[Federal Register Volume 87, Number 240 (Thursday, December 15, 2022)]
[Proposed Rules]
[Pages 76698-76735]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-26849]



[[Page 76697]]

Vol. 87

Thursday,

No. 240

December 15, 2022

Part II





Commodity Futures Trading Commission





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17 CFR Parts 39 and 140





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Reporting and Information Requirements for Derivatives Clearing 
Organizations; Proposed Rule

  Federal Register / Vol. 87, No. 240 / Thursday, December 15, 2022 / 
Proposed Rules  

[[Page 76698]]


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COMMODITY FUTURES TRADING COMMISSION

17 CFR Parts 39 and 140

RIN 3038-AF12


Reporting and Information Requirements for Derivatives Clearing 
Organizations

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of proposed rulemaking.

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SUMMARY: The Commodity Futures Trading Commission (CFTC or Commission) 
is proposing to amend certain reporting and information regulations 
applicable to derivatives clearing organizations (DCOs). These proposed 
amendments would, among other things, update information requirements 
associated with commingling customer funds and positions in futures and 
swaps in the same account, address certain systems-related reporting 
obligations regarding exceptional events, revise certain daily and 
event-specific reporting requirements, and include in an appendix the 
fields that a DCO is required to provide on a daily basis. In addition, 
the Commission is proposing to amend certain delegation provisions.

DATES: Comments must be received by February 13, 2023.

ADDRESSES: You may submit comments, identified by ``Reporting and 
Information Requirements for Derivatives Clearing Organizations'' and 
RIN number 3038-AF12, by any of the following methods:
     CFTC Comments Portal: https://comments.cftc.gov. Select 
the ``Submit Comments'' link for this rulemaking and follow the 
instructions on the Public Comment Form.
     Mail: Send to Christopher Kirkpatrick, Secretary of the 
Commission, Commodity Futures Trading Commission, Three Lafayette 
Centre, 1155 21st Street NW, Washington, DC 20581.
     Hand Delivery/Courier: Follow the same instructions as for 
Mail, above.
    Please submit your comments using only one of these methods. To 
avoid possible delays with mail or in-person deliveries, submissions 
through the CFTC Comments Portal are encouraged.
    All comments must be submitted in English, or if not, accompanied 
by an English translation. Comments will be posted as received to 
https://comments.cftc.gov. You should submit only information that you 
wish to make available publicly. If you wish the Commission to consider 
information that you believe is exempt from disclosure under the 
Freedom of Information Act (FOIA), a petition for confidential 
treatment of the exempt information may be submitted according to the 
procedures established in Sec.  145.9 of the Commission's 
regulations.\1\
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    \1\ 17 CFR 145.9. Commission regulations referred to in this 
release are found at 17 CFR chapter I (2021), and are accessible on 
the Commission's website at https://www.cftc.gov/LawRegulation/CommodityExchangeAct/index.htm.
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    The Commission reserves the right, but shall have no obligation, to 
review, pre-screen, filter, redact, refuse or remove any or all of your 
submission from https://comments.cftc.gov that it may deem to be 
inappropriate for publication, such as obscene language. All 
submissions that have been redacted or removed that contain comments on 
the merits of the rulemaking will be retained in the public comment 
file and will be considered as required under the Administrative 
Procedure Act and other applicable laws, and may be accessible under 
the FOIA.

FOR FURTHER INFORMATION CONTACT: Eileen A. Donovan, Deputy Director, 
202-418-5096, [email protected]; Parisa Nouri, Associate Director, 202-
418-6620, [email protected]; or August A. Imholtz III, Special Counsel, 
202-418-5140, [email protected]; Division of Clearing and Risk, 
Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st 
Street NW, Washington, DC 20581; Theodore Z. Polley III, Associate 
Director, (312) 596-0551, [email protected]; or Elizabeth Arumilli, 
Special Counsel, (312) 596-0632, [email protected]; Division of 
Clearing and Risk, Commodity Futures Trading Commission, 525 West 
Monroe Street, Chicago, Illinois 60661.

SUPPLEMENTARY INFORMATION: 

Table of Contents

I. Background
II. Proposed Amendments to Sec.  39.13(h)(5)
III. Proposed Amendments to Sec.  39.15(b)(2)
IV. Proposed Amendments to Sec.  39.18
V. Proposed Amendments to Sec.  39.19(c)
    A. Daily Reporting of Variation Margin and Cash Flows--Sec.  
39.19(c)(1)(i)(B) and (C)
    B. Codifying the Existing Reporting Fields for the Daily 
Reporting Requirements in New Appendix C to Part 39
    C. Additional Proposed Reporting Fields for the Daily Reporting 
Requirements--Sec.  39.19(c)(1)
    D. Individual Customer Account Identification Requirements--
Sec.  39.19(c)(1)(i)(D)
    E. Daily Reporting of Margin Model Back Testing--Sec.  
39.19(c)(1)(i)
    F. Fully Collateralized Positions--Sec.  39.19(c)(1)(ii)
    G. Reporting Change of Control of the DCO--Sec.  
39.19(c)(4)(ix)(A)(1)
    H. Reporting Changes to Credit Facility Funding and Liquidity 
Funding Arrangements--Sec.  39.19(c)(4)(xii) and (xiii)
    I. Reporting Issues With Credit Facility Funding Arrangements, 
Liquidity Funding Arrangements, and Custodian Banks--Sec.  
39.19(c)(4)(xv)
    J. Reporting of Updated Responses to the Disclosure Framework 
for Financial Market Infrastructures--Sec.  39.19(c)(4)(xxv)
VI. Proposed Amendments to Sec.  39.21(c)
    A. Publication of Margin-Setting Methodology and Financial 
Resource Package Information--Sec.  39.21(c)(3) and (4)
    B. Publication of List of Clearing Members--Sec.  39.21(c)(7)
VII. Proposed Amendments to Sec.  39.37(c) and (d)
VIII. Proposed Amendments to Sec.  140.94(c)(10)
IX. Related Matters
    A. Regulatory Flexibility Act
    B. Paperwork Reduction Act
    C. Cost-Benefit Considerations
    D. Antitrust Considerations

I. Background

    Regulatory requirements for DCOs are set forth in part 39 of the 
Commission's regulations. In January 2020, the Commission amended many 
of the provisions in part 39 in order to, among other things, enhance 
certain risk management and reporting obligations, clarify the meaning 
of certain provisions, and simplify processes for registration and 
reporting.\2\ Since that time, the Commission has become aware of 
certain issues with the amended reporting and information requirements 
that would benefit from further change or clarification. These proposed 
changes are discussed in greater detail below.\3\
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    \2\ Derivatives Clearing Organization General Provisions and 
Core Principles, 85 FR 4800 (Jan. 27, 2020), available at https://www.federalregister.gov/documents/2020/01/27/2020-01065/derivatives-clearing-organization-general-provisions-and-core-principles.
    \3\ The Commission is also proposing a technical correction to 
Sec.  39.25(c), changing the word ``describe'' to ``have.''
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II. Proposed Amendments to Sec.  39.13(h)(5)

    Regulation 39.13(h)(5) requires a DCO to have rules that require 
its clearing members to maintain current written risk management 
policies and procedures; ensure that it has the authority to request 
and obtain information and documents from its clearing members 
regarding their risk management policies, procedures, and practices; 
and require its clearing members to make information and documents 
regarding their risk management policies, procedures, and practices 
available to the Commission

[[Page 76699]]

upon the Commission's request. It also requires the DCO to review the 
risk management policies, procedures, and practices of each of its 
clearing members on a periodic basis.
    It is the Commission's view that these requirements are unnecessary 
for clearing members that clear only fully collateralized positions, as 
fully collateralized positions do not expose the DCO to any credit or 
default risk stemming from the inability of a clearing member to meet a 
margin call or a call for additional capital. Therefore, and consistent 
with other recent amendments to part 39 to address fully collateralized 
positions,\4\ the Commission is proposing new Sec.  39.13(h)(5)(iii), 
which would provide that a DCO that clears fully collateralized 
positions may exclude from the requirements of paragraphs (h)(5)(i) and 
(ii) those clearing members that clear only fully collateralized 
positions.\5\ These requirements would still apply in the case of 
clearing members that clear fully collateralized positions but also 
margined products.\6\
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    \4\ See 85 FR 4800, 4803-4805.
    \5\ By adopting this regulation, this requirement would be 
consistent with and would supersede a related interpretation issued 
by the Division of Clearing and Risk. See CFTC Letter No. 14-05 
(Jan. 16, 2014).
    \6\ The Commission is also proposing to combine paragraphs 
(h)(5)(i)(B) and (C) of Sec.  39.13, which require, respectively, 
that a DCO have rules that: ensure that it has the authority to 
request and obtain information and documents from its clearing 
members regarding their risk management policies, and require its 
clearing members to make such information and documents available to 
the Commission upon request. These revisions are purely technical 
and are not meant to alter the requirements in any way.
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III. Proposed Amendments to Sec.  39.15(b)(2)

    Regulation 39.15(b)(2) sets forth procedures a DCO must follow to 
obtain Commission approval to commingle customer positions and 
associated funds from two or more of three separate account classes--
futures and options, foreign futures and options, and swaps--in either 
a futures or cleared swaps customer account.
    Regulation 39.15(b)(2)(i) requires a DCO seeking to commingle 
customer positions and associated funds in a cleared swaps customer 
account subject to Section 4d(f) of the Commodity Exchange Act (CEA) 
\7\ to submit rules pursuant to Sec.  40.5 for Commission approval.\8\ 
Regulation 39.15(b)(2)(ii) requires a DCO seeking to commingle customer 
positions and associated funds in a futures account subject to Section 
4d(a) of the CEA to also submit rules for approval pursuant to Sec.  
40.5.\9\
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    \7\ See 7 U.S.C. 6d(f).
    \8\ Regulation 40.5 requires the Commission to approve a new 
rule or rule amendment unless it is inconsistent with the CEA or the 
Commission's regulations promulgated thereunder. See 17 CFR 40.5.
    \9\ See 7 U.S.C. 6d(a).
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    Until Sec.  39.15(b)(2)(ii) was amended in 2020, a DCO seeking to 
commingle in a futures account had to seek a Commission order. Given 
that the procedural requirements are now the same with respect to both 
futures and cleared swaps customer accounts, the Commission is 
proposing to consolidate paragraphs (b)(2)(i) and (b)(2)(ii) into a 
single paragraph.
    Existing Sec.  39.15(b)(2)(i) also specifies the information that a 
DCO must include in its rule submission to obtain Commission approval. 
The Commission has identified items of information currently required 
by the regulation that appear to be redundant or of limited use to the 
Commission given the Commission's pre-existing understanding of a DCO's 
risk management through its supervision of DCOs and other Commission 
regulations applicable to DCOs. This information is also available to 
the DCO's clearing members and the public through other means, such as 
the public information disclosures required under Sec.  39.21. The 
Commission has also identified limited instances in which additional 
information would be helpful to the Commission in reviewing a DCO's 
commingling rule submission. Therefore, the Commission is proposing to 
further amend Sec.  39.15(b)(2)(i) as described below.
    First, the Commission proposes to amend existing paragraph 
(b)(2)(i)(B), which requires the DCO to provide an analysis of the risk 
characteristics of the products that would be eligible for commingling. 
The Commission proposes to specify that this analysis should discuss 
any risk characteristics of products to be commingled that are unusual 
in relation to the other products the DCO clears, and how the DCO plans 
to manage any identified risks. The purpose of this requirement is to 
allow the Commission and the public to understand any increased risk 
posed to customers by commingling products that otherwise would be held 
in separate accounts and to understand the DCO's ability to manage 
those risks. The Commission is proposing to use the term ``unusual'' 
because Sec.  39.13(g)(2) already requires a DCO to have initial margin 
requirements that account for any unusual characteristics of, or risks 
associated with, particular products or portfolios.\10\ However, the 
Commission requests comment on whether there are better ways to 
articulate this concept. For example, should the Commission specify 
that the discussion should cover products that have margining, 
liquidity, default management, pricing, or other risk characteristics 
that differ from those currently cleared by the DCO?
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    \10\ See Derivatives Clearing Organization General Provisions 
and Core Principles, 76 FR 69334, 69365, n.86 (Nov. 8, 2011), 
available at https://www.federalregister.gov/documents/2011/11/08/2011-27536/derivatives-clearing-organization-general-provisions-and-core-principles.
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    The Commission proposes to remove existing paragraph (b)(2)(i)(C), 
which requires the DCO to identify whether any swaps to be commingled 
would be executed bilaterally and/or executed on a designated contract 
market and/or a swap execution facility. The Commission has not found 
this information to be relevant to its review of commingling rule 
submissions.
    The Commission proposes to remove existing paragraph (b)(2)(i)(E), 
which requires the DCO to provide an analysis of the availability of 
reliable prices for each of the eligible products. The Commission 
believes this requirement is unnecessary as Sec.  39.13(g)(5) 
separately requires that a DCO have for all of its products a reliable 
source of timely price data, as well as written procedures and sound 
valuation models for addressing circumstances where pricing data is not 
readily available or reliable.
    The Commission proposes to amend paragraph (b)(2)(i)(F) (and 
renumber it as (b)(2)(iv)), which currently requires the DCO to 
describe the financial, operational, and managerial standards or 
requirements for clearing members that would be permitted to commingle 
eligible products. The Commission recognizes that this could be 
interpreted to require that the DCO describe all of the requirements 
applicable to clearing members that would be permitted to commingle 
eligible products, including those requirements that apply to the DCO's 
clearing members generally. The proposed amendment would require only 
that the DCO describe any additional requirements that would apply to 
clearing members permitted to commingle eligible products.
    The Commission proposes to amend paragraph (b)(2)(i)(G) (and 
renumber it as (b)(2)(v)), which currently requires that a DCO discuss 
its systems and procedures used to oversee clearing members' risk 
management of commingled eligible products. The Commission recognizes 
that a DCO would not necessarily need to implement any systems and 
procedures specifically for commingled eligible products. Accordingly, 
the proposed amendment clarifies that a DCO should

[[Page 76700]]

describe any changes it will implement to oversee clearing members' 
risk management of commingled eligible products, but also provides that 
a DCO may instead provide an analysis of why existing risk management 
systems and procedures are adequate.
    The Commission proposes to remove existing paragraph (b)(2)(i)(H), 
which requires the DCO to describe its financial resources, including 
the composition and availability of a guaranty fund with respect to the 
eligible products that would be commingled. This requirement is 
duplicative of Sec.  39.21(c)(4), which requires a DCO to publicly 
disclose on its website the size and composition of its financial 
resources package available in the event of a clearing member default.
    The Commission proposes to remove existing paragraph (b)(2)(i)(I), 
which requires the DCO to provide a description and analysis of the 
margin methodology that would be applied to the commingled eligible 
products, including any margin reduction applied to correlated 
positions, and any applicable margin rules with respect to both 
clearing members and customers. Regulation 39.21(c)(3) separately 
requires a DCO to publicly disclose information concerning its margin 
methodology on its website, so the requirement in paragraph 
(b)(2)(i)(I) typically yields information that is already available to 
the Commission and the public. In place of paragraph (b)(2)(i)(I), the 
Commission proposes to add new paragraph (b)(2)(vii), which would 
require the DCO to discuss the extent to which it anticipates allowing 
portfolio margining of commingled positions, including a description 
and analysis of any margin reduction to be applied to correlated 
positions and the language of any applicable clearing rules or 
procedures. The DCO also would be required to provide an express 
confirmation that any portfolio margining will be allowed only as 
permitted under Sec.  39.13(g)(4), which allows portfolio margining of 
positions only if the price risks with respect to such positions are 
``significantly and reliably correlated.'' The Commission is proposing 
to require this confirmation out of concern that Commission approval of 
the commingling of customer positions would be misinterpreted as 
approval of the portfolio margining of those positions as well, 
regardless of whether the requirements of Sec.  39.13(g)(4) are met.
    The Commission proposes to remove existing paragraph (b)(2)(i)(K), 
which requires the DCO to discuss the procedures it would follow if a 
clearing member defaulted, and the procedures that the clearing member 
would follow if a customer defaulted, with respect to any of the 
commingled eligible products. To the extent a DCO would follow its 
existing default procedures, this information is already available to 
the Commission and the public, because Sec.  39.21(c)(6) requires a DCO 
to publicly disclose its default rules and procedures on its website. 
The Commission therefore proposes to amend existing paragraph 
(b)(2)(i)(J) (and renumber it as paragraph (b)(2)(vi)), which also 
concerns default management, to add a requirement that the DCO discuss 
any default management procedures that are unique to the products 
eligible for commingling. This change would appropriately focus the 
required discussion of the DCO's default management procedures on any 
changes necessitated by the commingling of eligible products.
    The Commission proposes to remove existing paragraph (b)(2)(i)(L), 
which requires the DCO to describe its arrangements for obtaining daily 
position data with respect to eligible products in the account. Because 
the DCO would be proposing to commingle positions in products it 
clears, the DCO would necessarily have position data for the eligible 
products.
    The Commission proposes to remove existing paragraph (b)(2)(iii), 
which provides that the Commission may request additional information 
from the DCO in support of the DCO's rule submission and may approve 
the rule submission in accordance with Sec.  40.5. The Commission 
proposes to replace it with new paragraph (b)(2)(viii), which would 
require submission of any other information necessary for the 
Commission to evaluate the rule submission's compliance with the CEA 
and the Commission's regulations, and provide that the Commission may 
request supplemental information to evaluate the DCO's submission. 
Proposed paragraph (b)(2)(viii), like existing paragraph (b)(2)(iii), 
would ensure that the Commission can consider all information relevant 
to the rule submission.\11\ The paragraph also would clarify that the 
Commission can extend the review period in accordance with Sec.  
40.5(d) to request and obtain supplemental information.
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    \11\ Removing existing paragraph (b)(2)(iii) and replacing it 
with new paragraph (b)(2)(viii) would also delete redundant language 
incorporating Sec.  40.5 as the applicable procedure for rule 
approval.
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    Finally, the Commission proposes to add language to the 
introductory paragraph of Sec.  39.15(b)(2) underscoring the standard 
of review for Commission approval of a commingling rule submission. 
While the current regulation already provides that relevant rules are 
submitted for approval pursuant to Sec.  40.5, the Commission has 
observed instances in which submitting DCOs do not recognize that the 
requirements and standard of review contained in Sec.  40.5 apply. To 
draw attention to the applicability of the requirements of Sec.  40.5, 
including the standard of review contained therein, the Commission 
proposes amending Sec.  39.15(b)(2) to explicitly reference them.
    In evaluating commingling rule submissions, the Commission 
recognizes that it has access to supervisory information that may not 
be available to market participants and the public. The Commission 
requests comment as to whether there is additional information that 
would be helpful to market participants and the public in evaluating a 
DCO's commingling rule submission.

IV. Proposed Amendments to Sec.  39.18

    Regulation 39.18(g)(1) requires that a DCO promptly notify staff of 
the Division of Clearing and Risk (Division) of 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.
    The Commission is proposing to amend Sec.  39.18(g)(1) to require 
that a DCO promptly notify the Division of any hardware or software 
malfunction or operator error that impairs, or creates a significant 
likelihood of impairment of, automated system operation, reliability, 
security, or capacity. The Commission is further proposing to adopt new 
Sec.  39.18(g)(2) to require that a DCO promptly notify the Division of 
any security incident or threat that compromises or could compromise 
the confidentiality, availability, or integrity of any automated system 
or any information, services, or data, including, but not limited to, 
third-party information, services, or data, relied upon by the DCO in 
discharging its responsibilities (the text of existing Sec.  
39.18(g)(2) would be renumbered as Sec.  39.18(g)(3), without any 
further revisions). In connection with the proposed amendments to Sec.  
39.18(g), the Commission is proposing to amend Sec.  39.18(a) to define 
``hardware or software malfunction'' and ``automated system.'' These 
changes are discussed in detail below.
    As noted above, Sec.  39.18(g)(1) requires a DCO to promptly notify 
the Division

[[Page 76701]]

of any ``hardware or software malfunction,'' which the Commission 
proposes to define in Sec.  39.18(a) as ``any circumstance where an 
automated system or a manually initiated process fails to function as 
designed or intended, or the output of the software produces an 
inaccurate result.'' The Commission is proposing to amend Sec.  
39.18(g)(1) to also require a DCO to notify the Division when operator 
error impairs (or creates a significant likelihood of impairment of) 
the operation, reliability, security, or capacity of an automated 
system. Because operator error can cause the same or similar issues 
that can result from hardware or software malfunctions, the Commission 
believes that it is important for a DCO to notify the Division when 
operator error causes, or creates a significant likelihood of, 
impairment of the operation, reliability, security, or capacity of the 
DCO's automated systems. Lastly, the Commission is proposing to define 
in Sec.  39.18(a) the term ``automated system'' as computers, ancillary 
equipment, software, firmware, and similar procedures, services 
(including support services), and related resources that a DCO uses in 
its operations. The Commission also is proposing to delete from Sec.  
39.18(g)(1), and not include in new Sec.  39.18(g)(2), any reference to 
materiality.
    Based on its experience with this regulation, the Commission 
believes that neither hardware nor software malfunctions, nor security 
incidents or threats--particularly cybersecurity incidents or threats--
are readily categorized as material or non-material. For example, a 
software malfunction that impairs (or creates a significant likelihood 
of impairment of) the operation, reliability, security, or capacity of 
an automated system can be material, even if the malfunction does not 
have any effect on the metrics or thresholds often used to determine 
materiality, such as the number of trades affected by the malfunction, 
the dollar value of those trades, or the length of a delay in 
processing and clearing those trades. There have also been instances 
where the Division learned of a malfunction, incident, or threat that 
had not been reported, even though Division staff readily concluded, 
upon subsequently learning of the malfunction, incident, or threat, 
that it was material and that the DCO should have notified the 
Division. In some cases, this is because different materiality 
thresholds used by DCOs resulted in inconsistent reporting across DCOs. 
The Commission believes that both DCOs and the Division will benefit 
from having a clear, bright-line rule that requires DCOs to report each 
qualifying hardware or software malfunction, or operator error, and 
security incident and threat, as opposed to attempting to determine 
whether a particular malfunction, incident, or threat qualifies as 
material.
    In addition to proposing to modify Sec.  39.18(g)(1) as described 
above, the Commission also is proposing to delete the requirement that 
a DCO notify the Division of any security incident or targeted threat 
that materially impairs, or creates a significant likelihood of 
material impairment of, automated system operation, reliability, 
security, or capacity. In its place, the Commission is proposing, as 
new Sec.  39.18(g)(2), a requirement that a DCO report any security 
incident or threat that compromises or could compromise the 
confidentiality, availability, or integrity of any automated system, or 
any information, services, or data, including, but not limited to, 
third-party information, services, or data, relied upon by the DCO in 
discharging its responsibilities. Requiring the reporting of any 
threat, not just ``targeted'' ones, is intended to ensure that the 
Division receives notice of the full spectrum of cyberattacks and 
cyberthreats. Additionally, proposed new Sec.  39.18(g)(2) is intended 
to ensure that a DCO notifies the Division of security incidents or 
threats that could affect the information, services, or data, 
including, but not limited to, third-party information, services, or 
data, relied upon by the DCO in discharging its responsibilities, in 
addition to the existing requirement that a DCO provide notice of any 
security incident or threat that affects the automated system itself. 
To the extent that a DCO relies on another entity in connection with 
providing clearing services, whether via an inter-affiliate services 
agreement, an arms-length commercial relationship with a third-party 
vendor, or any other arrangement, then it is important that the DCO 
notify the Commission upon discovery of any security incidents or 
threats affecting the information, services, or data that the DCO 
relies upon from the other entity, just as if the incident or threat 
had occurred at the DCO. Lastly, proposed new Sec.  39.18(g)(2) is 
intended to ensure that a DCO notifies the Division if its automated 
systems or the information, services, or data relied upon by the DCO 
are, or could be, compromised, as opposed to only receiving notice when 
those systems are, or could be, impaired.

V. Proposed Amendments to Sec.  39.19(c)

    Regulation 39.19, which was adopted in 2011 \12\ and revised in 
2020,\13\ imposes daily, periodic, and event-specific reporting 
requirements on DCOs. As discussed below, the Commission is proposing 
to amend the daily reporting requirements in Sec.  39.19(c)(1) and the 
event-specific reporting requirements in Sec.  39.19(c)(4).
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    \12\ See 76 FR at 69399.
    \13\ See 85 FR at 4817.
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A. Daily Reporting of Variation Margin and Cash Flows--Sec.  
39.19(c)(1)(i)(B) and (C)

    Regulation 39.19(c)(1) requires a DCO to report to the Commission 
on a daily basis initial margin, variation margin, cash flow, and 
position information for each clearing member, by house origin and by 
each customer origin. The Commission recently amended Sec.  39.19(c)(1) 
to require a DCO to also report this information by individual customer 
account.\14\ In adopting this change, the Commission stated that the 
amendments to Sec.  39.19(c)(1) were not intended to require DCOs to 
report any information that they do not currently have, or do not 
currently report, subject to any operational or technological 
limitations that have been discussed with Commission staff. The 
Commission further specified that the changes to Sec.  39.19(c)(1) to 
require reporting of information ``by each individual customer 
account'' were meant to reflect the information that DCOs currently 
report, to varying degrees, acknowledging that customer-level 
information may not be available to all DCOs.\15\
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    \14\ Id. at 4817.
    \15\ See id. at 4818.
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    The Commission now understands that, although DCOs possess 
customer-level information regarding initial margin and positions, many 
DCOs do not possess customer-level information regarding variation 
margin and cash flows. Also, certain DCOs do not currently have 
mechanisms in place to collect such information from their respective 
clearing members, nor do they expect that they could implement these 
mechanisms without imposing significant new reporting and/or account 
registration requirements on clearing members. Therefore, the 
Commission is proposing to amend Sec.  39.19(c)(1)(i)(B) and (C) to 
remove the requirement that a DCO report daily variation margin and 
cash flows by individual customer account.\16\
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    \16\ The Division issued a no-action letter addressing 
compliance with the amended requirements in Sec.  39.19(c)(1). See 
CFTC Letter No. 21-01 (Dec. 31, 2020); see also CFTC Letter No. 21-
31 (Dec. 22, 2021). The proposed amendments to Sec.  
39.19(c)(1)(i)(B) and (C) would eliminate the requirement for which 
additional time was provided in the staff letter.

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[[Page 76702]]

    The Commission requests comment on the proposal to amend Sec.  
39.19(c)(1)(i)(B) and (C) to remove the requirement that a DCO report 
daily variation margin and cash flows by individual customer account. 
The Commission also requests comment on whether there are products or 
market segments (e.g., interest rate swaps) where it may be appropriate 
for the Commission to retain these requirements.

