[Federal Register Volume 88, Number 151 (Tuesday, August 8, 2023)]
[Rules and Regulations]
[Pages 53664-53702]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-16591]



[[Page 53663]]

Vol. 88

Tuesday,

No. 151

August 8, 2023

Part III





Commodity Futures Trading Commission





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17 CFR Parts 39 and 140





Reporting and Information Requirements for Derivatives Clearing 
Organizations; Final Rule

  Federal Register / Vol. 88 , No. 151 / Tuesday, August 8, 2023 / 
Rules and Regulations  

[[Page 53664]]


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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: Final rule.

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SUMMARY: The Commodity Futures Trading Commission (Commission) is 
amending certain reporting and information regulations applicable to 
derivatives clearing organizations (DCOs). These amendments, among 
other things, update information requirements associated with 
commingling customer funds and positions in futures and swaps in the 
same account, revise certain daily and event-specific reporting 
requirements in the regulations, and codify in an appendix the fields 
that a DCO is required to provide on a daily basis under the 
regulations. In addition, the Commission is adopting amendments to 
certain delegation provisions in its regulations.

DATES: 
    Effective date: The effective date for this final rule is September 
7, 2023.
    Compliance date: DCOs must comply with the amendments to Sec.  
39.19 and appendix C by February 10, 2025; DCOs must comply with the 
amendments to all other rules by September 7, 2023.

FOR FURTHER INFORMATION CONTACT: Eileen A. Donovan, Deputy Director, 
(202) 418-5096, [email protected]; Parisa Nouri, Associate Director, 
(202) 418-6620, [email protected]; August A. Imholtz III, Special 
Counsel, (202) 418-5140, [email protected]; or Gavin Young, Special 
Counsel, (202) 418-5976, [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, 77 West 
Jackson Boulevard, Suite 800, Chicago, Illinois 60604.

SUPPLEMENTARY INFORMATION: 

Table of Contents

I. Background
II. Amendments to Sec.  39.13(h)(5)
III. Amendments to Sec.  39.15(b)(2)
IV. Amendments to Sec.  39.18
V. 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 Reporting Fields for the Daily Reporting 
Requirements--Sec.  39.19(c)(1)
    D. Non-Substantive and Technical Edits to Appendix C to Part 39
    E. Individual Customer Account Identification Requirements--
Sec.  39.19(c)(1)(i)(A) and (D)
    F. Daily Reporting of Margin Model Backtesting--Sec.  
39.19(c)(1)(i)
    G. Fully Collateralized Positions--Sec.  39.19(c)(1)(ii)
    H. Voluntary Reporting--Sec.  39.19(c)(1)(iii)
    I. Reporting Change of Control of the DCO--Sec.  
39.19(c)(4)(ix)(A)(1)
    J. Reporting Changes to Credit Facility Funding and Liquidity 
Funding Arrangements--Sec.  39.19(c)(4)(xii) and (xiii)
    K. Reporting Issues With Credit Facility Funding Arrangements, 
Liquidity Funding Arrangements, and Custodian Banks--Sec.  
39.19(c)(4)(xv)
    L. Reporting of Updated Responses to the Disclosure Framework 
for Financial Market Infrastructures--Sec.  39.19(c)(4)(xxv)
VI. Amendments to Sec.  39.21(c)
VII. Amendments to Sec.  39.37(c) and (d)
VIII. 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

    In January 2020, the Commission adopted amendments to its part 39 
regulations in order to, among other things, update DCO reporting 
requirements.\1\ The Commission subsequently became aware of issues 
with the amended regulations that would benefit from further change or 
clarification. Thus, in November 2022, the Commission proposed to amend 
certain reporting and information regulations applicable to DCOs to 
address those issues.\2\
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    \1\ 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.
    \2\ Reporting and Information Requirements for Derivatives 
Clearing Organizations, 87 FR 76698 (Dec. 15, 2022), available at 
https://www.federalregister.gov/documents/2022/12/15/2022-26849/reporting-and-information-requirements-for-derivatives-clearing-organizations.
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    The Commission received a total of 11 substantive comment letters 
in response to the proposal.\3\ After considering the comments, the 
Commission is largely adopting the rules as proposed, although there 
are some proposed changes that the Commission has determined to either 
revise or decline to adopt.
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    \3\ The Commission received comment letters submitted by the 
following: Better Markets; Chris Barnard; CME Group, Inc. (CME); 
Eurex Clearing AG (Eurex); Futures Industry Association (FIA); The 
Global Association of Central Counterparties (CCP12); Google Cloud 
(Google); Intercontinental Exchange, Inc. (ICE); Nodal Clear, LLC 
(Nodal); The Options Clearing Corporation (OCC); and World 
Federation of Exchanges (WFE). All comments referred to herein are 
available on the Commission's website, at https://comments.cftc.gov/PublicComments/CommentList.aspx?id=7343.
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    In the discussion below, the Commission highlights topics of 
particular interest to commenters and discusses comment letters that 
are representative of the views expressed on those topics. The 
discussion does not explicitly respond to every comment submitted; 
rather, it addresses the most significant issues raised by the proposed 
rulemaking and analyzes those issues in the context of specific 
comments.

II. Amendments to Sec.  39.13(h)(5)

    Regulation Sec.  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 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 amendments to part 39 to address fully collateralized 
positions,\4\ the Commission proposed 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

[[Page 53665]]

positions.\5\ The requirements would still apply to clearing members 
that clear fully collateralized positions but also clear margined 
products.\6\ The Commission did not receive any comments on the 
proposed changes to Sec.  39.13(h)(5), and is therefore adopting the 
changes as proposed.
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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 also proposed 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. Amendments to Sec.  39.15(b)(2)

    Regulation Sec.  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. The Commission 
proposed several amendments to Sec.  39.15(b)(2) to better reflect the 
information that the Commission needs to evaluate such a request.
    OCC, Eurex, ICE, and Better Markets supported the proposal. OCC 
stated that the changes appear reasonably calibrated to achieve the 
Commission's policy objectives while providing useful guidance to DCOs 
on the required contents of a request. Eurex added that the proposed 
changes appropriately streamline the procedures and will help focus 
both DCOs seeking such relief, and the Commission in its review of such 
request for relief, on the information most relevant to a DCO's 
request.
    Furthermore, recognizing that futures and swaps are typically 
commingled to allow for portfolio margining, the Commission proposed to 
add new Sec.  39.15(b)(2)(vii) to require that a DCO 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.'' Although ICE generally 
supported the proposed changes to Sec.  39.15(b)(2), ICE stated that 
the express confirmation under proposed new Sec.  39.15(b)(2)(vii) is 
unnecessary, as Sec.  40.5 already requires that a DCO analyze its 
proposal for compliance with the Commodity Exchange Act (CEA) and 
Commission regulations. The Commission notes, however, that because the 
DCO's submission would address commingling but not necessarily 
portfolio margining, the DCO's analysis may not take Sec.  39.13(g)(4) 
into account. Thus, the Commission does not want approval of the 
submission to be misinterpreted as approval of the DCO's portfolio 
margining as well. Because a submission under Sec.  40.5 is deemed 
approved by the Commission without any written form of approval, 
requiring the DCO to provide the express confirmation in Sec.  
39.15(b)(2)(vii) is meant to address that.
    In response to the Commission's request for 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, ICE does not believe that the Commission should require 
disclosure of additional information. ICE stated that the information 
already required, as proposed to be modified, will provide market 
participants with sufficient information to evaluate a commingling 
proposal.
    In general, Better Markets believes the proposal would strengthen 
the existing requirements by requiring a DCO to provide not only an 
analysis of the risk characteristics of the products but also an 
analysis of any risk characteristics of products to be commingled that 
are unusual in relation to the other products the DCO clears, as well 
as how it plans to manage any identified risks. Better Markets stated 
that it supports this aspect of the proposal because adding the phrase 
``unusual in relation to'' in Sec.  39.15(b)(2)(ii) will allow the 
Commission and the public to better understand any increased risk posed 
to the DCO or its customers by the commingling of products that 
otherwise would be held in separate accounts. Better Markets further 
stated that this additional requirement will better enable the 
Commission to understand the DCO's ability to manage those risks. In 
response to a request for comment as to whether there is a better way 
to articulate this concept, Better Markets argued that the Commission 
should go a step further and specify that the analysis should cover 
products with margining, liquidity, default management, pricing, and 
volatility characteristics that differ from those currently cleared by 
the DCO. Better Markets believes this discussion is critical in the 
ever-changing derivatives markets, where new derivatives products are 
constantly being introduced. Better Markets urged the Commission to be 
forward-looking in its approach to receiving as much information as 
possible from a DCO's ``unusual in relation to'' analysis to determine 
whether to allow a DCO to commingle products in a single customer 
account. The Commission is persuaded that this provision should be more 
specific, and is therefore adding to Sec.  39.15(b)(2)(ii) the 
requirement that a DCO's analysis address any characteristics that are 
unusual in relation to the other products cleared by the DCO, ``such as 
margining, liquidity, default management, pricing, or other risk 
characteristics.'' The Commission believes that this information would 
better assist the Commission in evaluating a DCO's request to commingle 
customer positions and its ability to manage any identified risks. The 
Commission is otherwise adopting the amendments to Sec.  39.15(b)(2) as 
proposed, without any changes.\7\
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    \7\ For a description of the proposed amendments to Sec.  
39.15(b)(2), see Reporting and Information Requirements for 
Derivatives Clearing Organizations (Dec. 15, 2022), supra note 2, at 
76699-76700.
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IV. Amendments to Sec.  39.18

    Regulation Sec.  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 proposed to amend Sec.  39.18(g)(1) to 
eliminate the materiality threshold, requiring DCOs to report all such 
events regardless of their magnitude. Better Markets supported the 
proposal to remove the materiality threshold, stating that both the 
Commission and DCOs would benefit from expanded reporting of such 
incidents. CME, OCC, ICE, Eurex, Nodal, CCP12, Google, and WFE opposed 
the proposal.
    CCP12, CME, Eurex, ICE, Nodal, OCC, and WFE stated that the removal 
of the materiality threshold would lead to a significant increase in 
the number of reportable events, including events which have little or 
no impact on a DCO's operations or on market participants, or which are 
mitigated well before any impact, and thus of little or no value as the 
subject of a required notification. CCP12, CME, Eurex, Google, ICE, 
Nodal, OCC, and WFE commented that such an increase in reportable 
incidents would burden both DCOs and the Commission, and would

[[Page 53666]]

divert attention and resources away from incidents that deserve greater 
focus and planning, with little corresponding benefit to the 
Commission, the protection of market participants, or the risk 
management practices of DCOs. CCP12, CME, Google, and OCC further 
asserted that the proposal is inconsistent with notification regimes in 
analogous contexts, including similar Commission rules and reporting 
obligations to other agencies and authorities.
    CCP12, CME, Eurex, ICE, Nodal, and OCC further stated that the 
Commission underestimated the increase in reporting obligations as a 
result of the proposal to eliminate the materiality threshold; CCP12, 
CME, and OCC similarly stated that the Commission underestimated the 
costs of such notifications. Such underestimates would, according to 
commenters, distort the Commission's cost-benefit considerations. The 
Commission received additional comments in opposition to the proposed 
removal of the materiality threshold, including statements regarding 
the costs and impacts on third-party contracts, the value of allowing 
DCOs to use their expertise to determine which events are material, and 
a request to alternatively allow for quarterly submission of reports 
for incidents deemed not material.
    After considering the comments received, the Commission recognizes 
the concerns raised therein and declines at this time to adopt the 
proposal to remove the materiality threshold for the reporting of 
exceptional events under Sec.  39.18(g). Better Markets supported the 
removal of the materiality threshold, stating that events might be 
material even when they do not have any effect on measurements often 
used to determine materiality, and that both the Commission and DCOs 
would benefit from clear reporting standards which would promote 
consistency in reporting across DCOs. However, given the rationale of 
comments opposed to the removal of the materiality threshold as 
described above, including arguments regarding increased cost, lack of 
informational benefit, and the volume of reports which would be 
required if the threshold were removed, and the lack of opportunity to 
solicit comment on potentially less costly or voluminous alternatives 
suggested by commenters, the Commission declines to move forward with 
the proposal at this time. The Commission understands that removing the 
materiality threshold altogether could result in a significant increase 
in the number of reportable events, including events which have little 
or no impact on a DCO's operations, or which are mitigated well before 
any impact, and thus could be of little or no value as the subject of a 
required notification. The Commission will continue to evaluate the 
effectiveness of the existing reporting standard in generating uniform 
and timely notification regarding events where notification would be of 
value to the Commission and will provide additional guidance, or 
further modify the standard, as appropriate. Better Markets also 
commented that the requirement in Sec.  39.18(g) that notice of 
exceptional events be given ``promptly'' is vague and should be amended 
to a more specific timeframe in order to avoid undue delay in 
reporting. The Commission notes, however, that it did not propose to 
amend this requirement, as Commission staff has not had any issues with 
the timing of the notices that are made.
    The Commission also proposed to amend Sec.  39.18(g)(1) by adding 
``operator error'' to the list of events that would require prompt 
notification to the Division. Better Markets expressed support for the 
addition of ``operator error'' to the list of potentially reportable 
events, and WFE, CME, OCC, and Nodal expressed opposition. Better 
Markets stated that ``operator error'' is appropriately included as an 
additional subject of reporting because such errors may impact or 
potentially impact the operation, reliability, security, or capacity of 
a DCO's automated systems. WFE, CME, OCC, CCP12, and Nodal expressed 
concern about the potential breadth of the term ``operator error,'' 
which is not defined in the regulation and which might be read to 
include de minimis, routine errors which would require reporting of 
events that have little or no impact on clearing and settlement 
functions and for which effective procedures are already in place to 
mitigate any potential impacts. OCC further stated that ``operator 
error'' might be read to include actions of clearing members or their 
agents and employees because they are responsible for providing 
information via applications, and OCC suggested adding certainty to the 
term ``operator error'' by providing examples.
    After considering the comments received, the Commission recognizes 
the concerns raised therein and declines to adopt the proposal to 
include ``operator error'' to the list of events that would require 
prompt notification to the Division under Sec.  39.18(g)(1). The 
Commission acknowledges that, as described by Better Markets, operator 
errors may impact a DCO's operations in the same way as other events 
described in Sec.  39.18(g)(1). However, the Commission believes that 
such operator errors are already required to be reported under Sec.  
39.18(g)(1) as a ``security incident,'' which, as defined by Sec.  
39.18(a), is a cybersecurity or physical security event that actually 
jeopardizes or has a significant likelihood of jeopardizing automated 
system operation, reliability, security, or capacity, or the 
availability, confidentiality or integrity of data. The proposed 
addition of ``operator error'' was intended to specify this obligation 
more clearly. In light of comments which indicate that the proposal 
would result in confusion, particularly as to scope, the Commission 
will not adopt the proposal but will consider providing guidance, or 
further modifying Sec.  39.18(g)(1), as appropriate.
    The Commission further proposed to redesignate existing paragraph 
(g)(2) of Sec.  39.18 as new paragraph (g)(3) (without any further 
revisions), and to move from existing paragraph (g)(1) to paragraph 
(g)(2) the requirement to report security incidents or threats (and not 
just ``targeted'' threats). Thus, as proposed, new Sec.  39.18(g)(2) 
would 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.
    Among comments received regarding this proposed amendment, OCC, 
Google, and ICE expressed opposition, and Better Markets commented in 
favor. Better Markets stated that non-targeted cyber attacks can be 
just as destructive as targeted attacks, and thus the reporting of non-
targeted attacks may enhance the ability of the CFTC to assess emerging 
threats and alert DCOs. OCC, Google, and ICE stated that the inclusion 
of the language ``could compromise'' is overly broad and ambiguous and 
would dramatically increase the reach and burdens of the rule without 
providing regulatory benefit. OCC recommended removing ``could 
compromise'' from the proposal and stated that, as proposed, Sec.  
39.18(g)(2) would increase a DCO's costs of obtaining third-party 
services and may lead to termination of existing third-party 
relationships because of the additional costs and potential liability 
facing third parties as a result of the proposal. Google also expressed 
opposition to the removal of the ``targeted'' qualifier for threats, 
stating that it would result in overbroad and inefficient reporting. 
Google

