous day's position with today's price movement C N/A Total Profit and Loss Unrealized P&L or mark-to-market value of position(s) including change in mark to market (Total P&L = Position P&L + Day Trading P&L + Backdated P&L) M N/A Exempt DCO (Daily Cash Flow Reporting) Additional Margin Any additional margin required in excess of initial margin. For example, this figure should include any liquidity/concentration charge if the charge is not included in the initial margin M N/A Initial Margin Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons M N/A Margin Calls Any outstanding margin call that has been issued but not collected as of the end of the trade date M N/A Total Margin The U.S. person margin requirement for the origin by currency contribution. If the traded currency's swaps (i.e., JY) offset risk of other currencies, include an amount of zero for that currency. This margin requirement should include the initial margin requirement plus any additional margin required by the DCO M N/A Variation Margin Variation margin should include the net sum of all cash flows between the DCO and clearing members by origin M N/A Collateral on Deposit The collateral on deposit for an origin. This amount should include all collateral after all haircuts that have been deposited to cover the total margin requirement M N/A Mark-to-Market Determined by marking the end of day position(s) from par (100%) to the end of day settlement price M N/A M = mandatory C = conditional O = optional. B. Daily Position Reporting Field name Description Use Common Fields (Daily Position Reporting) Total Message Count The total number of reports included in the file M FIXML Message Type FIXML account summary report type M Sender ID The CFTC-issued DCO identifier M To ID Indicate “CFTC” M Message Transmit Datetime The date and time the file is transmitted M Report ID A unique identifier assigned by the CFTC to each clearing member report M Report Date The business date of the information being reported M Base Currency Base currency referenced throughout report; provide exchange rate against this currency M Report Time (Message Create Time) The report “as of” or information cut-off time M Message Event The event source being reported M Market Segment ID Market segment associated with the position report M DCO Identifier CFTC-assigned identifier for a DCO M Clearing Participant Identifier DCO-assigned identifier for a particular clearing member M Clearing Participant Name The name of the clearing member M Fund Segregation Type Clearing fund segregation type M Clearing Participant LEI LEI for a particular clearing member C Clearing Participant LEI Name The LEI name associated with the clearing member LEI C Customer Position Identifier Proprietary identifier for a particular customer position account C Customer Position Name The name associated with the customer position identifier M Customer Position Account Type Type of account used for reporting C Customer Position LEI LEI for a particular customer; must be provided when available C Customer Position LEI Name The LEI name associated with the Customer Position LEI C Customer Margin Identifier Proprietary identifier for a particular customer C Customer Margin Name The name associated with the customer margin identifier C Unique Margin Identifier A single field that uniquely identifies the margin account. This field is used to identify associated positions M Futures and Options (Daily Position Reporting) Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M Cross-Margin Entity Name of the entity associated with a cross-margined account C Exchange Commodity Code Contract commodity code issued by the exchange; e.g., M Clearing Commodity Code Registered commodity clearing identifier. The code is for the contract as if it was traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used M Product Type Indicates the type of product with which the security is associated C Security Type Indicates type of security M Maturity Month Year Month and year of the maturity M Maturity Date The date on which the principal amount becomes due C Asset Class The broad asset category for assessing risk exposure M Asset Subclass The subcategory description of the asset class C Asset Type Provides a more specific description of the asset subclass C Asset Subtype Provides a more specific description of the asset type C Security Group (Sector) A name assigned to a group of related instruments which may be concurrently affected by market events and actions C Unit Leverage Factor The multiplier needed to convert a change of one point of the quoted index into local currency P&L for a 1-unit long position M Units Unit of measure M Settlement Method Method of settlement C Exchange Identifier (MIC) Exchange where the instrument is traded, per ISO 10383 M Security Description Used to provide a textual description of a financial instrument M Unique Product Identifier A single field that uniquely identifies a given product. All positions with this identifier will have the same price M Alternate Product Identifier—Spread Underlying Long When a contract represents a differential between two products, the product code that represents the long position in the spread for long position in the combined contract C Alternate Product Identifier—Spread Underlying Short When a contract represents a differential between two products, the product code that represents the long position in the spread for short position in the combined contract C Last Trading Date The last day of trading in a futures contract M First Notice Date The first date on which delivery notices are issued C Position (Long) Long position size. If a position is quoted in a unit of measure (UOM) different from the contract, specify the UOM. If a position is measured in a currency, specify the currency M Position (Short) Short position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency M Settlement FX Info Settlement price foreign exchange conversion rate M Change in Settlement Price The quoted price change between the prior trading day's settlement and today's settlement M Unit Currency P&L The local currency P&L between the prior trading day's settlement and today's settlement for a 1-unit long position M Outright Initial Margin Initial margin for the position as if it were a stand-alone outright position C Option Exercise Style Exercise style C Option Strike Price Option strike price C Option Put/Call Indicator Option type C Underlying Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date C Underlying Exchange Commodity Code Underlying Contract code issued by the exchange C Underlying Clearing Commodity Code Registered commodity clearing identifier. The code is for the contract as if it was traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used C Underlying Product Type Indicates the type of product the security is associated with C Underlying Security Type Indicator which identifies the underlying derivative type C