B. Codifying the Existing Reporting Fields for the Daily Reporting 
Requirements in New Appendix C to Part 39

    The Commission is proposing to add a new appendix to part 39 of the 
Commission's regulations that would codify the existing reporting 
fields for the daily reporting requirements in Sec.  39.19(c)(1). Until 
now, the instructions, reporting fields, and technical specifications 
for daily reporting have been contained in the Reporting Guidebook, 
which the Division provides to DCOs to facilitate reporting pursuant to 
Sec.  39.19(c)(1).\17\
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    \17\ Commodity Futures Trading Commission Guidebook for Part 39 
Daily Reports, Version 1.0.1, Dec. 10, 2021 (Reporting Guidebook).
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    When Sec.  39.19(c)(1) was first adopted in 2011, DCOs were 
required to report to the Commission on a daily basis initial margin, 
variation margin, cash flow, and position information for each clearing 
member, by house origin and by each customer origin.\18\ To implement 
these requirements and provide more detailed instructions and technical 
specifications, the Division, after consulting with DCOs, developed and 
distributed the Reporting Guidebook. The Reporting Guidebook was 
designed to ensure that all DCOs were reporting a standard set of 
information in a uniform manner, and that the information was useful to 
the Commission in its surveillance and oversight of DCOs and the 
derivatives markets.
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    \18\ See 76 FR at 69399. The Commission amended Sec.  
39.19(c)(1) in 2020 to require a DCO to also report this information 
by individual customer account. See 85 FR at 4817.
---------------------------------------------------------------------------

    The Division updated and revised the Reporting Guidebook over the 
years, most recently in 2017 and again in 2021. Each time, it engaged 
extensively with DCOs in connection with the revisions. The engagement 
included discussions regarding whether DCOs possessed certain data, and 
the format in which DCOs would supply that data so that it would be 
useful by the Division. In addition to the discussions associated with 
revising the Reporting Guidebook, the Division and DCOs also regularly 
engaged cooperatively, on an as-needed basis to address any issues that 
arose regarding daily reporting.
    The current version of the Reporting Guidebook reflects the 
cumulative development of the guidebook over the years, from 2012 
through 2021. During that time, DCOs have continuously relied on the 
Reporting Guidebook to report to the Division the required information 
in accordance with Sec.  39.19(c)(1). The Reporting Guidebook also has 
grown in length, comprehensiveness, detail, and complexity. It now 
consists of numerous separate reporting fields, including data fields 
that directly implement the reporting requirements of Sec.  
39.19(c)(1), as well as additional fields for reporting information on 
an optional basis that, although helpful to the Division in its 
oversight of DCOs and the derivatives markets, is not required under 
Sec.  39.19(c)(1).
    Given the evolution and expansion of the Reporting Guidebook over 
time, the Commission is proposing to add a new appendix C to part 39 
that would set out the relevant contents of the Reporting Guidebook, 
specifically the reporting fields for which a DCO is required to 
provide data on a daily basis, as well as additional optional data that 
DCOs may provide.\19\ The Commission is not proposing to codify the 
non-substantive technical and procedural aspects of the Reporting 
Guidebook that address the format and manner in which DCOs provide this 
information.
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    \19\ Appendix C specifies whether a field is mandatory, 
optional, or conditional. In this context, fields that are 
``conditional'' would be reported by the DCO if it collects or 
calculates the particular data element and uses the data element in 
the normal course of its risk management and operations, or if the 
field is subject to any row-level validation rule described in the 
Reporting Guidebook.
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C. Proposed Additional Reporting Fields for the Daily Reporting 
Requirements--Sec.  39.19(c)(1)

    The Commission is proposing to include in appendix C several new 
fields that do not appear in the Reporting Guidebook but would further 
implement the existing daily reporting requirements under Sec.  
39.19(c)(1). These new fields, applicable to interest rate swaps only, 
include the delta ladder, gamma ladder, vega ladder, zero rate curves, 
and yield curves that the DCO uses in connection with managing risks 
associated with interest rate swaps positions. Some DCOs that clear 
interest rate swaps already provide this information to the Commission 
on a voluntary basis. The Commission believes that all DCOs that clear 
interest rate swaps have this information, and have the ability to 
report it to the Commission, regardless of whether they currently do 
so. The Commission needs this information to better ascertain and 
evaluate the risks associated with these positions, including using 
this information to stress test these positions and to develop an 
improved understanding of how market price changes would affect these 
positions. As proposed, the reporting of this information would be 
required for interest rate swaps only, due to the relatively broad 
range of risk exposures across a wide variety of tenors. By way of 
comparison, contracts with optionality (e.g., swaptions) are generally 
less cleared than other asset classes; therefore, risk measures other 
than delta ladders would not, as of now, be that significant and thus 
not particularly informative relative to the cost of reporting. 
However, over time, swap contracts with explicit or implicit option 
characteristics may become more common, potentially leading to greater 
benefits than costs for non-delta risk measures. Because of this, the 
Commission requests comment on the potential value of additional risk 
ladders. For delta ladders specifically, the broad spectrum of risk 
exposures in rates somewhat contrasts with other asset classes. Credit 
default swaps tend to be highly focused on the 5-year tenor; therefore, 
delta ladders would not provide much information beyond that of a 
single, aggregate delta value. The same is true for FX contracts, which 
tend to be concentrated in very short tenors. In contrast, large 
interest rate swap exposures are common for tenors spanning from a 
single week to 30 years. Therefore, the Commission seeks to obtain data 
on how this risk is allocated among certain tenor ranges.
    Additionally, the Commission is proposing to require that a DCO 
include in its daily reports timing information about variation margin 
calls and payments. Specifically, the Commission is proposing that this 
information include the time and amount of each variation margin call 
to each clearing member, the time and amount that variation margin is 
received from each clearing member, and the time and amount that 
variation margin is paid to each clearing member. The Commission needs 
this information to improve its risk surveillance of DCOs. Information 
regarding the size and frequency of

[[Page 76703]]

variation margin calls, and when those calls are paid, is directly 
relevant to DCO liquidity and how clearing member and customer risk is 
being managed, both of which are important to the Commission in 
evaluating risks at each DCO and across the derivatives markets. The 
Commission anticipates that receiving this information on a daily basis 
would support its ongoing surveillance and oversight of DCOs and the 
markets, including potentially identifying liquidity issues as they 
develop, especially to the extent that liquidity issues associated with 
one clearing member could affect multiple DCOs. The Commission also 
anticipates that this information would be useful for historical 
analysis to evaluate whether potential deficiencies exist regarding DCO 
liquidity as it relates to the collection and payment of variation 
margin, including examining whether and how particular market 
circumstances contribute to liquidity issues, and what measures might 
be appropriate to address such deficiencies or issues.
    Further, the Commission is proposing to require a DCO that clears 
interest rate swaps, forward rate agreements, or inflation index swaps 
to include in its daily reports the actual trade date for each position 
along with an event description. Although DCOs currently report the 
date that these products are cleared, DCOs are not required to report 
the trade date. The Commission seeks to improve its understanding of 
when and how positions in interest rate swaps, forward rate agreements, 
and inflation index swaps arose, because these products sometimes are 
not cleared on the trade date. Adding the trade date and event 
description to positions in these products would improve the 
Commission's understanding of the lifecycle of each position, which 
would result in a better understanding of the risks these positions 
present to the DCO and its clearing members.
    Additionally, the Commission is proposing to require a DCO to 
include in its daily reports information that reflects that the daily 
report is complete.\20\ The Commission is proposing to require that 
completeness information be submitted either as a manifest file that 
contains a list of files sent by the DCO, or by including the file 
number and count information embedded within each report, where each 
FIXML file would indicate its position in the sequence of files 
submitted that day, i.e., file 1 of 10. To the extent that a DCO 
submits to the Commission multiple files in satisfaction of its daily 
reporting obligations, it can be difficult for Commission staff to 
determine whether a DCO has completed its reporting for the day, which 
in turn makes it difficult to validate the information received. 
Completeness information is necessary to determine whether DCO daily 
reporting is complete, which would assist the Commission in its 
validation and timely use of the reported information.
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    \20\ The Commission believes that the proposed requirement that 
each DCO include in its daily report information that reflects that 
the daily report is complete is a ``format and manner'' requirement 
under Sec.  39.19(b)(1).
---------------------------------------------------------------------------

    Additional details regarding the proposed reporting fields 
discussed above are included in the proposed new appendix C to part 39. 
The goal is to ensure that appendix C includes every data field that is 
needed to adequately capture the new information that would be reported 
under the proposal.\21\ Therefore, the Commission requests comment on 
each of the proposed new daily reporting fields in appendix C, and 
specifically, whether there are any additional fields that would be 
necessary or would make the reported data more meaningful. The 
Commission further requests comment on whether, to the extent that 
commenters have concerns regarding the proposed requirement that DCOs 
report timing information for variation margin calls and payments, DCOs 
should instead be required to report whether calls and payments were 
made during a broader timeframe, such as at the beginning, middle, or 
end of day, and how those timeframes should be defined. The Commission 
also requests comment on which of the two proposed approaches for 
reporting completeness information is preferable, or whether there are 
additional alternatives that may be superior.
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    \21\ In practice, to the extent that a DCO later finds that 
there are additional data fields that would be necessary or 
appropriate to better capture the information that is being 
reported, the Commission is proposing to add, as new Sec.  
39.19(c)(1)(iii), the ability for a DCO to, after consultation with 
the Division, voluntarily submit any additional data fields it 
believes would be necessary or appropriate.
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    Lastly, the Commission currently receives from DCOs daily position 
information that includes settlement prices for a range of contracts 
with open interest. The Commission is considering whether to also 
require that DCOs provide the current settlement prices and related 
information published by designated contract markets for futures and 
options contracts with no open interest in order to enhance the 
Commission's ability to perform futures and options risk surveillance 
by using complete settlement price data. The Commission would likely 
require the current settlement price, settlement currency, and 
settlement date, to the extent that a DCO possesses this information. 
The Commission requests comment on the costs to DCOs, if any, 
associated with providing this information on a daily basis, and 
whether the fields listed are necessary or appropriate to capture the 
information that would be reported.

D. Individual Customer Account Identification Requirements--Sec.  
39.19(c)(1)(i)(D)

    Regulation 39.19(c)(1)(i)(D) requires the daily reporting of end-
of-day positions for each clearing member, by house origin and by each 
customer origin, and by each individual customer account. The 
Commission recently amended this provision to require, among other 
things, that a DCO identify each individual customer account using both 
a legal entity identifier (LEI) and any internally-generated 
identifier, where available, within each customer origin for each 
clearing member.\22\ The Commission intended that this requirement 
apply to all instances within Sec.  39.19(c)(1) where a DCO is required 
to report information at the individual customer account level. 
However, this may not have been clear because paragraph (D) addresses 
only the reporting of end-of-day positions.
---------------------------------------------------------------------------

    \22\ 85 FR at 4817.
---------------------------------------------------------------------------

    The Commission wishes to clarify that the requirement that a DCO 
identify each individual customer account by LEI and internally-
generated identifier was not intended to be limited to end-of-day 
position reporting under paragraph (D), but rather to apply to all 
instances in Sec.  39.19(c)(1) where a DCO is required to report 
information at the individual customer account level. Under the 
proposal, Sec.  39.19(c)(1)(i)(A) is the only other paragraph within 
Sec.  39.19(c)(1) that requires a DCO to report information at the 
individual customer account level. The Commission therefore proposes to 
amend Sec.  39.19(c)(1)(i)(A) to specify that when a DCO reports 
initial margin requirements and initial margin on deposit by each 
individual customer account as required, the DCO also must identify 
each individual customer account by LEI and internally-generated 
identifier, where available.
    The Commission further seeks to clarify that the requirement that a 
DCO identify each individual customer account using both an LEI and any 
internally-generated identifier, ``where available,'' is intended to 
mean this information is required, in either case,

[[Page 76704]]

only if the DCO has the information associated with an account. The 
Commission is therefore proposing a technical change to make this more 
clear.

E. Daily Reporting of Margin Model Back Testing--Sec.  39.19(c)(1)(i)

    The Commission is proposing to add to Sec.  39.19(c)(1)(i) a 
requirement that a DCO include in its daily reports the results of the 
margin model back testing that a DCO is required to perform daily 
pursuant to Sec.  39.13(g)(7)(i). Some DCOs currently provide back 
testing information to the Commission on a voluntary basis. Back 
testing is critical to evaluating the efficacy of DCO margin models, 
which are in turn a critical component of DCO risk management. 
Receiving back testing information from DCOs on a daily basis would 
enhance the Commission's supervision and oversight of DCOs and the 
derivatives markets by enabling the Commission to evaluate and monitor 
margin model performance on an ongoing basis, and also would provide 
the Commission with the information necessary to conduct its own 
analysis of margin model performance.
    The Commission is also proposing to add to new appendix C to part 
39 the data fields it believes would be relevant and necessary to 
capture the back testing results that, if adopted, would be reported 
under this provision. As previously stated, the Commission's goal is to 
ensure that appendix C includes every data field that is needed to 
adequately capture the new information that would be reported under the 
proposal. Therefore, the Commission requests comment on each of the 
proposed reporting fields in appendix C for back testing results, and 
specifically, whether there are any additional fields that would be 
necessary or would make the reported data more meaningful.

F. Fully Collateralized Positions--Sec.  39.19(c)(1)(ii)

    The Commission previously amended Sec.  39.19(c)(1)(i) to provide 
that the daily reports required by that regulation are not required for 
fully collateralized positions.\23\ The Commission did not amend Sec.  
39.19(c)(1)(ii), which provides that the daily reports required by 
Sec.  39.19(c)(1)(i) are required for futures, options, swaps, and 
certain securities positions. Although Sec.  39.19(c)(1)(ii) merely 
expands on Sec.  39.19(c)(1)(i) and has no independent force or effect, 
the Commission is proposing to amend Sec.  39.19(c)(1)(ii) to clarify 
that it does not apply to fully collateralized positions.
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    \23\ See 85 FR 4800, 4805.
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G. Reporting Change of Control of the DCO--Sec.  39.19(c)(4)(ix)(A)(1)

    Regulation 39.19(c)(4)(ix)(A)(1) requires a DCO to report to the 
Commission any anticipated change in the ownership or corporate or 
organizational structure of the DCO or its parent(s) that would result 
in at least a 10 percent change of ownership of the DCO. The Commission 
is proposing to amend this provision to require a DCO to report any 
change to the entity or person that holds a controlling interest, 
either directly or indirectly, in the DCO. Because the current rule is 
tied to changes in ownership of the DCO by percentage share of 
ownership, DCOs are not currently required to report all instances in 
which there is a change in control of the DCO. It is possible that a 
change in ownership of less than 10 percent could result in a change in 
control of the DCO. For example, if an entity increases its stake in 
the DCO from 45 percent ownership to 51 percent, it is possible that 
control of the DCO would change without any required reporting. In 
addition, in some instances, a DCO is owned by a parent company, and a 
change in ownership or control of the parent is not required to be 
reported under the current rule despite the fact that it could change 
corporate control of the DCO. The proposed changes to the rule would 
ensure that the Commission has accurate knowledge of the individuals or 
entities that control a DCO and its activities.

H. Reporting Changes to Credit Facility Funding and Liquidity Funding 
Arrangements--Sec.  39.19(c)(4)(xii) and (xiii)

    Regulations 39.19(c)(4)(xii) and (xiii), respectively, require a 
DCO to report changes to credit facility funding arrangements and 
liquidity funding arrangements ``it has in place.'' The Commission is 
proposing to amend these provisions to clarify that the reporting 
requirements include reporting new arrangements as well as changes to 
existing ones. Although DCOs and the Commission have interpreted these 
requirements to include reporting new arrangements, a literal 
interpretation of these provisions, with a focus on the phrase ``it has 
in place,'' may potentially restrict the application of the reporting 
requirements only to changes in existing arrangements.

I. Reporting Issues With Credit Facility Funding Arrangements, 
Liquidity Funding Arrangements, and Custodian Banks--Sec.  
39.19(c)(4)(xv)

    Regulation 39.19(c)(4)(xv) requires that a DCO report to the 
Commission within one business day after any material issues or 
concerns arise regarding the performance, stability, liquidity, or 
financial resources of any settlement bank used by the DCO or approved 
for use by the DCO's clearing members. The Commission is proposing to 
amend Sec.  39.19(c)(4)(xv) to require that a DCO report to the 
Commission within one business day after it becomes aware of any 
material issues or concerns regarding the performance, stability, 
liquidity, or financial resources of any credit facility funding 
arrangement, liquidity funding arrangement, custodian bank, or 
settlement bank used by the DCO or approved for use by the DCO's 
clearing members.
    As a part of the proposed amendments to Sec.  39.19(c)(4)(xv), the 
Commission is proposing to change the threshold that triggers a DCO's 
reporting obligations. Specifically, the Commission is proposing to 
replace the current requirement that a DCO report to the Commission 
within one business day after any material issues or concerns arise, 
with the requirement that a DCO report to the Commission within one 
business day after it becomes aware of any material issues or concerns. 
Requiring a DCO to report issues or concerns when it becomes aware of 
them accounts for the possibility that there may be a delay between the 
time that an issue arises and when the DCO becomes aware of it.
    Furthermore, although they provide different services to DCOs and 
may be relied upon by DCOs in differing circumstances, credit facility 
funding arrangements, liquidity funding arrangements, and custodian 
banks are similar to settlement banks in that they perform functions 
that are critical to the clearing process. The Commission recognizes 
that if a DCO encounters an issue with a settlement bank, it could 
potentially delay the DCO's ability to access its funds, which could 
impact the DCO's ability to meet its obligations; the same could be 
true with respect to issues with a DCO's credit facility funding 
arrangements, liquidity funding arrangements, and custodian banks. 
Therefore, it is important that the Commission be informed when a DCO 
experiences or becomes aware of any issues.

[[Page 76705]]

J. Reporting of Updated Responses to the Disclosure Framework for 
Financial Market Infrastructures--Sec.  39.19(c)(4)(xxv)

    The Commission is proposing new Sec.  39.19(c)(4)(xxv), which would 
set forth the requirement currently in Sec.  39.37(b)(2) that, when a 
DCO updates 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 in accordance with Sec.  39.37(b)(1), the DCO 
shall provide notice of those updates to the Commission. The proposal 
does not alter in any respect the substance of the reporting obligation 
currently specified in Sec.  39.37(b)(2); it simply references this 
requirement in Sec.  39.19 in furtherance of the goal of centralizing 
DCO reporting obligations in Sec.  39.19.\24\
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    \24\ See id. at 4819.
---------------------------------------------------------------------------

VI. Proposed Amendments to Sec.  39.21(c)

    Regulation 39.21 requires a DCO to publish on its website a variety 
of information designed to enable market participants to make informed 
decisions about using the clearing services provided by the DCO. The 
Commission is proposing several amendments to these requirements to 
better align a DCO's disclosure obligations with the type of clearing 
services that the DCO provides.

A. Publication of Margin-Setting Methodology and Financial Resource 
Package Information--Sec.  39.21(c)(3) and (4)

    Regulation 39.21(c)(3) requires a DCO to publish on its website 
information concerning its margin-setting methodology. Regulation 
39.21(c)(4) requires a DCO to publish on its website, and update as 
required, the size and composition of the financial resource package 
available in the event of a clearing member default.
    The Commission is proposing to amend Sec. Sec.  39.21(c)(3) and (4) 
to provide that a DCO that clears only fully collateralized positions 
should instead indicate on its website that it clears such positions in 
satisfaction of these requirements. As the Commission has previously 
recognized, fully collateralized positions are designed to have on 
deposit a sufficient amount of funds, at all times, to cover the 
maximum potential loss that could be incurred in connection with a 
position.\25\ Therefore, the need to collect margin and maintain a 
financial resource package to be used in the event of a clearing member 
default is eliminated by requiring full collateralization. The 
Commission has therefore provided certain carveouts for DCOs that clear 
fully collateralized positions in its part 39 regulations.\26\ This 
proposed change would be consistent with such carveouts.
---------------------------------------------------------------------------

    \25\ See id. at 4804.
    \26\ Id.
---------------------------------------------------------------------------

B. Publication of List of Clearing Members--Sec.  39.21(c)(7)

    Regulation 39.21(c)(7) requires a DCO to publish on its website a 
current list of its clearing members. At a typical DCO, the risk of 
loss from the default of a clearing member is mutualized among the 
clearing members, making it useful for each existing or prospective 
clearing member to know who the others are. Publishing a list of 
clearing members is less useful where the DCO clears only fully 
collateralized positions and its clearing members generally do not pose 
any risk to each other. However, existing or potential customers of a 
futures commission merchant (FCM) may find it useful to be able to 
verify whether that FCM is a clearing member at any DCO, including DCOs 
that clear only fully collateralized positions. For these reasons, the 
Commission is proposing to amend Sec.  39.21(c)(7) to provide that a 
DCO may omit any clearing member that clears only fully collateralized 
positions and is not an FCM clearing member from the list of clearing 
members that the DCO must publish on its website.\27\
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    \27\ The proposed amendment to Sec.  39.21(c)(7) is consistent 
with the position previously taken by the Division. See, e.g., CFTC 
Letter No. 19-15 (July 1, 2019) (no-action letter to Eris Clearing, 
LLC, regarding several Commission regulations, including Sec.  
39.21(c)(7), due to Eris Clearing, LLC's fully collateralized 
clearing model). To the extent that a DCO received a no-action 
letter from the Division regarding compliance with Sec.  
39.21(c)(7), the change in the requirement, if adopted, would 
supersede those letters.
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VII. Proposed Amendments to Sec.  39.37(c) and (d)

    Regulation 39.37 requires each systemically important DCO (SIDCO) 
and each DCO that elects to comply with subpart C of part 39 of the 
Commission's regulations (subpart C DCO) to disclose certain 
information to the public and to the Commission. Regulations 39.37(c) 
and (d) require, respectively, a SIDCO or subpart C DCO to ``disclose, 
publicly, and to the Commission'' transaction data, and information 
regarding the segregation and portability of customers' positions and 
funds. The Commission is proposing to amend these provisions to clarify 
that public disclosure of the information is sufficient and a separate 
report directly to the Commission is not required. To that end, the 
Commission is proposing to replace the phrase ``disclose, publicly, and 
to the Commission'' with the phrase ``publicly disclose'' in Sec.  
39.37(c) and (d).

VIII. Proposed Amendments to Sec.  140.94(c)(10)

    Regulation 140.94(c) is a delegation of authority from the 
Commission to the Director of the Division of Clearing and Risk to 
perform certain specific functions. The Commission is proposing to 
amend Sec.  140.94(c)(10) to delegate to the Director the authority in 
existing Sec.  39.19(a) to require a DCO to provide to the Commission 
the information specified in Sec.  39.19 and any other information that 
the Commission determines to be necessary to conduct oversight of the 
DCO, and in existing Sec.  39.19(b)(1) to specify the format and manner 
in which the information required by Sec.  39.19 must be submitted to 
the Commission.

IX. Related Matters

A. Regulatory Flexibility Act

    The Regulatory Flexibility Act (RFA) requires that agencies 
consider whether the regulations they propose will have a significant 
economic impact on a substantial number of small entities and, if so, 
provide a regulatory flexibility analysis on the impact.\28\ The 
amendments proposed by the Commission will affect only DCOs. The 
Commission has previously established certain definitions of ``small 
entities'' to be used by the Commission in evaluating the impact of its 
regulations on small entities in accordance with the RFA.\29\ The 
Commission has previously determined that DCOs are not small entities 
for the purpose of the RFA.\30\ Accordingly, the Chairman, on behalf of 
the Commission, hereby certifies pursuant to 5 U.S.C. 605(b) that the 
proposed regulations will not have a significant economic impact on a 
substantial number of small entities.
---------------------------------------------------------------------------

    \28\ 5 U.S.C. 601 et seq.
    \29\ 47 FR 18618 (Apr. 30, 1982).
    \30\ See 66 FR 45604, 45609 (Aug. 29, 2001).
---------------------------------------------------------------------------

B. Paperwork Reduction Act

    The Paperwork Reduction Act (PRA) \31\ provides that Federal 
agencies, including the Commission, may not conduct or sponsor, and a 
person is not required to respond to, a collection of information 
unless it displays a valid control number from the Office of Management 
and Budget (OMB). This proposed rulemaking contains reporting

[[Page 76706]]

and recordkeeping requirements that are collections of information 
within the meaning of the PRA. If adopted, responses to the collections 
of information would be required to obtain a benefit. This section 
addresses the impact that the proposal will have on the existing 
information collection associated with part 39, ``Requirements for 
Derivatives Clearing Organizations, OMB control number 3038-0076.''
---------------------------------------------------------------------------

    \31\ 44 U.S.C. 3501 et seq.
---------------------------------------------------------------------------

1. Subpart B--Requirements for Compliance With Core Principles
a. Risk Management
    The Commission is proposing new Sec.  39.13(h)(5)(iii) to provide 
that a DCO that clears fully collateralized positions may exclude from 
the requirements of paragraphs (h)(5)(i) and (ii) those clearing 
members that clear only fully collateralized positions. These 
requirements would still apply in the case of clearing members that 
clear fully collateralized positions but also margined products. This 
change will reduce the burden for DCOs that clear fully collateralized 
products, but does not affect the burden for the majority of DCOs that 
are subject to daily reporting requirements, as only four of the 
fifteen DCOs clear fully collateralized positions. As a result, the 
Commission believes that this reduction would have a negligible impact 
on the overall reporting burden for DCOs, and therefore, the Commission 
is leaving the reporting burden for these reporting requirements 
unchanged.
b. Treatment of Funds
    The Commission is proposing to amend Sec.  39.15(b)(2), which only 
applies when a DCO and its clearing members seek to commingle customer 
positions in futures, options, foreign futures, foreign options, and 
swaps, or any combination thereof, and any money, securities, or 
property received to margin, guarantee or secure such positions, in an 
account subject to the requirements of Sections 4d(a) or 4d(f) of the 
CEA. The Commission proposes to consolidate paragraphs (b)(2)(i) and 
(b)(2)(ii) and renumber paragraphs accordingly. These changes pertain 
only to the structure and organization of the regulation and therefore 
do not impact the reporting requirement. The Commission is further 
proposing to amend Sec.  39.15(b)(2) to clarify that the requirement in 
paragraph (b)(2)(i)(G) that a DCO discuss the systems or procedures 
that the DCO has implemented to oversee its clearing members' risk 
management of eligible products may be addressed by describing why 
existing risk management systems and procedures are adequate, and to 
add language clarifying that the requirements and standard of review of 
Sec.  40.5 apply to commingling rule submissions. Because these 
proposals are mere clarifications of existing requirements, they also 
have no impact on the reporting burden.
    Similarly, the Commission is further proposing to remove existing 
paragraph (b)(2)(iii), which provides that the Commission may request 
additional information in support of a rule submission filed under 
existing paragraph (b)(2)(i) or (ii), and add new paragraph 
(b)(2)(viii), which provides that the Commission may request 
supplemental information to evaluate the DCO's submission and requires 
a DCO to submit any other information necessary for the Commission to 
evaluate the DCO's rule's compliance with the CEA and the Commission's 
regulations. This does not impact the reporting burden because proposed 
paragraph (b)(2)(viii), like existing paragraph (b)(2)(iii), would 
ensure that the Commission can consider all information relevant to the 
rule submission. Although existing paragraph (b)(2)(iii) does not 
contain explicit language similar to new paragraph (b)(2)(viii)'s 
requirement that the DCO submit any other information necessary for the 
Commission to evaluate the rule's compliance with the CEA and the 
Commission's regulations, the fact that existing paragraph (b)(2)(iii) 
permits the Commission to request such information implies a DCO's 
obligation to supply it. Simply making this implication explicit does 
not impact the reporting burden.
    The Commission is proposing to delete paragraphs (b)(2)(i)(C), (E), 
(H), and (L) because they require a DCO to submit information the 
Commission can already access or has not needed in its review of 
commingling rule submissions. This proposed change would decrease the 
reporting burden. In addition, the Commission is proposing to remove 
existing paragraph (b)(2)(i)(I), which requires the DCO to provide 
information related to its margin methodology, while adding related 
paragraph (b)(2)(vii), which would require that a DCO discuss whether 
it anticipates allowing portfolio margining of commingled positions, 
describe and analyze any margin reductions it would apply to correlated 
positions, and make an express confirmation that any portfolio 
margining will be allowed only as permitted under Sec.  39.13(g)(4). 
These changes would collectively decrease the reporting burden because 
the requirements proposed to be removed through the deletion of 
paragraph (b)(2)(i)(I) are, as a whole, more burdensome than the 
requirements proposed to be added in paragraph (b)(2)(vii). Similarly, 
the Commission is proposing to remove the requirement in existing 
paragraph (b)(2)(i)(K) to discuss a DCO's default management procedures 
generally and maintain only the requirement to address default 
management procedures unique to the products eligible for commingling 
and to move that requirement to paragraph (b)(2)(vi). This narrowing of 
the scope of the requirement reduces the reporting burden on the 
relevant DCOs.
    The Commission is proposing to amend paragraph (b)(2)(i)(B), which 
requires the DCO to provide an analysis of the risk characteristics of 
the products that would be eligible for commingling, to specify that 
the DCO should discuss any risk characteristics of products to be 
commingled that are unusual in relation to the other products the DCO 
clears and how the DCO plans to manage any risks identified. Because 
such disclosure was not previously explicitly required, and because 
DCOs that would not otherwise have addressed such issues in their 
analysis of the risk characteristics of the eligible products would now 
be required to do so, this would increase the reporting burden.
    The Commission proposes to amend paragraph (b)(2)(i)(F) (and 
renumber it as (b)(2)(iv)), which currently requires the DCO to 
describe the financial, operational, and managerial standards or 
requirements for clearing members that would be permitted to commingle 
eligible products, to require only that the DCO describe any additional 
requirements that would apply to clearing members permitted to 
commingle eligible products. The Commission believes that the proposed 
amendment would have no impact on the reporting burden. Although the 
proposed requirement that the DCO describe any additional requirements 
is broader than the current requirement to describe financial, 
operational, and managerial standards or requirements, the existing 
paragraph requires the DCO to report even if no additional requirements 
would apply. The proposal only requires reporting when additional 
requirements are, in fact, applicable.
    The Commission believes that the reductions in the reporting burden 
resulting from the proposed deletion of paragraphs (b)(2)(i)(C), (E), 
(H), and (L) and the narrowing of the reporting burden resulting from 
the proposed deletions of paragraphs (b)(2)(i)(I) and (K) (even after 
giving effect to the addition of new paragraphs (b)(2)(vi)