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additionally recommended that paragraph (g)(2) also incorporate a 
probabilistic reporting trigger by, for example, replacing ``could'' 
with ``reasonably likely to'' in order to exclude speculative 
incidents. After considering the comments received, and in light of the 
broad scope of attacks which comments indicate would be required to be 
reported under the proposal, the Commission recognizes the concerns 
raised therein and declines to adopt new Sec.  39.18(g)(2) as proposed 
but will consider providing guidance, or further modifying Sec.  
39.18(g), as appropriate.
    Finally, in connection with the proposed amendments to Sec.  
39.18(g), the Commission proposed to amend Sec.  39.18(a) to define 
``hardware or software malfunction'' and ``automated system.'' WFE, 
CME, OCC, and CCP12 expressed opposition to the proposed definition of 
``automated system,'' and OCC, CCP12, Eurex and Nodal expressed 
opposition to the proposed definition of ``hardware or software 
malfunction.'' WFE, CME, OCC, and CCP12 stated that the definition of 
``automated system'' is broad and overinclusive, and that most of a 
DCO's ancillary support systems would fall within the definition, 
resulting in a significant increase in reporting obligations under 
Sec.  39.18(g) that are not related to a DCO's core clearing and 
settlement functions. OCC, CCP12, Eurex, and Nodal expressed opposition 
to the definition of ``hardware or software malfunction,'' stating that 
it is overly broad and would result in a significant increase in reach 
and burden of reporting requirements with little corresponding 
regulatory value to the Commission. OCC recommended that both 
definitions be refined to avoid reporting of incidents that pose no 
significant risk to a DCO's core functions and which do not impact or 
narrowly impact market participants. OCC further recommended limiting 
the definitions to systems or events that impact a DCO's market 
activities that are subject to the Commission's jurisdiction. After 
considering the comments received, the Commission recognizes the 
concerns raised therein and declines to adopt the proposed definitions 
for ``hardware or software malfunction'' and ``automated system'' but 
will consider providing guidance defining these terms, or further 
modifying Sec.  39.18(g), as appropriate.
    Based on the concerns raised in the comments received, the 
Commission is not adopting any of the proposed changes to Sec.  
39.18(g). Although the Commission continues to believe that the 
considerations that motivated the initial proposal are valid, it also 
recognizes the concerns and alternatives raised by commenters as 
requiring additional analysis that precludes adopting the proposal at 
this time. To that end, the Commission may choose to instead provide 
guidance to address these considerations, or to propose new 
modifications to Sec.  39.18(g) reflecting both the motivations for the 
proposed rule and the concerns raised by commenters.

V. Amendments to Sec.  39.19(c)

A. Daily Reporting of Variation Margin and Cash Flows--Sec.  
39.19(c)(1)(i)(B) and (C)

    Regulation Sec.  39.19(c)(1) requires a DCO to report to the 
Commission on a daily basis initial margin, variation margin (VM), cash 
flow, and position information for each clearing member, by house 
origin, by each customer origin, and by individual customer account. 
The Commission proposed to amend Sec.  39.19(c)(1)(i)(B) and (C) to 
remove the requirement that a DCO report daily VM and cash flows by 
individual customer account.\8\
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    \8\ DCOs currently are not reporting VM 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); CFTC 
Letter No. 22-20 (Dec. 19, 2022). The amendments to Sec.  
39.19(c)(1)(i)(B) and (C) eliminate the requirement for which 
additional time was provided in the staff letter.
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    FIA, CCP12, Eurex, OCC, and ICE supported the proposal; no 
commenters opposed it. CCP12 and ICE stated that many DCOs do not 
possess VM and cash flow information at the customer level. OCC 
confirmed that it does not collect VM and cash flow information at the 
individual customer account level in the ordinary course of business. 
FIA stated that DCOs would need to develop and implement new systems, 
processes, and controls, at significant cost, to accurately report 
customer level VM and cash flow information. FIA stated that because 
clearing members that are futures commission merchants (FCMs) currently 
do not provide DCOs with daily customer level VM and cash flow 
information, FCM clearing members would incur substantial upfront and 
ongoing costs to provide this information to DCOs. OCC stated that 
collecting this information would impose significant costs on OCC and 
its clearing members. FIA stated that daily reporting of customer VM 
and cash flow information would not be of meaningful benefit to the 
Commission, DCOs, clearing members or market participants, particularly 
when weighed against the associated costs. OCC believes that because it 
engages in VM netting at the customer origin level, VM and cash flow 
information at the individual customer account level would not 
necessarily reflect OCC's actual exposure to its clearing members.
    In response to the Commission's request for comment on whether 
there are certain products or market segments where it may be 
appropriate to retain customer-level reporting requirements, FIA and 
ICE stated that there is no basis to differentiate between product 
categories, with FIA emphasizing the cost to DCOs and FCMs of 
developing new reporting processes to report VM and cash flow 
information by individual customer account, and the limited marginal 
benefit of reporting such information. Because many DCOs currently do 
not receive VM and cash flow information at the customer level, and a 
requirement to collect this information would impose significant costs 
on DCOs, the Commission is removing this requirement by adopting the 
amendments to Sec.  39.19(c)(1)(i)(B) and (C) as proposed.

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

    The Commission proposed 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).\9\ The Commission proposed 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.\10\ The Commission did not propose 
to codify the non-substantive technical and procedural aspects of the 
Reporting Guidebook that address the

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format and manner in which DCOs provide this information.\11\
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    \9\ Commodity Futures Trading Commission Guidebook for Part 39 
Daily Reports, Version 1.0.1, Dec. 10, 2021 (Reporting Guidebook).
    \10\ 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.
    \11\ The Division will issue a new version of the Reporting 
Guidebook that will contain only the non-substantive technical and 
procedural aspects to facilitate daily reporting by DCOs.
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    Eurex, ICE, CCP12, and OCC supported the proposal to codify the 
existing daily reporting fields in new appendix C to part 39. Better 
Markets opposed the proposal, arguing that codifying the Reporting 
Guidebook will make it more difficult for the Commission to quickly 
update the reporting fields in response to new products or other 
financial innovations. In response to Better Markets, the Commission 
notes that it has drawn on its experience of more than a decade since 
Sec.  39.19(c)(1) was first adopted to make certain it will receive the 
data it intended to be provided under this provision. However, in the 
unlikely event that the Commission identifies additional data it needs, 
the Commission could, if necessary, request from a DCO ``information 
related to its business as a clearing organization, including 
information relating to trade and clearing details'' pursuant to Sec.  
39.19(c)(5)(i). The Commission is therefore adopting the proposal to 
add new appendix C to part 39 of the Commission's regulations, to 
codify the existing reporting fields in the Reporting Guidebook, which 
includes both required and optional fields.\12\
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    \12\ The Commission is adding to Sec.  39.19(c)(1)(i) a 
reference to appendix C to specify that daily reports are required 
to be submitted in accordance with the data fields set forth in the 
appendix.
---------------------------------------------------------------------------

C. Additional Reporting Fields for the Daily Reporting Requirements--
Sec.  39.19(c)(1)

    The Commission proposed 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). Eurex generally supported the proposal, while CME opposed 
it, stating that the Commission severely underestimated the time and 
costs associated with adding the proposed new fields, and that the 
costs to DCOs substantially outweigh the benefits that additional 
reporting provides to the Commission. The new fields and comments 
received are discussed in greater detail below.
1. Risk Metrics
    The Commission proposed to include in appendix C a series of new 
fields applicable only to interest rate swaps, including the delta 
ladder, gamma ladder, vega ladder, zero rate curves, and yield curves 
that a DCO uses in connection with managing risks associated with 
interest rate swap positions. The Commission did not receive any 
comments on this proposal and therefore is adopting these fields as 
proposed. However, the Commission is amending the title of this section 
of appendix C to change it from ``Greek Ladder Reporting'' to ``Risk 
Metric Ladder Reporting'', which better reflects the contents of the 
section, since rate and yield curves technically are not ``Greeks,'' 
and to account for the possible addition of other non-Greek risk 
metrics in the future.
2. Timing of Variation Margin Calls and Payments
    The Commission proposed to require a DCO to report timing 
information about VM calls and payments, including the time and amount 
of each VM call to each clearing member, the time and amount that VM is 
received from each clearing member, and the time and amount that VM is 
paid to each clearing member. There were no comments in support of the 
proposal.
    CME, ICE, and OCC opposed the proposal, arguing that it would 
impose costs on DCOs and settlement banks because they would need to 
build systems for daily automated reporting of payment flow timestamps. 
ICE and OCC stated that the manner in which DCOs make and collect a 
margin call is unique to each DCO based on its own processes and, as a 
result, the information that would be reported under these proposed 
fields only would reflect individual DCOs' practices, with the 
information being too bespoke to be useful for surveillance. OCC 
further stated that clearing member payments to or from OCC at 
settlement times are made on a net basis, taking into account multiple 
categories of pay or collect obligations, in addition to the mark-to-
market amounts. CME stated that not all settlement banks communicate 
with DCOs in automated and digestible file formats that can be used for 
daily reporting. Echoing comments by CME, CCP12 recommended that the 
Commission consider whether this proposal would require settlement 
banks to develop and deploy automated systems to communicate timestamps 
to DCOs, which could make compliance with this requirement 
unnecessarily complex. CME also stated that the information would not 
be useful for the Commission in real-time monitoring of DCO liquidity 
issues because it would be reported one day later, and because the 
timing of payments can vary from day to day for reasons unrelated to 
liquidity issues or other risks to DCOs or their clearing members. ICE 
stated that specific timing information is generally irrelevant, so 
long as the amounts are paid before the applicable DCO's deadline, and 
that the exact timing of payments is not indicative of the DCO's 
liquidity position or its ability to manage liquidity risks.
    As an alternative to the proposal, CME recommended that the 
Commission require DCOs to report when clearing members are 
sufficiently late making VM payments that it results in an impactful 
delay to the completion of the settlement cycle. ICE stated that 
because the proposal does not account for different approaches to the 
payment and netting of VM, the proposed fields would need to be revised 
to reflect the variety of ways that DCOs deal with VM payments. CCP12 
commented that reporting VM calls and payment as of the beginning, 
middle, and end of the day would avoid confusion that may accompany 
reporting of individual cash flows, and would simplify DCOs' reporting 
obligations.
    The Commission understands that compliance with this requirement 
would be unnecessarily complex, given that the manner in which DCOs 
make and collect a margin call is unique to each DCO based on its own 
processes. The Commission is therefore persuaded by the comments that 
the timing information would not be particularly useful to it and 
therefore has determined not to require DCOs to report this information 
at this time.
3. Trade Date
    The Commission proposed 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. CCP12 supported the proposal, but requested that the 
Commission clarify whether the term ``actual trade date'' refers to the 
economically agreed date or the execution date. CME opposed the 
proposal, stating that the proposed requirement is duplicative of the 
recent amendments to part 45 of the Commission's regulations, under 
which DCOs already provide this information to the Commission. CME also 
stated that numerous dates for these products exist in the over-the-
counter registers, and requested clarification as to which date should 
be reported. The Commission is adopting the proposal, albeit with one 
change. In response to commenters' requests for clarification, the 
Commission is modifying the description of ``trade date'' to read, the 
``[d]ate a transaction was originally executed, resulting in the 
generation of

[[Page 53669]]

a new USI [unique swap identifier]. For clearing swaps, the date when 
the DCO accepts the original swap.'' In response to CME's comment 
regarding part 45 reporting, the Commission acknowledges some overlap 
between the information DCOs report pursuant to part 45 and the 
information reported pursuant to Sec.  39.19(c)(1), but notes that the 
two data streams have different albeit complimentary regulatory and 
supervisory uses within the Commission,\13\ and are reported using 
different underlying technical specifications, sometimes with nuanced 
differences between substantive or technical definitions of individual 
data points, which then can affect whether and how the data changes in 
response to events, such as a compression exercise for swaps.
---------------------------------------------------------------------------

    \13\ The information reported under Sec.  39.19(c)(1) is 
intended to ensure that the Division is informed regarding both the 
risks that are present at each DCO as well as the DCO's management 
of those risks, which pursuant to Sec.  39.19(c)(1)(ii) includes 
information about the risks associated the futures, options, swaps, 
and securities positions cleared at the DCO, in contrast with the 
part 45 data, which includes highly granular trade data related to 
both cleared and uncleared swaps.
---------------------------------------------------------------------------