Underlying Security Group (Sector) A name assigned to a group of related instruments which may be concurrently affected by market events and actions C Underlying Maturity Month Year Month and year of the maturity C Underlying Maturity Date The date on which the principal amount becomes due C Underlying Asset Class The underlying broad asset category for assessing risk exposure C Underlying Asset Subclass The subcategory description of the asset class C Underlying Asset Type Provides a more specific description of the asset subclass C Underlying Asset Subtype Provides a more specific description of the asset type. C Underlying Exchange Code (MIC) Exchange where the underlying instrument is traded C Underlying Security Description Textual description of a financial instrument C Unique Underlying Product Code A single field that is the result of concatenating relevant fields that create a unique product ID that is associated with a unique price C Primary Options Exchange Code—Implied Volatility Quote This field identifies the main options chain for the future that provides the implied volatility quote C DELTA Delta is the measure of how the option's value varies with changes in the underlying price C Implied Volatility The implied volatility and quotation style for the contract, typically in natural log percent or index points C Customer Margin Omnibus Parent The margin identifier for the omnibus account associated with the customer margin identifier. (Conditional on reported customer position being part of a separately reported omnibus account position) C Commodity Swaps (Daily Position Reporting) Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M Exchange Commodity Code Contract commodity code issued by the exchange; e.g., M Clearing Commodity Code Registered commodity clearing identifier. The code is for the contract as if it was traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used M Product Type Indicates the type of product with which the security is associated C Security Group (Sector) A name assigned to a group of related instruments which may be concurrently affected by market events and actions C Unique Product Identifier A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to 17 CFR 45.7 O Maturity Month Year Month and year of the maturity M Maturity Date The date on which the principal amount becomes due C Asset Class The broad asset category for assessing risk exposure M Asset Subclass The subcategory description of the asset class C Asset Type Provides a more specific description of the asset subclass C Unit Leverage Factor The multiplier needed to convert a change of one point of the quoted index into local currency P&L for a 1-unit long position C Minimum Tick Minimum price tick increment C Units Unit of measure M Settlement Method Swap settlement method C Exchange Identifier (MIC) Exchange where the instrument is traded M Security Description Used to provide a textual description of a financial instrument C Security Type Indicates type of security M Position (Long) Long position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency M Position (Short) Short position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency M Net Cash Flow Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., C Settlement FX Info Settlement price foreign exchange conversion rate M Universal (or Unique) Swap Identifier Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character M Option Exercise Style Exercise style C Option Put/Call Indicator Option type M Option Strike Price Option strike price M Underlying Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M Underlying Exchange Commodity Code Underlying Contract code issued by the exchange C Underlying Clearing Commodity Code Registered commodity clearing identifier. The code is for the contract as if it was traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used M Underlying Product Type Indicates the type of product the security is associated with C Underlying Security Group (Sector) A name assigned to a group of related instruments which may be concurrently affected by market events and actions C Underlying Maturity Month Year Month and year of the maturity M Underlying Maturity Date The date on which the principal amount becomes due C Underlying Asset Class The underlying broad asset category for assessing risk exposure M Underlying Asset Subclass The subcategory description of the asset class C Underlying Asset Type Provides a more specific description of the asset subclass C Underlying Exchange Code (MIC) Exchange where the underlying instrument is traded M Underlying Security Type Indicates type of security M Underlying Security Description Textual description of a financial instrument C DELTA Delta is the measure of how the option's value varies with changes in the underlying price C Credit Default Swaps (Daily Position Reporting) Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M Exchange Security Identifier Contract code issued by the exchange O Redcode The code assigned to the CDS by Markit that identifies the referenced entity or the index, series and version. (Underlying instrument is required for Security Type = SWAPTION.) M Unique Product Identifier A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7 O Security Type Indicator which identifies the derivative type M Restructuring Type This field is used if the index has been restructured due to a credit event M Seniority Type The class of debt M Maturity Date The date on which the principal amount becomes due C Asset Class The broad asset category for assessing risk exposure M Asset Subclass The subcategory description of the asset class C Asset Type Provides a more specific description of the asset subclass C Reference Entity Type (Sector) Specifies the type of reference entity for first-to-default CDS basket contracts. The Markit sector code should be provided when available M Coupon Rate The coupon rate associated with this CDS transaction stated in Basis Points M Security Description (Reference Entity) Name of CDS index or single-name or sovereign debt M Recovery Factor The assumed recovery rate used to determine the CDS price O Position (Long) Long position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency M Position (Short) Short position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency M 5 YR Equivalent Notional The five-year equivalent notional amount for each risk factor/reference entity CDS contract M Accrued Coupon Coupon obligation from the first day of the coupon period through the current clearing trade date M Profit and Loss Unrealized P&L or mark to market value of position(s) including change in mark to market plus change in accrued coupon plus change in unsettled upfront fees. Does not include cash flows related to quarterly coupon payments, credit event payments, or price alignment interest M Credit Exposure (CS01) The credit exposure of the swap at a given point in time. CS01 = Spread DV01 = “dollar” value of a basis point = In currency (not percentage) terms, the change in fair value of the leg, transaction, position, or portfolio (as appropriate) commensurate with a 1 basis point (0.01 percent) instantaneous, hypothetical increase in the related credit spread curves. CS01/Spread DV01 may refer to non-dollar currencies and related curves. From the DCO's point of view: positive CS01 = gain in value resulting from 1 basis point increase, negative CS01 = loss of value resulting from 1 basis point increase C Mark to Market Determined by marking the end of day position(s) from par (100%) to the end of day settlement price M Price Value of a Basis Point (PV01) Change in P&L of a position given a one basis point move in CDS spread value. May also be referred to as DV01, Sprd DV01 M Previous Accrued Coupon Previous day's accrued coupon M Previous Mark to Market Previous day's mark to market M Universal (or Unique) Swap Identifier Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character O Option Strike Price Option strike price C Settlement Method Method of settlement C Option Exercise Style Exercise style C Option Put/Call Indicator Option type C Option Type Specifies the option type C Option Start Date The option adjusted start date C Option Expiration Date—Adjusted The CDS option adjusted expiration date C Underlying Exchange Security Identifier The underlying contract alias used by outside vendors to uniquely identify the contract O Underlying Clearing Security Identifier (Red Code) The underlying code assigned to the CDS by Markit that identifies the referenced entity or the index, series and version C Underlying Unique Product Identifier A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7 O Underlying Security Type Indicator which identifies the underlying derivative type C Underlying Restructuring Type This field is used if the underlying index has been restructured due to a credit event C Underlying Seniority Type The underlying class of debt C Underlying Maturity Date The date on which the principal amount becomes due C Underlying Asset Class The underlying broad asset category for assessing risk exposure C Underlying Asset Subclass The subcategory description of the asset class C Underlying Asset Type Provides a more specific description of the asset subclass C Underlying Reference Entity Type (Sector) Specifies the type of underlying reference entity for first-to-default CDS basket contracts C Underlying Coupon Rate The underlying coupon rate associated with this CDS transaction stated in basis points C Underlying Security Description Textual description of a financial instrument C Underlying Recovery Factor The assumed recovery rate used to determine the underlying CDS price C DELTA Delta is the measure of how the option's value varies with changes in the underlying price M GAMMA Gamma is the rate of change for delta with respect to the underlying asset's price M RHO Rho measures the sensitivity of an option's price to a variation in the risk-free interest rate M THETA Theta is the rate at which an option loses value as time passes M VEGA Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset M Option Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C Option Premium Date Date swaption premium is paid C Foreign Exchange (Daily Position Reporting) Settle Date Settle date of the position M Settlement Price/Fixing Currency Settlement price of the position M Discount Factor Discount factor for the position. Use the factor for the Mark to Market (MTM) currency M Valuation Date Valuation date of the position M Delivery Date Delivery date of the position M Clearing Security Identifier Code assigned by the DCO for a particular contract M Unique Product Identifier A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7 O Security Type Registered commodity clearing identifier. (Underlying instrument is required for Security Type = FXOPT | FXNDO.) M Maturity Month Year Month and year of the maturity C Maturity Date (Expiration) Specifies date of maturity (a calendar date). Used for FXFWD/FXNDF. For non-deliverable forwards (NDFs), this represents the fixing date of the contract C Maturity Time (Expiration) The contract expiration time. (Used for FXFWD/FXNDF.) C Asset Class The broad asset category for assessing risk exposure M Asset Subclass The subcategory description of the asset class C Asset Type Provides a more specific description of the asset subclass C Valuation Method Specifies the type of valuation method applied C Security Description Used to provide a textual description of a financial instrument C Foreign Exchange Type Identifies the type of FX contract. Use Typ = 7 for direct FX ( e.g., e.g., M Currency One Specifies the first or only reference currency of the trade M Currency Two Specifies the second reference currency of the trade M Quote Basis For foreign exchange quanto option feature M Fixed Rate (FXFWD or FXNDF only). Specifies the forward FX rate alternative C Spot Rate Specifies the FX spot rates the first or only reference currency of the trade C Forward Points (FXFWD or FXNDF only) The interest rate differential in basis points between the base and quote currencies in a forward rate quote. May be a negative value. (The number of basis points added to or subtracted from the current spot rate of a currency pair to determine the forward rate for delivery on a specific value date.) C Delivery Type Indicator Delivery type indicator M Position—Long Gross long position. An affirmative zero value should be reported for the long position. (Both long and short positions are required.) For FXNDF use Typ = DLV for settlement currency M Position—Short Gross short position. An affirmative zero value should be reported for the short position. (Both long and short positions are required.) For FXNDF use Typ = DLV for settlement currency M Final Mark to Market Mark to market which includes the discount factor M Dollar Value of a Basis Point (DV01)—Long Currency The dollar value of a one basis point change (DV01) in the yield of the underlying security and that of the hedging vehicle M Dollar Value of a Basis Point (DV01)—Short Currency The dollar value of a one basis point change (DV01) in the yield of the underlying security and that of the hedging vehicle M Net Cash Flow Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., M Undiscounted Mark to Market Mark to market, which does not include the discount factor M Price Alignment Interest To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid M Universal (or Unique) Swap Identifier Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character M Option Put/Call Indicator Option type C Strike Rate Option strike rate C Option Exercise Style Exercise style C Option Cut Name The code by which the expiry time is known in the market C Underlying Settlement Price/Fixing Currency Settlement price for the position. (Underlying settlement is required for FXOPT, FXNDO.) C Underlying Exchange Security Code