[[Page 76707]]

and (vii)) are at least as great as the increase in the reporting 
burden resulting from the proposed amendments to paragraph 
(b)(2)(i)(B). Because the Commission lacks the data to fully quantify 
each of these changes, it is conservatively estimating that these 
changes collectively do not materially impact the reporting burden. The 
Commission is of the view that to the extent that the cross-margining 
program would be submitted as part of a new rule or rule amendment 
filing pursuant to Sec.  40.5, the proposed changes are already covered 
by OMB control number 3038-0093 and there is no change in the burden 
estimates.
c. Daily Reporting
    The Commission is proposing to amend Sec.  39.19(c)(1)(i)(A) to 
clarify that the existing requirement to identify individual customer 
accounts by LEI and internally-generated identifier was intended to 
apply to all instances in Sec.  39.19(c)(1) where reporting is required 
at the individual customer account level, and not only to end-of-day 
positions. The Commission therefore proposes to amend Sec.  
39.19(c)(1)(i)(A) to specify that when a DCO reports initial margin 
requirements and initial margin on deposit by each individual customer 
account as required, the DCO also must identify each individual 
customer account by LEI and internally-generated identifier, where 
available. The proposed clarification would not affect the burden on 
DCOs because DCOs already provide this information and the impact of 
this amendment is negligible on the existing burden.
    The Commission also is proposing to amend Sec.  39.19(c)(1)(i)(B) 
and (C), which require a DCO to report daily variation margin and cash 
flow information by house origin and separately by customer origin and 
by each individual customer account, to remove the requirement that a 
DCO report daily variation margin and cash flows by individual customer 
account. This proposed change is anticipated to result in a negligible 
decrease from the current burden of 0.5 hours per report.\32\
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    \32\ DCOs currently are not reporting variation margin and cash 
flow information by each individual customer account because the 
Division issued a no-action letter addressing compliance with the 
amended requirements in Sec.  39.19(c)(1). See CFTC Letter No. 21-01 
(Dec. 31, 2020); see also CFTC Letter No. 21-31 (Dec. 22, 2021). As 
noted, the proposed amendments to Sec.  39.19(c)(1)(i)(B) and (C) 
would eliminate the requirement for which additional time was 
provided in the staff letter.
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    The Commission is also proposing to add to part 39 an appendix that 
would codify the existing reporting fields for the daily reporting 
requirements in Sec.  39.19(c)(1). The codification of existing 
reporting fields in new appendix C would not change the reporting 
burden.\33\
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    \33\ The current burden estimates for complying with the daily 
reporting requirements in Sec.  39.19(c)(1) included in OMB Control 
No. 3038-0076 take into account the burden associated with reporting 
in accordance with the Reporting Guidebook.
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    The Commission also is proposing to add new fields within proposed 
appendix C that would further implement the existing daily reporting 
requirements under Sec.  39.19(c)(1). Specifically, the Commission is 
proposing to require that a DCO include in its daily reports, with 
regard to interest rate swaps only, the delta ladder, gamma ladder, 
vega ladder, zero rate curves, and yield curves that the DCO uses in 
connection with managing risks associated with interest rate swaps 
positions. The Commission also is proposing to require a DCO that 
clears interest rate swaps, forward rate agreements, or inflation index 
swaps to include in its daily reports the actual trade date for each 
position, along with an event description. The Commission is further 
proposing to require that each DCO include in its daily reports timing 
information about variation margin calls and payments, and also to 
include in its daily reports information that reflects that the daily 
report is complete. Lastly, in connection with the proposal to add to 
Sec.  39.19(c)(1)(i) a requirement that a DCO include in its daily 
reports the results of its required daily margin model back testing, 
the Commission is proposing to add to proposed appendix C the 
additional data fields necessary to implement this requirement.
    With respect to the proposal to add new fields to proposed appendix 
C, and the proposal to add to Sec.  39.19(c)(1)(i) a requirement that a 
DCO include in its daily reports the results of its required margin 
model back testing, the Commission believes the incremental capital 
investment costs associated with implementing these proposed 
requirements would be negligible. In many cases, the proposed fields 
are data that are already being used for DCO risk management and 
operations, and in some cases are already being reported to the 
Commission on a voluntary basis. Further, the Commission believes that 
any capital investment implementation for the reporting of these 
proposed fields would leverage the DCO's existing server architecture 
that could be scaled up to meet the proposed requirements with 
negligible costs. The estimated start-up costs, including programming 
or coding, as well as testing, quality assurance, and compliance review 
costs, are estimated \34\ to be approximately $109,574.43 per DCO.\35\
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    \34\ To estimate the start-up costs, the Commission relied upon 
internal subject matter experts in its Divisions of Data and 
Clearing and Risk to estimate the amount of time and type of DCO 
personnel necessary to complete the coding, testing, quality 
assurance, and compliance review. The Commission then used data from 
the Department of Labor's Bureau of Labor Statistics from May 2021 
to estimate the total costs of this work. According to the May 2021 
National Occupational Employment and Wage Estimates Report produced 
by the U.S. Bureau of Labor Statistics, available at https://www.bls.gov/oes/current/oes_nat.htm, the mean salary for a computer 
systems analyst in management companies and enterprises is $103,860. 
This number is divided by 1800 work hours in a year to account for 
sick leave and vacations and multiplied by 2.5 to account for 
retirement, health, and other benefits, as well as for office space, 
computer equipment support, and human resources support, all of 
which yields an hourly rate of $144.25. Similarly, a computer 
programmer has a mean annual salary of $102,430, yielding an hourly 
rate of $142.26; a software quality assurance analyst and tester has 
a mean annual salary of $99,460, yielding an hourly rate of $138.14; 
and a compliance attorney has a mean annual salary of $198,900, 
yielding an hourly rate of $276.25.
    \35\ The estimate of total start-up costs consists of the 
following: $14,101.10 for the delta ladder, gamma ladder, vega 
ladder, and the zero rate curves, based on 20 hours of systems 
analyst time, 40 hours of programmer time, and 40 hours of tester 
time; $7,248.61 for adding interest rate, forward rates, and end of 
day position fields, based on 8 hours of systems analyst time, 4 
hours of programmer time, and 40 hours of tester time; $39,907.22 
for the payment file, based on 120 hours of systems analyst time, 
120 hours of programmer time, and 40 hours of tester time; 
$14,140.83 for the manifest file, based on 40 hours of systems 
analyst time, 40 hours of programmer time, and 20 hours of tester 
time; and $22,676.67 for adding the back testing fields, based on 40 
hours of systems analyst time, 80 hours of programmer time, and 40 
hours of tester time. The estimate of total start-up costs also 
includes $11,500.00 for compliance attorney review. A DCO may choose 
to employ a manifest file or alternatively a file count to the 
account and end of day position files. If a DCO elects the latter, 
the estimate of total start-up costs is reduced to $106,120.38, 
because while adding a manifest file is estimated to cost 
$14,140.83, adding file count information is estimated to cost 
$10,686.78 (based on 20 hours of systems analyst time, 16 hours of 
programmer time, and 40 hours of tester time). Additionally, the 
Commission estimates that requiring DCOs to report pricing 
information for contracts without open interest, which the 
Commission is considering, would impose non-capital start-up costs 
of $34,137.22 on each DCO, based on 80 hours of systems analyst 
time, 120 hours of programmer time, and 40 hours of tester time. The 
$34,137.22 estimate is not included in the estimated total start-up 
costs of $109,574.43 per DCO because, although the Commission is 
considering this requirement and is requesting comment, it has not 
otherwise proposed this requirement.
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    Lastly, because the Commission understands that the preparation and 
submission of the daily reports required under Sec.  39.19(c)(1)(i) is 
largely automated, the Commission estimates that the proposal to add 
new fields to proposed appendix C, and the proposal to add to Sec.  
39.19(c)(1)(i) a requirement that a DCO include in its daily reports

[[Page 76708]]

the results of the margin model back testing, will result in a 
negligible increase from the current estimate of 0.5 burden hours per 
report.
    The aggregate burden estimate for daily reporting remains as 
follows:
    Estimated number of respondents: 13.
    Estimated number of reports per respondent: 250.
    Average number of hours per report: 0.5.
    Estimated gross annual reporting burden: 1625.
d. Event-Specific Reporting
    Regulation 39.19(c)(4) requires a DCO to notify the Commission of 
the occurrence of certain events; Sec.  39.19(c)(4)(ix)(A)(1) requires 
a DCO to report any change in the ownership or corporate or 
organizational structure of the DCO or its parent(s) that would result 
in at least a 10 percent change of ownership of the DCO. The Commission 
is proposing to amend Sec.  39.19(c)(4)(ix)(A)(1) to require the 
reporting of any change in the ownership or corporate or organizational 
structure of the DCO or its parent(s) that would result in a change to 
the entity or person holding a controlling interest in the DCO, whether 
through an increase in direct ownership or voting interest in the DCO 
or in a direct or indirect corporate parent entity of the DCO. This 
increases the reporting requirement. However, the changes of control 
contemplated by the proposed amendment occur infrequently. In addition, 
DCOs have typically notified the Commission of such changes of control 
even if not technically required by the current regulations. Finally, 
although changes of control usually require the preparation of 
documents such as a purchase agreement and the amendment of corporate 
governance documents and organizational charts, those burdens are a 
result of the change in control itself and not of the reporting 
requirement. The administrative burden of notifying the Commission--
preparing a notification, attaching relevant but pre-existing 
supporting documents such as the revised organizational chart, and 
submitting to the Commission--is negligible. Therefore, the increase in 
the reporting requirement resulting from this proposed amendment is 
negligible.
    Regulation 39.19(c)(4)(xii) and (xiii) require notification of 
changes in a liquidity funding arrangement or settlement bank 
arrangement. The Commission is proposing to amend these regulations to 
clarify that the reporting requirements include reporting new 
arrangements as well as changes to existing ones. The proposed 
clarification would not affect the burden on DCOs because such 
reporting is already implied in the regulation.
    Separately, the Commission is proposing to amend Sec.  
39.19(c)(4)(xv) to add credit facility funding arrangements, liquidity 
funding arrangements, and custodian banks to the list of arrangements 
or banks for which the DCO must report to the Commission any issues or 
concerns of which the DCO becomes aware. Although this increases the 
number of entities or arrangements for which reporting may be required, 
given that a DCO is only required to report these issues when it 
becomes aware of them, and given that these events are not very common, 
any increase should be negligible.
    The Commission is proposing to revise Sec.  39.18(g) to delete the 
materiality threshold. Proposed changes would also require notification 
of each security incident or threat that compromises or could 
compromise the confidentiality, availability, or integrity of any 
automated system, or any information, services, or data, including, but 
not limited to, third-party information, services, or data, relied upon 
by the DCO in discharging its responsibilities; as well as operator 
errors that may impair the operation, reliability, security, or 
capacity of an automated system. The various proposals are intended, in 
part, to ensure that the Division receives notice of the full spectrum 
of cyberattacks and cyberthreats that a DCO experiences, including 
partial breaches, near misses, and cyberattacks and cyberthreats 
affecting third-party systems that a DCO relies upon, and that the 
Division receives notice when a DCO's systems or information, or 
external systems or information that a DCO relies upon, are, or may be, 
compromised by a security incident or threat, irrespective of whether 
the incident or threat causes, or could cause, actual impairment to the 
affected systems. Due to the proposed changes to Sec.  39.18(g), the 
Commission anticipates some increase in the reporting burden on DCOs. 
Based on recent levels of reporting, the Commission estimates that 
these changes will require DCOs to file an additional 4 reports per 
year, on average. The reporting burden of Sec.  39.18(g) is covered by 
Sec.  39.19(c)(4)(xxii), and therefore is included in the burden 
estimate for Sec.  39.19(c)(4).
    Finally, the Commission is proposing to add Sec.  39.19(c)(4)(xxv) 
to centralize an existing reporting obligation under Sec.  39.37(b)(2) 
in Sec.  39.19. This does not create a new reporting obligation. The 
Commission is also proposing to revise Sec. Sec.  39.37(c) and (d) to 
remove the requirement to make certain disclosures to the Commission 
while retaining a requirement to make such disclosures publicly. This 
would cause a negligible decrease in costs that would not affect the 
reporting burden. The reporting burden under existing Sec.  39.37 is 
covered in the PRA estimate for that regulation.
    The aggregate burden estimate of Sec.  39.19(c)(4) adjusted for the 
changes described above is as follows:
    Estimated number of respondents: 13.
    Estimated number of reports per respondent: 18
    Average number of hours per report: 0.5.
    Estimated gross annual reporting burden: 117.
e. Public Information
    The Commission is proposing to revise Sec.  39.21(c)(3) and (4) to 
exclude DCOs that clear only fully collateralized positions from the 
specific disclosure requirements of these paragraphs. Similarly, the 
Commission is proposing to amend Sec.  39.21(c)(7), which requires a 
DCO to publish on its website a current list of its clearing members, 
to provide that a DCO may omit any clearing member that clears only 
fully collateralized positions and is not an FCM from the list of 
clearing members that it must publish on its website. Because such DCOs 
are still required to report per other parts of Sec.  39.21, such as to 
disclose the terms and conditions of each contract cleared, the fees it 
charges its members, and daily settlement prices, volumes, and open 
interest for each contract, the number of respondents would remain 
unchanged. The proposed changes do not affect the burden for the 
majority of DCOs that are subject to the public disclosure 
requirements. For fully collateralized DCOs, the proposed changes would 
result in a negligible decrease in the amount of time required per 
report. The aggregate estimated burden for Sec.  39.21 remains as 
follows:
    Estimated number of respondents: 13.
    Estimated number of reports per respondent: 4.
    Average number of hours per report: 2.
    Estimated gross annual reporting burden: 104.
    Request for Comment. The Commission invites the public and other 
Federal agencies to comment on any aspect of the proposed information 
collection requirements discussed above. The Commission will consider 
public comments on this proposed collection of information in:

[[Page 76709]]

    (1) Evaluating whether the proposed collection of information is 
necessary for the proper performance of the functions of the 
Commission, including whether the information will have a practical 
use;
    (2) Evaluating the accuracy of the estimated burden of the proposed 
collection of information, including the degree to which the 
methodology and the assumptions that the Commission employed were 
valid;
    (3) Enhancing the quality, utility, and clarity of the information 
proposed to be collected; and
    (4) Minimizing the burden of the proposed information collection 
requirements on registered entities, including through the use of 
appropriate automated, electronic, mechanical, or other technological 
information collection techniques, e.g., permitting electronic 
submission of responses.
    Copies of the submission from the Commission to OMB are available 
from the CFTC Clearance Officer, 1155 21st Street NW, Washington, DC 
20581, (202) 418-5160 or from http://RegInfo.gov. Organizations and 
individuals desiring to submit comments on the proposed information 
collection requirements should send those comments to:
     The Office of Information and Regulatory Affairs, Office 
of Management and Budget, Room 10235, New Executive Office Building, 
Washington, DC 20503, Attn: Desk Officer of the Commodity Futures 
Trading Commission;
     (202) 395-6566 (fax); or
     [email protected] (email).
    Please provide the Commission with a copy of submitted comments so 
that comments can be summarized and addressed in the final rulemaking, 
and please refer to the ADDRESSES section of this rulemaking for 
instructions on submitting comments to the Commission. OMB is required 
to make a decision concerning the proposed information collection 
requirements between 30 and 60 days after publication of this release 
in the Federal Register. Therefore, a comment to OMB is best assured of 
receiving full consideration if OMB receives it within 30 calendar days 
of publication of this release. Nothing in the foregoing affects the 
deadline enumerated above for public comment to the Commission on the 
proposed rules.

C. Cost-Benefit Considerations

1. Introduction
    Section 15(a) of the CEA requires the Commission to consider the 
costs and benefits of its actions before promulgating a regulation 
under the CEA or issuing certain orders.\36\ Section 15(a) further 
specifies that the costs and benefits shall be evaluated in light of 
the following five broad areas of market and public concern: (1) 
protection of market participants and the public; (2) efficiency, 
competitiveness, and financial integrity of futures markets; (3) price 
discovery; (4) sound risk management practices; and (5) other public 
interest considerations. The Commission considers the costs and 
benefits resulting from its discretionary determinations with respect 
to the Section 15(a) factors (collectively referred to herein as 
Section 15(a) factors).
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    \36\ 7 U.S.C. 19(a).
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    The Commission recognizes that the proposed amendments impose 
costs. The Commission has endeavored to assess the anticipated costs 
and benefits of the proposed amendments in quantitative terms, 
including PRA-related costs, where feasible. In situations where the 
Commission is unable to quantify the costs and benefits, the Commission 
identifies and considers the costs and benefits of the applicable 
proposed amendments in qualitative terms. The lack of data and 
information to estimate those costs is attributable in part to the 
nature of the proposed amendments. Additionally, any initial and 
recurring compliance costs for any particular DCO will depend on the 
size, existing infrastructure, level of clearing activity, practices, 
and cost structure of the DCO.
    The Commission generally requests comment on all aspects of its 
cost-benefit considerations, including the identification and 
assessment of any costs and benefits not discussed herein; data and any 
other information to assist or otherwise inform the Commission's 
ability to quantify or qualitatively describe the costs and benefits of 
the proposed amendments; and substantiating data, statistics, and any 
other information to support positions posited by commenters with 
respect to the Commission's discussion. The Commission welcomes comment 
on such costs, particularly from existing DCOs that can provide 
quantitative cost data based on their respective experiences. 
Commenters may also suggest other alternatives to the proposed 
approach.
2. Baseline
    The baseline for the Commission's consideration of the costs and 
benefits of this proposed rulemaking is the existing statutory and 
regulatory framework applicable to DCOs, including: (1) the DCO core 
principles set forth in Section 5b(c)(2) of the CEA; (2) the 
information requirements associated with commingling customer funds and 
positions in futures and swaps in the same account under Sec.  
39.15(b)(2); (3) the reporting obligations under Sec.  39.18(g) related 
to a DCO's system safeguards; (4) daily reporting requirements under 
Sec.  39.19(c)(1); (5) event-specific reporting requirements under 
Sec.  39.19(c)(4); (6) public information requirements under Sec.  
39.21(c); (7) disclosure obligations for SIDCOs and subpart C DCOs 
under Sec.  39.37; and (8) delegation of authority provisions under 
Sec.  140.94.
    The Commission notes that this consideration is based on its 
understanding that the futures and swaps market functions 
internationally with: (1) transactions that involve U.S. entities 
occurring across different international jurisdictions; (2) some 
entities organized outside of the United States that are prospective 
Commission registrants; and (3) some entities that typically operate 
both within and outside the United States and that follow substantially 
similar business practices wherever located. Where the Commission does 
not specifically refer to matters of location, the discussion of costs 
and benefits below refers to the effects of the proposed regulations on 
all relevant futures and swaps activity, whether based on their actual 
occurrence in the United States or on their connection with, or effect 
on U.S. commerce pursuant to, Section 2(i) of the CEA.\37\
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    \37\ Pursuant to Section 2(i) of the CEA, activities outside of 
the United States are not subject to the swap provisions of the CEA, 
including any rules prescribed or regulations promulgated 
thereunder, unless those activities either have a direct and 
significant connection with activities in, or effect on, commerce of 
the United States; or contravene any rule or regulation established 
to prevent evasion of a CEA provision enacted under the Dodd-Frank 
Wall Street Reform and Consumer Protection Act, Public Law 111-203, 
124 Stat. 1376. 7 U.S.C. 2(i).
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3. Proposed Amendments to Sec.  39.13(h)(5)
a. Benefits
    The Commission is proposing new Sec.  39.13(h)(5)(iii), which would 
provide that a DCO that clears fully collateralized positions may 
exclude from the requirements of paragraphs (h)(5)(i) and (ii) those 
clearing members that clear only fully collateralized positions. These 
requirements would still apply in the case of clearing members that 
clear fully collateralized positions but also margined products.
    Fully collateralized positions do not expose DCOs to many of the 
risks that

[[Page 76710]]

traditionally margined products do. Full collateralization prevents a 
DCO from being exposed to credit or default risk stemming from the 
inability of a clearing member or customer of a clearing member to meet 
a margin call or a call for additional capital. This limited exposure 
and full collateralization of that exposure renders certain provisions 
of part 39 inapplicable or unnecessary, including Sec.  39.13(h)(5). 
The Commission is proposing to amend this provision in order to provide 
greater clarity to DCOs and future applicants for DCO registration 
regarding how Sec.  39.13(h)(5) applies to DCOs that clear fully 
collateralized positions.
b. Costs
    The Commission does not anticipate any costs associated with this 
change, as it would codify the removal of requirements that need not 
apply to fully collateralized positions.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits in light of the specific considerations 
identified in Section 15(a) of the CEA. In consideration of Section 
15(a)(2)(B) of the CEA, the Commission believes that the proposal may 
increase operational efficiency for DCOs that clear fully 
collateralized positions. The proposed amendments should not impact the 
protection of market participants and the public, the financial 
integrity of markets, or sound risk management practices, as the 
requirements that the Commission is proposing to exclude for fully 
collateralized positions do not further these factors when applied to 
such positions. The Commission has considered the other Section 15(a) 
factors and believes that they are not implicated by the proposed 
amendments.
4. Proposed Amendments to Sec.  39.15(b)(2)
a. Benefits
    The Commission is proposing to amend Sec.  39.15(b)(2) to clarify 
its requirements and revise the information a DCO must provide to the 
Commission when it seeks to commingle customer positions and associated 
funds from different account classes. The Commission anticipates the 
proposed amendments will help applicants, the Commission, and the 
public to focus on those issues that are most important in considering 
the submission, and will generally reduce compliance burdens on DCOs.
    Based on its experience in reviewing commingling rule submissions, 
the Commission believes the proposed changes to the information 
requirements would improve the quality of future submissions and 
enhance protection of market participants. The existing requirements 
often result in rule submissions that provide information the 
Commission already has and lack sufficient focus on the commingling 
itself, making it difficult for both the Commission and the public to 
properly assess the risks that commingling of customer funds may pose. 
The amendments would improve the quality of the submissions by 
providing the information needed to evaluate the risks posed to 
customers by commingling products that otherwise would be held in 
separate accounts.
    The proposed amendments would reduce compliance burdens for DCOs by 
removing existing paragraphs (b)(2)(i)(C), (E), (H), and (L), 
provisions that call for submission of information the Commission can 
otherwise access or has not needed in its review of commingling rule 
submissions. Replacing existing paragraph (b)(2)(i)(I) and adding the 
related proposed Sec.  39.15(b)(2)(vii) would focus DCO efforts on 
providing the most useful information on the topic of margin 
methodology, and eliminates a requirement to provide margin methodology 
information with which the Commission is already familiar. Similarly, 
by maintaining only that part of paragraph (b)(2)(i)(K) concerning 
default management procedures unique to the products eligible for 
commingling, the proposed regulation would focus the discussion of the 
DCO's default management procedures on changes necessitated by the 
commingling of eligible products rather than general information on 
default management procedures already available to the Commission.
b. Costs
    As discussed above, the Commission expects that the proposed 
amendments to Sec.  39.15(b)(2) will decrease DCOs' costs associated 
with seeking commingling approval. The Commission's proposal most 
meaningfully reduces costs by no longer requiring a DCO to produce 
certain information it was previously required to provide to the 
Commission. This is partly offset by the addition of new information 
requirements. Proposed paragraph (b)(2)(vii) would require information 
concerning portfolio margining that is largely a subset of the margin 
methodology information required by existing paragraph (b)(2)(i)(I). 
The new requirement in this paragraph amounts to a one sentence 
confirmation of compliance with Sec.  39.13(g)(4). Proposed paragraph 
(b)(2)(viii), intended to ensure a DCO provides all information the 
Commission needs to evaluate a commingling rule submission, 
incorporates the requirements of existing paragraph (b)(2)(iii). 
Further, the amendment to existing paragraph (b)(2)(i)(B) on risk 
characteristics, in addition to focusing the discussion on unusual 
characteristics, extends the analysis to include a discussion of the 
DCO's management of identified risk characteristics, which is 
information that should likely be readily available to DCOs. Likewise, 
to the extent proposed paragraph (b)(2)(vi) on default management 
procedures extends beyond the scope of existing paragraphs (b)(2)(i)(J) 
or (b)(2)(i)(K), DCOs should already have this information.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposed amendments to Sec.  39.15(b)(2) 
in light of the specific considerations identified in Section 15(a) of 
the CEA. The Commission believes that the proposed amendments will have 
a beneficial effect on the protection of market participants and on 
sound risk management practices. The amendments better focus the DCO 
submissions on risk management considerations that are relevant to 
address the commingling of customer positions and associated funds as 
proposed, and assure that DCOs provide the Commission with the 
information it needs to consider the regulatory adequacy of their 
efforts. These activities are ultimately directed towards protecting 
market participants whose accounts are exposed to risks the commingled 
positions introduce. The Commission has considered the other Section 
15(a) factors and believes that they are not implicated by the proposed 
amendments to Sec.  39.15(b)(2).
5. Notification of Exceptional Events--Sec.  39.18(g)
a. Benefits
    The Commission is proposing to amend Sec.  39.18(g)(1) to expand 
the scope of hardware or software malfunctions for which a DCO must 
provide notice to the Division by proposing to delete the materiality 
element from the requirement that such malfunctions materially impair, 
or create a significant likelihood of material impairment of, the DCO's 
automated systems. The

[[Page 76711]]

Commission also is proposing to amend Sec.  39.18(g)(1) to add a new 
requirement that a DCO notify the Commission of any operator error that 
impairs, or creates a significant likelihood of impairment of, 
automated system operation, reliability, security, or capacity. 
Additionally, the Commission is proposing to add new paragraph Sec.  
39.18(g)(2) that incorporates with proposed modifications the 
requirement currently in paragraph (g)(1) that a DCO notify the 
Division of security incidents and threats. The proposed modifications 
to paragraph (g)(2) expand the notification requirement by: (1) 
eliminating the existing requirement that a DCO report only targeted 
threats in favor of the proposed requirement that it report all 
qualifying threats; (2) replacing the requirement that a DCO notify the 
Division of security incidents and threats that impair, or could 
impair, the DCO's automated systems with the requirement that a DCO 
notify the Division of security incidents or threats that compromise or 
could compromise the DCO's automated systems; and (3) adding the 
requirement that a DCO notify the Division of security incidents or 
threats that compromise or could compromise the information, services, 
or data, including, but not limited to, third-party information, 
services, or data, relied upon by the DCO in discharging its 
responsibilities.
    By removing the qualifier that events be material, the proposed 
amendments to Sec.  39.18(g) will benefit DCOs by providing additional 
clarity and certainty regarding their obligations to notify the 
Division of hardware or software malfunctions, operator errors, or 
security incidents or threats, including security incidents or threats 
affecting third parties that DCOs rely upon. Additionally, removing the 
qualifier that only targeted threats must be reported to the Division, 
and also specifying that threats to third parties must be reported, may 
enhance the ability of the Division to inform other DCOs of emerging 
cyberthreats and the Commission to better assess possible emerging 
threats across DCOs.
b. Costs
    The Commission anticipates that the proposed amendments to Sec.  
39.18(g) may impose additional costs on DCOs because DCOs may be 
required to provide additional and more frequent notifications to the 
Division regarding reportable events. Although it is difficult to 
quantify these costs because they depend almost entirely upon the 
occurrence of external events that are outside of the DCO's control, 
the Commission estimates, based on recent levels of reporting, that 
these changes will require DCOs to file an additional four reports per 
year, on average. The Commission estimates that this additional 
reporting will cost each DCO approximately $152 per year.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposed amendments to Sec.  39.18(g) in 
light of the specific considerations identified in Section 15(a) of the 
CEA. To the extent that the proposed amendments to Sec.  39.18(g) 
reduce, through increased awareness and vigilance or through improved 
information collection and dissemination, the likelihood or severity of 
hardware or software malfunctions, operator errors, or security 
incidents or threats, then the proposed amendments may have a 
beneficial effect on the protection of market participants, and on 
ensuring or enhancing sound risk management practices by DCOs. The 
Commission has considered the other Section 15(a) factors and believes 
that they are not implicated by the proposed amendments to Sec.  
39.18(g).
6. Removing the Requirement To Report Variation Margin and Cash Flow 
Information by Individual Customer Account in Sec.  39.19(c)(1)(i)(B) 
and (C)
a. Benefits
    The Commission is proposing to amend Sec.  39.19(c)(1)(i)(B) and 
(C) to remove the requirement that DCOs report to the Commission on a 
daily basis variation margin and cash flows by individual customer 
account. After this requirement was adopted, the Commission learned 
that the operational and technological requirements, including the 
related data integrity and validation requirements, are significantly 
greater than originally anticipated. Indeed, the burden of these 
requirements would extend beyond DCOs and affect clearing members as 
well. In removing these requirements from Sec.  39.19(c)(1)(i)(B) and 
(C), the Commission anticipates benefits to DCOs and their clearing 
members in that their operational, technological, and compliance 
burdens would be reduced.
b. Costs
    The Commission expects that DCOs and their clearing members will 
not incur any costs related to the proposed amendments to Sec.  
39.19(c)(1)(i)(B) and (C), as the Commission is proposing to remove 
existing requirements.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposed amendments to Sec.  
39.19(c)(1)(i)(B) and (C) in light of the specific considerations 
identified in Section 15(a) of the CEA. The Commission believes that 
the proposed amendments to Sec.  39.19(c)(1)(i)(B) and (C) would have a 
moderately beneficial effect by reducing technological, operational, 
and compliance burdens of DCOs, and of their clearing members. The 
Commission also believes that the proposed amendments would not have 
any effect on protection of market participants and the public or on 
sound risk management practices because, although the Commission is 
slightly reducing the amount of information that DCOs must report to 
the Commission, the Commission is confident that it will continue to 
receive from DCOs sufficient information to effectively and efficiently 
supervise and oversee DCOs and the derivatives markets. The Commission 
has considered the other Section 15(a) factors and believes that they 
are not implicated by the proposed amendments to Sec.  
39.19(c)(1)(i)(B) and (C).
7. Codifying the Existing Reporting Fields for the Daily Reporting 
Requirements in New Appendix C to Part 39
a. Benefits
    The Commission is proposing to add a new appendix C to part 39 that 
would codify the existing reporting fields for the daily reporting 
requirements in Sec.  39.19(c)(1). Until now, the instructions, 
reporting fields, and technical specifications for daily reporting have 
been contained in the Reporting Guidebook, which the Division provides 
to DCOs to facilitate reporting pursuant to Sec.  39.19(c)(1). Although 
this proposal will not result in material benefit to currently-
registered DCOs, the Commission believes that the proposal may benefit 
prospective DCO applicants, as well as members of the industry and 
general public, by providing a detailed list of DCO daily reporting 
obligations, in contrast to the more general requirements in Sec.  
39.19(c)(1).
b. Costs
    The Commission does not expect that DCOs will incur increased costs 
related to the proposal to codify the reporting fields from the 
Reporting Guidebook as an appendix to part 39 DCOs have been relying on 
the Reporting Guidebook for nearly a decade to satisfy their daily