4. File Completeness
    The Commission proposed to require a DCO to include in its daily 
reports information that reflects that the daily report is complete, 
with completeness information 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 
Financial Information eXchange Markup Language (FIXML) file would 
indicate its position in the sequence of files submitted that day, 
e.g., file 1 of 10. No commenters opposed the proposal. Eurex and Nodal 
supported the proposal that file completeness be reflected in a 
manifest file and opposed the proposal that files be sequentially 
numbered to indicate completeness. Eurex and Nodal both explained that 
submitting a manifest file is more efficient operationally. 
Specifically, Eurex noted that when files are sequentially numbered to 
reflect completeness, all of the files would need to be renumbered and 
resubmitted any time a file is added or removed. Nodal made a similar 
observation, and also noted that a manifest file can be submitted after 
the DCO ensures that its reporting for the day is complete and the DCO 
confirms internally that there will be no changes. OCC stated that 
sequential file numbering to indicate completeness is preferable to 
requiring a manifest file, because the former is more efficient given 
the manner in which OCC submits its daily reports. OCC requested that 
the Commission provide DCOs with the flexibility to use either a 
manifest file or sequential file numbering to indicate completeness, so 
that DCOs could use the method that works best with their processes.
    Although the Commission acknowledges that for some DCOs, such as 
OCC, sequential file numbering to indicate completeness may be 
preferable, the Commission agrees with Eurex and Nodal that submitting 
a manifest file is operationally more efficient, especially for those 
DCOs that submit more complex or voluminous reports. Similarly, to 
ensure consistency and uniformity across all reports received, the 
Commission declines to provide DCOs with the option to choose between 
sequential file numbering and a manifest file to indicate completeness. 
Therefore, the Commission is adopting the proposal to require a DCO to 
include in its daily reports a manifest file that reflects that the 
daily report is complete.
5. Settlement Information for Contracts With No Open Interest
    The Commission requested comment on whether it should require that 
a DCO provide the current settlement prices and related information 
published by DCMs for futures and options contracts with no open 
interest. No commenters supported this proposal.
    CCP12, Nodal, OCC, ICE, and CME opposed the proposal. CCP12 stated 
that DCOs already calculate and report settlement prices for contracts 
with no open interest where they believe those prices provide a benefit 
to DCOs themselves or the marketplace, and requiring DCOs to report 
such data for all contracts with no open interest would be of 
questionable value for analytical or regulatory purposes. CCP12 
recommended that DCOs continue to be afforded the discretion to choose 
to report such information on a voluntary basis. Nodal stated that, in 
addition to being impractical, the proposal would duplicate information 
that DCMs are required to report pursuant to part 16 of the 
Commission's regulations. CME argued that reporting data that is unused 
and not based on observed open interest would not help the risk 
surveillance process because it does not represent an actual 
transaction, and ICE argued that the information would not be reliable 
because it is not based on actual trading activity. OCC and ICE stated 
that this information would be of limited utility, with OCC adding that 
this information relates to contracts that do not impact the DCO's risk 
profile. CME stated that exchanges and DCOs list new products daily and 
that this reporting requirement would add complexity to the listing 
process. CME also questioned whether the Commission has the authority 
to require this information if it is not clear that this information is 
necessary to conduct oversight of the DCO since it does not reflect 
actual trades that are settled or cleared. Similarly, OCC argued that a 
requirement to report such information could be inconsistent with the 
scope of reporting required by DCO Core Principle L, which requires a 
DCO to disclose publicly and to the Commission daily settlement prices, 
volume, and open interest for each contract settled or cleared by the 
DCO. CME noted that an alternative would be to require reporting of 
contracts with no open interest, but without requiring pricing 
information.
    The Commission is persuaded by the comments that settlement 
information for contracts with no open interest would not be 
particularly useful to it, given that it does not impact a DCO's risk 
profile, among other things. Therefore, the Commission has determined 
not to adopt the proposed requirement at this time.

D. Non-Substantive and Technical Edits to Appendix C to Part 39

    The Commission has made a variety of non-substantive and technical 
edits to appendix C to part 39. Some of the edits are intended to 
ensure that, to the extent that a requirement appears in multiples 
places in appendix C, its title and description are uniform throughout. 
Other edits include the deletion of duplicate fields, the deletion of 
surplus language, formatting instructions, or technical instructions, 
or the replacement of abbreviations with complete words. Other edits 
rename fields or clarify, simplify, or rephrase descriptions. For 
example, the ``Universal Product Identifier'' field is being renamed 
``Unique Product Identifier'' (UPI), and its description is being 
changed from ``Uniquely identifies the product of a security using ISO 
4914 standard, Unique Product Identifier'' to ``[a] unique set of 
characters that represents a particular swap. The Commission will 
designate a UPI pursuant to 17 CFR 45.7.'' Another example is that the 
description for the Implied Volatility field is being changed from 
``implied volatility'' to ``[t]he implied volatility and quotation 
style for the contract, typically in natural log percent or index 
points.''

[[Page 53670]]

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

    Regulation Sec.  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. In 
January 2020, the Commission 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.\14\ 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 (c)(1)(i)(D) 
addresses only the reporting of end-of-day positions. Therefore, the 
Commission proposed to amend Sec.  39.19(c)(1)(i)(A) 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 (c)(1)(i)(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. Furthermore, the Commission also proposed a technical change 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, only if the DCO has the information 
associated with an account.
---------------------------------------------------------------------------

    \14\ 85 FR 4800, 4817.
---------------------------------------------------------------------------

    CCP12, OCC, CME, and Eurex supported this proposal. Eurex noted 
that in Europe there is no requirement that LEIs be provided to DCOs 
and that, consequently, not all Multilateral Trading Facilities or 
Approved Trade Sources transmit LEIs to DCOs. On the other hand, CME 
observed that LEI reporting to DCOs has become more routine. ICE 
opposed the requirement that a DCO identify each individual customer 
account by LEI because extensive systems changes would be required to 
add identifiers to the reportable data, and since DCOs are unlikely to 
have customer-level LEI information, the costs associated with 
implementing this requirement outweigh the benefits. In response to 
ICE's comment, the Commission further emphasizes 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, only 
when the DCO has the information associated with an account, and the 
information is both maintained and associated with the account in a 
reportable format, such that reporting will not impose a significant 
additional burden on the DCO.

F. Daily Reporting of Margin Model Backtesting--Sec.  39.19(c)(1)(i)

    The Commission proposed 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 backtesting that a DCO is required to perform daily 
pursuant to Sec.  39.13(g)(7)(i). The Commission also proposed to add 
to new appendix C to part 39 the data fields it believes would be 
relevant and necessary to capture the backtesting results that would 
have to be reported under this provision. The Commission is adopting as 
proposed the amendment to Sec.  39.19(c)(1)(i) to require that a DCO 
include in its daily reports its margin model backtesting results. As 
explained below, in response to concerns expressed by commenters, the 
Commission is modifying certain of the proposed data fields in new 
appendix C for reporting margin model backtesting results.\15\
---------------------------------------------------------------------------

    \15\ The Commission is also changing the term ``back testing'' 
to ``backtesting'' in all places that this term, or a variation 
thereof, appears in part 39 of the Commission's regulations.
---------------------------------------------------------------------------

    Chris Barnard supported the proposal, stating that daily reporting 
of backtesting results will improve the Commission's oversight of DCOs 
and should work to increase the accuracy, relevance, and effectiveness 
of DCOs' margin calculations. Nodal generally supported requiring DCOs 
to provide the Commission with daily backtesting results, noting that 
it already provides such information to the Commission on a voluntary 
basis. CME requested that the Commission provide DCOs with ample time, 
preferably 18 months, to test and implement daily reporting of 
backtesting results. OCC stated that it has no objection to reporting 
its margin model backtesting results.
    ICE opposed the proposal. ICE argued that the manner in which the 
Commission currently supervises DCO margin models, including the 
requirement in Sec.  39.13(g)(3) that margin models be independently 
validated, and the requirement in Sec.  39.19(c)(4)(xxiii) that a DCO 
report to the Commission regarding material issues with its margin 
model, is sufficient for the Commission to supervise margin model 
performance over time.
    Nodal and Eurex argued that the Commission should collaborate with 
DCOs to determine the specific information needed and the data fields 
via which it should be reported to ensure that the Commission is 
receiving the data and information it needs, in a manner that is 
consistent across all DCOs, to provide effective oversight of the 
performance of DCOs' margin models.
    Commenters expressed concern regarding the new fields that the 
Commission proposed to add to new appendix C for the purpose of 
reporting backtesting results, with commenters focusing on the fields 
for reporting detailed information related to margin model breaches. 
The Commission had proposed that breach details be reported using three 
fields: initial margin; VM; and breach amount, which was defined as the 
difference between the initial margin and VM. ICE, OCC, and Eurex 
argued that the proposed fields would not provide the Commission with 
meaningful information regarding margin model breaches. ICE stated that 
because initial margin requirements and VM payments may not be 
associated with the same set of positions, ``from a formal statistical 
(hypothesis testing) point of view, the backtesting of the initial 
margin model should consider fixed positions over the implemented 
margin period of risk.'' Similarly, OCC argued that the VM field should 
be replaced with a field titled ``Static Portfolio Profit/Loss,'' which 
would reflect ``profit or loss on the same portfolio against which the 
initial margin was assessed.'' OCC also argued that the Breach Amount 
field description be revised to delete the reference to VM and instead 
reflect the ``difference between the initial margin and static 
portfolio profit/loss.'' Along the same lines, Eurex argued that VM 
should be replaced as a measure for backtesting by a more general 
backtesting profit/loss, which would include further mandatory fields 
detailing how backtesting profit/loss is calculated (including profit/
loss horizon, ``clean'' vs. ``dirty'' profit/loss, mark-to-market vs. 
mark-to-model profit/loss). Lastly, both Eurex and ICE emphasized the 
importance of the margin period of risk as a component of evaluating 
backtesting results.
    In response to these comments, the Commission is amending the 
fields for reporting margin model backtesting results. The Commission 
is replacing the VM field with a new field titled

[[Page 53671]]

``Backtesting Metric,'' which provides DCOs with the flexibility to 
designate the type of profit and loss calculation used for backtesting: 
VM; static portfolio profit and loss (also known as clean profit and 
loss); dirty profit and loss; mark to market profit and loss; or mark 
to model profit and loss. In connection with that change, the 
Commission is amending the Breach Amount field description to be the 
``difference between the Initial Margin and Backtesting Metric 
Amount.'' Lastly, the Commission is adding a field titled ``Margin 
Period of Risk'', which is defined as the ``holding period for which 
the Backtesting Metric is calculated in days.''

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

    The Commission proposed to amend Sec.  39.19(c)(1)(ii) to clarify 
that the daily reporting requirements of Sec.  39.19(c)(1)(i) do not 
apply to fully collateralized positions. The Commission did not receive 
any comments on the proposal. The Commission is adopting the amendments 
to Sec.  39.19(c)(1)(ii) as proposed.

H. Voluntary Reporting--Sec.  39.19(c)(1)(iii)

    The Commission proposed 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 daily reporting data fields it believes would be 
necessary or appropriate. OCC supported the proposal. OCC recommended 
that the Commission remove the phrase ``consultation with'' and replace 
it with ``notification to,'' given the potential timing issues 
attendant to daily reporting generally, potential ambiguity regarding 
the extent and nature of the ``consultation'' required in the proposal, 
and to provide DCOs with greater flexibility. OCC also recommended that 
the Commission clarify that voluntarily reporting of additional 
information does not create an obligation to continue reporting the 
information, unless agreed to in writing by the DCO and Commission 
staff. No commenters opposed the proposal.
    The Commission agrees with OCC that, absent any agreement to the 
contrary, voluntary reporting by a DCO of additional information does 
not create an obligation to continue reporting that information. As for 
the mechanics of how a DCO should proceed with voluntarily reporting 
additional information, the Commission believes that the best approach 
is for the DCO to coordinate with Division staff to ensure that any 
necessary accommodations are in place so that the Division has the 
ability to receive the additional information and to incorporate it 
into its analytics. The Commission therefore disagrees with OCC because 
it believes that the collaborative approach encompassed within the 
phrase ``consultation with'' is preferable to the unilateral approach 
described in the phrase ``notification to.'' The Commission is adopting 
new Sec.  39.19(c)(1)(iii) as proposed.

I. Reporting Change of Control of the DCO--Sec.  39.19(c)(4)(ix)(A)(1)

    The Commission proposed to amend Sec.  39.19(c)(4)(ix)(A)(1) 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. Eurex 
supported the proposal. OCC also supported the proposal, but requested 
that the Commission clarify whether the phrase the ``entity . . . 
holding a controlling interest'' refers to the specific corporate 
entity holding an ownership interest in the DCO, or whether it refers 
to any parent entity of one or more owners that collectively own more 
than 50 percent of the DCO. Better Markets opposed the proposal, 
asserting that the Commission instead should reinstate the 2011 
versions of this regulation and Sec.  39.3(f) because, unlike the 
current requirements, the 2011 version referenced Sec.  39.3(f), which 
required Commission approval of the transfer of a DCO registration in 
connection with any corporate change involving the transfer of all or 
substantially all of a DCO's assets to another legal entity.
    In response to OCC's request for clarification, the Commission 
notes that the phrase the ``entity . . . holding a controlling 
interest'' is intended to refer to both the specific corporate entity 
holding an ownership interest in the DCO, as well as to any parent 
entity of one or more owners that collectively own more than 50 percent 
of the DCO. With respect to the comments from Better Markets, the 
Commission initially notes that the comments do not address the merits 
of the proposal, but instead focus on changes the Commission made to a 
different regulation in a different rulemaking.\16\ In any event, the 
Commission does not believe that it is necessary to reconsider its 2020 
amendment of Sec.  39.3(f).\17\ The Commission is adopting the 
amendments to Sec.  39.19(c)(4)(ix)(A)(1) as proposed.
---------------------------------------------------------------------------

    \16\ 85 FR 4800, 4802-4803.
    \17\ In the 2020 amendment of this regulation, Sec.  39.3(f) was 
renumbered as Sec.  39.3(g), and was revised to provide that a DCO 
seeking to transfer its open interest would be required to submit 
rules for Commission approval pursuant to Sec.  40.5, rather than 
submitting a request for a Commission order. The 2020 amendments 
were intended to, among other things, simplify the requirements for 
a DCO to request a transfer of open interest and to separate the 
process from the procedures used to report a change to a DCO's 
corporate structure or ownership. 85 FR 4800, 4802-4803.
---------------------------------------------------------------------------

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

    The Commission proposed to amend Sec.  39.19(c)(4)(xii) and (xiii), 
which require a DCO to report changes to credit facility funding 
arrangements and liquidity funding arrangements, respectively, to 
clarify that the reporting requirements include reporting new 
arrangements as well as changes to existing ones. Eurex and OCC 
supported both proposals, with OCC noting that they are consistent with 
its interpretation of the existing regulations. No commenters opposed 
the proposals. The Commission is adopting the amendments to Sec.  
39.19(c)(4)(xii) and (xiii) as proposed.