Security code issued by the exchange; e.g., C Underlying Clearing Security Identifier Code assigned by the DCO for the underlying contract C Underlying Unique Product Identifier A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7 O Underlying Security Type Indicator which identifies the underlying derivative C Underlying Maturity Month Year Month and year of the maturity C Underlying Maturity Date (Expiration) For FXFWD/FXNDF, the date on which the principal amount becomes due. For NDFs, this represents the fixing date of the contract C Underlying Exchange Identifier (MIC) Exchange where the underlying instrument is traded C Underlying Security Description Textual description of a financial instrument C Option Long/Short Indicator Indicates whether the option is short or long C Option Expiration Adjusted option expiration date C Notional Long/Short FX currency notional long or short M Implied Volatility The implied volatility and quotation style for the contract, typically in natural log percent or index points C DELTA Delta is the measure of how the option's value varies with changes in the underlying price M GAMMA Gamma is the rate of change for delta with respect to the underlying asset's price M RHO Rho measures the sensitivity of an option's price to a variation in the risk-free interest rate M THETA Theta is the rate at which an option loses value as time passes M VEGA Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset M Option Premium MTM Premium mark to market, which includes the discount factor C Interest Rate Swaps (Daily Position Reporting) Cleared Date Date on which the trade was cleared at the DCO M Position Status Position status: active, or terminated. Terminated positions should only be reported on the day of termination M DCO Pays Indicator Indicate which cash flow the DCO pays M DCO Receives Indicator Indicate which cash flow the DCO receives M Clearing Participant Pays Indicator Indicate which cash flow the clearing member pays M Clearing Participant Receives Indicator Indicate which cash flow the clearing member receives M Clearing Security Identifier Code assigned by the DCO for a particular contract M Unique Product Identifier A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to Commission regulation 17 CFR 45.7 O Security Type Registered commodity clearing identifier M Asset Class The broad asset category for assessing risk exposure M Asset Subclass The subcategory description of the asset class C Asset Type Provides a more specific description of the asset subclass C Swap Class The classification or type of swap M Swap Subclass The sub-classification or notional schedule type of the swap C Security Description Used to provide a textual description of a financial instrument M Leg Type Identifies if the leg is fixed or floating M Leg Notional Notional amount associated with leg M Leg Notional Currency Currency of the leg's notional amount M Leg Start Date Adj Bus Day Conv If start date falls on a weekend or holiday, value defines how to adjust actual start date C Leg Start Date Leg's effective date M Leg Maturity Date Adj Bus Day Conv If the maturity date falls on a weekend or holiday, value defines how to adjust actual maturity date C Leg Maturity Date The date on which the leg's principal amount becomes due M Leg Maturity Date Adj Calendar Regarding the maturity date, this specifies which dates are considered holidays C Leg Calculation Period Adjusted Business Day Convention If a date defining the calculation period falls on a holiday, this adjusts the actual dates based on the definition of the input C Leg Calculation Frequency Calculation frequency, also known as the compounding frequency for compounded swaps M Leg First Reg Per Start Date If there is a beginning stub, this indicates the date when the usual payment periods will begin C Leg Last Reg Per End Date If there is an ending stub, this indicates the date when the usual payment periods will end C Leg Roll Conv Indicates the day of the month when the payment is made C Leg Calc Per Adj Calendar Regarding the calculation period, this specifies which dates are considered holidays C Leg Daycount Defines how interest is accrued/calculated C Leg Comp Method If payments are made on one timeframe but calculations are made on a shorter timeframe, this describes how to compound interest C Leg Pay Adj Bus Day Conv If cash flow pay or receive date falls on a weekend or holiday, value defines actual date payment is made C Leg Pay Frequency Frequency at which payments are made M Leg Pay Relative To Payment relative to the beginning or end of the period C Leg Payment Lag Number of business days after payment due date on which the payment is actually made C Leg Pay Adj Calendar Regarding dates on which cash flow payments/receipts are scheduled, this specifies which dates are considered holidays C Leg Reset Relative To Specifies whether reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date C Leg Reset Date Adj Bus Day Conv Business day convention to apply to each reset date if the reset date falls on a holiday C Leg Reset Frequency Frequency at which resets occur. If the Leg Reset Frequency is greater than the calculation per frequency, more than 1 reset date should be established for each calculation per frequency and some form of rate averaging is applicable C Leg Fixing Date Bus Day Conv Business day convention to apply to each fixing date if the fixing date falls on a holiday C Leg Fixing Date Offset Specifies the fixing date relative to the reset date in terms of a business days offset C Leg Fixing Day Type The type of days to use to find the fixing date ( i.e., C Leg Reset Date Adj Calendar Regarding reset dates, this specifies which dates are considered holidays C Leg Fixing Date Calendar Regarding the fixing date, this specifies which dates are considered holidays C Leg Fixed Rate or Amount Only populate if Leg1 is Type “Fixed”. This should be expressed in decimal form ( e.g., C Leg Index If Stream is floating rate, this gives the index applicable to the floating rate C Leg Index Tenor For the floating rate leg, the tenor of the leg. For the fixed rate leg, NULL C Leg Spread Describes if there is a spread (typically an add-on) applied to the coupon rate C Leg Pmt Sched Notional Variable notional swap notional values C Leg Initial Stub Rate The interest rate applicable to the Initial Stub Period in decimal form ( e.g., C Leg Initial Stub Rate Index 1 Stub rate can be a linear interpolation between two floating rate tenors. E.g., C Leg Initial Stub Rate Index 2 Tenor Stub rate can be a linear interpolation between two floating rate tenors. E.g., C Leg Final Stub Rate The interest rate applicable to the final stub period in decimal form ( e.g., C Leg Final Stub Rate Index 1 Stub rate can be a linear interpolation between two floating rate tenors. E.g., C Leg Final Stub Rate Index 2 Tenor Stub rate can be a linear interpolation between two floating rate tenors. E.g., C Accrued Coupon (Interest) Net accrued coupon amount since the last payment in the leg currency. If reported by leg, indicate the associated stream (leg) description ( e.g., M Profit/Loss Profit/loss resulting from changes in value due to changes in underlying curve movements or floating index rate resets. This should exclude impacts to NPVs from extraneous cash flows (price alignment interest, fees, and coupons) M Leg Current Period Rate If leg is a floating leg, this indicates the current rate used to calculate the next floating Leg coupon in decimal form ( e.g., M Leg Coupon Payment Coupon amount for T + 1 in the leg currency. This should reflect the net cash flow that will actually occur on the following business day. Negative number indicates that a payment was made M Dollar Value of Basis Point (DV01) Change in value in USD if the relevant pricing curve is shifted up by 1 basis point. DV01 = “dollar” value of a basis point in currency (not percentage) terms, the change in fair value of the leg, transaction, position, or portfolio (as appropriate) commensurate with a 1 basis point (0.01 percent) instantaneous, hypothetical increase in the related zero-coupon curves. DV01 may refer to non-dollar currencies and related curves. From the DCO's point of view: positive DV01 = profit/gain resulting from 1 basis point increase, negative DV01 = loss resulting from 1 basis point increase M Net Cash Flow Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., M Net Present Value Net present value (NPV) of all positions by currency M Present Value of Other Payments Includes the present value of any upfront and/or final/settlement payments that will be settled after the report date. Only include amounts that are affecting the NPV of current trades M Net Present Value Previous Previous day's NPV by currency C Price Alignment Interest To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid M Other Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) C Universal (or Unique) Swap Identifier Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character C Leg Initial Exchange Amount of any exchange of cash flow at initiation of trade being cleared C Leg Initial Exchange Date Date that the initial exchange is set to occur C Leg Final Exchange Amount of any exchange of cash flow at maturity of trade C Leg Final Exchange Date Date that the final exchange is set to occur C Option Exercise Style Exercise style C Option Type Specifies the option type C Option Start Date The option adjusted start date C Option Adjusted Expiration Date The IRS swaption adjusted expiration date C Option Buy/Sell Indicator Indicates the buyer or seller of a swap stream C Underlying Clearing Security Identifier Code assigned by the DCO for the underlying contract C Underlying Unique Product Identifier A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to 17 CFR 45.7 C Underlying Security Type Indicator which identifies the underlying derivative C Underlying Asset Class The underlying broad asset category for assessing risk exposure C Underlying Asset Subclass The subcategory description of the asset class C Underlying Asset Type Provides a more specific description of the asset subclass C Underlying Swap Class The classification or type of swap C Underlying Swap Subclass The sub-classification or notional schedule type of the swap C Underlying Security Description Textual description of a financial instrument C Underlying Security Leg Type Identifies if the leg is fixed or floating C Underlying Security Leg Notional Notional amount associated with leg C Underlying Security Leg Currency Currency of this leg's notional amount C Underlying Security Leg Index If stream is floating rate, this gives the index applicable to the floating rate C Underlying Security Leg Index Tenor For the floating rate leg, the tenor of the leg. For the fixed rate leg, NULL C Underlying Security Leg Fixed Rate Or Amount Only populate if Leg1 is type “Fixed”. This should be in decimal form ( e.g., C Underlying Security Leg Spread Indicates whether there is a spread (typically an add-on) applied to the coupon rate C DELTA Delta is the measure of how the option's value varies with changes in the underlying price M GAMMA Gamma is the rate of change for delta with respect to the underlying asset's price M RHO Rho measures the sensitivity of an option's price to a variation in the risk-free interest rate M THETA Theta is the rate at which an option loses value as time passes M VEGA Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset M Option Premium Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller C Option Premium Date Date option premium is paid C Trade Date Date a transaction was originally executed, resulting in the generation of a new USI. For clearing swaps, the date when the DCO accepts the original swap M Event Description Description for each position record C Forward Rate Agreements (Daily Position Reporting) Previous Business Date Previous business date M Position Status Position status: active or terminated. Terminated positions should only be reported on the day of termination M DCO Pays Indicator Indicates which cash flow the DCO pays M DCO Receives Indicator Indicates which cash flow the DCO receives M Clearing Participant Pays Indicator Indicates which cash flow the clearing member pays M Clearing Participant Receives Indicator Indicates which cash flow the clearing member receives M Clearing Security Identifier Code assigned by the DCO for a particular contract M Unique Product Identifier A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to 17 CFR 45.7 O Security Type Registered commodity clearing identifier M Asset Class The broad asset category for assessing risk exposure M Asset Subclass The subcategory description of the asset class C Asset Type Provides a more specific description of the asset subclass C FRA Type Type of swap stream M Notional Amount Stream notional amount M Notional Currency Currency of leg notional amount M Start Date Date the position was established M Maturity Date The date on which the principal amount becomes due M Payment Day Count Convention Defines how interest is accrued/calculated M Payment Accrual Days Number of accrual days between the effective date and maturity date M First Payment Date Date on which the payment is made. Always report the adjusted date C Reset Date Bus Day Convention Business day convention to apply to each fixing date if the fixing date falls on a holiday M Reset Date Fixing Date Date on which the payment is fixed. Always report the adjusted date M Fixed Rate The fixed amount in decimal terms M Float Index The index for the floating portion of the Forward Rate Agreement (FRA) M Float First Tenor First tenor associated with the index M Float Second Tenor Second tenor associated with the index C Float Spread In basis point terms M Float Reference Rate The fixed floating rate in decimal terms M PV01 Change in value in native currency if the relevant pricing curve is