[[Page 76712]]

reporting obligations under Sec.  39.19(c)(1). Codifying these 
requirements into a regulatory appendix does not alter the existing 
burden that DCOs have in complying with Sec.  39.19(c)(1).
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposal to codify the Reporting 
Guidebook as an appendix to part 39 in light of the specific 
considerations identified in Section 15(a) of the CEA. The Commission 
has considered the Section 15(a) factors and believes that they are not 
implicated by the proposal to add a new appendix to part 39 that 
codifies the reporting fields set forth in the existing Reporting 
Guidebook.
8. Additional Proposed Reporting Fields for the Daily Reporting 
Requirements--Sec.  39.19(c)(1)
a. Benefits
    The Commission is proposing to add several new daily reporting 
fields that would be incorporated into new appendix C to part 39. The 
Commission is proposing to require that DCOs that clear interest rate 
swaps include in their daily reports the delta ladder, gamma ladder, 
vega ladder, zero rate curves, and yield curves that those DCOs use in 
connection with managing risks associated with interest rate swaps 
positions. The Commission also is proposing to require that DCOs 
include in their daily reports timing information about variation 
margin calls and payments. Furthermore, the Commission is proposing to 
require that DCOs that clear interest rate swaps, forward rate 
agreements, or inflation index swaps include in their daily reports the 
actual trade date for each position along with an event description. 
Lastly, the Commission is proposing to require DCOs to include in their 
daily reports information that reflects that the daily report is 
complete.
    This information would allow the Commission to conduct more 
effective oversight of DCOs, particularly in connection with 
identifying positions that create the most risk to the DCO and its 
clearing members, thereby enhancing the protections afforded to the 
markets generally. Furthermore, the Commission believes that timing 
information regarding variation margin calls and payments is an 
important component of understanding potential liquidity issues at 
DCOs, especially in circumstances where liquidity issues involving a 
single clearing member may have the potential to affect multiple DCOs.
b. Costs
    The Commission expects that the proposal to require DCOs to include 
in their daily reports timing information about variation margin calls 
and payments could impose a significant burden on DCOs, especially to 
the extent that DCOs employ systems that do not automatically affix a 
timestamp to these processes, or that cannot be modified to do so at a 
reasonable cost. The Commission requests comment on the burdens 
associated with this aspect of the proposal, as well as any burdens 
associated with the potential alternative of, in lieu of reporting the 
exact time of variation margin calls and payments, reporting whether 
calls and payments were made within a specified timeframe, such as 
beginning, middle, or end of day.
    The Commission believes that the costs associated with the 
remaining aspects of the proposal to add several new daily reporting 
fields that would be incorporated into new appendix C are negligible. 
The Commission believes that DCOs already possess this information in 
read-ready format and use it in the ordinary course of business, and 
the proposal only requires that they transmit it to the Commission in a 
standardized format. Despite these beliefs and out of an abundance of 
caution, the Commission is estimating the cost of developing and 
producing the new daily reporting fields that would be incorporated 
into new appendix C.
    The Commission estimates that the capital costs associated with the 
proposal are negligible. The Commission also estimates that any ongoing 
costs are negligible because the Commission understands that the 
preparation and submission of the daily reports required pursuant to 
Sec.  39.19(c)(1)(i) is largely automated. However, to the extent that 
a DCO does not currently use any of the information that would be 
required under the proposed new fields, or if that information is not 
accessible on an automated basis, then a DCO may incur start-up costs 
associated with reporting information pursuant to the proposed new 
fields, specifically including costs for coding, as well as testing, 
quality assurance, and compliance review. To estimate these start-up 
costs, the Commission relied upon internal subject matter experts in 
its Divisions of Data and Clearing and Risk to estimate the amount of 
time and type of DCO personnel necessary to complete the coding, 
testing, quality assurance, and compliance review. The Commission then 
used data from the Department of Labor's Bureau of Labor Statistics 
from May 2021 to estimate the total costs of this work.\38\ Using this 
method, the Commission estimates the total start-up costs to be 
approximately $109,574.43 per DCO.\39\
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    \38\ According to the May 2021 National Occupational Employment 
and Wage Estimates Report produced by the U.S. Bureau of Labor 
Statistics, available at https://www.bls.gov/oes/current/oes_nat.htm, the mean salary for a computer systems analyst in 
management companies and enterprises is $103,860. This number is 
divided by 1,800 work hours in a year to account for sick leave and 
vacations and multiplied by 2.5 to account for retirement, health, 
and other benefits, as well as for office space, computer equipment 
support, and human resources support, all of which yields an hourly 
rate of $144.25. Similarly, a computer programmer has a mean annual 
salary of $102,430, yielding an hourly rate of $142.26; a software 
quality assurance analyst and tester has a mean annual salary of 
$99,460, yielding an hourly rate of $138.14; and a compliance 
attorney has a mean annual salary of $198,900, yielding an hourly 
rate of $276.25.
    \39\ The estimate of total start-up costs consists of the 
following: $14,101.10 for the delta ladder, gamma ladder, vega 
ladder, and the zero rate curves, based on 20 hours of systems 
analyst time, 40 hours of programmer time, and 40 hours of tester 
time; $7,248.61 for adding interest rate, forward rates, and end of 
day position fields, based on 8 hours of systems analyst time, 4 
hours of programmer time, and 40 hours of tester time; $39,907.22 
for the payment file, based on 120 hours of systems analyst time, 
120 hours of programmer time, and 40 hours of tester time; 
$14,140.83 for the manifest file, based on 40 hours of systems 
analyst time, 40 hours of programmer time, and 20 hours of tester 
time; and $22,676.67 for adding the back testing fields, based on 40 
hours of systems analyst time, 80 hours of programmer time, and 40 
hours of tester time. The estimate of total start-up costs also 
includes $11,500.00 for compliance attorney review. A DCO may choose 
to employ a manifest file or alternatively a file count to the 
account and end of day position files. If a DCO elects the latter, 
the estimate of total start-up costs is reduced to $106,120.38, 
because while adding a manifest file is estimated to cost 
$14,140.83, adding file count information is estimated to cost 
$10,686.78 (based on 20 hours of systems analyst time, 16 hours of 
programmer time, and 40 hours of tester time). Additionally, the 
Commission estimates that requiring DCOs to report pricing 
information for contracts without open interest, which the 
Commission is considering, would impose start-up costs of $34,137.22 
on each DCO, based on 80 hours of systems analyst time, 120 hours of 
programmer time, and 40 hours of tester time. The $34,137.22 
estimate is not included in the estimated total start-up costs of 
$109,574.43 per DCO because, although the Commission is considering 
this requirement and is requesting comment, it has not otherwise 
proposed this requirement.
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c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposal to add these daily reporting 
fields to new appendix C to part 39 in light of the specific 
considerations identified in Section 15(a) of the CEA. The Commission 
believes that, because of its potential to provide the information 
required to better understand DCO liquidity risk from clearing members, 
the proposal that DCOs include in their daily reports

[[Page 76713]]

timing information about variation margin calls and payments is likely 
to improve protection of market participants and the public, enhance 
the financial integrity of the futures markets, and ultimately result 
in improved DCO risk management practices. The proposals to require 
DCOs to include in their daily reports delta ladder, gamma ladder, vega 
ladder, zero rate curve, and yield curve information for interest rates 
swaps, as well as trade dates for interest rate swaps, forward rate 
agreements, and inflation index swaps, are expected to provide 
information necessary for the Commission to improve its supervision and 
oversight of DCOs and the derivatives markets, which in turn is 
expected to result in improved protection of market participants and 
the public, improved financial integrity of the futures markets, and 
potentially improved DCO risk management practices. The Commission has 
considered the other Section 15(a) factors and believes that they are 
not implicated by this proposal.
9. Daily Reporting of Margin Model Back Testing--Sec.  39.19(c)(1)(i)
a. Benefits
    The Commission is proposing to add to Sec.  39.19(c)(1)(i) a 
requirement that DCOs include in their daily reports the results of the 
margin model back testing that DCOs are required to perform daily 
pursuant to Sec.  39.13(g)(7)(i). Margin model back testing results are 
a crucial element of an effective risk surveillance program; obtaining 
this information would allow the Commission to conduct more effective 
oversight of DCOs, thereby enhancing the protections afforded to the 
markets generally.
b. Costs
    The Commission expects that the proposal to require DCOs to report 
back testing results daily will impose only a negligible cost on DCOs 
because DCOs already possess this information, and they are being 
required only to transmit it to the Commission in a standardized 
format. However, to the extent that a DCO does not maintain in the 
required standardized format the information that would be required 
under the proposal, a DCO may incur initial costs related to modifying 
its systems to convert the information to the standardized format, 
specifically including costs for coding, as well as testing, quality 
assurance, and compliance review. An estimate of these start-up costs 
is included in the discussion of the estimated costs associated with 
reporting information pursuant to the proposed new fields in proposed 
appendix C. The Commission notes, however, that some DCOs are already 
voluntarily providing back testing information to the Commission on a 
weekly or monthly basis.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposal to require DCOs to report back 
testing results daily in light of the specific considerations 
identified in Section 15(a) of the CEA. The proposal to require DCOs to 
report back testing results daily is expected to improve the 
Commission's supervision of DCO risk management and, therefore, is 
expected to yield enhanced protection of market participants and the 
public, improved financial integrity of the futures markets, and also 
potentially improve DCO risk management practices. The Commission has 
considered the other Section 15(a) factors and believes that they are 
not implicated by this proposal.
10. Fully Collateralized Positions--Sec.  39.19(c)(1)(ii)
a. Benefits
    The Commission is proposing to amend Sec.  39.19(c)(1)(ii) to 
clarify that, as with Sec.  39.19(c)(1)(i), this regulation does not 
apply to fully collateralized positions. Because Sec.  39.19(c)(1)(ii) 
merely expands on Sec.  39.19(c)(1)(i) and has no independent force or 
effect, this does not represent a substantive change but merely 
provides greater clarity and certainty.
    Clarifying the applicability of Sec.  39.19(c)(1)(ii) provides 
greater certainty to DCOs, their clearing members, and their customers, 
and should prevent them from having to request guidance on this matter 
from the Commission or the Division in the future. Further, the 
Commission believes that it may increase operational efficiency for 
DCOs that clear fully collateralized positions.
b. Costs
    The Commission does not anticipate any non-negligible change in 
costs resulting from this proposal.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits in light of the specific considerations 
identified in Section 15(a) of the CEA. In consideration of Section 
15(a)(2)(B) of the CEA, the Commission believes that the proposal to 
clarify Sec.  39.19(c)(1)(ii) may increase operational efficiency for 
DCOs that clear fully collateralized positions. The Commission has 
considered the other Section 15(a) factors and believes that they are 
not implicated by the proposed amendments.
11. Reporting Change of Control of the DCO--Sec.  39.19(c)(4)(ix)(A)(1)
a. Benefits
    Regulation 39.19(c)(4)(ix)(A)(1) requires a DCO to report any 
change in the ownership or corporate or organizational structure of the 
DCO or its parent(s) that would result in at least a 10 percent change 
of ownership of the DCO. The Commission is proposing to amend Sec.  
39.19(c)(4)(ix)(A)(1) to require a DCO to report any change in the 
ownership or corporate or organizational structure of the DCO or its 
parent(s) that would result in a change to the entity or person holding 
a controlling interest in the DCO, whether through an increase in 
direct ownership or voting interest in the DCO or in a direct or 
indirect corporate parent entity of the DCO. This proposal would ensure 
that the Commission has accurate knowledge of the individuals or 
entities that control a DCO and its activities regardless of the 
corporate structures of the equity holders of the DCO.
b. Costs
    The Commission expects the costs related to the proposed amendments 
to Sec.  39.19(c)(4)(ix)(A)(1) to be negligible. Specifically, the 
Commission expects a negligible cost burden with respect to the 
proposed changes, in part because the changes of control contemplated 
by the proposal occur infrequently. In addition, DCOs have typically 
notified the Commission of such changes of control even if not 
technically required by the current regulations. The administrative 
burden of notifying the Commission--preparing a notification, attaching 
relevant but pre-existing supporting documents such as the revised 
organizational chart, and submitting to the Commission--is negligible.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposed amendments to Sec.  
39.19(c)(4)(ix)(A)(1) in light of the specific considerations 
identified in Section 15(a) of the CEA. The Commission believes that 
the proposed amendments may have a moderately beneficial effect on 
protection of market participants and the public, as well as on the 
financial integrity of the futures markets, because the proposed 
amendments would provide the Commission with a better

[[Page 76714]]

understanding of the organizational structure of the DCO and its 
position in the broader markets. The Commission has considered the 
other Section 15(a) factors and believes that they are not implicated 
by the proposed amendments to Sec.  39.19(c)(4)(ix)(A)(1).
11. Reporting Issues With Credit Facility Funding Arrangements, 
Liquidity Funding Arrangements, Custodian Banks, and Settlement Banks--
Sec.  39.19(c)(4)(xv)
a. Benefits
    The Commission is proposing to amend Sec.  39.19(c)(4)(xv), which 
currently requires reporting of issues or concerns with regard to 
settlement banks only, to require that a DCO report to the Commission 
within one business day after it becomes aware of any material issues 
or concerns regarding the performance, stability, liquidity, or 
financial resources of any credit facility funding arrangement, 
liquidity funding arrangement, custodian bank, or settlement bank used 
by the DCO or approved for use by the DCO's clearing members. Requiring 
the reporting of this information will promote the Commission's 
awareness of material issues or concerns that may impact a DCO's 
operations and its compliance with its regulatory obligations.
b. Costs
    The Commission expects that the costs related to the proposed 
amendments to Sec.  39.19(c)(4)(xv) will be negligible. Specifically, 
because a DCO is only required to report these issues when it becomes 
aware of them, and given that these events are not very common, any 
cost increase is estimated to be negligible.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposed amendments to Sec.  
39.19(c)(4)(xv) in light of the specific considerations identified in 
Section 15(a) of the CEA. The Commission believes that the proposed 
amendments to Sec.  39.19(c)(4)(xv) may potentially have a beneficial 
effect on protection of market participants and the public, as well as 
on the financial integrity of the futures markets, because the proposed 
amendments would provide the Commission with new, additional 
information that is anticipated to assist the Commission in its 
supervision of DCOs and oversight of the derivatives markets. 
Additionally, this information could be time-sensitive and critically 
important in times of market stress or broader economic upheaval. The 
Commission has considered the other Section 15(a) factors and believes 
that they are not implicated by the proposed amendments to Sec.  
39.19(c)(4)(xv).
12. Reporting of Updated Responses to the Disclosure Framework for 
Financial Market Infrastructures--Sec.  39.19(c)(4)(xxv)
a. Benefits
    The Commission is proposing new Sec.  39.19(c)(4)(xxv) to codify in 
Sec.  39.19 the requirement in Sec.  39.37(b)(2) that, when a DCO 
updates 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 in accordance with Sec.  39.37(b)(1), the DCO shall provide 
notice of those updates to the Commission. The proposed amendment 
further centralizes within Sec.  39.19 the obligations of DCOs to 
report information to the Commission, which may be of some benefit to 
affected DCOs by consolidating their reporting obligations within one 
location.
b. Costs
    The Commission does not anticipate any costs associated with the 
proposed adoption of Sec.  39.19(c)(4)(xxv) because it does not alter 
the reporting obligations of DCOs.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposed adoption of Sec.  
39.19(c)(4)(xxv) in light of the specific considerations identified in 
Section 15(a) of the CEA. The Commission has considered the Section 
15(a) factors and believes that they are not implicated by the proposed 
adoption of Sec.  39.19(c)(4)(xxv).
13. Publication of Margin-Setting Methodology and Financial Resource 
Package Information--Sec.  39.21(c)(3) and (4)
a. Benefits
    The Commission is proposing to amend Sec.  39.21(c)(3) and (4) to 
provide that a DCO that clears only fully collateralized positions is 
not required to disclose its margin-setting methodology, or information 
regarding the size and composition of its financial resource package 
for use in a default, if instead the DCO discloses that it does not 
employ a margin-setting methodology or maintain a financial resource 
package because it clears only fully collateralized positions. The 
Commission anticipates the public may benefit from increased clarity 
regarding the risks that market participants may face at such a DCO 
because the full collateralization requirement is intended to mitigate 
such risk.
b. Costs
    The Commission does not anticipate any costs associated with the 
proposed amendment to Sec.  39.21(c)(3) and (4).
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposed amendments to Sec.  39.21(c)(3) 
and (4) in light of the specific considerations identified in Section 
15(a) of the CEA. The Commission believes that the proposed amendments 
to Sec.  39.21(c)(3) and (4) would serve the broader public interest 
due to the increased clarity regarding the risks that market 
participants may face at such a DCO, as the full collateralization 
requirement is intended to mitigate such risk. The Commission has 
considered the other Section 15(a) factors and believes that they are 
not implicated by the proposed amendments to Sec.  39.21(c)(3) and (4).
14. Excluding Eligible DCOs From the Requirement in Sec.  39.21(c)(7) 
To Publish a List of Clearing Members
a. Benefits
    The Commission is proposing to amend Sec.  39.21(c)(7) to provide 
that a DCO may omit any non-FCM clearing member that clears only fully 
collateralized positions, and therefore does not share in the 
mutualized risk associated with clearing activity, from its published 
list of clearing members. The Commission anticipates that the proposed 
amendment would reduce operational and compliance burdens on eligible 
DCOs. This is a significant benefit because, given the manner in which 
they engage directly with market participants, DCOs that provide for 
fully collateralized clearing may have a large number of non-FCM 
clearing participants and a high volume of turnover among such 
participants.
b. Costs
    The Commission does not anticipate any costs associated with the 
proposed amendments to Regulation 39.21(c)(7), as the proposed rule 
reduces the public disclosure requirements that apply to DCOs that 
provide for fully collateralized clearing.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposed amendments to Sec.  39.21(c)(7) 
in light of

[[Page 76715]]

the specific considerations identified in Section 15(a) of the CEA. The 
Commission believes that the proposed amendments to Sec.  39.21(c)(7) 
would have a limited and rather moderately beneficial effect on the 
efficiency and competitiveness of the futures markets, specifically 
with regard to the operations of the eligible DCOs themselves, because 
eligible DCOs would enjoy the reduced burden of being excused from 
including non-FCM clearing members that clear only fully collateralized 
positions in their published lists of clearing participants. 
Additionally, with respect to public interest considerations, the 
Commission believes that the proposed amendments to Sec.  39.21(c)(7) 
would have a moderately beneficial effect on non-FCM market 
participants that clear through eligible DCOs, because those market 
participants would benefit from the additional privacy afforded to them 
when they are not publicly listed as clearing members on the DCO's 
website. The Commission has considered the other Section 15(a) factors 
and believes that they are not implicated by the proposed amendments to 
Sec.  39.21(c)(7).
15. Clarifying the Disclosure Obligations in Sec.  39.37
a. Benefits
    The Commission is proposing to amend Sec.  39.37(c) and (d) to 
clarify that public disclosure of the information described in those 
paragraphs is all that is required. The proposed changes to Sec.  
39.37(c) and (d) would provide a modest benefit to SIDCOs and subpart C 
DCOs by clarifying that a separate report directly to the Commission of 
information that the DCO discloses publicly pursuant to Sec.  39.37(c) 
and (d) is not required.
b. Costs
    The Commission has not identified any costs associated with the 
proposed changes to Sec.  39.37(c) and (d).
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the proposed amendment of Sec.  39.37(c) and 
(d) in light of the specific considerations identified in Section 15(a) 
of the CEA. The Commission has considered the Section 15(a) factors and 
believes that they are not implicated by the proposed changes.
16. Proposed Amendments to Sec.  140.94(c)(10)
a. Benefits
    The Commission is proposing to amend Sec.  140.94(c)(10) to provide 
the Director of the Division with delegated authority to request 
additional information that the Commission determines to be necessary 
to conduct oversight of the DCO, and to specify the format and manner 
of the DCO reporting requirements. The Commission believes the proposed 
delegation of authority would promote a more expedient process to 
address these aspects of the reporting requirements under Sec.  39.19.
b. Costs
    The Commission has not identified any costs associated with the 
proposed amendments to Sec.  140.94(c)(10).
c. Section 15(a) Factors
    The Commission has considered the Section 15(a) factors and 
believes that they are not implicated by this proposed amendment.

D. Antitrust Considerations

    Section 15(b) of the CEA requires the Commission to take into 
consideration the public interest to be protected by the antitrust laws 
and endeavor to take the least anticompetitive means of achieving the 
purposes of the CEA, in issuing any order or adopting any Commission 
rule or regulation.\40\
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    \40\ 7 U.S.C. 19(b).
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    The Commission believes that the public interest to be protected by 
the antitrust laws is the promotion of competition. The Commission 
requests comment on whether the proposed amendments implicate any other 
specific public interest to be protected by the antitrust laws. The 
Commission has considered the proposed rulemaking to determine whether 
it is anticompetitive and has identified no anticompetitive effects. 
The Commission requests comment on whether the proposed rulemaking is 
anticompetitive and, if it is, what the anticompetitive effects are.
    Because the Commission has determined that the proposed rule 
amendments are not anticompetitive and have no anticompetitive effects, 
the Commission has not identified any less anticompetitive means of 
achieving the purposes of the CEA. The Commission requests comment on 
whether there are less anticompetitive means of achieving the relevant 
purposes of the CEA that would otherwise be served by adopting the 
proposed rule amendments.

List of Subjects in 17 CFR Part 39

    Reporting and recordkeeping requirements.

    For the reasons stated in the preamble, the Commodity Futures 
Trading Commission proposes to amend 17 CFR chapter I as follows:

PART 39--DERIVATIVES CLEARING ORGANIZATIONS

0
1. The authority citation for part 39 continues to read as follows:

    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.

0
2. Amend Sec.  39.13 by revising paragraph (h)(5)(i)(B), removing 
paragraph (C), and adding paragraph (iii), to read as follows:


Sec.  39.13  Risk management.

* * * * *
    (h) * * *
    (5) * * *
    (i) * * *
    (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) * * *
    (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.
* * * * *
0
3. Amend Sec.  39.15 by revising paragraph (b)(2) to read as follows:


Sec.  39.15  Treatment of funds.

* * * * *
    (b) * * *
    (2) Commingling. In order for a derivatives clearing organization 
and its clearing members to commingle customer positions in futures, 
options, foreign futures, foreign options, and swaps, or any 
combination thereof, and any money, securities, or property received to 
margin, guarantee or secure such positions, in an account subject to 
the requirements of sections 4d(a) or 4d(f) of the Act, the derivatives 
clearing organization shall file rules for Commission approval pursuant 
to the requirements and standard of review of Sec.  40.5 of this 
chapter. Such rule submission shall include, at a minimum, the 
following:
    (i) Identification of the products that would be commingled, 
including product specifications or the criteria

[[Page 76716]]

that would be used to define eligible products;
    (ii) Analysis of the risk characteristics of the eligible products, 
including any characteristics that are unusual in relation to the other 
products cleared by the derivatives clearing organization, and of the 
derivatives clearing organization's ability to manage those risks;
    (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 Sec.  
39.13(g)(4) of this chapter; and
    (viii) Any other information necessary for the Commission to 
determine the rule submission's compliance with the Act and the 
Commission's regulations, 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 Sec.  40.5(d) of this chapter in order to request and 
obtain supplemental information as necessary.
* * * * *
0
4. Amend Sec.  39.18 by adding to paragraph (a) in alphabetical order 
the definitions of ``Automated system'' and ``Hardware or software 
malfunction'', revising paragraphs (g)(1) and (2), and adding paragraph 
(g)(3) to read as follows:


Sec.  39.18  System safeguards.

    (a) * * *
* * * * *
    Automated system means computers, ancillary equipment, software, 
firmware, and similar procedures, services (including support 
services), and related resources that a derivatives clearing 
organization uses in its operations.
* * * * *
    Hardware or software malfunction means any circumstance where an 
automated system or a manually initiated process fails to function as 
designed or intended, or the output of the software produces an 
inaccurate result.
* * * * *
    (g) * * *
    (1) Any hardware or software malfunction or operator error that 
impairs, or creates a significant likelihood of impairment of, 
automated system operation, reliability, security, or capacity;
    (2) Any security incident or threat that compromises or could 
compromise the confidentiality, availability, or integrity of any 
automated system or any information, services, or data, including, but 
not limited to, third-party information, services, or data, relied upon 
by the derivatives clearing organization in discharging its 
responsibilities; or
    (3) Any activation of the derivatives clearing organization's 
business continuity and disaster recovery plan.
* * * * *
0
5. Amend Sec.  39.19 by:
0
a. Revising paragraphs (c)(1)(i) and the introductory text of paragraph 
(c)(1)(ii),
0
b. Adding paragraph (c)(1)(iii),
0
c. Revising paragraphs (c)(4)(ix)(A)(1), (xii), (xiii), and (xv), and
0
d. Adding paragraph (c)(4)(xxv).
    The revisions and additions read as follows:


Sec.  39.19  Reporting.

* * * * *
    (c) * * *
    (1) * * *
    (i) A derivatives clearing organization shall compile as of the end 
of each trading day, and submit to the Commission by 10:00 a.m. on the 
next business day, a report containing the results of the back testing 
required under Sec.  39.13(g)(7)(i), and the following information 
related to all positions other than fully collateralized positions:
    (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:
* * * * *
    (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 fields that is necessary or appropriate to better 
capture the information that is being reported.
* * * * *
    (4) * * *
    (ix) * * *
    (A) * * *
    (1) Result in at least a 10 percent change of ownership of the 
derivatives clearing organization or a change to the entity or person 
holding a controlling interest in the derivatives clearing 
organization, whether through an increase in direct ownership or voting 
interest in the derivatives clearing organization or in a direct or 
indirect

[[Page 76717]]

corporate parent entity of the derivatives clearing organization;
* * * * *
    (xii) Change in credit facility funding arrangement. A derivatives 
clearing organization shall report to the Commission no later than one 
business day after the derivatives clearing organization enters into, 
terminates, or changes a credit facility funding arrangement, or is 
notified that such arrangement has changed, including but not limited 
to a change in lender, change in the size of the facility, change in 
expiration date, or any other material changes or conditions.
    (xiii) Change in liquidity funding arrangement. A derivatives 
clearing organization shall report to the Commission no later than one 
business day after the derivatives clearing organization enters into, 
terminates, or changes a liquidity funding arrangement, or is notified 
that such arrangement has changed, including but not limited to a 
change in provider, change in the size of the arrangement, change in 
expiration date, or any other material changes or conditions.
* * * * *
    (xv) Issues with credit facility funding arrangements, liquidity 
funding arrangements, custodian banks, or settlement banks. A 
derivatives clearing organization shall report to the Commission no 
later than one business day after it becomes aware of any material 
issues or concerns regarding the performance, stability, liquidity, or 
financial resources of any credit facility funding arrangement, 
liquidity funding arrangement, custodian bank, or settlement bank used 
by the derivatives clearing organization or approved for use by the 
derivatives clearing organization's clearing members.
* * * * *
    (xxv) Updates to Responses to the Disclosure Framework for 
Financial Market Infrastructures. A systemically important derivatives 
clearing organization or a subpart C derivatives clearing organization 
that updates 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 pursuant to Sec.  39.37(b)(1) must provide to 
the Commission, within ten business days after such update, a copy of 
the text of the responses that shows all deletions and additions made 
to the immediately preceding version of the responses, as required by 
Sec.  39.37(b)(2).
* * * * *
0
6. Amend Sec.  39.21 by revising paragraphs (c)(3), (4), and (7) to 
read as follows:


Sec.  39.21  Public information.

* * * * *
    (c) * * *
    (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 Sec.  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;
* * * * *
    (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;
* * * * *
0
7. Amend Sec.  39.25 by revising paragraph (c) to read as follows:


Sec.  39.25  Conflicts of interest.

* * * * *
    (c) Have procedures for identifying, addressing, and managing 
conflicts of interest involving members of the board of directors.
* * * * *
0
8. Amend Sec.  39.37 by revising paragraphs (c) and the introductory 
text of paragraph (d) to read as follows:


Sec.  39.37  Additional disclosure for systemically important 
derivatives clearing organizations and subpart C derivatives clearing 
organizations.

* * * * *
    (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:
* * * * *
0
9. Add new Appendix C to part 39 to read as follows:

Appendix C to Part 39--Daily Reporting Data Fields

A. Daily Cash Flow Reporting

----------------------------------------------------------------------------------------------------------------
                                                                                                    Individual
                Field name                              Description                 House &          customer
                                                                                customer origin      account
----------------------------------------------------------------------------------------------------------------
                                    Common Fields (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Total Message Count.......................  The total number of reports                      M                M
                                             included in the file.
FIXML Message Type........................  FIXML account summary report type.               M                M
Sender ID.................................  The CFTC-issued derivatives                      M                M
                                             clearing organization (DCO)
                                             identifier.
To ID.....................................  Indicate ``CFTC''.................               M                M
Message Transmit Datetime.................  The date and time the file is                    M                M
                                             transmitted.
Report ID.................................  A unique identifier assigned by                  M                M
                                             the CFTC to each clearing member
                                             report.
Report Date...............................  The business date of the                         M                M
                                             information being reported.
Base Currency.............................  Base currency referenced                         M                M
                                             throughout report; provide
                                             exchange rate against this
                                             currency.
Report Time (Message Create Time).........  The report ``as of'' or                          M                M
                                             information cut-off time.
DCO Identifier............................  CFTC-assigned identifier for a DCO               M                M
Clearing Participant Identifier...........  DCO-assigned identifier for a                    M                M
                                             particular clearing member.
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                 C                C
                                             a particular clearing member.