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

    The Commission proposed 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. The Commission proposed to extend the reporting 
requirement, which previously applied only to any settlement bank used 
by the DCO or approved for use by the DCO's clearing members, to apply 
as well to any credit facility funding arrangement, liquidity funding 
arrangement, or custodian bank used by the DCO or approved for use by 
the DCO's clearing members. The Commission also proposed to change the 
threshold that triggers a DCO's reporting obligations by replacing the 
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.
    Eurex, OCC, and ICE supported the proposal. OCC observed that the 
proposal properly addresses the variety

[[Page 53672]]

of arrangements that DCOs use to meet their ongoing and situational 
funding requirements, and OCC also stated that DCOs should not be 
subject to potential enforcement action for not reporting an issue of 
which they are not even aware. With regard to the requirement to report 
material issues or concerns related to credit facility funding 
arrangements, ICE supported the proposal, but believes, as a technical 
matter, that it would be more accurate to refer to the provider of the 
arrangement, as opposed to the arrangement itself. No commenters 
opposed the proposal. Better Markets recommended that the Commission 
remove the materiality standard from the proposed requirement that DCOs 
report to the Commission regarding material issues with credit facility 
funding arrangements, liquidity funding arrangements, and custodian 
banks. Better Markets argued that because the subjective nature of 
materiality would result in inconsistent and inadequate reporting, the 
Commission instead should require DCOs to report whenever there are any 
issues or concerns.
    With respect to ICE's comment that Sec.  39.19(c)(4)(xv) should 
specify that a DCO must report material issues or concerns related to 
the provider of a credit facility funding arrangement, as opposed to 
reporting issues or concerns related to the arrangement itself, the 
Commission intends that the amended regulation apply to issues or 
concerns related to the provider as well as to the arrangement itself. 
The amended regulation is intended to ensure that the Division receives 
notice when a DCO learns that it may not be able to obtain the 
resources from the provider pursuant to the arrangement. The Commission 
disagrees with the suggestion from Better Markets that DCOs be required 
to report all 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. Although Better Markets correctly noted the 
subjectivity inherent in a materiality standard, the Commission does 
not believe that it would be useful for it to be notified of all issues 
or concerns, especially since, in connection with its supervision of 
DCOs and engagement with DCO staff regarding reporting of issues or 
concerns related to settlement banks, Division staff has not found that 
the materiality standard impedes necessary reporting. Because the 
Commission believes that the threshold for reporting is properly 
calibrated, the Commission is adopting Sec.  39.19(c)(4)(xv) as 
proposed.

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

    The Commission proposed 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. Eurex and OCC supported the 
proposal, with OCC noting that it is a non-substantive change to 
existing DCO reporting obligations. No commenters opposed the proposal. 
ICE recommended that, to be consistent with Sec.  39.37(b)(2), the 
Commission should state explicitly that the proposed reporting 
requirement only applies to material changes that a DCO makes to its 
disclosures under the PFMI Disclosure Framework. The Commission does 
not believe that such clarification is necessary, given that new Sec.  
39.19(c)(4)(xxv) simply references the reporting requirements in Sec.  
39.37(b)(2) without altering the substance of those requirements. The 
Commission is adopting new Sec.  39.19(c)(4)(xxv) as proposed.

VI. Amendments to Sec.  39.21(c)

    Regulation Sec.  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 proposed several amendments to these requirements 
to better align a DCO's disclosure obligations with the type of 
clearing services that the DCO provides. Specifically, the Commission 
proposed 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. Additionally, the Commission 
proposed 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 did not receive any comments on these proposed 
changes, and is therefore adopting them as proposed.

VII. Amendments to Sec.  39.37(c) and (d)

    Regulation Sec.  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. Regulation Sec.  
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 proposed 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. OCC 
supports and appreciates the proposal, stating that it would relieve 
DCOs of duplicative requirements to report this information both 
publicly and to the Commission. The Commission is adopting this 
amendment as proposed.

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

    Regulation Sec.  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 proposed 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.
    OCC generally supported the proposed changes to Sec.  
140.94(c)(10), as OCC agreed that the proposed delegations would 
appropriately empower Commission staff to facilitate efficient 
administration of part 39, and ensure that the Commission and its staff 
can obtain relevant information in a timely manner. OCC stated that 
changes to a DCO's reporting obligations can pose significant technical 
or logistical challenges, and necessitate substantial investment of 
time and resources to effect compliance. Therefore, while OCC supported 
the proposed changes, it urged the Division to continue to engage

[[Page 53673]]

in open dialogue with DCOs prior to exercising the delegated authority 
to seek additional information pursuant to Sec.  39.19 or to change the 
format or manner of any required reporting. The Commission takes notes 
of this comment, and expects that information collection or any changes 
to the format and manner of required reporting would continue to 
involve engagement with DCOs. The Commission is adopting these changes 
as proposed.

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.\18\ The final 
rule adopted 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.\19\ The Commission has 
previously determined that DCOs are not small entities for the purpose 
of the RFA.\20\ Accordingly, the Chairman, on behalf of the Commission, 
hereby certifies pursuant to 5 U.S.C. 605(b) that the rule adopted 
herein will not have a significant economic impact on a substantial 
number of small entities.
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    \18\ 5 U.S.C. 601 et seq.
    \19\ 47 FR 18618 (Apr. 30, 1982).
    \20\ See 66 FR 45604, 45609 (Aug. 29, 2001).
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B. Paperwork Reduction Act

    The Paperwork Reduction Act (PRA) \21\ 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 final rulemaking contains reporting and 
recordkeeping requirements that are collections of information within 
the meaning of the PRA. Responses to the collections of information are 
required to obtain a benefit.
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    \21\ 44 U.S.C. 3501 et seq.
---------------------------------------------------------------------------

    This final rulemaking modifies the existing information collection 
associated with part 39, ``Requirements for Derivatives Clearing 
Organizations, OMB control number 3038-0076.'' In accordance with the 
PRA, 44 U.S.C. 3507(d), the Commission has submitted these information 
collection requirements to OMB for its review.
1. Subpart B--Requirements for Compliance with Core Principles
a. Risk Management
    The Commission is adopting as proposed 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. The 
requirements would still apply to clearing members that clear fully 
collateralized positions but also clear 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 currently registered DCOs clear fully collateralized positions. 
As a result, the Commission believes that this reduction will 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 amending Sec.  39.15(b)(2), which 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 
is consolidating paragraphs (b)(2)(i) and (ii) and renumbering 
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 amending 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 changes are mere clarifications of 
existing requirements, they also have no impact on the reporting 
burden.
    Similarly, the Commission is removing 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 adding 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 new 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 deleting 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 change will decrease the reporting burden. In 
addition, the Commission is removing 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 will 
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 will collectively 
decrease the reporting burden because the requirements being removed 
through the deletion of paragraph (b)(2)(i)(I) are, as a whole, more 
burdensome than the requirements being added in paragraph (b)(2)(vii). 
Similarly, the Commission is removing the requirement in existing 
paragraph (b)(2)(i)(K) to discuss a DCO's default management procedures 
generally and maintaining only the requirement to address default 
management procedures unique to the products eligible for commingling 
and moving that requirement to paragraph (b)(2)(vi). This narrowing of 
the scope of

[[Page 53674]]

the requirement reduces the reporting burden on the relevant DCOs.
    The Commission is amending paragraph (b)(2)(i)(B) (renumbered as 
paragraph (b)(2)(ii)), 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 address any risk 
characteristics of products to be commingled that are unusual in 
relation to the other products the DCO clears, such as margining, 
liquidity, default management, pricing, or other risk characteristics, 
and how the DCO plans to manage any risks identified. Because such 
analysis 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 will now be required to 
do so, this will increase the reporting burden. However, the Commission 
expects this increase to be negligible, as this provision would only 
apply when a DCO is considering a new commingling of customer positions 
in various products, and only when the risk characteristics of products 
to be commingled are unusual in relation to other products the DCO 
clears.
    The Commission is amending paragraph (b)(2)(i)(F) (and renumbering 
it as paragraph (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 this 
amendment will have no impact on the reporting burden. Although the new 
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 amendment only requires reporting when additional 
requirements are, in fact, applicable.
    The Commission believes that the reductions in the reporting burden 
resulting from the deletion of paragraphs (b)(2)(i)(C), (E), (H), and 
(L) and the narrowing of the reporting burden resulting from the 
deletions of paragraphs (b)(2)(i)(I) and (K) (even after giving effect 
to the addition of new paragraphs (b)(2)(vi) and (vii)) are at least as 
great as the increase in the reporting burden resulting from the 
amendments to paragraph (b)(2)(i)(B) (renumbered as paragraph 
(b)(2)(ii)). Because the Commission lacks the data to fully quantify 
each of these changes, it is conservatively estimating that these 
changes collectively do not alter 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 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 adopting the proposed amendments to Sec.  
39.19(c)(1)(i)(A) that 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 is 
amending 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 clarification will not affect the 
burden on DCOs because DCOs already provide this information and the 
impact of this amendment on the existing burden is negligible.
    The Commission also is amending 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 change is anticipated to result in a negligible decrease 
from the current burden of 0.5 burden hours per report.\22\
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    \22\ 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 also is adopting new Sec.  39.19(c)(1)(iii), as 
proposed, which will give a DCO the ability, after consultation with 
the Division, to voluntarily submit any additional data field in its 
daily reports that is necessary or appropriate to better capture the 
information that is being reported. The Commission believes that adding 
this provision to Sec.  39.19(c)(1) does not affect the existing burden 
estimates for daily reporting. Although it is unclear at this time 
whether any DCOs will decide to voluntarily submit additional data 
fields in their daily reports and how frequently they will do so, the 
Commission believes that the impact of this new provision on the 
existing daily reporting burden is negligible. The Commission does not 
anticipate that DCOs will add information to their daily reports if 
doing so is a burden. The Commission instead anticipates that voluntary 
reporting by DCOs likely will consist only of data that already is 
maintained in reportable format and that can be included in the daily 
reports with minimal effort.
    The Commission is also adding to part 39 an appendix that will 
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 will not change the reporting 
burden.\23\
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    \23\ 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.
---------------------------------------------------------------------------

    The Commission is adding new fields within new appendix C that 
would further implement the existing daily reporting requirements under 
Sec.  39.19(c)(1). Specifically, the Commission is adopting a 
requirement 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 adopting a requirement that 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 not 
adopting a proposed requirement that each DCO include in its daily 
reports timing information about variation margin calls and payments, 
but is adopting a proposed requirement to include in its daily reports 
information that reflects that the daily report is complete. Lastly, in 
connection with adopting a new requirement in Sec.  39.19(c)(1)(i) that 
a DCO include in its daily reports the results of its required daily 
margin model backtesting, the Commission also is adding to new appendix 
C amended versions of the additional data fields necessary to implement 
this requirement.

[[Page 53675]]

    With respect to adding new fields to new appendix C, and adding to 
Sec.  39.19(c)(1)(i) a requirement that a DCO include in its daily 
reports the results of its required margin model backtesting, the 
Commission believes that the incremental capital investment costs 
associated with implementing these requirements would be negligible. In 
many cases, the new 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 fields would leverage the DCO's existing server 
architecture that could be scaled up to meet these requirements with 
negligible costs. However, to the extent that a DCO does not currently 
use any of the information that would be required under the 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 new fields, specifically including costs for coding, as 
well as testing, quality assurance, and compliance review. As explained 
below in connection with its discussion of cost-benefit considerations, 
the Commission has estimated \24\ that DCOs may incur other start-up 
costs of approximately $69,667.21 per DCO.\25\ CME commented that it 
believes the time required to implement the proposed changes would be 
``an order of magnitude greater than predicted,'' which would add to 
the costs. However, CME did not quantify the amount by which it 
believes that costs would be increased, and as a result, the Commission 
is reluctant to adjust its estimates based on this comment. 
Furthermore, the Commission is not adopting all of the new fields that 
were proposed, which would reduce the costs that may be incurred by 
DCOs to implement the required changes relative to the initial 
proposal. Accordingly, the Commission believes that retaining its 
initial estimates of these costs in the proposal (excluding estimates 
of any proposals not being adopted in the final rule) addresses CME's 
concern that the Commission's initial estimates of the costs of 
implementation were not adequate, while accounting for the fact that 
costs were reduced by the Commission's decision not to adopt all of the 
relevant proposals.
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    \24\ 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.
    \25\ 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; $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 backtesting 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. The amount that was 
estimated for the payment file in the proposal, $39,907.22, is not 
being included here, because the Commission did not adopt the 
proposal for the payment file.
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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 adding the new fields 
to new appendix C, and adding to Sec.  39.19(c)(1)(i) a requirement 
that a DCO include in its daily reports the results of the margin model 
backtesting, will result in a negligible increase to the current 
estimate of 0.5 burden hours per report. Accordingly, the Commission 
retains its existing estimate for the burden associated with daily 
reporting under Sec.  39.19(c)(1).
    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: 1,625.
d. Event-Specific Reporting
    Regulation Sec.  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 amending 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 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 amendment is negligible.
    Regulation Sec.  39.19(c)(4)(xii) and (xiii) require notification 
of changes in a liquidity funding arrangement or settlement bank 
arrangement. The Commission is amending these regulations to clarify 
that the reporting requirements include reporting new arrangements as 
well as changes to existing ones. The clarification will not affect the 
burden on DCOs because such reporting is already implied in the 
regulation.
    Separately, the Commission is amending 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 proposed to revise Sec.  39.18(g) to delete the 
materiality threshold. Proposed changes would also

[[Page 53676]]

have required 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 Commission estimated 
that these changes would require DCOs to file an additional four 
reports per year, on average. The Commission received several comments 
stating that this estimate is too low. The Commission is not adopting 
these changes, however, and is therefore removing the proposed 
additional four reports per year from the reporting burden.
    The Commission proposed modifying the reporting obligations under 
Sec.  39.18(g)(1) and new Sec.  39.18(g)(2) to specify that only events 
that impact, or potentially impact, a DCO's clearing operations must be 
reported under each subsection. The Commission is not adopting these 
changes.
    Finally, the Commission is adding 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 revising 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 will 
cause a negligible decrease in costs that will 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: 14.
    Average number of hours per report: 0.5.
    Estimated gross annual reporting burden: 91.
e. Public Information
    The Commission is revising 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 amending 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 will remain unchanged. The 
changes do not affect the burden for the majority of DCOs that are 
subject to the public disclosure requirements. For fully collateralized 
DCOs, the 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.