shifted up by 1 basis point M Dollar Value of Basis Point (DV01) Change in value in USD if the relevant pricing curve is shifted up by 1 basis point. DV01 = “dollar” value of a basis point in currency (not percentage) terms, the change in fair value of the leg, transaction, position, or portfolio (as appropriate) commensurate with a 1 basis point (0.01 percent) instantaneous, hypothetical increase in the related zero-coupon curves. DV01 may refer to non-dollar currencies and related curves. From the DCO's point of view: positive DV01 = profit/gain resulting from 1 basis point increase, negative DV01 = loss resulting from 1 basis point increase M Net Present Value Net present value (NPV) of all positions by currency M Settlement FX Info Settlement price foreign exchange conversion rate M Net Present Value Previous Previous day's NPV by currency M Price Alignment Interest To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid M Universal (or Unique) Swap Identifier Universal (or Unique) Swap Identifier (USI) namespace and USI. The USI namespace and the USI should be separated by a pipe “|” character C Settlement Amount The amount paid/received on the Payment Date. Always report adjusted date. (The position pays on a negative amount.) M Other Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) C Net Cash Flow Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., C Profit/Loss Profit/Loss resulting from changes in value due to changes in underlying curve movements or floating index rate resets. Should exclude impacts to NPVs from extraneous cash flows (price alignment interest, fees, and coupons) C Present Value of Other Payments Includes the present value of any upfront and/or final/settlement payments that will be settled after the report date. Only include amounts that are affecting the NPV of current trades C Trade Date Actual trade date for each position record (including specifically, the cleared date and the trade date) M Event Description Description for each position record C Inflation Index Swaps (Daily Position Reporting) Cleared Date Date on which the trade was cleared at the DCO M Position Status Position's status: active or terminated. Terminated positions should only be reported on the day of termination M DCO Pays Indicator Indicate which cash flow the DCO pays M DCO Receives Indicator Indicate which cash flow the DCO receives M Clearing Participant Pays Indicator Indicate which cash flow the clearing member pays M Clearing Participant Receives Indicator Indicate which cash flow the clearing member receives M Clearing Security Identifier Code assigned by the DCO for a particular contract M Unique Product Identifier A unique set of characters that represents a particular swap. The Commission will designate a UPI pursuant to 17 CFR 45.7 O Security Type Registered commodity clearing identifier M Asset Class The broad asset category for assessing risk exposure M Asset Subclass The subcategory description of the asset class C Asset Type Provides a more specific description of the asset subclass C Swap Class The classification or type of swap M Swap Subclass The sub-classification or notional schedule type of the swap C Security Description Used to provide a textual description of a financial instrument M Leg Type Identifies if the leg is fixed or floating M Leg Notional Notional amount associated with leg M Leg Notional Currency Currency of the leg's notional amount M Leg Start Date Adj Bus Day Conv If start date falls on a weekend or holiday, value defines how to adjust actual start date C Leg Start Date Leg's effective date M Leg Maturity Date Adj Bus Day Conv If the maturity date falls on a weekend or holiday, value defines how to adjust actual maturity date C Leg Maturity Date The date on which the leg's principal amount becomes due M Leg Maturity Date Adj Calendar Regarding the maturity date, this specifies which dates are considered holidays C Leg Calc Per Adj Bus Day Conv If a date defining the calculation period falls on a holiday, this adjusts the actual dates based on the definition of the input C Leg Calc Frequency Calculation frequency, also known as the compounding frequency for compounded swaps M Leg Roll Conv Describes the day of the month when the payment is made C Leg Calc Per Adj Calendar Regarding the calculation period, this specifies which dates are considered holidays C Leg Stream Daycount Defines how interest is accrued/calculated M Payment Stream Comp Method If payments are made on one timeframe but calculations are made on a shorter timeframe, this describes how to compound interest C Payment Stream Business Day Conv If cash flow pay or receive date falls on a weekend or holiday, value defines actual date payment is made C Payment Stream Frequency Frequency at which payments are made M Payment Stream Relative To Specifies the anchor date when the payment date is relative to that date C Payment Stream First Date The unadjusted first payment date C Payment Stream Last Regular Date The unadjusted last regular payment date C Payment Leg Calendar Regarding dates on which cash flow payments/receipts are scheduled, this specifies which dates are considered holidays C Leg Reset Date Bus Day Conv Business day convention to apply to each reset date if the reset date falls on a holiday C Leg Reset Date Relative To Specifies the anchor date when reset date is relative to that date C Leg Reset Frequency Frequency at which resets occur. If the Leg Reset Frequency is greater than the calculation per frequency, more than 1 reset date should be established for each calculation per frequency and some form of rate averaging is applicable C Leg Reset Fixing Date Offset Specifies the fixing date relative to the reset date in terms of a business days offset C Leg Fixing Day Type The type of days to use to find the fixing date ( i.e., C Leg Reset Date Calendar Regarding reset dates, this specifies which dates are considered holidays C Leg Fixing Date Bus Day Conv Business day convention to apply to each fixing date if the fixing date falls on a holiday C Leg Fixing Date Calendar Regarding the fixing date, this specifies which dates are considered holidays C Fixed Leg Rate or Amount Only populate if Leg1 is Type “Fixed”. This should be expressed in decimal form ( e.g., C Floating Leg Inflation Index If leg is floating rate, this gives the index applicable to the floating rate C Floating Leg Spread Describes if there is a spread (typically an add-on) applied to the coupon rate C Floating Leg Payment Inflation Lag Number of business days after payment due date on which the payment is actually made C Floating Leg Payment Inflation Interpolation Method The method used when calculating the inflation index level from multiple points. The most common is the linear method C Floating Leg Inflation Index Initial Level Initial known index level for the first calculation period C Floating Leg Inflation Index Fallback Bond Ind Indicates whether a fallback bond as defined