[[Page 76718]]

 
Clearing Participant LEI Name.............  The LEI name associated with the                  C                C
                                             clearing member LEI.
Customer Position Identifier..............  Proprietary identifier for a                      C             N/A
                                             particular customer position
                                             account. If the position is non-
                                             disclosed, then indicate
                                             ``NONDISCLOSED''. If the position
                                             is not in balance at end-of-day
                                             through member underreporting
                                             positions, then indicate
                                             ``BALANCE ACCOUNT''. If the
                                             position is adjusted post end-of-
                                             day, then indicate
                                             ``POSITIONDIFFERENCE''.
Customer Position Name....................  The name associated with the                     M              N/A
                                             customer position identifier.
Customer Position Account Type............  Type of account used for reporting                C             N/A
Customer LEI..............................  LEI for a particular customer;                 N/A                 C
                                             provide if available.
Customer LEI Name.........................  The LEI name associated with the               N/A                 C
                                             customer position LEI.
Margin Account............................  Margin account identifier.........               M              N/A
Customer Margin Name......................  The name associated with the                   N/A                 C
                                             customer margin identifier. If
                                             the position is non-disclosed,
                                             then indicate ``NON-DISCLOSED
                                             MARGIN''.
Unique Margin Identifier..................  A single field that uniquely                     M                M
                                             identifies the margin account.
                                             This field is used to identify
                                             associated positions.
Customer Margin Identifier................  Proprietary identifier for a                   N/A                M
                                             particular customer. If the
                                             position is non-disclosed, then
                                             indicate ``NON-DISCLOSED
                                             MARGIN''. If the position is not
                                             in balance at end-of-day through
                                             member underreporting or
                                             overreporting positions, then
                                             indicate ``EXCESS MARGIN''. If
                                             the position is adjusted post end-
                                             of-day, then indicate
                                             ``POSITIONDIFFERENCE''.
Customer Margin Account Type..............  Account type indicator............             N/A                M
File number and count.....................  Each FIXML file should indicate                  M                M
                                             its sequence (e.g., ``file 1 of
                                             10'').
----------------------------------------------------------------------------------------------------------------
                                 Futures and Options (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Additional Margin.........................  Any additional margin required in                M              N/A
                                             excess of initial margin. For
                                             example, this figure should
                                             include any liquidity/
                                             concentration charge if the
                                             charge is not included in the
                                             initial margin.
Concentration Risk........................  Risk factor component to capture                  C                C
                                             costs associated with the
                                             liquidation of a large position.
Delivery Margin...........................  Margin collected to cover delivery                C             N/A
                                             risk.
Initial Margin............................  Margin requirement calculated by                 M                M
                                             the DCO's margin methodology.
                                             Unless an integral part of the
                                             margin methodology, this figure
                                             should not include any additional
                                             margin add-ons.
Liquidity Risk............................  Risk component to capture bid/                    C                C
                                             offer costs associated with the
                                             liquidation of a large portfolio.
Margin Calls..............................  Any outstanding margin call that                 M              N/A
                                             has been issued but not collected
                                             as of the end of the trade date.
Total Margin..............................  The total margin requirement for                 M              N/A
                                             the origin. This margin
                                             requirement should include the
                                             initial margin requirement plus
                                             any additional margin required by
                                             the DCO.
Variation Margin..........................  Variation margin should include                  M              N/A
                                             the net sum of all cash flows
                                             between the DCO and clearing
                                             members by origin.
Market Move Risk..........................  Margin amount associated with                     C                C
                                             market move risk.
Margin Savings............................  The margin savings amount for the                 C             N/A
                                             clearing member where there is a
                                             cross-margining agreement with
                                             another DCO.
Collateral on Deposit.....................  The collateral on deposit for an                 M              N/A
                                             origin. This amount should
                                             include all collateral after all
                                             haircuts that have been deposited
                                             to cover the total margin
                                             requirement.
Option Premium............................  Premium registered on the given                   C             N/A
                                             trading date. The amount of money
                                             that the options buyer must pay
                                             the options seller.
Net Option Value..........................  The credit or debit amount based                  C                C
                                             on the long or short options
                                             positions.
Backdated Profit and Loss.................  The profit and loss (P&L)                        O              N/A
                                             attributed to positions added
                                             that were novated on a prior date.
Day Trading Profit and Loss...............  The P&L attributed to the day's                   C             N/A
                                             trades.
Position Profit and Loss..................  The P&L of the previous day's                     C             N/A
                                             position with today's price
                                             movement.
Total Profit and Loss.....................  Unrealized P&L or mark-to-market                 M              N/A
                                             value of position(s) including
                                             change in mark to market (Total
                                             P&L = Position P&L + Day Trading
                                             P&L + Backdated P&L).
Customer Margin Omnibus Parent............  The margin identifier for the                  N/A                 C
                                             omnibus account associated with
                                             the customer margin identifier.
                                             (Conditional on reported customer
                                             position being part of a
                                             separately reported omnibus
                                             account position.).
----------------------------------------------------------------------------------------------------------------
                                   Commodity Swaps (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Additional Margin.........................  Any additional margin required in                M              N/A
                                             excess of initial margin. For
                                             example, this figure should
                                             include any liquidity/
                                             concentration charge if the
                                             charge is not included in the
                                             initial margin.
Initial Margin............................  Margin requirement calculated by                 M                M
                                             the DCO's margin methodology.
                                             Unless an integral part of the
                                             margin methodology, this figure
                                             should not include any additional
                                             margin add-ons.
Margin Calls..............................  Any outstanding margin call that                 M              N/A
                                             has been issued but not collected
                                             as of the end of the trade date.
Total Margin..............................  The total margin requirement for                 M                M
                                             the origin. This margin
                                             requirement should include the
                                             initial margin requirement plus
                                             any additional margin required by
                                             the DCO.
Variation Margin..........................  Variation margin should include                  M              N/A
                                             the net sum of all cash flows
                                             between the DCO and clearing
                                             members by origin.
Collateral on Deposit.....................  The collateral on deposit for an                 M              N/A
                                             origin. This amount should
                                             include all collateral after all
                                             haircuts that have been deposited
                                             to cover the total margin
                                             requirement.
Option Premium............................  Premium registered on the given                   C             N/A
                                             trading date. The amount of money
                                             that the options buyer must pay
                                             the options seller.
Net Cash Flow.............................  Net cash flow recognized on report                C             N/A
                                             date (with actual settlements
                                             occurring according to the
                                             currency's settlement
                                             conventions). E.g., profit/loss,
                                             price alignment interest, cash
                                             payments (fees, coupons, etc.).
Backdated Profit and Loss.................  The P&L attributed to positions                   C             N/A
                                             added that were novated on a
                                             prior date.
Day Trading Profit and Loss...............  The P&L attributed to the day's                   C             N/A
                                             trades.
Position Profit and Loss..................  The P&L of the previous day's                     C             N/A
                                             position with today's price
                                             movement.
Total Profit and Loss.....................  Unrealized P&L or mark to market                 M              N/A
                                             value of position(s) including
                                             change in mark to market (Total
                                             P&L = Position P&L + Day Trading
                                             P&L + Backdated P&L).
----------------------------------------------------------------------------------------------------------------

[[Page 76719]]

 
                                Credit Default Swaps (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Additional Margin.........................  Any additional margin required in                M              N/A
                                             excess of initial margin. For
                                             example, this figure should
                                             include any liquidity/
                                             concentration charge if the
                                             charge is not included in the
                                             initial margin.
Concentration Risk........................  Risk factor component to capture                  C                C
                                             costs associated with the
                                             liquidation of a large position.
Initial Margin............................  Margin requirement calculated by                 M                M
                                             the DCO's margin methodology.
                                             Unless an integral part of the
                                             margin methodology, this figure
                                             should not include any additional
                                             margin add-ons.
Liquidity Risk............................  Risk component to capture bid/                    C                C
                                             offer costs associated with the
                                             liquidation of a large portfolio.
Margin Calls..............................  Any outstanding margin call that                 M              N/A
                                             has been issued but not collected
                                             as of the end of the trade date.
Total Margin..............................  The total margin requirement for                 M                 C
                                             the origin. This margin
                                             requirement should include the
                                             initial margin requirement plus
                                             any additional margin required by
                                             the DCO.
Variation Margin..........................  Variation margin should include                  M              N/A
                                             the net sum of all cash flows
                                             between the DCO and clearing
                                             members by origin.
Spread Response Risk......................  Risk factor component associated                  C                C
                                             with credit spread level changes
                                             and credit term structure shape
                                             changes.
Systemic Risk.............................  Risk factor component to capture                  C                C
                                             parallel shift of credit spreads.
Curve Risk................................  Risk factor that captures curve                   C                C
                                             shifts based on portfolio.
Index Spread Risk.........................  Risk factor component associated                  C                C
                                             with risks due to widening/
                                             tightening spreads of credit
                                             default swap (CDS) indices
                                             relative to each other.
Sector Risk...............................  Risk factor component to capture                  C                C
                                             sector risk.
Jump to Default Risk......................  Risk factor component to capture                  C                C
                                             most extreme up/down move of a
                                             reference entity.
Basis Risk................................  Risk factor component to capture                  C                C
                                             basis risk between index and
                                             index constituent reference
                                             entities.
Interest Rate Risk........................  Risk factor component associated                  C                C
                                             with parallel shift movements in
                                             interest rates.
Jump to Health Risk.......................  Risk factor component to capture                  C                C
                                             extreme narrowing of credit
                                             spreads of a reference entity;
                                             also known as ``idiosyncratic
                                             risk''.
Other Risk................................  Any other risk factors included in                C                C
                                             the margin model.
Recovery Rate Sensitivity Risk............  Risk factor component to capture                  C                C
                                             fluctuations of recovery rate
                                             assumptions.
Wrong Way Risk............................  Risk that occurs when exposure to                 C                C
                                             a counterparty is adversely
                                             correlated with the credit
                                             quality of that counterparty. It
                                             arises when default risk and
                                             credit exposure increase together.
Collateral on Deposit.....................  The collateral on deposit for an                 M              N/A
                                             origin. This amount should
                                             include all collateral after all
                                             haircuts that have been deposited
                                             to cover the total margin
                                             requirement.
Option Premium............................  Premium registered on the given                   C             N/A
                                             trading date. The amount of money
                                             that the options buyer must pay
                                             the options seller.
Initial Coupon............................  Amount of coupon premium amount                  O              N/A
                                             accrued from the start of the
                                             current coupon period through the
                                             trade date (Indicate gross pay/
                                             collect amounts.).
Upfront Payment...........................  The difference in market value                   O              N/A
                                             between the standard coupon and
                                             the market spread as well as the
                                             coupon accrued through the trade
                                             date. (Indicate gross pay/collect
                                             amounts).
Trade Cash Adjustment.....................  Additional cash amount on trades.                 C             N/A
                                             (Indicate gross pay/collect
                                             amounts).
Quarterly Coupon..........................  Regular payment of quarterly                     O              N/A
                                             coupon premium amounts (Indicate
                                             gross pay/collect amounts).
Credit Event Payments.....................  Cash settlement of credit events.                 C             N/A
                                             (Indicate gross pay/collect
                                             amounts).
Accrued Coupon............................  Coupon obligation from the first                 M              N/A
                                             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).
Final Mark to Market......................  Determined by marking the end-of-                M              N/A
                                             day position from par (100%) to
                                             the end-of-day settlement price.
Backdated Profit and Loss.................  The P&L attributed to positions                   C             N/A
                                             added that were novated on a
                                             prior date.
Day Trading Profit and Loss...............  The P&L attributed to the day's                   C             N/A
                                             trades.
Position Profit and Loss..................  The P&L of the previous day's                     C             N/A
                                             position with today's price
                                             movement.
Total Profit and Loss.....................  Unrealized P&L or mark-to-market                 M              N/A
                                             value of position(s) including
                                             change in mark to market (Total
                                             P&L = Position P&L + Day Trading
                                             P&L + Backdated P&L).
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                  M              N/A
                                             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
                                             with respect to CDS.
----------------------------------------------------------------------------------------------------------------
                                  Foreign Exchange (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Additional Margin.........................  Any additional margin required in                M              N/A
                                             excess of initial margin. For
                                             example, this figure should
                                             include any liquidity/
                                             concentration charge if the
                                             charge is not included in the
                                             initial margin.
Initial Margin............................  Margin requirement calculated by                 M                M
                                             the DCO's margin methodology.
                                             Unless an integral part of the
                                             margin methodology, this figure
                                             should not include any additional
                                             margin add-ons.
Margin Calls..............................  Any outstanding margin call that                 M              N/A
                                             has been issued but not collected
                                             as of the end of the trade date.
Total Margin..............................  The total margin requirement for                 M                M
                                             the origin. This margin
                                             requirement should include the
                                             initial margin requirement plus
                                             any additional margin required by
                                             the DCO.
Variation Margin..........................  Variation margin should include                  M              N/A
                                             the net sum of all cash flows
                                             between the DCO and clearing
                                             members by origin.
Collateral on Deposit.....................  The collateral on deposit for an                 M              N/A
                                             origin. This amount should
                                             include all collateral after all
                                             haircuts that have been deposited
                                             to cover the total margin
                                             requirement.
Other Payments............................  Includes any upfront and/or final/               M              N/A
                                             settlement payments made/received
                                             for the trade date. (Indicate
                                             gross pay/collect amounts).
Option Premium............................  Premium registered on the given                   C             N/A
                                             trading date. The amount of money
                                             that the options buyer must pay
                                             the options seller.
Price Alignment Interest..................  To minimize the impact of daily                  M              N/A
                                             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
                                             with respect to FX.
Backdated Profit and Loss.................  The P&L attributed to positions                   C             N/A
                                             added that were novated on a
                                             prior date.
Day Trading Profit and Loss...............  The P&L attributed to the day's                   C             N/A
                                             trades.
Position Profit and Loss..................  The P&L of the previous day's                     C             N/A
                                             position with today's price
                                             movement.
Total Profit and Loss.....................  Unrealized P&L or mark-to-market                 M              N/A
                                             value of position(s) including
                                             change in mark to market (Total
                                             P&L = Position P&L + Day Trading
                                             P&L + Backdated P&L).
----------------------------------------------------------------------------------------------------------------

[[Page 76720]]

 
                                 Interest Rate Swaps (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Additional Margin.........................  Any additional margin required in                M              N/A
                                             excess of initial margin. For
                                             example, this figure should
                                             include any liquidity/
                                             concentration charge if the
                                             charge is not included in the
                                             initial margin.
Initial Margin............................  Margin requirement calculated by                 M                M
                                             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.
Margin Calls..............................  Any outstanding margin call that                 M              N/A
                                             has been issued but not collected
                                             as of the end of the trade date.
Total Margin..............................  The total margin requirement for                 M                M
                                             the origin. This margin
                                             requirement should include the
                                             initial margin requirement plus
                                             any additional margin required by
                                             the DCO.
Variation Margin..........................  Variation margin should include                  M              N/A
                                             the net sum of all cash flows
                                             between the DCO and clearing
                                             members by origin.
Cross-Margined Products Profit/Loss.......  P&L resulting from changes in                     C             N/A
                                             value due to changes in the
                                             futures price. This P&L should
                                             only include changes to the cross-
                                             margined futures in the account.
Option Premium............................  Premium registered on the given                   C             N/A
                                             trading date. The amount of money
                                             that the options buyer must pay
                                             the options seller.
Collateral on Deposit.....................  The collateral on deposit for an                 M              N/A
                                             origin. This amount should
                                             include all collateral after all
                                             haircuts that have been deposited
                                             to cover the total margin
                                             requirement.
Other Payments............................  Includes any upfront and/or final/                C             N/A
                                             settlement payments made/received
                                             for the trade date. (Indicate
                                             gross pay/collect amounts).
Net Coupon Payment........................  Net amount of any coupon cash                    M              N/A
                                             flows recognized on report date
                                             but actually occurring on
                                             currency's settlement convention
                                             date. (Indicate gross pay/collect
                                             amounts).
Net Present Value.........................  Net present value (NPV) of all                   M              N/A
                                             positions by currency..
Net Present Value Previous................  Previous day's NPV by currency....               M              N/A
PV of Other Payments......................  Includes the present value of any                M              N/A
                                             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.
Price Alignment Interest..................  To minimize the impact of daily                  M              N/A
                                             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
                                             with respect to IRS by currency.
Accrued Coupon............................  Coupon obligation from the first                 M              N/A
                                             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).
Backdated Profit and Loss.................  The P&L attributed to positions                   C             N/A
                                             added that were novated on a
                                             prior date.
Day Trading Profit and Loss...............  The P&L attributed to the day's                   C             N/A
                                             trades.
Position Profit and Loss..................  The P&L of the previous day's                     C             N/A
                                             position with today's price
                                             movement.
Total Profit and Loss.....................  Unrealized P&L or mark-to-market                 M              N/A
                                             value of position(s) including
                                             change in mark to market (Total
                                             P&L = Position P&L + Day Trading
                                             P&L + Backdated P&L).
----------------------------------------------------------------------------------------------------------------
                                 Equity Cross Margin (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Additional Margin.........................  Any additional margin required in                M              N/A
                                             excess of initial margin. For
                                             example, this figure should
                                             include any liquidity/
                                             concentration charge if the
                                             charge is not included in the
                                             initial margin.
Initial Margin............................  This equity margin requirement                   M                M
                                             will include the initial margin
                                             requirement without any
                                             additional margin required by the
                                             DCO.
Liquidity Risk............................  Risk component to capture bid/                    C                C
                                             offer costs associated with the
                                             liquidation of a large portfolio.
Margin Calls..............................  Any outstanding margin call that                 M              N/A
                                             has been issued but not collected
                                             as of the end of the trade date.
Total Margin..............................  The total margin requirement for                 M              N/A
                                             the origin. This margin
                                             requirement should include the
                                             initial margin requirement plus
                                             any additional margin required by
                                             the DCO.
Variation Margin..........................  Variation margin should include                  M              N/A
                                             the net sum of all cash flows
                                             between the DCO and clearing
                                             members by origin.
Collateral on Deposit.....................  The collateral on deposit for an                 M              N/A
                                             origin. This amount should
                                             include all collateral after all
                                             haircuts that have been deposited
                                             to cover the total margin
                                             requirement.
Option Premium............................  Premium registered on the given                   C             N/A
                                             trading date. The amount of money
                                             that the options buyer must pay
                                             the options seller.
Net Option Value..........................  The credit or debit amount based                  C                C
                                             on the long or short options
                                             positions.
Backdated Profit and Loss.................  The P&L attributed to positions                   C             N/A
                                             added that were novated on a
                                             prior date.
Day Trading Profit and Loss...............  The P&L attributed to the day's                   C             N/A
                                             trades.
Position Profit and Loss..................  The P&L of the previous day's                     C             N/A
                                             position with today's price
                                             movement.
Total Profit and Loss.....................  Unrealized P&L or mark to market                 M              N/A
                                             value of position(s) including
                                             change in mark to market (Total
                                             P&L = Position P&L + Day Trading
                                             P&L + Backdated P&L).
----------------------------------------------------------------------------------------------------------------
                                    Consolidated (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Additional Margin.........................  Any additional margin required in                M              N/A
                                             excess of initial margin. For
                                             example, this figure should
                                             include any liquidity/
                                             concentration charge if the
                                             charge is not included in the
                                             initial margin.
Initial Margin............................  Margin requirement calculated by                 M              N/A
                                             the DCO's margin methodology.
                                             Unless an integral part of the
                                             margin methodology, this figure
                                             should not include any additional
                                             margin add-ons.
Margin Calls..............................  Any outstanding margin call that                 M              N/A
                                             has been issued but not collected
                                             as of the end of the trade date.
Total Margin..............................  The consolidated non-U.S. margin                 M              N/A
                                             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.
Variation Margin..........................  Variation margin should include                  M              N/A
                                             the net sum of all cash flows
                                             between the DCO and clearing
                                             members by origin.
Collateral on Deposit.....................  The collateral on deposit for an                 M              N/A
                                             origin. This amount should
                                             include all collateral after all
                                             haircuts that have been deposited
                                             to cover the total margin
                                             requirement.
Option Premium............................  Premium registered on the given                   C             N/A
                                             trading date. The amount of money
                                             that the options buyer must pay
                                             the options seller.
Backdated Profit and Loss.................  The P&L attributed to positions                   C             N/A
                                             added that were novated on a
                                             prior date.
Day Trading Profit and Loss...............  The P&L attributed to the day's                   C             N/A
                                             trades.
Position Profit and Loss..................  The P&L of the previous day's                     C             N/A
                                             position with today's price
                                             movement.

[[Page 76721]]

 
Total Profit and Loss.....................  Unrealized P&L or mark-to-market                 M              N/A
                                             value of position(s) including
                                             change in mark to market (Total
                                             P&L = Position P&L + Day Trading
                                             P&L + Backdated P&L).
----------------------------------------------------------------------------------------------------------------
                                     Exempt DCO (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Additional Margin.........................  Any additional margin required in                M              N/A
                                             excess of initial margin. For
                                             example, this figure should
                                             include any liquidity/
                                             concentration charge if the
                                             charge is not included in the
                                             initial margin.
Initial Margin............................  This U.S. person margin                          M              N/A
                                             requirement should include the
                                             initial margin requirement
                                             without any additional margin
                                             required by the DCO.
Margin Calls..............................  Any outstanding margin call that                 M              N/A
                                             has been issued but not collected
                                             as of the end of the trade date.
Total Margin..............................  The U.S. person margin requirement               M              N/A
                                             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.
Variation Margin..........................  Variation margin should include                  M              N/A
                                             the net sum of all cash flows
                                             between the DCO and clearing
                                             members by origin.
Collateral on Deposit.....................  The collateral on deposit for an                 M              N/A
                                             origin. This amount should
                                             include all collateral after all
                                             haircuts that have been deposited
                                             to cover the total margin
                                             requirement.
Mark-to-Market............................  Determined by marking the end of                 M              N/A
                                             day position(s) from par (100%)
                                             to the end of day settlement
                                             price.
----------------------------------------------------------------------------------------------------------------
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                  M
                                  reports included in
                                  the file.
FIXML Message Type.............  FIXML account summary                M
                                  report type.
Sender ID......................  The CFTC-issued DCO                  M
                                  identifier.
To ID..........................  Indicate ``CFTC''.....               M
Message Transmit Datetime......  The date and time the                M
                                  file is transmitted.
Report ID......................  A unique identifier                  M
                                  assigned by the CFTC
                                  to each clearing
                                  member report.
Report Date....................  The business date of                 M
                                  the information being
                                  reported.
Base Currency..................  Base currency                        M
                                  referenced throughout
                                  report; provide
                                  exchange rate against
                                  this currency.
Report Time (Message Create      The report ``as of''                 M
 Time).                           or information cut-
                                  off time.
Message Event..................  The event source being               M
                                  reported.
Market Segment ID..............  Market segment                       M
                                  associated with the
                                  position report.
DCO Identifier.................  CFTC-assigned                        M
                                  identifier for a DCO.
Clearing Participant Identifier  DCO-assigned                         M
                                  identifier for a
                                  particular clearing
                                  member.
Clearing Participant Name......  The name of the                      M
                                  clearing member.
Fund Segregation Type..........  Clearing fund                        M
                                  segregation type.
Clearing Participant LEI.......  LEI for a particular                  C
                                  clearing member.
Clearing Participant LEI Name..  The LEI name                          C
                                  associated with the
                                  clearing member LEI.
Customer Position Identifier...  Proprietary identifier                C
                                  for a particular
                                  customer position
                                  account. If the
                                  position is non-
                                  disclosed, then
                                  indicate
                                  ``NONDISCLOSED''. If
                                  the position is not
                                  in balance at end-of-
                                  day through member
                                  underreporting
                                  positions, then
                                  indicate ``BALANCE
                                  ACCOUNT''. If the
                                  position is adjusted
                                  post end-of-day, then
                                  indicate
                                  ``POSITIONDIFFERENCE'
                                  '.
Customer Position Name.........  The name associated                  M
                                  with the customer
                                  position identifier.
Customer Position Account Type.  Type of account used                  C
                                  for reporting.
Customer Margin Omnibus Parent.  The margin identifier                 C
                                  for the omnibus
                                  account associated
                                  with the customer
                                  margin identifier.
                                  (Conditional on
                                  reported customer
                                  position being part
                                  of a separately
                                  reported omnibus
                                  account position).
Customer Position LEI..........  LEI for a particular                  C
                                  customer; must be
                                  provided when
                                  available.
Customer Position LEI Name.....  The LEI name                          C
                                  associated with the
                                  Customer Position LEI.
Customer Margin Identifier.....  Proprietary identifier                C
                                  for a particular
                                  customer. If the
                                  position is non-
                                  disclosed, then
                                  indicate
                                  ``NONDISCLOSED
                                  MARGIN''. If the
                                  position is not in
                                  balance at end-of-day
                                  through member
                                  underreporting or
                                  overreporting
                                  positions, then
                                  indicate ``EXCESS
                                  MARGIN''. If the
                                  position is adjusted
                                  post end-of-day, then
                                  indicate
                                  ``POSITIONDIFFERENCE'
                                  '.
Customer Margin Name...........  The name associated                   C
                                  with the customer
                                  margin identifier. If
                                  the position is non-
                                  disclosed, then
                                  indicate ``NON-
                                  DISCLOSED MARGIN''.
File number and count..........  Each FIXML file should               M
                                  indicate its sequence
                                  (e.g., ``file 1 of
                                  10'').
------------------------------------------------------------------------
             Futures and Options (Daily Position Reporting)
------------------------------------------------------------------------
Settlement Price/Currency......  Settlement price,                    M
                                  prior settlement
                                  price, settlement
                                  currency, and final
                                  settlement date.
Market Segment Identifier......  Indicator that allows                M
                                  for validation of the
                                  futures and options
                                  fields.
Cross-Margin Entity............  Name of the entity                    C
                                  associated with a
                                  cross-margined
                                  account.
Exchange Commodity Code........  Contract commodity                   M
                                  code issued by the
                                  exchange; e.g.,
                                  ticker symbol, the
                                  human recognizable
                                  trading identifier.
Clearing Commodity Code........  Registered commodity                 M
                                  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.
Product Type...................  Indicates the type of                 C
                                  product with which
                                  the security is
                                  associated.
Security Type..................  Indicates type of                    M
                                  security.
Maturity Month Year............  Month and year of the                M
                                  maturity (used for
                                  standardized futures
                                  and options).
Maturity Date..................  The date on which the                 C
                                  principal amount
                                  becomes due. For non-
                                  deliverable forwards
                                  (NDFs), this
                                  represents the fixing
                                  date of the contract.
Asset Class....................  The broad asset                      M
                                  category for
                                  assessing risk
                                  exposure.
Asset Subclass.................  The subcategory                       C
                                  description of the
                                  asset class.
Asset Type.....................  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Asset Subtype..................  Provides a more                       C
                                  specific description
                                  of the asset type.

[[Page 76722]]

 
Security Group (Sector)........  A name assigned to a                  C
                                  group of related
                                  instruments which may
                                  be concurrently
                                  affected by market
                                  events and actions.
Unit Leverage Factor...........  The multiplier needed                 C
                                  to convert a change
                                  of one point of the
                                  quoted index into
                                  local currency P&L
                                  for a 1-unit long
                                  position.
Units..........................  Unit of measure.......               M
Settlement Method..............  Method of settlement..                C
Exchange Identifier (MIC)......  Exchange where the                   M
                                  instrument is traded.
Security Description...........  Used to provide a                    M
                                  textual description
                                  of a financial
                                  instrument.
Unique Product Identifier......  A single field that                  M
                                  uniquely identifies a
                                  given product. All
                                  positions with this
                                  identifier will have
                                  the same price.
Alternate Product Identifier--   When a contract                       C
 Spread Underlying Long.          represents a
                                  differential between
                                  two products, the
                                  product code that
                                  represents the long
                                  position in the
                                  spread for long
                                  position in the
                                  combined contract.
Alternate Product Identifier--   When a contract                       C
 Spread Underlying Short.         represents a
                                  differential between
                                  two products, the
                                  product code that
                                  represents the long
                                  position in the
                                  spread for short
                                  position in the
                                  combined contract.
Last Trading Date..............  The last day of                      M
                                  trading in a futures
                                  contract. The format
                                  is YYYY-MM-DD, where
                                  YYYY is the year, MM
                                  is the month, and DD
                                  is the day of the
                                  month.
First Notice Date..............  The first date on                     C
                                  which delivery
                                  notices are issued.
Position (Long)................  Long position size. If               M
                                  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.
Position (Short)...............  Short position size.                 M
                                  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.
Settlement FX Info.............  Settlement price                     M
                                  foreign exchange
                                  conversion rate.
Change in Settlement Price.....  The quoted price                     M
                                  change between the
                                  prior trading day's
                                  settlement and
                                  today's settlement.
Unit Currency P&L..............  The local currency P&L               M
                                  between the prior
                                  trading day's
                                  settlement and
                                  today's settlement
                                  for a 1-unit long
                                  position.
Outright Initial Margin........  Initial margin for the                C
                                  position as if it
                                  were a stand-alone
                                  outright.
Option Exercise Style..........  Exercise style........                C
Option Strike Price............  Option strike price...                C
Option Put/Call Indicator......  Option type...........                C
Underlying Settlement Price/     Settlement price,                     C
 Currency.                        prior settlement
                                  price, settlement
                                  currency, and final
                                  settlement date.
Underlying Exchange Commodity    Common representation                 C
 Code.                            of the security.
Underlying Clearing Commodity    Registered commodity                  C
 Code.                            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.
Underlying Product Type........  Indicates the type of                 C
                                  product with which
                                  the security is
                                  associated.
Underlying Security Type.......  Indicates type of                     C
                                  security. Underlying
                                  instrument is
                                  required for Security
                                  Type = OOF, OOC, or
                                  OPT. Use Security
                                  Type = MLEG for combo
                                  contracts.
Underlying Security Group        A name assigned to a                  C
 (Sector).                        group of related
                                  instruments which may
                                  be concurrently
                                  affected by market
                                  events and actions.
Underlying Maturity Month Year.  Maturity month and                    C
                                  year (used for
                                  standardized futures
                                  and options).
Underlying Maturity Date.......  The date on which the                 C
                                  principal amount
                                  becomes due.
Underlying Asset Class.........  The broad asset                       C
                                  category for
                                  assessing risk
                                  exposure.
Underlying Asset Subclass......  The subcategory                       C
                                  description of the
                                  asset class.
Underlying Asset Type..........  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Underlying Asset Subtypes......  Provides a more                       C
                                  specific description
                                  of the asset type.
Underlying Exchange Code (MIC).  Exchange where the                    C
                                  underlying instrument
                                  is traded.
Underlying Security Description  Textual description of                C
                                  a financial
                                  instrument.
Unique Underlying Product Code.  A single field that is                C
                                  the result of
                                  concatenating
                                  relevant fields that
                                  create a unique
                                  product ID that is
                                  associated with a
                                  unique price.
Primary Options Exchange Code--  This field identifies                 C
 Implied Volatility Quote.        the main options
                                  chain for the future
                                  that provides the
                                  implied volatility
                                  quote.
DELTA..........................  Delta is the measure                  C
                                  of how the option's
                                  value varies with
                                  changes in the
                                  underlying price.
Implied Volatility.............  The implied volatility                C
                                  and quotation style
                                  for the contract,
                                  typically in natural
                                  log percent or index
                                  points.
------------------------------------------------------------------------
               Commodity Swaps (Daily Position Reporting)
------------------------------------------------------------------------
Settlement Price/Currency......  Settlement price,                    M
                                  prior settlement
                                  price, settlement
                                  currency, and final
                                  settlement date.
Market Segment Identifier......  Indicator that allows                M
                                  for validation of the
                                  commodity swap fields.
Exchange Commodity Code........  Contract commodity                   M
                                  code issued by the
                                  exchange; e.g.,
                                  ticker symbol, the
                                  human recognizable
                                  trading identifier.
Clearing Commodity Code........  Registered commodity                 M
                                  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.
Product Type...................  Indicates the type of                 C
                                  product with which
                                  the security is
                                  associated.
Security Group (Sector)........  A name assigned to a                  C
                                  group of related
                                  instruments which may
                                  be concurrently
                                  affected by market
                                  events and actions.
Universal Product Identifier...  Uniquely identifies                  O
                                  the product of a
                                  security using ISO
                                  4914 standard, Unique
                                  Product Identifier.
Maturity Month Year............  Month and year of the                M
                                  maturity (used for
                                  standardized futures
                                  and options).
Maturity Date..................  The date on which the                 C
                                  principal amount
                                  becomes due. For
                                  NDFs, this represents
                                  the fixing date of
                                  the contract.
Asset Class....................  The broad asset                      M
                                  category for
                                  assessing risk
                                  exposure.
Asset Subclass.................  The subcategory                       C
                                  description of the
                                  asset class.
Asset Type.....................  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Unit Leverage Factor...........  The multiplier needed                 C
                                  to convert a change
                                  of one point of the
                                  quoted index into
                                  local currency P&L
                                  for a 1-unit long
                                  position.
Minimum Tick...................  Minimum price tick                    C
                                  increment.
Units..........................  Unit of measure.......               M
Settlement Method..............  Swap settlement method                C
Exchange Identifier (MIC)......  Exchange where the                   M
                                  instrument is traded.
Security Description...........  Used to provide a                     C
                                  textual description
                                  of a financial
                                  instrument.
Position (Long)................  Long position size. If               M
                                  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.
Position (Short)...............  Short position size.                 M
                                  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.