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.\26\ 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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    \26\ 7 U.S.C. 19(a).
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    The Commission recognizes that the final rule may impose costs. The 
Commission has endeavored to assess the expected costs and benefits of 
the final rule in quantitative terms, including PRA-related costs, 
where possible. 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 rules in qualitative 
terms. The lack of data and information to estimate those costs is 
attributable in part to the nature of the final rule. Additionally, any 
initial and recurring compliance costs for any particular DCO will 
depend on the size, existing infrastructure, practices, and cost 
structure of the DCO.
    To further the Commission's consideration of the costs and benefits 
imposed by the proposal, the Commission invited comments from the 
public on all aspects of its cost-benefit considerations, including the 
identification and assessment of any costs and benefits not discussed 
by the Commission; 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. To the extent that the Commission received comments 
specific to the costs and benefits of the proposed changes, those 
comments are discussed in the relevant sections below.
2. Baseline
    The baseline for the Commission's consideration of the costs and 
benefits of this final rule is: (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 of costs and benefits 
is based on its understanding that the derivatives market regulated by 
the Commission 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 registered with the Commission; 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 
final rule on all relevant derivatives activity, whether based on their 
actual occurrence in the United

[[Page 53677]]

States or on their connection with, or effect on U.S. commerce.\27\
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    \27\ See, e.g., 7 U.S.C. 2(i).
---------------------------------------------------------------------------

3. Amendments to Sec.  39.13(h)(5)
a. Benefits
    The Commission is adopting new Sec.  39.13(h)(5)(iii), which 
provides that a DCO that clears fully collateralized positions may 
exclude from the requirements of paragraphs (h)(5)(i) and (ii), which 
concern clearing members' risk management policies and procedures, 
those clearing members that clear only fully collateralized positions. 
The requirements would still apply to clearing members that clear fully 
collateralized positions but also clear margined products.
    Fully collateralized positions do not expose DCOs to many of the 
risks that 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 adopting 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. Furthermore, the Commission believes 
that this amendment will provide a benefit to DCOs that clear fully 
collateralized positions, as they will no longer need to meet a 
requirement that does not apply to their clearing model.
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 Sec.  
39.13(h)(5)(iii) may increase operational efficiency for DCOs that 
clear fully collateralized positions. The provision 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 this provision.
4. Amendments to Sec.  39.15(b)(2)
a. Benefits
    The Commission is amending 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 that 
the amendments will help DCOs, 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 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 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 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 and moving that 
requirement to paragraph (b)(2)(vi), the amended 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 amendments to 
Sec.  39.15(b)(2) will decrease DCOs' costs associated with seeking 
commingling approval. These changes most meaningfully reduce 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. Paragraph (b)(2)(vii), 
as amended, 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). 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 (renumbered as Sec.  39.15(b)(2)(ii)), 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. The Commission is adding to Sec.  
39.15(b)(2)(ii) the requirement that a DCO's analysis address any 
characteristics that are unusual in relation to the other products 
cleared by the DCO, such as margining, liquidity, default management, 
pricing, or other risk characteristics. The Commission believes that a 
DCO may incur additional minor costs, but only to the extent that the 
products do in fact have margining, liquidity, default management, 
pricing, or other risk characteristics that are unusual in relation to 
those currently cleared by the DCO. Lastly, to the extent paragraph 
(b)(2)(vi) on default management procedures extends beyond the scope of 
existing paragraph (b)(2)(i)(J) or (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 amendments to

[[Page 53678]]

Sec.  39.15(b)(2) in light of the specific considerations identified in 
section 15(a) of the CEA. The Commission believes that the 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, 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 amendments to Sec.  39.15(b)(2).
5. Notification of Exceptional Events--Sec.  39.18(g)
a. Benefits
    For reasons discussed in greater detail above, the Commission is 
declining to adopt the proposal 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 deleting the materiality element from 
the requirement to report malfunctions that materially impair, or 
create a significant likelihood of material impairment of, the DCO's 
automated systems. Similarly, the Commission is also declining to adopt 
the remaining proposed changes to Sec.  39.18(g), including the 
elimination of the materiality threshold for reporting of other 
exceptional events, the addition of new language regarding reporting 
for operator error, the addition of untargeted threats as a reporting 
event, and definitions for ``hardware or software malfunction'' and 
``automated system.'' The retention of the current regulatory 
framework, including the reporting threshold which affords discretion 
to DCOs to report only material events, will benefit DCOs by allowing 
the expenditure of less time and fewer resources to report events of no 
significance, the knowledge of which would provide little or no 
informational value to the Division.
b. Costs
    Commenters stated that the Commission underestimated the increase 
in reporting obligations as a result of the proposal to eliminate the 
materiality threshold for the reporting of exceptional events under 
Sec.  39.18(g) (estimated at four reports per DCO per year) as well as 
the costs of such notifications (estimated at $152 per year). The 
Commission is not adopting the proposal to remove the materiality 
threshold or any of the other proposed changes to Sec.  39.18(g).
c. Section 15(a) Factors
    As the Commission is not adopting the proposed amendments to Sec.  
39.18(g), a consideration of costs and benefits under section 15(a) is 
not applicable for this subsection.
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 amending 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. 
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. The Commission did not receive any comments on the costs or 
benefits associated with these changes.
b. Costs
    The Commission expects that DCOs and their clearing members will 
not incur any costs related to the amendments to Sec.  
39.19(c)(1)(i)(B) and (C), as the Commission is eliminating the 
existing requirement that DCOs report to the Commission on a daily 
basis variation margin and cash flows by individual customer account.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of the 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 amendments to Sec.  
39.19(c)(1)(i)(B) and (C) will 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 
amendments will 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 
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 adding a new appendix C to part 39 that codifies 
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 codifying the 
Reporting Guidebook will not result in material benefit to currently 
registered DCOs, the Commission believes that it likely will 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). The Commission did not receive any comments on the costs 
or benefits associated with these changes.
b. Costs
    The Commission does not expect that DCOs will incur increased costs 
related to codifying the reporting fields from the Reporting Guidebook 
in new appendix C to part 39. DCOs have been relying on the Reporting 
Guidebook for nearly a decade to satisfy their daily 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 codifying the Reporting Guidebook as appendix 
C 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 adding new appendix C to part 39 to 
codify the reporting fields set forth in the existing Reporting 
Guidebook does not implicate the section 15(a) factors.

[[Page 53679]]

8. Additional Reporting Fields for the Daily Reporting Requirements--
Sec.  39.19(c)(1)
a. Benefits
    The Commission is adding several new reporting fields that will be 
incorporated into new appendix C to part 39.\28\ The Commission is 
requiring 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. 
Additionally, the Commission is requiring DCOs that clear interest rate 
swaps, forward rate agreements, or inflation index swaps to include in 
their daily reports the actual trade date for each position along with 
an event description. Additionally, the Commission is requiring DCOs to 
include in their daily reports information that reflects that the daily 
report is complete. Lastly, in connection the new requirement in Sec.  
39.19(c)(1)(i) that a DCO include in its daily reports the results of 
its required daily margin model backtesting, the Commission also is 
adding to new appendix C amended versions of the additional data fields 
necessary to implement this requirement.\29\ This information, 
separately and in the aggregate, is expected to assist the Commission 
in conducting more effective oversight of DCOs, thereby enhancing the 
protections afforded to the markets generally. The Commission did not 
receive any comments on the benefits associated with these changes.
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    \28\ As noted previously, the Commission is not adopting the 
proposal that each DCO include in its daily reports timing 
information about VM calls and payments.
    \29\ Although the costs, benefits, and section 15(a) factors 
associated with the requirement in Sec.  39.19(c)(1)(i) that a DCO 
include backtesting results in its daily report are addressed 
separately below, the costs associated with the implementation of 
this requirement via the amended new daily reporting fields in 
appendix C are addressed in this section.
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b. Costs
    The Commission believes that the costs associated with adding these 
new daily reporting fields to 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 
regulation 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 
addition of new daily reporting fields in new appendix C, and the 
requirement that DCOs include information on their backtesting results 
in their daily reports 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 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 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.\30\ Using this method, the Commission estimates the total start-
up costs to be approximately $69,667.21 per DCO.\31\
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    \30\ 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.
    \31\ 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; $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 backtesting 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. The amount that was 
estimated for the payment file in the proposal, $39,907.22, is not 
being included here, because the Commission did not adopt the 
proposal for the payment file.
---------------------------------------------------------------------------

    CME commented on the cost-benefit considerations related to the 
addition of these new daily reporting fields, arguing that the 
Commission severely underestimated the amount of time that would be 
required to comply with the requirement. Specifically, CME commented 
that it believes the time required to implement the proposed changes 
would be ``an order of magnitude greater than predicted,'' which would 
add to the costs. However, CME did not quantify the amount by which it 
believes that costs would be increased, and as a result, the Commission 
is reluctant to adjust its estimates based on this comment. 
Furthermore, the Commission is not adopting all of the new fields that 
were proposed, which would reduce the costs that may be incurred by 
DCOs to implement the required changes. Accordingly, the Commission 
believes that retaining its initial estimates of these costs in the 
proposal (excluding estimates of any proposals not being adopted in the 
final rule) addresses CME's concern that the Commission's initial 
estimates of the costs of implementation were not adequate, while 
accounting for the fact that costs were reduced by the Commission's 
decision not to adopt all of the relevant proposals.
c. Section 15(a) Factors
    In addition to the discussion above, the Commission has evaluated 
the costs and benefits of adding 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. Requiring 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

[[Page 53680]]

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 change.
9. Daily Reporting of Margin Model Backtesting--Sec.  39.19(c)(1)(i)
a. Benefits
    The Commission is adding to Sec.  39.19(c)(1)(i) a requirement that 
DCOs include in their daily reports the results of the margin model 
backtesting that DCOs are required to perform daily pursuant to Sec.  
39.13(g)(7)(i). Because margin model backtesting results are a crucial 
element of an effective risk surveillance program, obtaining this 
information will allow the Commission to conduct more effective 
oversight of DCOs, thereby enhancing the protections afforded to the 
markets generally. The Commission did not receive any comments on the 
costs or benefits associated with these changes.
b. Costs
    The Commission expects that requiring DCOs to report backtesting 
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. Additionally, 
the Commission has revised the fields in new appendix C to part 39 for 
reporting backtesting results to address concerns expressed by 
commenters and better align those fields with the manner in which DCOs 
calculate their backtesting results, since DCOs do not perform 
backtesting and calculate the results in a uniform manner. However, to 
the extent that a DCO does not maintain the required information in the 
required standardized format, 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 new fields in appendix C. 
The Commission notes, however, that some DCOs are already voluntarily 
providing backtesting 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 requiring DCOs to report backtesting results 
daily in light of the specific considerations identified in section 
15(a) of the CEA. Requiring DCOs to report backtesting 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 adding to Sec.  
39.19(c)(1)(i) a requirement that DCOs include in their daily reports 
the results of their daily margin model backtesting.
10. Fully Collateralized Positions--Sec.  39.19(c)(1)(ii)
a. Benefits
    The Commission is amending Sec.  39.19(c)(1)(ii) to clarify that 
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), 
which already does not apply to fully collateralized positions, and 
therefore has no independent force or effect, this amendment does not 
represent a substantive change. Making this change to Sec.  
39.19(c)(1)(ii) provides greater certainty to DCOs, their clearing 
members, and their customers, and may prevent them from having to 
request guidance on this matter from the Commission or the Division in 
the future. Further, the Commission believes that this amendment may 
increase operational efficiency for DCOs that clear fully 
collateralized positions. The Commission did not receive any comments 
on the costs or benefits associated with these changes.
b. Costs
    The Commission does not anticipate any non-negligible change in 
costs resulting from amending Sec.  39.19(c)(1)(ii) to clarify that it 
does 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 of amending Sec.  39.19(c)(1)(ii) to clarify 
that this regulation does not apply to fully collateralized positions 
in light of the specific considerations identified in section 15(a) of 
the CEA. The Commission believes that this amendment may increase 
operational efficiency for DCOs that clear fully collateralized 
positions, which is in the public interest. The Commission has 
considered the other section 15(a) factors and believes that they are 
not implicated by the amendment.
11. Reporting Change of Control of the DCO--Sec.  39.19(c)(4)(ix)(A)(1)
a. Benefits
    Regulation 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 amending 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 amendment will ensure 
that the Commission has accurate knowledge of the individuals or 
entities that directly or indirectly control a DCO regardless of the 
corporate structures of the equity holders of the DCO. The Commission 
did not receive any comments on the costs or benefits associated with 
these changes.
b. Costs
    The Commission expects the costs related to the amendment to Sec.  
39.19(c)(4)(ix)(A)(1) to be negligible. Specifically, the Commission 
expects a negligible cost burden with respect to the changes, in part 
because the changes of control contemplated by the 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. 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 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 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 amendments are anticipated to provide the 
Commission with a better understanding of the

[[Page 53681]]

organizational structure of the ownership of the DCO, potentially 
illuminating whether any individuals or entities that directly or 
indirectly control a DCO also have ownership stakes in other 
registrants or registered entities. The Commission has considered the 
other section 15(a) factors and believes that they are not implicated 
by the amendments to Sec.  39.19(c)(4)(ix)(A)(1).
12. 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 amending 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. This amendment expands the reporting requirement, 
which previously applied only to any settlement bank used by the DCO or 
approved for use by the DCO's clearing members, to apply as well to any 
credit facility funding arrangement, liquidity funding arrangement, or 
custodian bank used by the DCO or approved for use by the DCO's 
clearing members. This amendment also changes the threshold that 
triggers a DCO's reporting obligations by replacing the 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. Given the importance of credit 
facility funding arrangements, liquidity funding arrangements, 
custodian banks, and settlement banks to both DCOs and clearing 
members, it is imperative that the Commission be informed of any known 
issues or concerns regarding these entities or arrangements, especially 
considering the broader impact that problems with these entities or 
arrangements could have on DCOs and clearing members, as well as the 
derivatives markets as a whole. As such, the reporting of this 
information is expected to improve the Commission's oversight and 
supervision of DCOs, clearing members, and the derivatives markets 
generally. The Commission did not receive any comments on the costs or 
benefits associated with these changes.
b. Costs
    The Commission expects that the costs related to the 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 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 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 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 
amendments to Sec.  39.19(c)(4)(xv).
13. Reporting of Updated Responses to the Disclosure Framework for 
Financial Market Infrastructures--Sec.  39.19(c)(4)(xxv)
a. Benefits
    The Commission is adopting 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. This amendment further 
centralizes within Sec.  39.19 the obligations of DCOs to report 
information to the Commission, which benefits affected DCOs by 
consolidating their reporting obligations within one location. The 
Commission did not receive any comments on the costs or benefits 
associated with these changes.
b. Costs
    The Commission does not anticipate any costs associated with the 
adoption of Sec.  39.19(c)(4)(xxv) because it does not alter the 
existing 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 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 adoption of Sec.  
39.19(c)(4)(xxv).
14. Publication of Margin-Setting Methodology and Financial Resource 
Package Information--Sec.  39.21(c)(3) and (4)
a. Benefits
    The Commission is amending 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 
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 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 amendments to Sec.  
39.21(c)(3) and (4) 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 
amendments to Sec.  39.21(c)(3) and (4).