in the 2006 International Swaps and Derivatives Association (ISDA) Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is “Y” (True/Yes) O Leg Pmt Sched Notional Variable notional swap notional values C Leg Stub Type Stubs apply to initial or ending periods that are shorter than the usual interval between payments C Leg Initial Stub Fixed Rate The interest rate applicable to the Initial Stub Period in decimal form ( e.g., C Leg Final Stub Fixed Rate The interest rate applicable to the final stub period in decimal form ( e.g., C Leg Initial Stub Floating Rate Index 1 Tenor Stub rate can be a linear interpolation between two floating rate tenors. E.g., C Leg Initial Stub Floating Rate Index 2 Tenor Stub rate can be a linear interpolation between two floating rate tenors. E.g., C Leg Final Stub Floating Rate Index 1 Tenor Stub rate can be a linear interpolation between two floating rate tenors. E.g., C Leg Final Stub Rate Floating Index 2 Tenor Stub rate can be a linear interpolation between two floating rate tenors. E.g., C Leg First Reg Per Start Date If there is a beginning stub, this describes the date when the usual payment periods will begin C Leg Last Reg Per End Date If there is an ending stub, this describes the date when the usual payment periods will end C Leg Accrued Interest (Coupon) The net accrued coupon amount since the last payment in the leg currency. If reported by leg, indicate the associated stream (leg) description ( e.g., M Profit/Loss Profit/Loss resulting from changes in value due to changes in underlying curve movements or floating index rate resets. This should exclude impacts to NPVs from extraneous cash flows (price alignment interest, fees, and coupons) M Leg Coupon Amount Coupon amount for T + 1 in the leg currency. This should reflect the net cash flow that will actually occur on the following business day. A negative number indicates payment was made M Leg Current Period Coupon Rate If leg is a floating leg, this indicates the current rate used to calculate the next floating leg coupon in decimal form ( e.g., M I01 Change in value in native currency if the relevant pricing curve is shifted up by 1 basis point M Dollar Value of Basis Point (DV01) Change in value in native currency of the swap/swaption/floor/cap if relevant pricing curve is shifted up by 1 basis point. DV01 = “dollar” value of a basis point in currency (not percentage) terms, the change in fair value of the leg, transaction, position, or portfolio (as appropriate) commensurate with a 1 basis point (0.01 percent) instantaneous, hypothetical increase in the related zero-coupon curves. DV01 may refer to non-dollar currencies and related curves. From the DCO's point of view: positive DV01 = profit/gain resulting from 1 basis point increase, negative DV01 = loss resulting from 1 basis point increase M Net Cash Flow Net cash flow recognized on report date (with actual settlements occurring according to the currency's settlement conventions). E.g., M Net Present Value Net present value (NPV) of all positions by currency M Present Value Of Other Payments Includes the present value of any upfront and/or final/settlement payments that will be settled after the report date. Only include amounts that are affecting the NPV of current trades M Net Present Value Previous Previous day's NPV by currency C Price Alignment Interest To minimize the impact of daily cash variation margin payments on the pricing of swaps, the DCO will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid M Universal or Unique) Swap Identifier Universal (or Unique) Swap Identifier (USI) namespace and USI. Enter the USI Namespace and the USI separated by a pipe “|” character. C Stream Initial Exchange Amount of any exchange of cash flow at initiation of trade being cleared C Stream Initial Exchange Date Date that the initial exchange is set to occur C Stream Final Exchange Amount of any exchange of cash flow at maturity of trade C Stream Final Exchange Date Date that the final exchange is set to occur C Other Payments Includes any upfront and/or final/settlement payments made/received for the trade date. (Indicate gross pay/collect amounts.) C Trade Date Actual trade date for each position record (including specifically, the cleared date and the trade date) M Event Description Description for each position record C Equity Cross Margin (Daily Position Reporting) Exchange Security Identifier Contract code issued by the exchange M Clearing Security Identifier Code assigned by the DCO for a particular contract M Product Type Indicates the type of product the security is associated with C Security Type Indicates type of security M Maturity Month Year Month and year of the maturity M Maturity Date The date on which the principal amount becomes due. For NDFs, this represents the fixing date of the contract C Asset Class The broad asset category for assessing risk exposure M Asset Subclass The subcategory description of the asset class C Asset Type Provides a more specific description of the asset subclass C Security Description Used to provide a textual description of a financial instrument M Position (Long) Long position size. If a position is quoted in a unit of measure (UOM) different from the contract, specify the UOM. If a position is measured in a currency, specify the currency M Position (Short) Short position size. If a position is quoted in a UOM different from the contract, specify the UOM. If a position is measured in a currency, specify the currency M Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date M Option Strike Price Option strike price C Option Put/Call Indicator Option type C Underlying Exchange Commodity Code Underlying Contract code issued by the exchange C Underlying Clearing Commodity Code Registered commodity clearing identifier. The code is for the contract as if it were traded in the form it is cleared. For example, if the contract was traded as a spread but cleared as an outright, the outright symbol should be used C Underlying Product Type Indicates the type of product the security is associated with C Underlying Security Type Indicator which identifies the underlying derivative C Underlying Maturity Month Year Month and year of the maturity C Underlying Maturity Date The date on which the principal amount becomes due C Underlying Asset Class The underlying broad asset category for assessing risk exposure C Underlying Asset Subclass The subcategory description of the asset class C Underlying Asset Type Provides a more specific description of the asset subclass C Underlying Settlement Price/Currency Settlement price, prior settlement price, settlement currency, and final settlement date C M = mandatory C = conditional O = optional. C. Risk Metric Ladder Reporting Field name Description Use Common Fields (Risk Metric Ladder Reporting) Total Message Count The total number of reports included in the file M FIXML Message Type FIXML account summary report type M Sender ID The CFTC-issued DCO