[[Page 76723]]

 
Net Cash Flow..................  Net cash flow                         C
                                  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.).
Settlement FX Info.............  Settlement price                     M
                                  foreign exchange
                                  conversion rate.
Universal Swap Identifier......  Universal Swap                       M
                                  Identifier (USI)
                                  namespace and USI.
                                  The USI namespace and
                                  the USI separated by
                                  a pipe ``[verbar]''
                                  character should be
                                  entered.
Option Exercise Style..........  Exercise style........                C
Option Put/Call Indicator......  Option type...........               M
Option Strike Price............  Option strike price...               M
Underlying Settlement Price/     Settlement price,                    M
 Currency.                        prior settlement
                                  price, settlement
                                  currency, and final
                                  settlement date.
Underlying Exchange Commodity    Common representation                 C
 Code.                            of the security.
Underlying Clearing Commodity    Registered commodity                 M
 Code.                            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.
Underlying Product Type........  Indicates the type of                 C
                                  product with which
                                  the security is
                                  associated.
Underlying Security Group        A name assigned to a                  C
 (Sector).                        group of related
                                  instruments which may
                                  be concurrently
                                  affected by market
                                  events and actions.
Underlying Maturity Month Year.  Maturity month and                   M
                                  year (used for
                                  standardized futures
                                  and options).
Underlying Maturity Date.......  The date on which the                 C
                                  principal amount
                                  becomes due. For
                                  NDFs, this represents
                                  the fixing date of
                                  the contract.
Underlying Asset Class.........  The broad asset                      M
                                  category for
                                  assessing risk
                                  exposure.
Underlying Asset Subclass......  The subcategory                       C
                                  description of the
                                  asset class.
Underlying Asset Type..........  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Underlying Exchange Code (MIC).  Exchange where the                   M
                                  instrument is traded.
Underlying Security Description  Textual description of                C
                                  a financial
                                  instrument.
DELTA..........................  (Options only) Delta                  C
                                  is the measure of how
                                  the option's value
                                  varies with changes
                                  in the underlying
                                  price.
------------------------------------------------------------------------
             Credit Default Swaps (Daily Position Reporting)
------------------------------------------------------------------------
Settlement Price/Currency......  Settlement price,                    M
                                  prior settlement
                                  price, settlement
                                  currency, and final
                                  settlement date.
Market Segment Identifier......  Indicator which allows               M
                                  for validation of the
                                  CDS fields.
Exchange Security Identifier...  Contract code issued                 O
                                  by the exchange.
                                  (Underlying
                                  instrument is
                                  required for Security
                                  Type @SecTyp =
                                  SWAPTION).
Clearing Security Identifier     The code assigned to                 M
 (Red Code).                      the CDS by Markit
                                  that identifies the
                                  referenced entity or
                                  the index, series and
                                  version. (Underlying
                                  instrument is
                                  required for Security
                                  Type = SWAPTION).
Universal Product Identifier...  Uniquely identifies                  O
                                  the product of a
                                  security using ISO
                                  4914 standard, Unique
                                  Product Identifier.
Security Type..................  Indicator which                      M
                                  identifies the
                                  derivative type.
Restructuring Type.............  This field is used if                M
                                  the index has been
                                  restructured due to a
                                  credit event.
Seniority Type.................  The class of debt.....               M
Maturity Date..................  The date on which the                 C
                                  principal amount
                                  becomes due.
Asset Class....................  The broad asset                      M
                                  category for
                                  assessing risk
                                  exposure.
Asset Subclass.................  The subcategory                       C
                                  description of the
                                  asset class.
Asset Type.....................  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Reference Entity Type (Sector).  Specifies the type of                M
                                  reference entity for
                                  first-to-default CDS
                                  basket contracts. The
                                  Markit sector code
                                  should be provided
                                  when available.
Coupon Rate....................  The coupon rate                      M
                                  associated with this
                                  CDS transaction
                                  stated in Basis
                                  Points.
Security Description (Reference  Name of CDS index or                 M
 Entity).                         single-name or
                                  sovereign debt.
Recovery Factor................  The assumed recovery                 O
                                  rate used to
                                  determine the CDS
                                  price.
Position (Long)................  Long position size. If               M
                                  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.
Position (Short)...............  Short position size.                 M
                                  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.
5 YR Equivalent Notional.......  The five-year                        M
                                  equivalent notional
                                  amount for each risk
                                  factor/reference
                                  entity CDS contract.
Accrued Coupon.................  Coupon obligation from               M
                                  the first day of the
                                  coupon period through
                                  the current clearing
                                  trade date.
Profit and Loss................  Unrealized P&L or mark               M
                                  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.
Credit Exposure (CS01).........  The credit exposure of               O
                                  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.
Mark to Market.................  Determined by marking                M
                                  the end of day
                                  position(s) from par
                                  (100%) to the end of
                                  day settlement price.
Price Value of a Basis Point     Change in P&L of a                   M
 (PV01).                          position given a one
                                  basis point move in
                                  CDS spread value. May
                                  also be referred to
                                  as DV01, Sprd DV01.
Previous Accrued Coupon........  Previous day's accrued               M
                                  coupon.
Previous Mark to Market........  Previous day's mark to               M
                                  market.
Universal Swap Identifier......  Universal Swap                       O
                                  Identifier (USI)
                                  namespace and USI.
                                  The USI namespace and
                                  the USI should be
                                  separated by a pipe
                                  ``[verbar]''
                                  character.
Option Strike Price............  Option strike price...                C
Settlement Method..............  Method of settlement..                C
Option Exercise Style..........  Exercise style........                C
Option Put/Call................  Option type...........                C
Option Type....................  Specifies the CDS                     C
                                  option type.
Option Start Date..............  The CDS option                        C
                                  adjusted start date.
Option Expiration Date--         The CDS option                        C
 Adjusted.                        adjusted expiration
                                  date.
Underlying Exchange Security     The underlying                       O
 Identifier.                      contract alias used
                                  by outside vendors to
                                  uniquely identify the
                                  contract.

[[Page 76724]]

 
Underlying Clearing Security     The underlying code                   C
 Identifier (Red Code).           assigned to the CDS
                                  by Markit that
                                  identifies the
                                  referenced entity or
                                  the index, series and
                                  version.
Underlying Universal Product     Uniquely identifies                  O
 Identifier.                      the product of a
                                  security using ISO
                                  4914 standard, Unique
                                  Product Identifier.
Underlying Security Type.......  Indicator which                       C
                                  identifies the
                                  underlying derivative
                                  type.
Underlying Restructuring Type..  This field is used if                 C
                                  the underlying index
                                  has been restructured
                                  due to a credit event.
Underlying Seniority Type......  The underlying class                  C
                                  of debt.
Underlying Maturity Date.......  The date on which the                 C
                                  principal amount
                                  becomes due.
Underlying Asset Class.........  The underlying broad                  C
                                  asset category for
                                  assessing risk
                                  exposure.
Underlying Asset Subclass......  The subcategory                       C
                                  description of the
                                  asset class.
Underlying Asset Type..........  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Underlying Reference Entity      Specifies the type of                 C
 Type (Sector).                   underlying reference
                                  entity for first-to-
                                  default CDS basket
                                  contracts.
Underlying Coupon Rate.........  The underlying coupon                 C
                                  rate associated with
                                  this CDS transaction
                                  stated in basis
                                  points.
Underlying Security Description  Name of underlying CDS                C
 (Reference Entity).              index or single-name
                                  or sovereign debt.
Underlying Recovery Factor.....  The assumed recovery                 O
                                  rate used to
                                  determine the
                                  underlying CDS price.
DELTA..........................  Delta is the measure                  C
                                  of how the swaption's
                                  value varies with
                                  changes in the
                                  underlying price.
GAMMA..........................  Gamma is the rate of                 O
                                  change for delta with
                                  respect to the
                                  underlying asset's
                                  price.
RHO............................  Rho measures the                     O
                                  sensitivity of an
                                  option's price to a
                                  variation in the risk-
                                  free interest rate.
THETA..........................  Theta is the rate at                 O
                                  which an option loses
                                  value as time passes.
VEGA...........................  Vega is the                          O
                                  measurement of an
                                  option's sensitivity
                                  to changes in the
                                  volatility of the
                                  underlying asset.
Option Premium/Date............  Amount of swaption....                C
------------------------------------------------------------------------
               Foreign Exchange (Daily Position Reporting)
------------------------------------------------------------------------
Settle Date....................  Settle date of the                   M
                                  position.
Settlement Price/Fixing          Settlement price of                  M
 Currency.                        the position.
                                  (Underlying
                                  settlement is
                                  required for FXOPT,
                                  FXNDO).
Discount Factor................  Discount factor for                  M
                                  the position. Use the
                                  factor for the MTM
                                  currency. (Required
                                  for FXFWD, FXNDF,
                                  FXNDO, FXOPT, FXSWAP).
Valuation Date.................  Valuation date of the                M
                                  position. (Required
                                  for FXFWD, FXNDF,
                                  FXNDO, FXOPT, FXSWAP).
Delivery Date..................  Delivery date of the                 M
                                  position.
Market Segment Identifier......  Indicator that allows                M
                                  for validation of the
                                  FX fields.
Clearing Security Identifier...  Code assigned by the                 M
                                  DCO for a particular
                                  contract.
Universal Product Identifier...  Uniquely identifies                  O
                                  the product of a
                                  security using ISO
                                  4914 standard, Unique
                                  Product Identifier.
Security Type..................  Registered commodity                 M
                                  clearing identifier.
                                  (Underlying
                                  instrument is
                                  required for Security
                                  Type = FXOPT [verbar]
                                  FXNDO).
Maturity Month Year............  Month and year of the                 C
                                  maturity. (Used for
                                  FXFWD/FXNDF).
Maturity Date (Expiration).....  Specifies date of                     C
                                  maturity (a calendar
                                  date). Used for FXFWD/
                                  FXNDF. For NDFs, this
                                  represents the fixing
                                  date of the contract.
Maturity Time (Expiration).....  The contract                          C
                                  expiration time.
                                  (Used for FXFWD/
                                  FXNDF).
Asset Class....................  The broad asset                      M
                                  category for
                                  assessing risk
                                  exposure.
Asset Subclass.................  The subcategory                       C
                                  description of the
                                  asset class.
Asset Type.....................  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Valuation Method...............  Specifies the type of                 C
                                  valuation method
                                  applied.
Security Description...........  Used to provide a                     C
                                  textual description
                                  of a financial
                                  instrument.
Foreign Exchange Type..........  Identifies the type of               M
                                  FX contract. Use Typ
                                  = 7 for direct FX
                                  (e.g., EUR/USD). Use
                                  Typ = 16 for NDFWD
                                  contracts (e.g., THB/
                                  INR settled in USD).
Currency One...................  Specifies the first or               M
                                  only reference
                                  currency of the trade.
Currency Two...................  Specifies the second                 M
                                  reference currency of
                                  the trade.
Quote Basis....................  For foreign exchange                 M
                                  quanto option feature.
Fixed Rate.....................  (FXFWD or FXNDF only)                 C
                                  Specifies the forward
                                  FX rate alternative.
Spot Rate......................  Specifies the FX spot                 C
                                  rates the first or
                                  only reference
                                  currency of the trade.
Forward Points.................  (FXFWD or FXNDF only)                 C
                                  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).
Delivery Type Indicator........  Delivery type                        M
                                  indicator.
Position--Long.................  Gross long position.                 M
                                  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.
Position--Short................  Gross short position.                M
                                  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.
Final Mark to Market...........  Mark to market which                 M
                                  includes the discount
                                  factor.
Dollar Value of a Basis Point    The dollar value of a                M
 (DV01)--Long Currency.           one basis point
                                  change (DV01) in the
                                  yield of the
                                  underlying security
                                  and that of the
                                  hedging vehicle.
Dollar Value of a Basis Point    The dollar value of a                M
 (DV01)--Short Currency.          one basis point
                                  change (DV01) in the
                                  yield of the
                                  underlying security
                                  and that of the
                                  hedging vehicle.
Net Cash Flow..................  Net cash flow                        M
                                  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.).
Undiscounted Mark to Market....  Mark to market, which                M
                                  does not include the
                                  discount factor.
Price Alignment Interest.......  To minimize the impact               M
                                  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 with
                                  respect to FX.
Universal Swap Identifier......  Universal Swap                       M
                                  Identifier (USI)
                                  namespace and USI.
                                  The USI namespace and
                                  the USI should be
                                  separated by a pipe
                                  `` [verbar] ''
                                  character.
Option Put/Call................  Option type...........                C
Strike Rate....................  Option strike rate....                C
Option Exercise Style..........  Exercise style........                C
Option Cut Name................  The code by which the                 C
                                  expiry time is known
                                  in the market.
Underlying Settlement Price/     Settlement price for                  C
 Fixing Currency.                 the position.
                                  (Underlying
                                  settlement is
                                  required for FXOPT,
                                  FXNDO).
Underlying Exchange Security     Security code issued                  C
 Code.                            by the exchange;
                                  e.g., ticker symbol,
                                  the human
                                  recognizable trading
                                  identifier.

[[Page 76725]]

 
Underlying Clearing Security     Product underlying the                C
 Identifier.                      FX option. For OTC
                                  options: Exch = NO
                                  MARKET.
Underlying Universal Product     Uniquely identifies                  O
 Identifier.                      the product of a
                                  security using ISO
                                  4914 standard, Unique
                                  Product Identifier.
Underlying Security Type.......  Registered commodity                  C
                                  clearing identifier.
                                  (Underlying
                                  instrument is
                                  required for @SecTyp
                                  = FXOPT [verbar]
                                  FXNDO).
Underlying Maturity Month Year.  Month and Year of the                 C
                                  maturity. (Used for
                                  FXFWD/FXNDF).
Underlying Maturity Date         For FXFWD/FXNDF, the                  C
 (Expiration).                    date on which the
                                  principal amount
                                  becomes due. For
                                  NDFs, this represents
                                  the fixing date of
                                  the contract.
Underlying Exchange Identifier   Exchange where the                    C
 (MIC).                           instrument is traded.
Underlying Security Description  Textual description of                C
                                  a financial
                                  instrument.
Option Long/Short Indicator....  Indicates whether the                 C
                                  option is short or
                                  long.
Option Expiration..............  Adjusted option                       C
                                  expiration date.
Delivery Type Indicator........  Delivery type                        M
                                  indicator.
Notional Long/Short............  FX currency notional                 M
                                  long or short.
Implied Volatility.............  Implied volatility....                C
DELTA..........................  Delta is the measure                  C
                                  of how the swaption's
                                  value varies with
                                  changes in the
                                  underlying price.
GAMMA..........................  Gamma is the rate of                 O
                                  change for delta with
                                  respect to the
                                  underlying asset's
                                  price.
RHO............................  Rho measures the                     O
                                  sensitivity of an
                                  option's price to a
                                  variation in the risk-
                                  free interest rate.
THETA..........................  Theta is the rate at                 O
                                  which an option loses
                                  value as time passes.
VEGA...........................  Vega is the                          O
                                  measurement of an
                                  option's sensitivity
                                  to changes in the
                                  volatility of the
                                  underlying asset.
Option Premium MTM.............  Premium mark to                       C
                                  market, which
                                  includes the discount
                                  factor.
------------------------------------------------------------------------
             Interest Rate Swaps (Daily Position Reporting)
------------------------------------------------------------------------
Cleared Date...................  Date on which the                    M
                                  trade was cleared at
                                  the DCO.
Position Status................  Position's status: If                M
                                  cleared and active,
                                  then indicate
                                  ``ACTIVE''; Clrd = 1,
                                  TrmtdInd = N. If
                                  cleared and inactive,
                                  then indicate
                                  ``TERMINATED''; Clrd
                                  = 1, TrmtdInd = Y.
                                  Terminated positions
                                  should only be
                                  reported on the day
                                  of termination.
Position Market Segment........  Indicator which allows               M
                                  for validation of the
                                  IRS fields.
DCO Pays Indicator.............  Indicate which cash                  M
                                  flow the DCO pays.
DCO Receives Indicator.........  Indicate which cash                  M
                                  flow the DCO receives.
Clearing Participant Pays        Indicate which cash                  M
 Indicator.                       flow the clearing
                                  member pays.
Clearing Participant Receives    Indicate which cash                  M
 Indicator.                       flow the clearing
                                  member receives.
Clearing Security Identifier...  Code assigned by the                 M
                                  DCO for a particular
                                  contract.
Universal Product Identifier...  Uniquely identifies                  O
                                  the product of a
                                  security using ISO
                                  4914 standard, Unique
                                  Product Identifier.
Security Type..................  Registered commodity                 M
                                  clearing identifier.
Asset Class....................  The broad asset                      M
                                  category for
                                  assessing risk
                                  exposure.
Asset Subclass.................  The subcategory                       C
                                  description of the
                                  asset class.
Asset Type.....................  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Swap Class.....................  The classification or                M
                                  type of swap.
Swap Subclass..................  The sub-classification                C
                                  or notional schedule
                                  type of the swap.
Security Description...........  Used to provide a                    M
                                  textual description
                                  of a financial
                                  instrument.
Leg Type.......................  Identifies if the leg                M
                                  is fixed or floating.
Leg Notional...................  Notional amount                      M
                                  associated with leg.
Leg Notional Currency..........  Currency of leg's                    M
                                  notional amount.
Leg Start Date Adj Bus Day Conv  If start date falls on                C
                                  a weekend or holiday,
                                  value defines how to
                                  adjust actual start
                                  date.
Leg Start Date.................  Leg's effective date..               M
Leg Maturity Date Adj Bus Day    If the maturity date                  C
 Conv.                            falls on a weekend or
                                  holiday, value
                                  defines how to adjust
                                  actual maturity date.
Leg Maturity Date..............  The date on which the                M
                                  leg's principal
                                  amount becomes due.
Leg Maturity Date Adj Calendar.  Regarding the maturity                C
                                  date, this specifies
                                  which dates are
                                  considered holidays.
Leg Calc Per Adj Bus Day Conv..  If a date defining the                C
                                  calculation period
                                  falls on a holiday,
                                  this adjusts the
                                  actual dates based on
                                  the definition of the
                                  input.
Leg Calc Frequency.............  Calculation frequency,               M
                                  also known as the
                                  compounding frequency
                                  for compounded swaps.
Leg First Reg Per Start Date...  If there is a                         C
                                  beginning stub, this
                                  indicates the date
                                  when the usual
                                  payment periods will
                                  begin.
Leg Last Reg Per End Date......  If there is an ending                 C
                                  stub, this indicates
                                  the date when the
                                  usual payment periods
                                  will end.
Leg Roll Conv..................  Indicates the day of                  C
                                  the month when the
                                  payment is made.
Leg Calc Per Adj Calendar......  Regarding the                         C
                                  calculation period,
                                  this specifies which
                                  dates are considered
                                  holidays.
Leg Daycount...................  Defines how interest                  C
                                  is accrued/calculated.
Leg Comp Method................  If payments are made                  C
                                  on one timeframe but
                                  calculations are made
                                  on a shorter
                                  timeframe, this
                                  describes how to
                                  compound interest.
Leg Pay Adj Bus Day Conv.......  If cash flow pay or                   C
                                  receive date falls on
                                  a weekend or holiday,
                                  value defines actual
                                  date payment is made.
Leg Pay Frequency..............  Frequency at which                   M
                                  payments are made.
Leg Pay Relative To............  Payment relative to                   C
                                  the beginning or end
                                  of the period.
Leg Payment Lag................  Number of business                    C
                                  days after payment
                                  due date on which the
                                  payment is actually
                                  made.
Leg Pay Adj Calendar...........  Regarding dates on                    C
                                  which cash flow
                                  payments/receipts are
                                  scheduled, this
                                  specifies which dates
                                  are considered
                                  holidays.
Leg Reset Relative To..........  Specifies whether                     C
                                  reset dates are
                                  determined with
                                  respect to each
                                  adjusted calculation
                                  period start date or
                                  adjusted calculation
                                  period end date.
Leg Reset Date Adj Bus Day Conv  Business day                          C
                                  convention to apply
                                  to each reset date if
                                  the reset date falls
                                  on a holiday.
Leg Reset Frequency............  Frequency at which                    C
                                  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.
Leg Fixing Relative To.........  Specifies the anchor                  C
                                  date when the fixing
                                  date is relative to
                                  an anchor date.
Leg Fixing Date Bus Day Conv...  Business day                          C
                                  convention to apply
                                  to each fixing date
                                  if the fixing date
                                  falls on a holiday.

[[Page 76726]]

 
Leg Fixing Date Offset.........  Specifies the fixing                  C
                                  date relative to the
                                  reset date in terms
                                  of a business days
                                  offset.
Leg Fixing Day Type............  The type of days to                   C
                                  use to find the
                                  fixing date (i.e.,
                                  business days,
                                  calendar days, etc).
Leg Reset Date Adj Calendar....  Regarding reset dates,                C
                                  this specifies which
                                  dates are considered
                                  holidays.
Leg Fixing Date Calendar.......  Regarding the fixing                  C
                                  date, this specifies
                                  which dates are
                                  considered holidays.
Leg Fixed Rate or Amount.......  Only populate if Leg1                 C
                                  is Type ``Fixed''.
                                  This should be
                                  expressed in decimal
                                  form (e.g., 4% should
                                  be input as ``.04'').
Leg Index......................  If Stream is floating                 C
                                  rate, this gives the
                                  index applicable to
                                  the floating rate.
Leg Index Tenor................  For the floating rate                 C
                                  leg, the tenor of the
                                  leg..
                                 For the fixed rate
                                  leg, NULL.
Leg Spread.....................  Describes if there is                 C
                                  a spread (typically
                                  an add-on) applied to
                                  the coupon rate.
Leg Pmt Sched Notional.........  Variable notional swap                C
                                  notional values.
Leg Initial Stub Rate..........  The interest rate                     C
                                  applicable to the
                                  Initial Stub Period
                                  in decimal form
                                  (e.g., 4% should be
                                  input as ``.04'').
Leg Initial Stub Rate Index 1..  Stub rate can be a                    C
                                  linear interpolation
                                  between two floating
                                  rate tenors. E.g., if
                                  the stub period is 2
                                  months, rate is
                                  linear interpolation
                                  of 1-month and 3-
                                  month reference
                                  rates. Specify the
                                  first index.
Leg Initial Stub Rate Index 2    Stub rate can be a                    C
 Tenor.                           linear interpolation
                                  between two floating
                                  rate tenors. E.g., if
                                  the stub period is 2
                                  months, rate is
                                  linear interpolation
                                  of 1-month and 3-
                                  month reference
                                  rates. Specify the
                                  second index.
Leg Final Stub Rate............  The interest rate                     C
                                  applicable to the
                                  final stub period in
                                  decimal form (e.g.,
                                  4% should be input as
                                  ``.04'').
Leg Final Stub Rate Index 1....  Stub rate can be a                    C
                                  linear interpolation
                                  between two floating
                                  rate tenors. E.g., if
                                  the stub period is 2
                                  months, rate is
                                  linear interpolation
                                  of 1-month and 3-
                                  month reference
                                  rates. Specify the
                                  first index.
Leg Final Stub Rate Index 2      Stub rate can be a                    C
 Tenor.                           linear interpolation
                                  between two floating
                                  rate tenors. E.g., if
                                  the stub period is 2
                                  months, rate is
                                  linear interpolation
                                  of 1-month and 3-
                                  month reference
                                  rates. Specify the
                                  second index.
Accrued Coupon (Interest)......  Net accrued coupon                   M
                                  amount since the last
                                  payment in the leg
                                  currency. If reported
                                  by leg, indicate the
                                  associated stream
                                  (leg) description
                                  (e.g., ``FIXED/
                                  FLOAT,'' ``FLOAT1/
                                  FLOAT2'').
Profit/Loss....................  Profit/loss resulting                M
                                  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).
Leg Current Period Rate........  If leg is a floating                 M
                                  leg, this indicates
                                  the current rate used
                                  to calculate the next
                                  floating Leg coupon
                                  in decimal form
                                  (e.g., 4% should be
                                  input as ``.04'').
Leg Coupon Payment.............  Coupon amount for T+1                M
                                  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.
Dollar Value of Basis Point      Change in value in                   M
 (DV01).                          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.
Net Cash Flow..................  Net cash flow                        M
                                  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.).
Net Present Value..............  NPV of all positions                 M
                                  by currency. If
                                  reported by leg,
                                  indicate the
                                  associated stream
                                  (leg) description
                                  (e.g., ``FIXED/
                                  FLOAT,'' ``FLOAT1/
                                  FLOAT2'').
Present Value of Other Payments  Includes the present                 M
                                  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.
Previous Net Present Value.....  Yesterday's NPV.......                C
Price Alignment Interest.......  To minimize the impact               M
                                  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 with
                                  respect to IRS by
                                  currency.
Other Payments.................  Includes any upfront                  C
                                  and/or final/
                                  settlement payments
                                  made/received for the
                                  trade date. (Indicate
                                  gross pay/collect
                                  amounts).
Universal Swap Identifier......  Universal Swap                        C
                                  Identifier (USI)
                                  namespace and USI.
                                  Enter the USI
                                  Namespace and the USI
                                  separated by a pipe
                                  ``[verbar]''
                                  character.
Leg Initial Exchange...........  Amount of any exchange                C
                                  of cash flow at
                                  initiation of trade
                                  being cleared.
Leg Initial Exchange Date......  Date that the initial                 C
                                  exchange is set to
                                  occur.
Leg Final Exchange.............  Amount of any exchange                C
                                  of cash flow at
                                  maturity of trade.
Leg Final Exchange Date........  Date that the final                   C
                                  exchange is set to
                                  occur.
Option Exercise Style..........  IRS swaption exercise                 C
                                  style.
Option Type....................  Specifies the IRS                     C
                                  swaption type.
Option Start Date..............  The IRS swaption                      C
                                  adjusted start date.
Option Adjusted Expiration Date  The IRS swaption                      C
                                  adjusted expiration
                                  date.
Option Buy/Sell Indicator......  Indicates the buyer or                C
                                  seller of a swap
                                  stream.
Underlying Clearing Security     Code assigned by the                  C
 Identifier.                      DCO for a particular
                                  contract.
Underlying Universal Product     Uniquely identifies                   C
 Identifier.                      the product of a
                                  security using ISO
                                  4914 standard, Unique
                                  Product Identifier.
Underlying Security Type.......  Registered commodity                  C
                                  clearing identifier.
Underlying Asset Class.........  The broad asset                       C
                                  category for
                                  assessing risk
                                  exposure.
Underlying Asset Subclass......  The subcategory                       C
                                  description of the
                                  asset class.
Underlying Asset Type..........  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Underlying Swap Class..........  The classification or                 C
                                  type of swap.
Underlying Swap Subclass.......  The sub-classification                C
                                  or notional schedule
                                  type of the swap.
Underlying Security Description  Textual description of                C
                                  a financial
                                  instrument.
Underlying Security Leg Type...  Identifies if the leg                 C
                                  is fixed or floating.
Underlying Security Leg          Notional amount                       C
 Notional.                        associated with leg.
Underlying Security Leg          Currency of this leg's                C
 Currency.                        notional amount.
Underlying Security Leg Index..  If stream is floating                 C
                                  rate, this gives the
                                  index applicable to
                                  the floating rate.
Underlying Security Leg Index    For the floating rate                 C
 Tenor.                           leg, the tenor of the
                                  leg..
                                 For the fixed rate
                                  leg, NULL.
Underlying Security Leg Fixed    Only populate if Leg1                 C
 Rate Or Amount.                  is type ``Fixed''.
                                  This should be in
                                  decimal form (e.g.,
                                  4% should be input as
                                  ``.04'').
Underlying Security Leg Spread.  Indicates whether                     C
                                  there is a spread
                                  (typically an add-on)
                                  applied to the coupon
                                  rate.