[[Page 53682]]

15. Excluding Eligible DCOs From the Requirement in Sec.  39.21(c)(7) 
To Publish a List of Clearing Members
a. Benefits
    The Commission is amending 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 amendment 
will 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 
amendments to Sec.  39.21(c)(7), as the 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 amendments to Sec.  39.21(c)(7) in light 
of the specific considerations identified in section 15(a) of the CEA. 
The Commission believes that the amendments to Sec.  39.21(c)(7) will 
have a limited and rather moderately beneficial effect on 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 amendments to Sec.  39.21(c)(7) will 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 
amendments to Sec.  39.21(c)(7).
16. Clarifying the Disclosure Obligations in Sec.  39.37
a. Benefits
    The Commission is amending Sec.  39.37(c) and (d) to clarify that 
public disclosure of the information described in those paragraphs is 
all that is required. The changes to Sec.  39.37(c) and (d) will 
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 
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 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 changes.
17. Amendments to Sec.  140.94(c)(10)
a. Benefits
    The Commission is amending 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 delegation of 
authority will 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 
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 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.\32\
---------------------------------------------------------------------------

    \32\ 7 U.S.C. 19(b).
---------------------------------------------------------------------------

    The Commission believes that the public interest to be protected by 
the antitrust laws is the promotion of competition. In the proposal, 
the Commission requested comment on whether: (1) the proposed 
rulemaking implicates any other specific public interest to be 
protected by the antitrust laws; (2) the proposed rulemaking is 
anticompetitive and, if it is, what the anticompetitive effects are; 
and (3) 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. The Commission did not receive any 
comments in response.
    The Commission has considered the final rule to determine whether 
it is anticompetitive and has identified no anticompetitive effects. 
Because the Commission has determined that the rules are not 
anticompetitive and have no anticompetitive effects, the Commission has 
not identified any less anticompetitive means of achieving the purposes 
of the CEA.

List of Subjects

17 CFR Part 39

    Reporting and recordkeeping requirements.

17 CFR Part 140

    Authority delegations (Government agencies).

    For the reasons stated in the preamble, the Commodity Futures 
Trading Commission amends 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.


Sec.  39.2  [Amended]

0
2. Amend Sec.  39.2 by removing ``Back test'' and adding in its place 
``Backtest''.


Sec.  39.5  [Amended]

0
3. Amend Sec.  39.5 in paragraph (b)(3)(vi) by removing ``back 
testing'' and adding in its place ``backtesting''.

0
4. Amend Sec.  39.13 as follows:
0
a. In paragraph (g)(7), remove ``Back tests'' and ``back tests'' 
wherever they appear and add in their places ``Backtests'' and 
``backtests'', respectively.

[[Page 53683]]

0
b. In paragraph (h)(5)(i)(A), add the word ``and'' at the end of the 
paragraph;
0
c. Revise paragraph (h)(5)(i)(B);
0
d. Remove paragraph (h)(5)(i)(C); and
0
e. Add paragraph (h)(5)(iii).
    The revision and addition 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.
* * * * *
    (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
5. Amend 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 that would be used to 
define eligible products;
    (ii) Analysis of the risk characteristics of the eligible products 
and of the derivatives clearing organization's ability to manage those 
risks, addressing any characteristics that are unusual in relation to 
the other products cleared by the derivatives clearing organization, 
such as margining, liquidity, default management, pricing, or other 
risk characteristics;
    (iii) Analysis of the liquidity of the respective markets for the 
eligible products, the ability of clearing members and the derivatives 
clearing organization to offset or mitigate the risk of such eligible 
products in a timely manner, without compromising the financial 
integrity of the account, and, as appropriate, proposed means for 
addressing insufficient liquidity;
    (iv) A description of any additional requirements that would apply 
to clearing members permitted to commingle eligible products;
    (v) A description of any risk management changes that the 
derivatives clearing organization will implement to oversee its 
clearing members' risk management of eligible products, or an analysis 
of why existing risk management systems and procedures are adequate in 
connection with the proposed commingling;
    (vi) An analysis of the ability of the derivatives clearing 
organization to manage a potential default with respect to any of the 
eligible products that would be commingled, including a discussion of 
any default management procedures that are unique to the products 
eligible for commingling;
    (vii) A discussion of the extent to which the derivatives clearing 
organization anticipates allowing portfolio margining of commingled 
positions, including a description and analysis of any margin reduction 
applied to correlated positions and the language of any applicable 
clearing rules or procedures, and an express confirmation that any 
portfolio margining will be allowed only as permitted under Sec.  
39.13(g)(4); and
    (viii) Any other information necessary for the Commission to 
determine the rule submission's compliance with the Act and the 
Commission's regulations in this chapter, which the Commission may 
request as supplemental information if not provided in the initial 
submission. The Commission may extend the review period for the rule 
submission in accordance with Sec.  40.5(d) of this chapter in order to 
request and obtain supplemental information as necessary.
* * * * *

0
6. Amend Sec.  39.19 as follows:
0
a. Revise paragraph (c)(1)(i) and the introductory text of paragraph 
(c)(1)(ii);
0
b. Add paragraph (c)(1)(iii);
0
c. Revise paragraphs (c)(4)(ix)(A)(1) and (c)(4)(xii), (xiii), and 
(xv); and
0
d. Add 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 a.m. on the 
next business day, a report containing the results of the backtesting 
required under Sec.  39.13(g)(7)(i), and the following information 
related to all positions, other than fully collateralized positions, in 
accordance with the data fields set forth in appendix C to this part:
    (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 field that is necessary or appropriate to better

[[Page 53684]]

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 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
7. 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
8. 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
9. Amend Sec.  39.37 by revising paragraph (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
10. Add appendix C to part 39 to read as follows:

Appendix C to Part 39--Daily Reporting Data Fields

A. Daily Cash Flow Reporting

----------------------------------------------------------------------------------------------------------------
                                                                                         House &     Individual
                  Field name                                Description                 customer      customer
                                                                                         origin        account
----------------------------------------------------------------------------------------------------------------
                                    Common Fields (Daily Cash Flow Reporting)
----------------------------------------------------------------------------------------------------------------
Total Message Count..........................  The total number of reports included             M             M
                                                in the file.
FIXML Message Type...........................  Financial Information eXchange Markup            M             M
                                                Language (FIXML) account summary
                                                report type.
Sender ID....................................  The CFTC-issued derivatives clearing             M             M
                                                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 the              M             M
                                                Commodity Futures Trading Commission
                                                (CFTC) to each clearing member
                                                report.
Report Date..................................  The business date of the information             M             M
                                                being reported.
Base Currency................................  Base currency referenced throughout              M             M
                                                report; provide exchange rate
                                                against this currency.
Report Time (Message Create Time)............  The report ``as of'' or information              M             M
                                                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.

[[Page 53685]]

 
Clearing Participant Name....................  The name of the clearing member......            M             M
Fund Segregation Type........................  Clearing fund segregation type.......            M             M
Clearing Participant LEI.....................  Legal entity identifier (LEI) for a               C             C
                                                particular clearing member per
                                                International Organization for
                                                Standardization (ISO) 17442.
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.
Customer Position Name.......................  The name associated with the customer            M           N/A
                                                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 customer          N/A              C
                                                margin identifier.
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.
Customer Margin Account Type.................  Account type indicator...............          N/A             M
----------------------------------------------------------------------------------------------------------------
                                 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 the             M             M
                                                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/offer               C             C
                                                costs associated with the
                                                liquidation of a large portfolio..
Margin Calls.................................  Any outstanding margin call that has             M           N/A
                                                been issued but not collected as of
                                                the end of the trade date.
Total Margin.................................  The total margin requirement for the             M           N/A
                                                origin. This margin requirement
                                                should include the initial margin
                                                requirement plus any additional
                                                margin required by the DCO.
Variation Margin.............................  Variation margin should include the              M           N/A
                                                net sum of all cash flows between
                                                the DCO and clearing members by
                                                origin.
Market Move Risk.............................  Margin amount associated with market              C             C
                                                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             C
                                                trading date. The amount of money
                                                that the options buyer must pay the
                                                options seller.
Net Option Value.............................  The credit or debit amount based on               C             C
                                                the long or short options positions.
Backdated Profit and Loss....................  The profit and loss (P&L) attributed             O           N/A
                                                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 omnibus          N/A              C
                                                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 the             M             M
                                                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 has             M           N/A
                                                been issued but not collected as of
                                                the end of the trade date.
Total Margin.................................  The total margin requirement for the             M             M
                                                origin. This margin requirement
                                                should include the initial margin
                                                requirement plus any additional
                                                margin required by the DCO.
Variation Margin.............................  Variation margin should include the              M           N/A
                                                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 added             C          N/A
                                                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).
----------------------------------------------------------------------------------------------------------------
                                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 the             M             M
                                                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/offer               C             C
                                                costs associated with the
                                                liquidation of a large portfolio..

[[Page 53686]]

 
Margin Calls.................................  Any outstanding margin call that has             M           N/A
                                                been issued but not collected as of
                                                the end of the trade date.
Total Margin.................................  The total margin requirement for the             M              C
                                                origin. This margin requirement
                                                should include the initial margin
                                                requirement plus any additional
                                                margin required by the DCO.
Variation Margin.............................  Variation margin should include the              M           N/A
                                                net sum of all cash flows between
                                                the DCO and clearing members by
                                                origin.
Spread Response Risk.........................  Risk factor component associated with             C             C
                                                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 with             C             C
                                                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 most             C             C
                                                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 with             C             C
                                                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 a               C             C
                                                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 coupon              O           N/A
                                                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 day             M           N/A
                                                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-day             M           N/A
                                                position from par (100%) to the end-
                                                of-day settlement price.
Backdated Profit and Loss....................  The P&L attributed to positions added             C          N/A
                                                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 cash             M           N/A
                                                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.
----------------------------------------------------------------------------------------------------------------
                                  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 the             M             M
                                                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 has             M           N/A
                                                been issued but not collected as of
                                                the end of the trade date.
Total Margin.................................  The total margin requirement for the             M             M
                                                origin. This margin requirement
                                                should include the initial margin
                                                requirement plus any additional
                                                margin required by the DCO.
Variation Margin.............................  Variation margin should include the              M           N/A
                                                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 cash             M           N/A
                                                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.
Backdated Profit and Loss....................  The P&L attributed to positions added             C          N/A
                                                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).
----------------------------------------------------------------------------------------------------------------
                                 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.

[[Page 53687]]

 
Initial Margin...............................  Margin requirement calculated by the             M             M
                                                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 has             M           N/A
                                                been issued but not collected as of
                                                the end of the trade date.
Total Margin.................................  The total margin requirement for the             M             M
                                                origin. This margin requirement
                                                should include the initial margin
                                                requirement plus any additional
                                                margin required by the DCO.
Variation Margin.............................  Variation margin should include the              M           N/A
                                                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 value               C          N/A
                                                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 flows              M           N/A
                                                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 cash             M           N/A
                                                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.
Accrued Coupon...............................  Coupon obligation from the first day             M           N/A
                                                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 added             C          N/A
                                                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...............................  Margin requirement calculated by the             M             M
                                                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.
Liquidity Risk...............................  Risk component to capture bid/offer               C             C
                                                costs associated with the
                                                liquidation of a large portfolio.
Margin Calls.................................  Any outstanding margin call that has             M           N/A
                                                been issued but not collected as of
                                                the end of the trade date..
Total Margin.................................  The total margin requirement for the             M           N/A
                                                origin. This margin requirement
                                                should include the initial margin
                                                requirement plus any additional
                                                margin required by the DCO.
Variation Margin.............................  Variation margin should include the              M           N/A
                                                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 on               C             C
                                                the long or short options positions.
Backdated Profit and Loss....................  The P&L attributed to positions added             C          N/A
                                                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 the             M           N/A
                                                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 has             M           N/A
                                                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 the              M           N/A
                                                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 added             C          N/A
                                                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 53688]]