identifier M To ID Indicate “CFTC” M Message Transmit Datetime The date and time the file is transmitted M Report ID A unique identifier assigned by the CFTC to each clearing member report M Report Date The business date of the information being reported M Base Currency Base currency referenced throughout report; provide exchange rate against this currency M Report Time (Message Create Time) The report “as of” or information cut-off time M Message Event The event source being reported M Ladder Indicator Indicator that identifies the type of risk metric ladder M DCO Identifier CFTC-assigned identifier for a DCO M Clearing Participant Identifier DCO-assigned identifier for a particular clearing member M Clearing Participant Name The name of the clearing member M Fund Segregation Type Clearing fund segregation type M Clearing Participant LEI LEI for a particular clearing member M Clearing Participant LEI Name The LEI name associated with the clearing member LEI M Customer Identifier Proprietary identifier for a particular customer position account C Customer Name The name associated with the customer position identifier C Customer Account Type Type of account used for reporting C Customer LEI LEI for a particular customer; provide if available C Customer LEI Name The LEI name associated with the customer position LEI C Unique Margin Identifier A single field that uniquely identifies the margin account. This field us used to identify associated positions C Delta Ladder (Daily Reporting) Currency ISO 4217 currency code M FX Rate Rate used to convert the currency to USD M Curve Name Name of the reference curve M Tenor Number of days from the report date M Sensitivity Theoretical profit and loss with a single upward basis point shift M Gamma Ladder (Daily Reporting) Currency ISO 4217 currency code M FX Rate Rate used to convert the currency to USD M Curve Name Name of the reference curve M Tenor Number of days from the report date M Sensitivity Theoretical profit and loss with a single upward basis point shift M Vega Ladder (Daily Reporting) Currency ISO 4217 currency code M FX Rate Rate used to convert the currency to USD M Curve Name Name of the reference curve M Tenor Number of days from the report date M Sensitivity Theoretical profit and loss with a single upward basis point shift M M = mandatory C = conditional O = optional. D. Curve Reference Reporting Field name Description Use Common Fields (Curve Reference Reporting) Total Message Count The total number of reports included in the file M FIXML Message Type FIXML account summary report type M Sender ID The CFTC-issued DCO identifier M To ID Indicate “CFTC” M Message Transmit Datetime The date and time the file is transmitted M Report ID A unique identifier assigned by the CFTC to each clearing member report M Report Date The business date of the information being reported M Base Currency Base currency referenced throughout report; provide exchange rate against this currency M Report Time (Message Create Time) The report “as of” or information cut-off time M Message Event The event source being reported M DCO Identifier CFTC-assigned identifier for a DCO M Currency Curve (Daily Reporting) Curve Reference curve name M Currency ISO 4217 currency code M Maturity Date The date on which the principal amount becomes due M Par Rate Rate such that the maturity will pay in order to sell at par today M Zero Rate Curve (Daily Reporting) Currency ISO 4217 currency code M Curve Reference curve name M Maturity Date The date on which the principal amount becomes due M Offset The difference in days between the maturity date and reporting date M Accrual Factor The difference in years between the maturity date and reporting date M Discount Factor Value used to compute the present value of future cash flows values M Zero Rate Averages of the one-period forward rates up to their maturity M M = mandatory C = conditional O = optional. E. Backtesting Reporting Field name Description Use Common Fields (Backtesting Reporting) Total Message Count The total number of reports included in the file M FIXML Message Type FIXML account summary report type M Sender ID The CFTC-issued DCO identifier M To ID Indicate “CFTC” M Message Transmit Datetime The date and time the file is transmitted M Report ID A unique identifier assigned by the CFTC to each clearing member report M Report Date The business date of the information being reported M Base Currency Base currency referenced throughout report; provide exchange rate against this currency M Report Time (Message Create Time) The report “as of” or information cut-off time M Message Event The event source being reported M Breach Indicator Indicates the breach file M DCO Identifier CFTC-assigned identifier for a DCO M Clearing Participant Identifier DCO-assigned identifier for a particular clearing member M Clearing Participant Name The name of the clearing member M Fund Segregation Type Clearing fund segregation type M Clearing Participant LEI LEI for a particular clearing member M Clearing Participant LEI Name The LEI name associated with the clearing member LEI M Customer Identifier Proprietary identifier for a particular customer position account C Customer Name The name associated with the customer position identifier C Customer Account Type Type of account used for reporting C Customer LEI LEI for a particular customer; provide if available C Customer LEI Name The LEI name associated with the customer position LEI C Unique Margin Identifier A single field that uniquely identifies the margin account. This field us used to identify associated positions C Breach Details (Daily Reporting) Initial Margin Margin requirement calculated by the DCO's margin methodology. Unless an integral part of the margin methodology, this figure should not include any additional margin add-ons M Backtesting Metric Indicates the type of profit and loss calculation used for backtesting: M Backtesting Metric Amount Amount on the positions for which Initial Margin is computed M Breach Amount Difference between the Initial Margin and Backtesting Metric Amount M Margin Period of Risk Holding period for which the Backtesting Metric is calculated in days M Breach Summary (Daily Reporting) Total Instance Total number of testing dates for the account M Number of Breaches Total number of breaches in the testing period M Test Range Start Beginning date of the test M Test Range End End date of the test M M = mandatory C = conditional O = optional. F. Manifest Reporting Field name Description Use Manifest Reporting Total Message Count The total number of reports included in the file M FIXML Message Type FIXML account summary report type M Sender ID The CFTC-issued DCO identifier M To ID Indicate “CFTC” M Message Transmit Datetime The date and time the file is transmitted M Filenames List of files to be sent M M = mandatory C = conditional O = optional. [88 FR 53684, Aug. 8, 2023]

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