[[Page 76727]]

 
DELTA..........................  Delta is the measure                  C
                                  of how the swaption's
                                  value varies with
                                  changes in the
                                  underlying price.
GAMMA..........................  Gamma is the rate of                  C
                                  change for delta with
                                  respect to the
                                  underlying asset's
                                  price.
RHO............................  Rho measures the                      C
                                  sensitivity of an
                                  option's price to a
                                  variation in the risk-
                                  free interest rate.
THETA..........................  Theta is the rate at                  C
                                  which an option loses
                                  value as time passes.
VEGA...........................  Vega is the                           C
                                  measurement of an
                                  option's sensitivity
                                  to changes in the
                                  volatility of the
                                  underlying asset.
Option Premium.................  Amount of swaption                    C
                                  premium.
Option Premium Date............  Date swaption premium                 C
                                  is paid.
Trade Date.....................  Actual trade date for                M
                                  each position record
                                  (including
                                  specifically, the
                                  cleared date and the
                                  trade date).
Event Description..............  Description for each                  C
                                  position record.
------------------------------------------------------------------------
           Forward Rate Agreements (Daily Position Reporting)
------------------------------------------------------------------------
Previous Business Date.........  Previous business date               M
Market Segment Indicator.......  Indicator that allows                M
                                  for validation of the
                                  FRA fields.
DCO Pays Indicator.............  Indicates which cash                 M
                                  flow the DCO pays.
DCO Receives Indicator.........  Indicates which cash                 M
                                  flow the DCO receives.
Clearing Participant Pays        Indicates which cash                 M
 Indicator.                       flow the clearing
                                  member pays.
Clearing Participant Receives    Indicates which cash                 M
 Indicator.                       flow the clearing
                                  member receives.
Clearing Security Identifier...  Code assigned by the                 M
                                  DCO for a particular
                                  contract.
Universal Product Identifier...  Uniquely identifies                  O
                                  the product of a
                                  security using ISO
                                  4914 standard, Unique
                                  Product Identifier.
Security Type..................  Registered commodity                 M
                                  clearing identifier.
Asset Class....................  The broad asset                      M
                                  category for
                                  assessing risk
                                  exposure.
Asset Subclass.................  The subcategory                       C
                                  description of the
                                  asset class.
Asset Type.....................  Provides a more                       C
                                  specific description
                                  of the asset
                                  subclass..
FRA Type.......................  Type of swap stream...               M
Notional Amount................  Stream notional amount               M
Notional Currency..............  Currency of this leg's               M
                                  notional amount.
Start Date.....................  Date the position was                M
                                  established.
Maturity Date..................  The date on which the                M
                                  principal amount
                                  becomes due.
Payment Day Count Conv.........  Defines how interest                 M
                                  is accrued/calculated.
Payment Accrual Days...........  Number of accrual days               M
                                  between the effective
                                  date and maturity
                                  date.
First Payment Date.............  Date on which the                     C
                                  payment is made.
                                  Always report the
                                  adjusted date.
Reset Date Bus Day Conv........  Business day                         M
                                  convention to apply
                                  to each fixing date
                                  if the fixing date
                                  falls on a holiday.
Reset Date Fixing Date.........  Date on which the                    M
                                  payment is fixed.
                                  Always report the
                                  adjusted date.
Fixed Rate.....................  The fixed amount in                  M
                                  decimal terms.
Float Index....................  The index for the                    M
                                  floating portion of
                                  the FRA.
Float First Tenor..............  First tenor associated               M
                                  with the index.
Float Second Tenor.............  Second tenor                          C
                                  associated with the
                                  index.
Float Spread...................  In basis point terms..               M
Float Reference Rate...........  The fixed floating                   M
                                  rate in decimal terms.
Dollar Value of Basis Point      Change in value in USD               M
 (DV01).                          of the FRA if
                                  relevant pricing
                                  curve is perturbed 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.
Net Present Value..............  NPV of all positions                 M
                                  by currency.
Settlement FX Info.............  Settlement price                     M
                                  foreign exchange
                                  conversion rate.
Previous Net Present Value.....  Yesterday's NPV.......               M
Price Alignment Interest.......  To minimize the impact               M
                                  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 with
                                  respect to IRS by
                                  currency.
Universal Swap Identifier......  Universal Swap                        C
                                  Identifier (USI)
                                  namespace and USI.
                                  Enter the USI
                                  Namespace and the USI
                                  separated by a pipe
                                  ``[verbar]''
                                  character.
Settlement Amount..............  The amount paid/                     M
                                  received on the
                                  Payment Date. Always
                                  report adjusted date.
                                  (The position pays on
                                  a negative amount.).
Other Payments.................  Includes any upfront                  C
                                  and/or final/
                                  settlement payments
                                  made/received for the
                                  trade date. (Indicate
                                  gross pay/collect
                                  amounts.).
Net Cash Flow..................  Net cash flow                         C
                                  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.).
Profit/Loss....................  Profit/Loss resulting                 C
                                  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).
Present Value of Other Payments  Includes the present                  C
                                  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.
Trade Date.....................  Actual trade date for                M
                                  each position record
                                  (including
                                  specifically, the
                                  cleared date and the
                                  trade date).
Event Description..............  Description for each                  C
                                  position record.
------------------------------------------------------------------------
            Inflation Index Swaps (Daily Position Reporting)
------------------------------------------------------------------------
Cleared Date...................  Date on which the                    M
                                  trade was cleared at
                                  the DCO.
Position Status................  Position's status: If                M
                                  cleared and active,
                                  then indicate
                                  ``ACTIVE''; Clrd = 1,
                                  TrmtdInd = N. If
                                  cleared and inactive,
                                  then indicate
                                  ``TERMINATED''; Clrd
                                  = 1, TrmtdInd = Y.
                                  Terminated positions
                                  should only be
                                  reported on the day
                                  of termination.
Market Segment Indicator.......  Indicator which allows               M
                                  for validation of the
                                  IIS fields.
DCO Pays Indicator.............  Indicate which cash                  M
                                  flow the DCO pays.
DCO Receives Indicator.........  Indicate which cash                  M
                                  flow the DCO receives.
Clearing Participant Pays        Indicate which cash                  M
 Indicator.                       flow the clearing
                                  member pays.
Clearing Participant Receives    Indicate which cash                  M
 Indicator.                       flow the clearing
                                  member receives.
Clearing Security Identifier...  Code assigned by the                 M
                                  DCO for a particular
                                  contract.
Universal Product Identifier...  Uniquely identifies                  O
                                  the product of a
                                  security using ISO
                                  4914 standard, Unique
                                  Product Identifier.

[[Page 76728]]

 
Security Type..................  Registered commodity                 M
                                  clearing identifier.
Asset Class....................  The broad asset                      M
                                  category for
                                  assessing risk
                                  exposure.
Asset Subclass.................  The subcategory                       C
                                  description of the
                                  asset class.
Asset Type.....................  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Swap Class.....................  The classification or                M
                                  type of swap.
Swap Subclass..................  The sub-classification                C
                                  or notional schedule
                                  type of the swap.
Security Description...........  Used to provide a                    M
                                  textual description
                                  of a financial
                                  instrument.
Leg Type.......................  Identifies if the leg                M
                                  is fixed or floating.
Leg Notional...................  Notional amount                      M
                                  associated with leg.
Leg Notional Currency..........  Currency of this leg's               M
                                  notional amount.
Leg Start Date Adj Bus Day Conv  If start date falls on                C
                                  a weekend or holiday,
                                  value defines how to
                                  adjust actual start
                                  date.
Leg Start Date.................  Leg's effective date..               M
Leg Maturity Date Adj Bus Day    If the maturity date                  C
 Conv.                            falls on a weekend or
                                  holiday, value
                                  defines how to adjust
                                  actual maturity date.
Leg Maturity Date..............  The date on which the                M
                                  leg's principal
                                  amount becomes due.
Leg Maturity Date Adj Calendar.  Regarding the maturity                C
                                  date, this specifies
                                  which dates are
                                  considered holidays.
Leg Calc Per Adj Bus Day Conv..  If a date defining the                C
                                  calculation period
                                  falls on a holiday,
                                  this adjusts the
                                  actual dates based on
                                  the definition of the
                                  input.
Leg Calc Frequency.............  Calculation frequency,               M
                                  also known as the
                                  compounding frequency
                                  for compounded swaps.
Leg Roll Conv..................  Describes the day of                  C
                                  the month when the
                                  payment is made.
Leg Calc Per Adj Calendar......  Regarding the                         C
                                  calculation period,
                                  this specifies which
                                  dates are considered
                                  holidays.
Leg Stream Daycount............  Defines how interest                  C
                                  is accrued/calculated.
Payment Stream Comp Method.....  If payments are made                  C
                                  on one timeframe but
                                  calculations are made
                                  on a shorter
                                  timeframe, this
                                  describes how to
                                  compound interest.
Payment Stream Business Day      If cash flow pay or                   C
 Conv.                            receive date falls on
                                  a weekend or holiday,
                                  value defines actual
                                  date payment is made.
Payment Stream Frequency.......  Frequency at which                   M
                                  payments are made.
Payment Stream Relative To.....  Specifies the anchor                  C
                                  date when the payment
                                  date is relative to
                                  that date.
Payment Stream First Date......  The unadjusted first                  C
                                  payment date.
Payment Stream Last Regular      The unadjusted last                   C
 Date.                            regular payment date.
Payment Leg Calendar...........  Regarding dates on                    C
                                  which cash flow
                                  payments/receipts are
                                  scheduled, this
                                  specifies which dates
                                  are considered
                                  holidays.
Leg Reset Date Bus Day Conv....  Business day                          C
                                  convention to apply
                                  to each reset date if
                                  the reset date falls
                                  on a holiday.
Leg Reset Date Relative To.....  Specifies the anchor                  C
                                  date when reset date
                                  is relative to that
                                  date.
Leg Reset Frequency............  Frequency at which                    C
                                  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.
Leg Reset Fixing Date Offset...  Specifies the fixing                  C
                                  date relative to the
                                  reset date in terms
                                  of a business days
                                  offset.
Leg Fixing Day Type............  The type of days to                   C
                                  use to find the
                                  fixing date (i.e.,
                                  business days,
                                  calendar days, etc.).
Leg Reset Date Calendar........  Regarding reset dates,                C
                                  this specifies which
                                  dates are considered
                                  holidays.
Leg Fixing Date Bus Day Conv...  Business day                          C
                                  convention to apply
                                  to each fixing date
                                  if the fixing date
                                  falls on a holiday.
Leg Fixing Date Calendar.......  Regarding the fixing                  C
                                  date, this specifies
                                  which dates are
                                  considered holidays.
Fixed Leg Rate or Amount.......  Only populate if Leg1                 C
                                  is Type ``Fixed''.
                                  This should be
                                  expressed in decimal
                                  form (e.g., 4% should
                                  be input as .04).
Floating Leg Inflation Index...  If leg is floating                    C
                                  rate, this gives the
                                  index applicable to
                                  the floating rate.
Floating Leg Spread............  Describes if there is                 C
                                  a spread (typically
                                  an add-on) applied to
                                  the coupon rate.
Floating Leg Payment Inflation   Number of business                    C
 Lag.                             days after payment
                                  due date on which the
                                  payment is actually
                                  made.
Floating Leg Payment Inflation   The method used when                  C
 Interpolation Method.            calculating the
                                  inflation index level
                                  from multiple points.
                                  The most common is
                                  the linear method.
Floating Leg Inflation Index     Initial known index                   C
 Initial Level.                   level for the first
                                  calculation period.
Floating Leg Inflation Index     Indicates whether a                  O
 Fallback Bond Ind.               fallback bond as
                                  defined in the 2006
                                  ISDA Inflation
                                  Derivatives
                                  Definitions, sections
                                  1.3 and 1.8, is
                                  applicable or not. If
                                  not specified, the
                                  default value is
                                  ``Y'' (True/Yes).
Leg Pmt Sched Notional.........  Variable notional swap                C
                                  notional values.
Leg Stub Type..................  Stubs apply to initial                C
                                  or ending periods
                                  that are shorter than
                                  the usual interval
                                  between payments.
Leg Initial Stub Fixed Rate....  The interest rate                     C
                                  applicable to the
                                  Initial Stub Period
                                  in decimal form
                                  (e.g., 4% should be
                                  input as ``.04'').
Leg Final Stub Fixed Rate......  The interest rate                     C
                                  applicable to the
                                  final stub period in
                                  decimal form (e.g.,
                                  4% should be input as
                                  ``.04'').
Leg Initial Stub Floating Rate   Stub rate can be a                    C
 Index 1 Tenor.                   linear interpolation
                                  between two floating
                                  rate tenors. E.g., if
                                  the stub period is 2
                                  months, rate is
                                  linear interpolation
                                  of 1-month and 3-
                                  month reference
                                  rates. Specify the
                                  first index.
Leg Initial Stub Floating Rate   Stub rate can be a                    C
 Index 2 Tenor.                   linear interpolation
                                  between two floating
                                  rate tenors. E.g., if
                                  the stub period is 2
                                  months, rate is
                                  linear interpolation
                                  of 1-month and 3-
                                  month reference
                                  rates. Specify the
                                  second index.
Leg Final Stub Floating Rate     Stub rate can be a                    C
 Index 1 Tenor.                   linear interpolation
                                  between two floating
                                  rate tenors. E.g., if
                                  the stub period is 2
                                  months, rate is
                                  linear interpolation
                                  of 1-month and 3-
                                  month reference
                                  rates. Specify the
                                  first index.
Leg Final Stub Rate Floating     Stub rate can be a                    C
 Index 2 Tenor.                   linear interpolation
                                  between two floating
                                  rate tenors. E.g., if
                                  the stub period is 2
                                  months, rate is
                                  linear interpolation
                                  of 1-month and 3-
                                  month reference
                                  rates. Specify the
                                  second index.
Leg First Reg Per Start Date...  If there is a                         C
                                  beginning stub, this
                                  describes the date
                                  when the usual
                                  payment periods will
                                  begin.
Leg Last Reg Per End Date......  If there is an ending                 C
                                  stub, this describes
                                  the date when the
                                  usual payment periods
                                  will end.
Leg Accrued Interest (Coupon)..  The net accrued coupon               M
                                  amount since the last
                                  payment in the leg
                                  currency. If reported
                                  by leg, indicate the
                                  associated stream
                                  (leg) description
                                  (e.g., ``FIXED/
                                  FLOAT,'' ``FLOAT1/
                                  FLOAT2'').
Profit/Loss....................  Profit/Loss resulting                M
                                  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).
Leg Coupon Amount..............  Coupon amount for T+1                M
                                  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.
Leg Current Period Coupon Rate.  If leg is a floating                 M
                                  leg, this indicates
                                  the current rate used
                                  to calculate the next
                                  floating leg coupon
                                  in decimal form
                                  (e.g., 4% should be
                                  input as ``.04'').

[[Page 76729]]

 
Dollar Value of Basis Point      Change in value in                   M
 (DV01).                          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.
Net Cash Flow..................  Net cash flow                        M
                                  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.).
Net Present Value..............  NPV of all positions                 M
                                  by currency. If
                                  reported by leg,
                                  indicate the
                                  associated stream
                                  (leg) description
                                  (e.g., ``FIXED/
                                  FLOAT,'' ``FLOAT1/
                                  FLOAT2'').
Present Value of Other Payments  Includes the present                 M
                                  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.
Previous Net Present Value.....  Yesterday's NPV.......                C
Price Alignment Interest.......  To minimize the impact               M
                                  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 with
                                  respect to IRS by
                                  currency.
Universal Swap Identifier......  Universal Swap                        C
                                  Identifier (USI)
                                  namespace and USI.
                                  Enter the USI
                                  Namespace and the USI
                                  separated
                                  ``[verbar]''
                                  character.
Stream Initial Exchange........  Amount of any exchange                C
                                  of cash flow at
                                  initiation of trade
                                  being cleared.
Stream Initial Exchange Date...  Date that the initial                 C
                                  exchange is set to
                                  occur.
Stream Final Exchange..........  Amount of any exchange                C
                                  of cash flow at
                                  maturity of trade.
Stream Final Exchange Date.....  Date that the final                   C
                                  exchange is set to
                                  occur.
Other Payments.................  Includes any upfront                  C
                                  and/or final/
                                  settlement payments
                                  made/received for the
                                  trade date. (Indicate
                                  gross pay/collect
                                  amounts.).
Trade Date.....................  Actual trade date for                M
                                  each position record
                                  (including
                                  specifically, the
                                  cleared date and the
                                  trade date).
Event Description..............  Description for each                  C
                                  position record.
------------------------------------------------------------------------
             Equity Cross Margin (Daily Position Reporting)
------------------------------------------------------------------------
Market Segment Identifier......  Indicator which allows               M
                                  for validation of the
                                  equity cross margin
                                  fields.
Exchange Security Identifier...  Contract code issued                 M
                                  by the exchange.
Clearing Security Identifier...  Registered clearing                  M
                                  security identifier.
                                  The code is for the
                                  contract as if it was
                                  traded in the form in
                                  which it is cleared.
                                  For example, if the
                                  contract were traded
                                  as a spread but
                                  cleared as an
                                  outright, the
                                  outright symbol
                                  should be used.
Product Type...................  Indicates the type of                 C
                                  product the security
                                  is associated with.
Security Type..................  Indicates type of                    M
                                  security.
Maturity Month Year............  Month and year of the                M
                                  maturity (used for
                                  standardized futures
                                  and options).
Maturity Date..................  The date on which the                 C
                                  principal amount
                                  becomes due. For
                                  NDFs, this represents
                                  the fixing date of
                                  the contract.
Asset Class....................  The broad asset                      M
                                  category for
                                  assessing risk
                                  exposure..
Asset Subclass.................  The subcategory                       C
                                  description of the
                                  asset class.
Asset Type.....................  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Security Description...........  Used to provide a                    M
                                  textual description
                                  of a financial
                                  instrument.
Position (Long)................  Long position size. If               M
                                  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.
Position (Short)...............  Short position size.                 M
                                  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.
Settlement Price/Currency......  Settlement price,                    M
                                  prior settlement
                                  price, settlement
                                  currency, and final
                                  settlement date.
Option Strike Price............  Option strike price...                C
Option Put/Call Indicator......  Option type...........                C
Underlying Exchange Commodity    Underlying Contract                   C
 Code.                            code issued by the
                                  exchange.
Underlying Clearing Commodity    Registered commodity                  C
 Code.                            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.
Underlying Product Type........  Indicates the type of                 C
                                  product the security
                                  is associated with.
Underlying Security Type.......  Indicates type of                     C
                                  security. Underlying
                                  instrument is
                                  required for Security
                                  Type = OOF, OOC, or
                                  OPT. Use Security
                                  Type = MLEG for combo
                                  contracts.
Underlying Maturity Month Year.  Maturity month and                    C
                                  year (used for
                                  standardized futures
                                  and options).
Underlying Maturity Date.......  The date on which the                 C
                                  principal amount
                                  becomes due. For
                                  NDFs, this represents
                                  the fixing date of
                                  the contract.
Underlying Asset Class.........  The broad asset                       C
                                  category for
                                  assessing risk
                                  exposure.
Underlying Asset Subclass......  The subcategory                       C
                                  description of the
                                  asset class.
Underlying Asset Type..........  Provides a more                       C
                                  specific description
                                  of the asset subclass.
Underlying Settlement Price/     Settlement price,                     C
 Currency.                        prior settlement
                                  price, settlement
                                  currency, and final
                                  settlement date.
------------------------------------------------------------------------
M = mandatory; C = conditional; O = optional.

C Greek Ladder Reporting

------------------------------------------------------------------------
           Field name                  Description             Use
------------------------------------------------------------------------
                 Common Fields (Greek Ladder Reporting)
------------------------------------------------------------------------
Total Message Count............  The total number of                  M
                                  reports included in
                                  the file.
FIXML Message Type.............  FIXML account summary                M
                                  report type.
Sender ID......................  The CFTC-issued DCO                  M
                                  identifier.
To ID..........................  Indicate ``CFTC''.....               M
Message Transmit Datetime......  The date and time the                M
                                  file is transmitted.
Report ID......................  A unique identifier                  M
                                  assigned by the CFTC
                                  to each clearing
                                  member report.
Report Date....................  The business date of                 M
                                  the information being
                                  reported.
Base Currency..................  Base currency                        M
                                  referenced throughout
                                  report; provide
                                  exchange rate against
                                  this currency.

[[Page 76730]]

 
Report Time (Message Create      The report ``as of''                 M
 Time).                           or information cut-
                                  off time.
Message Event..................  The event source being               M
                                  reported.
File number and count..........  Each FIXML file should               M
                                  indicate its sequence
                                  (e.g., ``file 1 of
                                  10'').
Ladder Indicator...............  Indicator that                       M
                                  identifies the type
                                  of Greek ladder.
DCO Identifier.................  CFTC-assigned                        M
                                  identifier for a DCO.
Clearing Participant Identifier  DCO-assigned                         M
                                  identifier for a
                                  particular clearing
                                  member.
Clearing Participant Name......  The name of the                      M
                                  clearing member.
Fund Segregation Type..........  Clearing fund                        M
                                  segregation type.
Clearing Participant LEI.......  LEI for a particular                 M
                                  clearing member.
Clearing Participant LEI Name..  The LEI name                         M
                                  associated with the
                                  clearing member LEI.
Customer Identifier............  Proprietary identifier                C
                                  for a particular
                                  customer position
                                  account.
Customer Name..................  The name associated                   C
                                  with the customer
                                  position identifier.
Customer Account Type..........  Type of account used                  C
                                  for reporting.
Customer LEI...................  LEI for a particular                  C
                                  customer; provide if
                                  available.
Customer LEI Name..............  The LEI name                          C
                                  associated with the
                                  customer position LEI.
------------------------------------------------------------------------
                     Delta Ladder (Daily Reporting)
------------------------------------------------------------------------
Currency.......................  ISO 4217 currency code               M
FX Rate........................  Rate used to convert                 M
                                  the currency to USD.
Curve Name.....................  Name of the reference                M
                                  curve.
Tenor..........................  Number of days from                  M
                                  the report date.
Sensitivity....................  Theoretical profit and               M
                                  loss with a single
                                  upward basis point
                                  shift.
------------------------------------------------------------------------
                     Gamma Ladder (Daily Reporting)
------------------------------------------------------------------------
Currency.......................  ISO 4217 currency code               M
FX Rate........................  Rate used to convert                 M
                                  the currency to USD.
Curve Name.....................  Name of the reference                M
                                  curve..
Tenor..........................  Number of days from                  M
                                  the report date.
Sensitivity....................  Theoretical profit and               M
                                  loss with a single
                                  upward basis point
                                  shift.
------------------------------------------------------------------------
                      Vega Ladder (Daily Reporting)
------------------------------------------------------------------------
Currency.......................  ISO 4217 currency code               M
FX Rate........................  Rate used to convert                 M
                                  the currency to USD.
Curve Name.....................  Name of the reference                M
                                  curve.
Tenor..........................  Number of days from                  M
                                  the report date.
Sensitivity....................  Theoretical profit and               M
                                  loss with a single
                                  upward basis point
                                  shift.
------------------------------------------------------------------------
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                  M
                                  reports included in
                                  the file.
FIXML Message Type.............  FIXML account summary                M
                                  report type.
Sender ID......................  The CFTC-issued DCO                  M
                                  identifier.
To ID..........................  Indicate ``CFTC''.....               M
Message Transmit Datetime......  The date and time the                M
                                  file is transmitted.
Report ID......................  A unique identifier                  M
                                  assigned by the CFTC
                                  to each clearing
                                  member report.
Report Date....................  The business date of                 M
                                  the information being
                                  reported.
Base Currency..................  Base currency                        M
                                  referenced throughout
                                  report; provide
                                  exchange rate against
                                  this currency.
Report Time (Message Create      The report ``as of''                 M
 Time).                           or information cut-
                                  off time.
Message Event..................  The event source being               M
                                  reported.
File number and count..........  Each FIXML file should               M
                                  indicate its sequence
                                  (e.g., ``file 1 of
                                  10'').
DCO Identifier.................  CFTC-assigned                        M
                                  identifier for a DCO.
------------------------------------------------------------------------
                    Currency Curve (Daily Reporting)
------------------------------------------------------------------------
 Curve.........................  Reference curve name..               M
Currency.......................  ISO 4217 currency code               M
Maturity Date..................  The date on which the                M
                                  principal amount
                                  becomes due.
Par Rate.......................  Rate such that the                   M
                                  maturity will pay in
                                  order to sell at par
                                  today.
------------------------------------------------------------------------
                    Zero Rate Curve (Daily Reporting)
------------------------------------------------------------------------
 Currency......................  ISO 4217 currency code               M
Curve..........................  Reference curve name..               M
Maturity Date..................  The date on which the                M
                                  principal amount
                                  becomes due.
Offset.........................  The difference in days               M
                                  between the maturity
                                  date and reporting
                                  date.
Accrual Factor.................  The difference in                    M
                                  years between the
                                  maturity date and
                                  reporting date.
Discount Factor................  Value used to compute                M
                                  the present value of
                                  future cash flows
                                  values.
Zero Rate......................  Averages of the one-                 M
                                  period forward rates
                                  up to their maturity.
------------------------------------------------------------------------
M = mandatory; C = conditional; O = optional.


[[Page 76731]]

E. Back Testing Reporting

------------------------------------------------------------------------
           Field name                  Description             Use
------------------------------------------------------------------------
                 Common Fields (Back Testing Reporting)
------------------------------------------------------------------------
Total Message Count............  The total number of                  M
                                  reports included in
                                  the file.
FIXML Message Type.............  FIXML account summary                M
                                  report type.
Sender ID......................  The CFTC-issued DCO                  M
                                  identifier.
To ID..........................  Indicate ``CFTC''.....               M
Message Transmit Datetime......  The date and time the                M
                                  file is transmitted.
Report ID......................  A unique identifier                  M
                                  assigned by the CFTC
                                  to each clearing
                                  member report.
Report Date....................  The business date of                 M
                                  the information being
                                  reported.
Base Currency..................  Base currency                        M
                                  referenced throughout
                                  report; provide
                                  exchange rate against
                                  this currency.
Report Time (Message Create      The report ``as of''                 M
 Time).                           or information cut-
                                  off time.
Message Event..................  The event source being               M
                                  reported.
Breach Indicator...............  Indicates the breach                 M
                                  file.
File number and count..........  Each FIXML file should               M
                                  indicate its sequence
                                  (e.g., ``file 1 of
                                  10'').
DCO Identifier.................  CFTC-assigned                        M
                                  identifier for a DCO.
Clearing Participant Identifier  DCO-assigned                         M
                                  identifier for a
                                  particular clearing
                                  member.
Clearing Participant Name......  The name of the                      M
                                  clearing member.
Fund Segregation Type..........  Clearing fund                        M
                                  segregation type.
Clearing Participant LEI.......  LEI for a particular                 M
                                  clearing member.
Clearing Participant LEI Name..  The LEI name                         M
                                  associated with the
                                  clearing member LEI.
Customer Identifier............  Proprietary identifier                C
                                  for a particular
                                  customer position
                                  account.
Customer Name..................  The name associated                   C
                                  with the customer
                                  position identifier.
Customer Account Type..........  Type of account used                  C
                                  for reporting.
Customer LEI...................  LEI for a particular                  C
                                  customer; provide if
                                  available.
Customer LEI Name..............  The LEI name                          C
                                  associated with the
                                  customer position LEI.
------------------------------------------------------------------------
                    Breach Details (Daily Reporting)
------------------------------------------------------------------------
Initial Margin.................  Margin requirement                   M
                                  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.
Variation Margin...............  Variation margin                     M
                                  should include the
                                  net sum of all cash
                                  flows between the DCO
                                  and clearing members
                                  by origin.
Breach Amount..................  Difference between the               M
                                  initial margin and
                                  variation margin.
                    Breach Summary (Daily Reporting)
------------------------------------------------------------------------
Total Instance.................  Total number of                      M
                                  testing dates for the
                                  account.
Number of Breaches.............  Total number of                      M
                                  breaches in the
                                  testing period.
Test Range Start...............  Beginning date of the                M
                                  test.
Test Range End.................  End date of the test..               M
------------------------------------------------------------------------
M = mandatory; C = conditional; O = optional.

F. Cash Flow Reporting

------------------------------------------------------------------------
           Field name                  Description             Use
------------------------------------------------------------------------
                       Variation Margin Reporting
------------------------------------------------------------------------
Total Message Count............  The total number of                  M
                                  reports included in
                                  the file.
FIXML Message Type.............  FIXML account summary                M
                                  report type.
Sender ID......................  The CFTC-issued DCO                  M
                                  identifier.
To ID..........................  Indicate ``CFTC''.....               M
Message Transmit Datetime......  The date and time the                M
                                  file is transmitted.
Report ID......................  A unique identifier                  M
                                  assigned by the CFTC
                                  to each clearing
                                  member report.
Report Date....................  The business date of                 M
                                  the information being
                                  reported.
Business Date..................  The applicable trade                 M
                                  date to which the
                                  payment activity
                                  relates.
Base Currency..................  Base currency                        M
                                  referenced throughout
                                  report; provide
                                  exchange rate against
                                  this currency.
Report Time (Message Create      The report ``as of''                 M
 Time).                           or information cut-
                                  off time.
Message Event..................  The event source being               M
                                  reported.
File number and count..........  Each FIXML file should               M
                                  indicate its sequence
                                  (e.g., ``file 1 of
                                  10'').
DCO Identifier.................  CFTC-assigned                        M
                                  identifier for a DCO.
Clearing Participant Identifier  DCO-assigned                         M
                                  identifier for a
                                  particular clearing
                                  member.
Clearing Participant Name......  The name of the                      M
                                  clearing member.
Fund Segregation Type..........  Clearing fund                        M
                                  segregation type.
Clearing Participant LEI.......  LEI for a particular                 M
                                  clearing member.
Clearing Participant LEI Name..  The LEI name                         M
                                  associated with the
                                  clearing member LEI.
Call Transaction ID............  A unique ID that links               M
                                  the amount called to
                                  the amount received.
Settlement Cycle...............  An acronym that                      M
                                  indicates to which
                                  settlement cycle the
                                  variation margin
                                  payment applies.
                                  E.g., BOD = Beginning
                                  of Day, ITD =
                                  Intraday, EOD = End
                                  of Day.
Call Time......................  The timestamp                        M
                                  indicating when the
                                  DCO declares or
                                  issues notice that a
                                  variation margin
                                  payment is due to be
                                  received from its
                                  clearing members.
Call Amount....................  The amount of                        M
                                  variation margin the
                                  DCO expects to be
                                  paid.
Received Time..................  The timestamp                        M
                                  indicating when the
                                  DCO received
                                  variation margin due
                                  from a clearing
                                  member.
Received Amount................  The amount of                        M
                                  variation margin
                                  received from a
                                  clearing member.
Paid Time......................  The timestamp                        M
                                  indicating when the
                                  DCO declares or
                                  issues notice that a
                                  variation margin
                                  payment is due to be
                                  paid to its clearing
                                  members.