 
                                     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...............................  Margin requirement calculated by the             M           N/A
                                                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 has             M           N/A
                                                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 the              M           N/A
                                                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 day             M           N/A
                                                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 file        M
                                     is transmitted.
Report ID.........................  A unique identifier               M
                                     assigned by the CFTC to
                                     each clearing member
                                     report.
Report Date.......................  The business date of the          M
                                     information being
                                     reported.
Base Currency.....................  Base currency referenced          M
                                     throughout report;
                                     provide exchange rate
                                     against this currency.
Report Time (Message Create Time).  The report ``as of'' or           M
                                     information cut-off time.
Message Event.....................  The event source being            M
                                     reported.
Market Segment ID.................  Market segment associated         M
                                     with the position report.
DCO Identifier....................  CFTC-assigned identifier          M
                                     for a DCO.
Clearing Participant Identifier...  DCO-assigned identifier           M
                                     for a particular clearing
                                     member.
Clearing Participant Name.........  The name of the clearing          M
                                     member.
Fund Segregation Type.............  Clearing fund segregation         M
                                     type.
Clearing Participant LEI..........  LEI for a particular               C
                                     clearing member.
Clearing Participant LEI Name.....  The LEI name associated            C
                                     with the clearing member
                                     LEI.
Customer Position Identifier......  Proprietary identifier for         C
                                     a particular customer
                                     position account.
Customer Position Name............  The name associated with          M
                                     the customer position
                                     identifier.
Customer Position Account Type....  Type of account used for           C
                                     reporting.
Customer Position LEI.............  LEI for a particular               C
                                     customer; must be
                                     provided when available.
Customer Position LEI Name........  The LEI name associated            C
                                     with the Customer
                                     Position LEI.
Customer Margin Identifier........  Proprietary identifier for         C
                                     a particular customer.
Customer Margin Name..............  The name associated with           C
                                     the customer margin
                                     identifier.
Unique Margin Identifier..........  A single field that               M
                                     uniquely identifies the
                                     margin account. This
                                     field is used to identify
                                     associated positions.
------------------------------------------------------------------------
             Futures and Options (Daily Position Reporting)
------------------------------------------------------------------------
Settlement Price/Currency.........  Settlement price, prior           M
                                     settlement price,
                                     settlement currency, and
                                     final settlement date.
Cross-Margin Entity...............  Name of the entity                 C
                                     associated with a cross-
                                     margined account.
Exchange Commodity Code...........  Contract commodity code           M
                                     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 security        M
Maturity Month Year...............  Month and year of the             M
                                     maturity.
Maturity Date.....................  The date on which the              C
                                     principal amount becomes
                                     due.
Asset Class.......................  The broad asset category          M
                                     for assessing risk
                                     exposure.
Asset Subclass....................  The subcategory                    C
                                     description of the asset
                                     class.
Asset Type........................  Provides a more specific           C
                                     description of the asset
                                     subclass.
Asset Subtype.....................  Provides a more specific           C
                                     description of the asset
                                     type.
Security Group (Sector)...........  A name assigned to a group         C
                                     of related instruments
                                     which may be concurrently
                                     affected by market events
                                     and actions.
Unit Leverage Factor..............  The multiplier needed to          M
                                     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, per
                                     ISO 10383.
Security Description..............  Used to provide a textual         M
                                     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 represents         C
 Spread Underlying Long.             a differential between
                                     two products, the product
                                     code that represents the
                                     long position in the
                                     spread for long position
                                     in the combined contract.

[[Page 53689]]

 
Alternate Product Identifier--      When a contract represents         C
 Spread Underlying Short.            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 trading in        M
                                     a futures contract.
First Notice Date.................  The first date on which            C
                                     delivery notices are
                                     issued.
Position (Long)...................  Long position size. If a          M
                                     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. If a         M
                                     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 foreign          M
                                     exchange conversion rate.
Change in Settlement Price........  The quoted price change           M
                                     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
                                     position.
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, prior            C
 Currency.                           settlement price,
                                     settlement currency, and
                                     final settlement date.
Underlying Exchange Commodity Code  Underlying Contract code           C
                                     issued by the exchange.
Underlying Clearing Commodity Code  Registered commodity               C
                                     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 the security is
                                     associated with.
Underlying Security Type..........  Indicator which identifies         C
                                     the underlying derivative
                                     type.
Underlying Security Group (Sector)  A name assigned to a group         C
                                     of related instruments
                                     which may be concurrently
                                     affected by market events
                                     and actions.
Underlying Maturity Month Year....  Month and year of the              C
                                     maturity.
Underlying Maturity Date..........  The date on which the              C
                                     principal amount becomes
                                     due.
Underlying Asset Class............  The underlying 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 specific           C
                                     description of the asset
                                     subclass.
Underlying Asset Subtype..........  Provides a more specific           C
                                     description of the asset
                                     type..
Underlying Exchange Code (MIC)....  Exchange where the                 C
                                     underlying instrument is
                                     traded.
Underlying Security Description...  Textual description of a           C
                                     financial instrument.
Unique Underlying Product Code....  A single field that is the         C
                                     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 the          C
 Implied Volatility Quote.           main options chain for
                                     the future that provides
                                     the implied volatility
                                     quote.
DELTA.............................  Delta is the measure of            C
                                     how the option's value
                                     varies with changes in
                                     the underlying price.
Implied Volatility................  The implied volatility and         C
                                     quotation style for the
                                     contract, typically in
                                     natural log percent or
                                     index points.
Customer Margin Omnibus Parent....  The margin identifier for          C
                                     the 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 Position Reporting)
------------------------------------------------------------------------
Settlement Price/Currency.........  Settlement price, prior           M
                                     settlement price,
                                     settlement currency, and
                                     final settlement date.
Exchange Commodity Code...........  Contract commodity code           M
                                     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 group         C
                                     of related instruments
                                     which may be concurrently
                                     affected by market events
                                     and actions.
Unique Product Identifier.........  A unique set of characters        O
                                     that represents a
                                     particular swap. The
                                     Commission will designate
                                     a UPI pursuant to 17 CFR
                                     45.7.
Maturity Month Year...............  Month and year of the             M
                                     maturity.
Maturity Date.....................  The date on which the              C
                                     principal amount becomes
                                     due.
Asset Class.......................  The broad asset category          M
                                     for assessing risk
                                     exposure.
Asset Subclass....................  The subcategory                    C
                                     description of the asset
                                     class.
Asset Type........................  Provides a more specific           C
                                     description of the asset
                                     subclass.
Unit Leverage Factor..............  The multiplier needed to           C
                                     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 textual          C
                                     description of a
                                     financial instrument.
Security Type.....................  Indicates type of security        M
Position (Long)...................  Long position size. If a          M
                                     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. If a         M
                                     position is quoted in a
                                     UOM different from the
                                     contract, specify the
                                     UOM. If a position is
                                     measured in a currency,
                                     specify the currency.
Net Cash Flow.....................  Net cash flow recognized           C
                                     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 foreign          M
                                     exchange conversion rate.
Universal (or Unique) Swap          Universal (or Unique) Swap        M
 Identifier.                         Identifier (USI)
                                     namespace and USI. The
                                     USI namespace and the USI
                                     should be separated by a
                                     pipe ``[verbar]''
                                     character.
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, prior           M
 Currency.                           settlement price,
                                     settlement currency, and
                                     final settlement date.
Underlying Exchange Commodity Code  Underlying Contract code           C
                                     issued by the exchange.

[[Page 53690]]

 
Underlying 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.
Underlying Product Type...........  Indicates the type of              C
                                     product the security is
                                     associated with.
Underlying Security Group (Sector)  A name assigned to a group         C
                                     of related instruments
                                     which may be concurrently
                                     affected by market events
                                     and actions.
Underlying Maturity Month Year....  Month and year of the             M
                                     maturity.
Underlying Maturity Date..........  The date on which the              C
                                     principal amount becomes
                                     due.
Underlying Asset Class............  The underlying 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 specific           C
                                     description of the asset
                                     subclass.
Underlying Exchange Code (MIC)....  Exchange where the                M
                                     underlying instrument is
                                     traded.
Underlying Security Type..........  Indicates type of security        M
Underlying Security Description...  Textual description of a           C
                                     financial instrument.
DELTA.............................  Delta is the measure of            C
                                     how the option's value
                                     varies with changes in
                                     the underlying price.
------------------------------------------------------------------------
             Credit Default Swaps (Daily Position Reporting)
------------------------------------------------------------------------
Settlement Price/Currency.........  Settlement price, prior           M
                                     settlement price,
                                     settlement currency, and
                                     final settlement date.
Exchange Security Identifier......  Contract code issued by           O
                                     the exchange.
Redcode...........................  The code assigned to the          M
                                     CDS by Markit that
                                     identifies the referenced
                                     entity or the index,
                                     series and version.
                                     (Underlying instrument is
                                     required for Security
                                     Type = SWAPTION.).
Unique Product Identifier.........  A unique set of characters        O
                                     that represents a
                                     particular swap. The
                                     Commission will designate
                                     a UPI pursuant to
                                     Commission regulation 17
                                     CFR 45.7.
Security Type.....................  Indicator which identifies        M
                                     the derivative type.
Restructuring Type................  This field is used if the         M
                                     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 category          M
                                     for assessing risk
                                     exposure.
Asset Subclass....................  The subcategory                    C
                                     description of the asset
                                     class.
Asset Type........................  Provides a more specific           C
                                     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 associated        M
                                     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 rate         O
                                     used to determine the CDS
                                     price.
Position (Long)...................  Long position size. If a          M
                                     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. If a         M
                                     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 equivalent          M
                                     notional amount for each
                                     risk factor/reference
                                     entity CDS contract.
Accrued Coupon....................  Coupon obligation from the        M
                                     first day of the coupon
                                     period through the
                                     current clearing trade
                                     date.
Profit and Loss...................  Unrealized P&L or mark to         M
                                     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 the         C
                                     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 the         M
                                     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 (or Unique) Swap          Universal (or Unique) Swap        O
 Identifier.                         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 Indicator.........  Option type...............         C
Option Type.......................  Specifies the option type.         C
Option Start Date.................  The option adjusted start          C
                                     date.
Option Expiration Date--Adjusted..  The CDS option adjusted            C
                                     expiration date.
Underlying Exchange Security        The underlying contract           O
 Identifier.                         alias used by outside
                                     vendors to uniquely
                                     identify the contract.
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 Unique Product           A unique set of characters        O
 Identifier.                         that represents a
                                     particular swap. The
                                     Commission will designate
                                     a UPI pursuant to
                                     Commission regulation 17
                                     CFR 45.7.
Underlying Security Type..........  Indicator which identifies         C
                                     the underlying derivative
                                     type.
Underlying Restructuring Type.....  This field is used if the          C
                                     underlying index has been
                                     restructured due to a
                                     credit event.
Underlying Seniority Type.........  The underlying class of            C
                                     debt.
Underlying Maturity Date..........  The date on which the              C
                                     principal amount becomes
                                     due.
Underlying Asset Class............  The underlying 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 specific           C
                                     description of the asset
                                     subclass.
Underlying Reference Entity Type    Specifies the type of              C
 (Sector).                           underlying reference
                                     entity for first-to-
                                     default CDS basket
                                     contracts.
Underlying Coupon Rate............  The underlying coupon rate         C
                                     associated with this CDS
                                     transaction stated in
                                     basis points.
Underlying Security Description...  Textual description of a           C
                                     financial instrument.
Underlying Recovery Factor........  The assumed recovery rate          C
                                     used to determine the
                                     underlying CDS price.
DELTA.............................  Delta is the measure of           M
                                     how the option's value
                                     varies with changes in
                                     the underlying price.
GAMMA.............................  Gamma is the rate of              M
                                     change for delta with
                                     respect to the underlying
                                     asset's price.
RHO...............................  Rho measures the                  M
                                     sensitivity of an
                                     option's price to a
                                     variation in the risk-
                                     free interest rate.

[[Page 53691]]

 
THETA.............................  Theta is the rate at which        M
                                     an option loses value as
                                     time passes.
VEGA..............................  Vega is the measurement of        M
                                     an option's sensitivity
                                     to changes in the
                                     volatility of the
                                     underlying asset.
Option Premium....................  Premium registered on the          C
                                     given trading date. The
                                     amount of money that the
                                     options buyer must pay
                                     the options seller.
Option Premium Date...............  Date swaption premium is           C
                                     paid.
------------------------------------------------------------------------
               Foreign Exchange (Daily Position Reporting)
------------------------------------------------------------------------
Settle Date.......................  Settle date of the                M
                                     position.
Settlement Price/Fixing Currency..  Settlement price of the           M
                                     position.
Discount Factor...................  Discount factor for the           M
                                     position. Use the factor
                                     for the Mark to Market
                                     (MTM) currency.
Valuation Date....................  Valuation date of the             M
                                     position.
Delivery Date.....................  Delivery date of the              M
                                     position.
Clearing Security Identifier......  Code assigned by the DCO          M
                                     for a particular contract.
Unique Product Identifier.........  A unique set of characters        O
                                     that represents a
                                     particular swap. The
                                     Commission will designate
                                     a UPI pursuant to
                                     Commission regulation 17
                                     CFR 45.7.
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.
Maturity Date (Expiration)........  Specifies date of maturity         C
                                     (a calendar date). Used
                                     for FXFWD/FXNDF. For non-
                                     deliverable forwards
                                     (NDFs), this represents
                                     the fixing date of the
                                     contract.
Maturity Time (Expiration)........  The contract expiration            C
                                     time. (Used for FXFWD/
                                     FXNDF.).
Asset Class.......................  The broad asset category          M
                                     for assessing risk
                                     exposure.
Asset Subclass....................  The subcategory                    C
                                     description of the asset
                                     class.
Asset Type........................  Provides a more specific           C
                                     description of the asset
                                     subclass.
Valuation Method..................  Specifies the type of              C
                                     valuation method applied.
Security Description..............  Used to provide a textual          C
                                     description of a
                                     financial instrument.
Foreign Exchange Type.............  Identifies the type of FX         M
                                     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) The          C
                                     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 indicator...        M
Position--Long....................  Gross long position. An           M
                                     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. An          M
                                     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 one         M
 (DV01)--Long Currency.              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 one         M
 (DV01)--Short Currency.             basis point change (DV01)
                                     in the yield of the
                                     underlying security and
                                     that of the hedging
                                     vehicle.
Net Cash Flow.....................  Net cash flow recognized          M
                                     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 does        M
                                     not include the discount
                                     factor.
Price Alignment Interest..........  To minimize the impact of         M
                                     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.
Universal (or Unique) Swap          Universal (or Unique) Swap        M
 Identifier.                         Identifier (USI)
                                     namespace and USI. The
                                     USI namespace and the USI
                                     should be separated by a
                                     pipe ``[verbar]''
                                     character.
Option Put/Call Indicator.........  Option type...............         C
Strike Rate.......................  Option strike rate........         C
Option Exercise Style.............  Exercise style............         C
Option Cut Name...................  The code by which the              C
                                     expiry time is known in
                                     the market.
Underlying Settlement Price/Fixing  Settlement price for the           C
 Currency.                           position. (Underlying
                                     settlement is required
                                     for FXOPT, FXNDO.).
Underlying Exchange Security Code.  Security code issued by            C
                                     the exchange; e.g.,
                                     ticker symbol, the human
                                     recognizable trading
                                     identifier.
Underlying Clearing Security        Code assigned by the DCO           C
 Identifier.                         for the underlying
                                     contract.
Underlying Unique Product           A unique set of characters        O
 Identifier.                         that represents a
                                     particular swap. The
                                     Commission will designate
                                     a UPI pursuant to
                                     Commission regulation 17
                                     CFR 45.7.
Underlying Security Type..........  Indicator which identifies         C
                                     the underlying derivative.
Underlying Maturity Month Year....  Month and year of the              C
                                     maturity.
Underlying Maturity Date            For FXFWD/FXNDF, the date          C
 (Expiration).                       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).                              underlying instrument is
                                     traded.
Underlying Security Description...  Textual description of a           C
                                     financial instrument.
Option Long/Short Indicator.......  Indicates whether the              C
                                     option is short or long.
Option Expiration.................  Adjusted option expiration         C
                                     date.
Notional Long/Short...............  FX currency notional long         M
                                     or short.
Implied Volatility................  The implied volatility and         C
                                     quotation style for the
                                     contract, typically in
                                     natural log percent or
                                     index points.
DELTA.............................  Delta is the measure of           M
                                     how the option's value
                                     varies with changes in
                                     the underlying price.
GAMMA.............................  Gamma is the rate of              M
                                     change for delta with
                                     respect to the underlying
                                     asset's price.
RHO...............................  Rho measures the                  M
                                     sensitivity of an
                                     option's price to a
                                     variation in the risk-
                                     free interest rate.
THETA.............................  Theta is the rate at which        M
                                     an option loses value as
                                     time passes.
VEGA..............................  Vega is the measurement of        M
                                     an option's sensitivity
                                     to changes in the
                                     volatility of the
                                     underlying asset.
Option Premium MTM................  Premium mark to market,            C
                                     which includes the
                                     discount factor.
------------------------------------------------------------------------
             Interest Rate Swaps (Daily Position Reporting)
------------------------------------------------------------------------
Cleared Date......................  Date on which the trade           M
                                     was cleared at the DCO.