[[Page 76732]]

 
Paid Amount....................  The amount of                        M
                                  variation paid to a
                                  clearing member.
------------------------------------------------------------------------
M = mandatory; C = conditional; O = optional.

G. Manifest Reporting

------------------------------------------------------------------------
           Field name                  Description             Use
------------------------------------------------------------------------
                           Manifest Reporting
------------------------------------------------------------------------
Total Message Count............  The total number of                  M
                                  reports included in
                                  the file.
FIXML Message Type.............  FIXML account summary                M
                                  report type.
Sender ID......................  The CFTC-issued DCO                  M
                                  identifier.
To ID..........................  Indicate ``CFTC''.....               M
Message Transmit Datetime......  The date and time the                M
                                  file is transmitted.
Filenames......................  List of files to be                  M
                                  sent.
------------------------------------------------------------------------
M = mandatory; C = conditional; O = optional.

PART 140--ORGANIZATION, FUNCTIONS, AND PROCEDURES OF THE COMMISSION

0
10. The authority citation for part 140 continues to read as follows:

    Authority: 7 U.S.C. 2(a)(12), 12a, 13(c), 13(d), 13(e), and 
16(b).

0
11. Amend Sec.  140.94 by revising paragraph (c)(10) to read as 
follows:


Sec.  140.94  Delegation of authority to the Director of the Division 
of Swap Dealer and Intermediary Oversight and the Director of the 
Division of Clearing and Risk.

* * * * *
    (c) * * *
    (10) All functions reserved to the Commission in Sec.  39.19(a), 
(b)(1), (c)(2), (c)(3)(iv), and (c)(5) of this chapter;
* * * * *

    Issued in Washington, DC, on December 6, 2022, by the 
Commission.
Robert Sidman,
Deputy Secretary of the Commission.

    Note:  The following appendices will not appear in the Code of 
Federal Regulations.

Appendices to Reporting and Information Requirements for Derivatives 
Clearing Organizations--Commission Voting Summary, Chairman's 
Statement, and Commissioners' Statements

Appendix 1--Commission Voting Summary

    On this matter, Chairman Behnam and Commissioners Johnson, 
Goldsmith Romero, Mersinger, and Pham voted in the affirmative. No 
Commissioner voted in the negative.

Appendix 2--Statement of Support of Chairman Rostin Behnam

    Today the Commission will consider a proposal to amend certain 
reporting and information requirements applicable to derivatives 
clearing organizations (``DCOs'') which are set forth in Part 39 of 
the Commission's regulations. The Commission last amended these 
requirements in January 2020 \1\ and is revisiting them today in 
order to address certain issues identified by the industry and 
through the Commission's experience with DCO compliance with the 
amended reporting and information requirements. The proposed 
amendments either codify existing staff no-action letters \2\ and 
Commission practices \3\ or provide further changes to or 
clarification of certain Part 39 regulations in order to ensure that 
DCOs understand their reporting obligations and the Commission 
receives the information it needs to perform its supervisory 
responsibilities. Specifically, the proposed amendments would, among 
other things, update information requirements associated with 
commingling customer funds and positions in futures and swaps in the 
same account, address certain systems-related reporting obligations 
in Regulation 39.18(g) regarding exceptional events, revise certain 
daily and event-specific reporting requirements in Regulation 
39.19(c), and codify, in an appendix, the reporting fields that a 
DCO is required to provide on a daily basis under existing 
Regulation 39.19(c)(1). In addition, the Commission is proposing to 
amend the delegation provision in Regulation 140.94(c) to provide 
the Director of the Division of Clearing and Risk with delegated 
authority to request the information required by Regulation 39.19, 
any additional information that the Commission determines to be 
necessary to conduct oversight of the DCO, and to specify the format 
and manner in which the information required by the regulation is 
submitted to the Commission.
---------------------------------------------------------------------------

    \1\ Derivatives Clearing Organization General Provisions and 
Core Principles, 85 FR 4800 (Jan. 27, 2020).
    \2\ See CFTC Letter No. 21-31 (Dec. 22, 2021) (addressing 
compliance with the amended requirements in Regulation 39.19(c)(1) 
pertaining to the daily reporting of variation margin and cash flows 
by individual customer account). Letter No. 21-31 extended the no-
action relief originally granted in CFTC Letter No. 21-01 (Dec. 31, 
2020). See CFTC Letter No. 19-15 (July 1, 2019) (no-action letter to 
Eris Clearing, LLC, regarding several Commission regulations, 
including Regulation 39.21(c)(7), due to Eris Clearing, LLC's fully 
collateralized clearing model).
    \3\ Commodity Futures Trading Commission Guidebook for Part 39 
Daily Reports, Version 1.0.1, Dec. 10, 2021.
---------------------------------------------------------------------------

    I fully support the proposed rulemaking as it provides greater 
transparency, clarity and certainty to our DCOs and market 
participants regarding our reporting requirements and streamlines 
how the Commission receives the information necessary to supervise 
our DCOs. I believe it is prudent for the Commission to update or 
revise its regulations based on its experience and in response to 
certain industry and DCO concerns regarding compliance. Periodic 
stock takes and updates of our regulations based on our experiences 
and ongoing compliance concerns mitigate unintended consequences and 
ensure that our regulations are operating as intended. In addition, 
I would like to encourage continued dialogue between the Commission 
and market participants regarding elements of our regulations that 
may be impractical or simply do not work. As I understand it, the 
proposed amendment removing the requirement that a DCO report daily 
variation margin and cash flow information by individual customer 
account was borne out of discussions with the industry and certain 
DCOs. Such engagement assists us in refining our regulations. I also 
support changes to the delegation provision as it streamlines how 
the Commission's Division of Clearing and Risk receives information 
the Commission needs to conduct oversight of DCOs in a timely 
manner.
    I look forward to the public's submission of comments and 
feedback on this notice of proposed rulemaking. Many thanks to the 
staff of the Division of Clearing and Risk for all of their hard 
work and effort in bringing this proposal to fruition.

Appendix 3--Supporting Statement of Commissioner Kristin N. Johnson

    I support the Commodity Futures Trading Commission's (CFTC) 
issuance of the Notice of Proposed Amendments to Reporting and 
Information Requirements for Derivatives Clearing Organizations 
(Notice). Across the diverse commodity and derivates markets subject 
to CFTC oversight and in nascent markets where the CFTC's visibility 
and enforcement authority may be limited, recent events demonstrate 
the need to adopt, implement, enforce, and continuously refine CFTC 
rules and regulations to foster fair,

[[Page 76733]]

orderly, and transparent markets, to ensure effective protection of 
customer assets and preserve market integrity. These efforts are 
critical to fulfilling our mandate.
    The proposed amendments advance greater transparency, facilitate 
better supervision, and ensure that rules are fit for purpose. I 
thank the staff of the Division of Clearing and Risk (Division) for 
efforts taken to update the derivatives clearing organization (DCO) 
information and reporting requirements.
    Even as we prepare to enhance information and reporting 
requirements, we cannot rest on our laurels. As noted, recent events 
underscore the significant value of these requirements imposed on 
DCOs. We must thoroughly interrogate attempts by actors seeking to 
enter our markets under the guise of complying with our regulations 
only to reveal intentions to engage in various forms of regulatory 
arbitrage or worse, defrauding customers and destabilizing our 
markets.

Refining Risk Management Information and Reporting Requirements

    Adopted in the wake of the global financial crisis that began in 
2007, the Dodd-Frank Wall Street Reform and Consumer Protection Act 
of 2010 (Dodd-Frank Act), implemented reforms to mitigate systemic 
financial risk and promote financial stability and transparency.\1\ 
The market structure, governance, and oversight reforms introduced 
by the Dodd-Frank Act supported centralized clearing of bilateral 
over the counter swaps transactions in an effort to ``foster greater 
efficiencies'' across derivatives markets.\2\ Building on existing 
regulatory principles previously implemented under the Commodity 
Exchange Act, the Dodd-Frank Act significantly strengthened the 
CFTC's authority to adopt, implement, and enforce regulations 
governing DCOs.
---------------------------------------------------------------------------

    \1\ Public Law 111-203, 124 Stat. 1376 (July 21, 2010).
    \2\ Ownership Limitations and Governance Requirements for 
Security-Based Swap Clearing Agencies, Security-Based Swap Execution 
Facilities, and National Securities Exchanges with Respect to 
Security-Based Swaps Under Regulation MC, 75 FR 65885 (Oct. 26, 
2010).
---------------------------------------------------------------------------

    Payment, clearing, and settlement systems serve a central role 
in financial market infrastructure. DCOs clear and settle trillions 
of dollars in transactions each year in global financial markets. 
Each DCO interposes itself into each contract presented for clearing 
and settlement, meaning that the DCO serves as the economic 
counterparty to each party in a transaction for each contract that 
it clears and settles. This novation mutualizes risk, enables 
greater visibility into the risk exposure of market participants and 
DCOs, introduces uniform contractual obligations, and establishes 
standards for initial and variation margin.
    The Commission, clearing members, and clearing service providers 
engage in a regulatory dialogue to ensure DCOs and clearing members 
maintain minimum liquidity reserves, introduce critical system 
safeguards including cyber-risk management measures, and implement 
governance measures that mitigate conflicts of interest, among other 
concerns. In the years following passage of the Dodd-Frank Act the 
CFTC issued a number of rules to implement core regulatory 
principles, including rules relating to treatment of funds (Core 
Principle F), system safeguards (Core Principle I), reporting (Core 
Principle J), and the public availability of information (Core 
Principle L).\3\
---------------------------------------------------------------------------

    \3\ Derivatives Clearing Organization General Provisions and 
Core Principles, 76 FR 69334 (Nov. 8, 2011).
---------------------------------------------------------------------------

    In January 2020, the Commission amended many of the provisions 
in part 39 in order to enhance certain risk management and reporting 
obligations, clarify the meaning of certain provisions, and 
streamline registration and reporting.\4\ The proposed rulemaking 
updates these rules to reflect developments in risk management and 
in the Commission's understanding of what information is most 
helpful in carrying out its oversight mission.
---------------------------------------------------------------------------

    \4\ Derivatives Clearing Organization General Provisions and 
Core Principles, 85 FR 4800 (Jan. 27, 2020), available at https://www.federalregister.gov/documents/2020/01/27/2020-01065/derivatives-clearing-organization-general-provisions-and-core-principles.
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    I commend staff for beginning to review current regulations and 
their interplay with potential disintermediated clearing and 
settlement frameworks. While this proposal is a laudable first step, 
there is much more work to be accomplished.
    Reflecting on the risk management oversight role and purpose of 
DCOs, it is critical, that we correctly calibrate information and 
reporting requirements. This responsibility is heightened in the 
context of our consideration of proposals that allow DCOs to offer 
direct clearing to retail customers. Direct clearing models may 
remove intermediaries who are subject to capital, risk management, 
and recovery and resilience requirements. Expansion of clearing to 
new asset classes, such as digital assets, also raises potential new 
stresses on traditional and alternative clearing models. It is 
important that the Commission properly tailor information and 
reporting in a manner that will enhance CFTC market surveillance, 
supervision and oversight. For a few issues raised in the Notice, 
the Commission may benefit from forward-looking comments that 
consider alterative market structures.

Segregation of Customer Funds Information and Reporting 
Requirements

    Commission regulation 39.15 implements DCO Core Principle F and 
requires DCOs to establish standards and procedures for protecting 
and ensuring the safety of clearing member and customer funds. Core 
Principle F, as amended by the Dodd-Frank Act, requires a DCO to 
establish standards and procedures that are designed to protect and 
ensure the safety of funds and assets held in custody, to hold such 
funds and assets in a way designed to minimize risk, and to limit 
investment of such funds and assets to instruments with minimal 
credit, market, and liquidity risks.\5\
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    \5\ Id. at 69,390.
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    Segregation and safekeeping of clearing member and customer 
funds and assets is critical to ensuring that a DCO in fact serves 
the risk mitigating function for which it is intended; if these 
funds and assets are not optimally protected it can compromise the 
stability of the DCO and result in substantial losses to clearing 
members and ultimately customers, with accompanying destabilization 
of the markets. The proposed amendments to Regulation 39.15 aim to 
better tailor the information that DCOs distribute to the CFTC in 
response to requests for combining swaps and futures positions and 
the assets that support their trading in a single account. I support 
these proposed amendments because they are carefully designed to 
facilitate activity that will improve DCO risk management 
practices.\6\
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    \6\ See Proposed Rulemaking at 5-12.
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Liquidity Reserves Reporting and Information Requirements

    Most timely in light of recent events, the Notice proposes a 
package of liquidity-related transparency amendments revising the 
rules implementing Core Principle J.\7\ Prudent risk management, and 
particularly the management of liquidity needs, is critical to DCO 
resilience. Macroeconomic conditions today are marked by persistent 
inflation and periods of sustained volatility. Prevailing market 
conditions are characterized by extreme volatility and positively 
correlated assets that amplify the risk of contagion, creating a 
perfect storm for unanticipated liquidity demands. Collectively, the 
proposed transparency amendments, which trigger reporting of changes 
to credit and liquidity facilities, and the financial health of the 
entities that offer them, should significantly improve the 
Commission's risk surveillance of DCOs and clearing members. I fully 
support these transparency provisions. They add value to the core 
principles we uphold--the protection of customers and the integrity 
of the financial markets that we regulate.
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    \7\ See proposed Regulation 39.19.
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Cyber-Risk and Systems Safeguard Reporting and Information 
Requirements

    The proposed rulemaking also amends the regulations implementing 
Core Principle I to increase the reporting of DCO automated system 
impairments, including impairments concerning third-party provided 
services.\8\ We live in a digital age that is dependent on 
technology and the systems and software that comprise it. The Notice 
proposes amendments to regulation Sec.  39.18(g)(1) to require that 
a DCO promptly notify the Division of any hardware or software 
malfunction or operator error that impairs, or creates a significant 
likelihood of impairment of, automated system operation, 
reliability, security, or capacity. The Notice also proposes to 
adopt new regulation Sec.  39.18(g)(2) that requires a DCO to 
promptly notify the Division of any security incident or threat that 
compromises or could compromise the confidentiality, availability, 
or integrity of an automated system or any information, services, or 
data relied upon by them in discharging their responsibilities. This 
information is essential to the Commission's ability to monitor 
registrants for operational safety and soundness and to

[[Page 76734]]

consider the implications of events that threaten the integrity of 
systemically important DCOs (SIDCOs).
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    \8\ See proposed Regulation 39.18.
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    While I appreciate that new reporting obligations will require 
adjustments, these important reforms represent a refined, more 
carefully tailored reporting regime that seeks to achieve the goals 
outlined in the Dodd-Frank Act. I, therefore, support the 
Commission's issuance of the Notice of Proposed Rulemaking on DCO 
Reporting Requirements. I also very much welcome stakeholder 
comments as to whether the proposed amendments are sufficient to 
accomplish the stated purpose, or whether additional information 
would further assist the CFTC in carrying out its mission.

Appendix 4--Statement of Commissioner Christy Goldsmith Romero

    I support the Commission considering expanding requirements for 
clearing house notifications to the CFTC of cybersecurity incidents 
and clearing system malfunctions. The proposal is informed by the 
CFTC's experience, which involves around 120 recent reportable 
events, in addition to some clearing houses who have not reported 
cybersecurity incidents and clearing system malfunctions as 
required. I look forward to public comment on whether the proposed 
rule will be sufficient to hold clearing houses accountable for 
reporting delays or failures. I also look forward to public comment 
on whether the proposed rule sufficiently adapts to the ever-
evolving cybersecurity threat landscape and adequately addresses 
changing technologies and risks, including those related to 
cryptocurrencies.
    I thank the staff for their hard work on the proposal.

Cyber Attacks Are One of the Most Persistent and Severe Threats 
Facing Companies

    Cyber attacks are one of the most persistent and severe threats 
facing companies today. In 2012, then-Director of the Federal Bureau 
of Investigation (``FBI''), Robert Mueller, warned, ``There are only 
two types of companies: those that have been hacked and those that 
will be. And even they are converging into one category: companies 
that have been hacked and will be hacked again.\1\
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    \1\ Robert S. Mueller, III, Director, Federal Bureau of 
Investigation, Remarks as Prepared for Delivery to the RSA Cyber 
Security Conference, San Francisco, CA (Mar. 1, 2012) available at 
https://archives.fbi.gov/archives/news/speeches/combating-threats-in-the-cyber-world-outsmarting-terrorists-hackers-and-spies.
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    Since then, cyber attacks have evolved dramatically. In March 
2022, FBI Director Christopher Wray said that last year, 14 of 16 
critical infrastructure sectors saw ransomware incidents.\2\ High 
profile cyber attacks such as at the Colonial Pipeline and JBS, the 
world's largest meat supplier, significantly affected supply 
chains.\3\
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    \2\ Christopher Wray, Director, Federal Bureau of Investigation, 
FBI Partnering with the Private Sector to Counter the Cyber Threat--
FBI, Detroit, MI (Mar. 22, 2022) available at https://www.fbi.gov/news/speeches/fbi-partnering-with-private-sector-to-counter-the-cyber-threat-032222.
    \3\ Colonial was responsible for transporting almost half of the 
fuel to the eastern United States. After being hit by a ransomware 
attack from a group called DarkSide, Colonial shut down their 
pipeline. Panicked ensued, leading to a run on gas stations. The 
Colonial attack followed numerous other cyber incidents that year, 
including incidents at JBS, the New York City transportation system, 
and health care facilities. See, e.g., Cyber Threats in the 
Pipeline: Using Lessons from the Colonial Ransomware Attack to 
Defend Critical Infrastructure, Hearing before the Committee on 
Homeland Security, House of Representatives, 107th Congress, First 
Session (June 9, 2021) available at https://www.govinfo.gov/content/pkg/CHRG-117hhrg45085/html/CHRG-117hhrg45085.htm.
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    ``The rapid digitization of financial services, which 
accelerated with the pandemic, has led to an increase in global 
cyber threats,'' according to the Financial Services Information 
Sharing and Analysis Center.\4\ A 2022 survey of chief information 
security officers at 130 global financial institutions found that 
74% experienced at least one ransomware attack over the past year 
and 63% experienced an increase in destructive attacks designed to 
counter incident responses.\5\
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    \4\ Financial Services Information Sharing and Analysis Center, 
Navigating Cyber 2022: Annual Cyber Threat Review and Predictions 
(Q1, 2022) available at https://www.fsisac.com/navigatingcyber2022-report.
    \5\ VMware, Modern Bank Heists 5.0: The Escalation: From Heist 
to Hijack, From Dwell to Destruction (April 26, 2022) available at 
https://www.vmware.com/learn/security/1414485_REG.html.
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Adapting and Evolving To Meet the Changing Threat

    The threat of cyber attacks is so severe that it requires the 
CFTC and our registrants to adapt and evolve to meet the changing 
threat. A major cyber incident involving U.S. clearing houses 
carries the potential to create disruptions--if not short-term 
chaos--throughout our financial markets. Imagine the equivalent of 
the Colonial Pipeline attack on a clearing house or major clearing 
member.
    Additionally, given the nature of the technology and pseudo-
anonymity, cryptocurrencies present significant and novel 
vulnerabilities to cyber attacks, with more than $2 billion stolen 
this year alone.\6\ The chief executive officer of Binance, which 
suffered a $570 million hack last month, acknowledged on CNBC that 
the industry has to make their code more secure, adding ``in the 
blockchain world, whenever there is a bug, it can result in large 
losses.'' \7\
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    \6\ As Chairwoman Stabenow stated, ``$1.9 billion of 
cryptocurrency was stolen in hacks in the first seven months of this 
year alone.'' Opening Statement of Sen. Stabenow, Hearing to Review 
the Digital Commodities Consumer Protection Act, Before the U.S. 
Senate Committee on Agriculture, Nutrition, & Forestry (Sept. 15, 
2022) available at https://www.agriculture.senate.gov/newsroom/dem/press/release/chairwoman-stabenow-opening-statement-at-hearing-to-review-the-digital-commodities-consumer-protection-act.
    \7\ CNBC, $570 million worth of Binance's BNB token stolen in 
another major crypto hack (cnbc.com) (Oct. 7, 2022) available at 
https://www.cnbc.com/2022/10/07/more-than-100-million-worth-of-binances-bnb-token-stolen-in-another-major-crypto-hack.html.
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    An immediate two-way flow of information will help the CFTC 
contain the threat and safeguard markets. The response to the 
Colonial Pipeline incident is instructive. The five-day shut down of 
Colonial after a ransomware attack could have been much longer but 
for Colonial calling the FBI, which had an open investigation into 
DarkSide. The FBI had the expertise to coordinate with the 
Cybersecurity & Infrastructure Security Agency, give Colonial 
technical information and remediation techniques, identify the 
intrusion vector, and ultimately, seize the virtual currency wallet 
of the criminals involved.\8\ The CFTC, too, can be helpful in 
navigating the aftermath of cyber incidents or systems malfunctions 
alongside our clearing houses.
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    \8\ Christopher Wray, Director, Federal Bureau of Investigation, 
FBI Partnering with the Private Sector to Counter the Cyber Threat 
-- FBI, Detroit, MI (Mar. 22, 2022) available at https://www.fbi.gov/news/speeches/fbi-partnering-with-private-sector-to-counter-the-cyber-threat-032222.
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    The proposed CFTC notification requirements would account for a 
clearing house's lack of initial detailed knowledge, while requiring 
critical information. The CFTC could combine that information with 
threat information learned through federal partnerships to assess 
the impact of the threat, including at the clearing house and 
whether it extends to others.\9\ A clearing house would have to 
provide, in addition to notifications of cybersecurity incidents, 
Commission notifications of clearing system malfunctions. These 
notifications can help the Commission determine the clearing house's 
ability to perform its critical market infrastructure role.
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    \9\ Reporting also would provide data on cyber incidents that 
the CFTC can use to assess risks and trends.
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    We endeavor to work with clearing houses to address cyber events 
and issues as they happen--not to receive after-the-fact notice, 
when most of the damage has been done and when a useful, coordinated 
response may be too late. Also, it is possible that multiple firms 
within an industry are subject to the same vulnerabilities given 
increased reliance on third party providers and suppliers.
    This is an important practical consideration. Clearing houses 
must take immediate protective steps when faced with cyber 
incidents. But they very often detect an intrusion or other anomaly 
long before they are prepared to identify a specific cause or avenue 
for the attack, the severity of the event, or the scope of 
information impacted.
    I support removing the ``materiality'' requirement that an 
incident rises to a reporting threshold for severity or scope. This 
requirement can be associated with failures to notify the Commission 
or delays.

Holding Clearing Houses Accountable and Strengthening the Ability 
To Enforce Notification Requirements

    The threat of cyber attacks has evolved to be so severe, as is 
the damage that can flow from a clearing system malfunction, that it 
is critical for the Commission to hold clearing houses accountable 
to the new notification requirements, if and when they are enacted. 
This can include through supervisory methods and enforcement actions 
for reporting failures and delays.

[[Page 76735]]

    Accountability is critical for all clearing houses, but it is 
particularly important for new clearing houses (now and in the 
future), including cryptocurrency firms not used to being regulated 
by a U.S. regulator. While established clearing houses may be 
familiar with working with the CFTC to address cyber events and 
system malfunctions as they happen, new entrants to this space may 
be less familiar with the requirements and process. Holding all 
clearing houses accountable to these new requirements, if and when 
enacted, will be critical to containing the impact of any threat.
    In my experience as a long-standing law enforcement official, 
clear rules provide the strongest accountability, and strengthen the 
ability to bring a successful enforcement action.

Triggering Events Requiring Notification

    Under our proposed rule, clearing houses would report incidents 
without having to perform materiality analyses. They instead follow 
a list of notice-triggering events. The proposal states, ``the 
Commission believes that both DCOs and the Division will benefit 
from having a clear, bright line rule. . . .''
    Clarity is important to both accountability and enforceability, 
and clear, well-considered rules should address the quickly changing 
environment faced by our clearing houses. For those reasons, I am 
interested in public comment on whether the proposed triggering 
events are sufficiently clear and complete to adapt to the ever-
evolving cybersecurity threat landscape.
    I am also interested in comment on whether the proposal 
encompasses incidents that may arise from the use of new or evolving 
technologies, including digital assets and algorithmic or artificial 
intelligence systems. I am similarly interested in public comment on 
whether our proposal would clearly apply to any cyber attack or 
other event that compromises, or may compromise, customer assets or 
property.
    With threats that carry such severe harm, the goal for our final 
rule should be accountability and enforceability.

Timing Requirements for Notification

    Under the existing rule, clearing houses are required to report 
incidents ``promptly.'' I am interested in public comment on whether 
the ``promptly'' timing requirement for notifications is 
sufficiently clear and complete as to when the CFTC expects 
notification. I am interested in public comment on whether the 
``promptly'' timing requirement sufficiently evolves and adapts to 
the changing threat landscape, changes in technology, and risks 
associated with digital assets.
    Given the severe threat and the pace at which things in markets 
change, I am also interested in public comment on whether the 
``promptly'' timing ensures sufficient accountability and 
enforceability. I am interested in public comment about whether the 
Commission should complement the ``promptly'' timing standard with a 
defined time period of ``but no later than 24-hours after 
discovery'' (or other timeframe) in order to hold accountable, 
through supervision or enforcement, those clearing houses who delay 
notification until well after 24 hours and perhaps only after an 
investigation. However, I would not want a 24-hour defined time 
period to provide a reason for a clearing house to delay immediately 
notifying the Commission until just prior to 24 hours.
    We can learn from the experience and approaches of our fellow 
regulators in this critical area as well. For example, the U.S. 
Securities and Exchange Commission recently proposed a four-day, 
bright-line rule for public disclosure of material cybersecurity 
incidents, specifically stating that an investigation of such 
incidents shall not delay disclosure. I am interested in public 
comment on whether it is clear that the ``promptly'' timing 
requirement means that an investigation shall not cause delay in 
notification, and if not clear, whether the Commission should 
explicitly address that in the final rule.\10\
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    \10\ In March 2022, the U.S. Securities and Exchange Commission 
proposed a rule that issuers file a public Form 8-K within four days 
of a determination that a security incident is material. In 
contrast, the CFTC is not requiring public disclosure, but CFTC 
notification, which should take far less time. Securities and 
Exchange Commission, Proposed Rule, Cybersecurity Risk Management, 
Strategy, Governance, and Incident Disclosure, 87 FR 16590 (March 
23, 2022).
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    Given the rapidly expanding cybersecurity threat, I am thankful 
that the Commission is considering expanding notification 
requirements, and I encourage staff to continue evaluating ways to 
enhance our regulatory regime to mitigate this threat.

Appendix 5--Statement of Commissioner Caroline D. Pham

    I support the proposed amendments to the Reporting and 
Information Requirements for Derivatives Clearing Organizations 
(DCOs).
    One of my priorities as Commissioner is to make progress on 
what's in front of the CFTC right now without taking too long. 
Today's proposal does just that, by proposing to fix an issue that 
arose two years ago in a prior Commission rulemaking.
    There have been CFTC rules in the past where industry has been 
unable to implement the requirements because they did not fully 
account for market structure or operations. In many cases, the CFTC 
responds by getting stuck in an endless cycle of expiring and 
extending no-action relief until the rules are fixed to reflect 
reality, which sometimes never happens.
    In this case, in January 2020, as part of a broad set of updates 
to its regulations applicable to DCOs, the Commission amended the 
daily reporting requirements for DCOs to require certain information 
at a more granular level than DCOs had ever been required to 
report.\1\
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    \1\ Derivatives Clearing Organization General Provisions and 
Core Principles, 85 FR 4,800 (Jan. 27, 2020).
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    When the rules were finalized, CFTC staff learned of industry 
concerns about the ability of futures commission merchants to 
provide this information to DCOs. As a result, Division of Clearing 
and Risk staff issued a no-action letter extending the compliance 
date for this reporting requirement in order to resolve this 
issue.\2\ Staff has already extended this relief once when the rule 
still had not yet been fixed.\3\
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    \2\ CFTC Letter No. 21-01 (Dec. 31, 2020).
    \3\ CFTC Letter No. 21-31 (Dec. 22, 2021) (further extending the 
compliance date). This relief expires January 27, 2023.
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    Thankfully, today's proposal would respond to the concerns 
raised by industry and fix the problem. It is an example of how the 
Commission can make progress on the many outstanding, necessary 
fixes to its rules. I thank and applaud the talented staff in the 
CFTC's Division of Clearing and Risk on their efforts, and I 
encourage the Commission to do so in other areas as well.
    The notice of proposed rulemaking also makes certain other 
improvements to the DCO reporting and information requirements. 
Specifically, the proposed amendments would, among other things, 
update information requirements associated with commingling customer 
funds and positions in futures and swaps in the same account, 
address certain systems-related reporting obligations regarding 
exceptional events, revise certain daily and event-specific 
reporting requirements, and include in an appendix the fields that a 
DCO is required to provide on a daily basis.
    I look forward to receiving comment on these issues. I encourage 
commenters to comment on whether the proposed rules are clear and 
impose any new undue costs and obligations on our market 
participants. I will carefully review comments with an eye toward 
ensuring the proposal ensures consistency with our statutory 
mandate, and properly balances the costs and benefits of the 
Commission's actions.

[FR Doc. 2022-26849 Filed 12-14-22; 8:45 am]
BILLING CODE 6351-01-P