[[Page 53692]]

 
Position Status...................  Position status: active,          M
                                     or terminated. Terminated
                                     positions should only be
                                     reported on the day of
                                     termination.
DCO Pays Indicator................  Indicate which cash flow          M
                                     the DCO pays.
DCO Receives Indicator............  Indicate which cash flow          M
                                     the DCO receives.
Clearing Participant Pays           Indicate which cash flow          M
 Indicator.                          the clearing member pays.
Clearing Participant Receives       Indicate which cash flow          M
 Indicator.                          the clearing member
                                     receives.
Clearing Security Identifier......  Code assigned by the DCO          M
                                     for a particular contract.
Unique Product Identifier.........  A unique set of characters        O
                                     that represents a
                                     particular swap. The
                                     Commission will designate
                                     a UPI pursuant to
                                     Commission regulation 17
                                     CFR 45.7.
Security Type.....................  Registered commodity              M
                                     clearing identifier.
Asset Class.......................  The broad asset category          M
                                     for assessing risk
                                     exposure.
Asset Subclass....................  The subcategory                    C
                                     description of the asset
                                     class.
Asset Type........................  Provides a more specific           C
                                     description of the asset
                                     subclass.
Swap Class........................  The classification or type        M
                                     of swap.
Swap Subclass.....................  The sub-classification or          C
                                     notional schedule type of
                                     the swap.
Security Description..............  Used to provide a textual         M
                                     description of a
                                     financial instrument.
Leg Type..........................  Identifies if the leg is          M
                                     fixed or floating.
Leg Notional......................  Notional amount associated        M
                                     with leg.
Leg Notional Currency.............  Currency of the leg's             M
                                     notional amount.
Leg Start Date Adj Bus Day Conv...  If start date falls on a           C
                                     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 Conv  If the maturity date falls         C
                                     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 Calculation Period Adjusted     If a date defining the             C
 Business Day Convention.            calculation period falls
                                     on a holiday, this
                                     adjusts the actual dates
                                     based on the definition
                                     of the input.
Leg Calculation Frequency.........  Calculation frequency,            M
                                     also known as the
                                     compounding frequency for
                                     compounded swaps.
Leg First Reg Per Start Date......  If there is a beginning            C
                                     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 the           C
                                     month when the payment is
                                     made.
Leg Calc Per Adj Calendar.........  Regarding the calculation          C
                                     period, this specifies
                                     which dates are
                                     considered holidays.
Leg Daycount......................  Defines how interest is            C
                                     accrued/calculated.
Leg Comp Method...................  If payments are made on            C
                                     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 the            C
                                     beginning or end of the
                                     period.
Leg Payment Lag...................  Number of business days            C
                                     after payment due date on
                                     which the payment is
                                     actually made.
Leg Pay Adj Calendar..............  Regarding dates on which           C
                                     cash flow payments/
                                     receipts are scheduled,
                                     this specifies which
                                     dates are considered
                                     holidays.
Leg Reset Relative To.............  Specifies whether reset            C
                                     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 convention to         C
                                     apply to each reset date
                                     if the reset date falls
                                     on a holiday.
Leg Reset Frequency...............  Frequency at which resets          C
                                     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 Date Bus Day Conv......  Business day convention to         C
                                     apply to each fixing date
                                     if the fixing date falls
                                     on a holiday.
Leg Fixing Date Offset............  Specifies the fixing date          C
                                     relative to the reset
                                     date in terms of a
                                     business days offset.
Leg Fixing Day Type...............  The type of days to use to         C
                                     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 date,         C
                                     this specifies which
                                     dates are considered
                                     holidays.
Leg Fixed Rate or Amount..........  Only populate if Leg1 is           C
                                     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 leg,         C
                                     the tenor of the leg. For
                                     the fixed rate leg, NULL.
Leg Spread........................  Describes if there is a            C
                                     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 linear          C
                                     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 linear          C
 Tenor.                              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 linear          C
                                     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 Tenor.  Stub rate can be a linear          C
                                     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 amount         M
                                     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 from        M
                                     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 leg,         M
                                     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 in        M
                                     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 (DV01)  Change in value in USD if         M
                                     the relevant pricing
                                     curve is shifted up by 1
                                     basis point. DV01 =
                                     ``dollar'' value of a
                                     basis point in currency
                                     (not percentage) terms,
                                     the change in fair value
                                     of the leg, transaction,
                                     position, or portfolio
                                     (as appropriate)
                                     commensurate with a 1
                                     basis point (0.01
                                     percent) instantaneous,
                                     hypothetical increase in
                                     the related zero-coupon
                                     curves. DV01 may refer to
                                     non-dollar currencies and
                                     related curves. From the
                                     DCO's point of view:
                                     positive DV01 = profit/
                                     gain resulting from 1
                                     basis point increase,
                                     negative DV01 = loss
                                     resulting from 1 basis
                                     point increase.
Net Cash Flow.....................  Net cash flow recognized          M
                                     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.).

[[Page 53693]]

 
Net Present Value.................  Net present value (NPV) of        M
                                     all positions by currency.
Present Value of Other Payments...  Includes the present value        M
                                     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.
Net Present Value Previous........  Previous day's NPV by              C
                                     currency.
Price Alignment Interest..........  To minimize the impact of         M
                                     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.
Other Payments....................  Includes any upfront and/          C
                                     or final/settlement
                                     payments made/received
                                     for the trade date.
                                     (Indicate gross pay/
                                     collect amounts.).
Universal (or Unique) Swap          Universal (or Unique) Swap         C
 Identifier.                         Identifier (USI)
                                     namespace and USI. The
                                     USI namespace and the USI
                                     should be separated by a
                                     pipe ``[verbar]''
                                     character.
Leg Initial Exchange..............  Amount of any exchange of          C
                                     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 of          C
                                     cash flow at maturity of
                                     trade.
Leg Final Exchange Date...........  Date that the final                C
                                     exchange is set to occur.
Option Exercise Style.............  Exercise style............         C
Option Type.......................  Specifies the option type.         C
Option Start Date.................  The option adjusted start          C
                                     date.
Option Adjusted Expiration Date...  The IRS swaption adjusted          C
                                     expiration date.
Option Buy/Sell Indicator.........  Indicates the buyer or             C
                                     seller of a swap stream.
Underlying Clearing Security        Code assigned by the DCO           C
 Identifier.                         for the underlying
                                     contract.
Underlying Unique Product           A unique set of characters         C
 Identifier.                         that represents a
                                     particular swap. The
                                     Commission will designate
                                     a UPI pursuant to 17 CFR
                                     45.7.
Underlying Security Type..........  Indicator which identifies         C
                                     the underlying derivative.
Underlying Asset Class............  The underlying 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 specific           C
                                     description of the asset
                                     subclass.
Underlying Swap Class.............  The classification or type         C
                                     of swap.
Underlying Swap Subclass..........  The sub-classification or          C
                                     notional schedule type of
                                     the swap.
Underlying Security Description...  Textual description of a           C
                                     financial instrument.
Underlying Security Leg Type......  Identifies if the leg is           C
                                     fixed or floating.
Underlying Security Leg Notional..  Notional amount associated         C
                                     with leg.
Underlying Security Leg Currency..  Currency of this leg's             C
                                     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 leg,         C
 Tenor.                              the tenor of the leg. For
                                     the fixed rate leg, NULL.
Underlying Security Leg Fixed Rate  Only populate if Leg1 is           C
 Or Amount.                          type ``Fixed''. This
                                     should be in decimal form
                                     (e.g., 4% should be input
                                     as ``.04'').
Underlying Security Leg Spread....  Indicates whether there is         C
                                     a spread (typically an
                                     add-on) applied to the
                                     coupon rate.
DELTA.............................  Delta is the measure of           M
                                     how the option's value
                                     varies with changes in
                                     the underlying price.
GAMMA.............................  Gamma is the rate of              M
                                     change for delta with
                                     respect to the underlying
                                     asset's price.
RHO...............................  Rho measures the                  M
                                     sensitivity of an
                                     option's price to a
                                     variation in the risk-
                                     free interest rate.
THETA.............................  Theta is the rate at which        M
                                     an option loses value as
                                     time passes.
VEGA..............................  Vega is the measurement of        M
                                     an option's sensitivity
                                     to changes in the
                                     volatility of the
                                     underlying asset.
Option Premium....................  Premium registered on the          C
                                     given trading date. The
                                     amount of money that the
                                     options buyer must pay
                                     the options seller.
Option Premium Date...............  Date option premium is             C
                                     paid.
Trade Date........................  Date a transaction was            M
                                     originally executed,
                                     resulting in the
                                     generation of a new USI.
                                     For clearing swaps, the
                                     date when the DCO accepts
                                     the original swap.
Event Description.................  Description for each               C
                                     position record.
------------------------------------------------------------------------
           Forward Rate Agreements (Daily Position Reporting)
------------------------------------------------------------------------
Previous Business Date............  Previous business date....        M
Position Status...................  Position status: active or        M
                                     terminated. Terminated
                                     positions should only be
                                     reported on the day of
                                     termination.
DCO Pays Indicator................  Indicates which cash flow         M
                                     the DCO pays.
DCO Receives Indicator............  Indicates which cash flow         M
                                     the DCO receives.
Clearing Participant Pays           Indicates which cash flow         M
 Indicator.                          the clearing member pays.
Clearing Participant Receives       Indicates which cash flow         M
 Indicator.                          the clearing member
                                     receives.
Clearing Security Identifier......  Code assigned by the DCO          M
                                     for a particular contract.
Unique Product Identifier.........  A unique set of characters        O
                                     that represents a
                                     particular swap. The
                                     Commission will designate
                                     a UPI pursuant to 17 CFR
                                     45.7.
Security Type.....................  Registered commodity              M
                                     clearing identifier.
Asset Class.......................  The broad asset category          M
                                     for assessing risk
                                     exposure.
Asset Subclass....................  The subcategory                    C
                                     description of the asset
                                     class.
Asset Type........................  Provides a more specific           C
                                     description of the asset
                                     subclass.
FRA Type..........................  Type of swap stream.......        M
Notional Amount...................  Stream notional amount....        M
Notional Currency.................  Currency of leg notional          M
                                     amount.
Start Date........................  Date the position was             M
                                     established.
Maturity Date.....................  The date on which the             M
                                     principal amount becomes
                                     due.
Payment Day Count Convention......  Defines how interest is           M
                                     accrued/calculated.
Payment Accrual Days..............  Number of accrual days            M
                                     between the effective
                                     date and maturity date.
First Payment Date................  Date on which the payment          C
                                     is made. Always report
                                     the adjusted date.
Reset Date Bus Day Convention.....  Business day convention to        M
                                     apply to each fixing date
                                     if the fixing date falls
                                     on a holiday.
Reset Date Fixing Date............  Date on which the payment         M
                                     is fixed. Always report
                                     the adjusted date.
Fixed Rate........................  The fixed amount in               M
                                     decimal terms.
Float Index.......................  The index for the floating        M
                                     portion of the Forward
                                     Rate Agreement (FRA).
Float First Tenor.................  First tenor associated            M
                                     with the index.
Float Second Tenor................  Second tenor associated            C
                                     with the index.
Float Spread......................  In basis point terms......        M
Float Reference Rate..............  The fixed floating rate in        M
                                     decimal terms.
PV01..............................  Change in value in native         M
                                     currency if the relevant
                                     pricing curve is shifted
                                     up by 1 basis point.

[[Page 53694]]

 
Dollar Value of Basis Point (DV01)  Change in value in USD if         M
                                     the relevant pricing
                                     curve is shifted up by 1
                                     basis point. DV01 =
                                     ``dollar'' value of a
                                     basis point in currency
                                     (not percentage) terms,
                                     the change in fair value
                                     of the leg, transaction,
                                     position, or portfolio
                                     (as appropriate)
                                     commensurate with a 1
                                     basis point (0.01
                                     percent) instantaneous,
                                     hypothetical increase in
                                     the related zero-coupon
                                     curves. DV01 may refer to
                                     non-dollar currencies and
                                     related curves. From the
                                     DCO's point of view:
                                     positive DV01 = profit/
                                     gain resulting from 1
                                     basis point increase,
                                     negative DV01 = loss
                                     resulting from 1 basis
                                     point increase.
Net Present Value.................  Net present value (NPV) of        M
                                     all positions by currency.
Settlement FX Info................  Settlement price foreign          M
                                     exchange conversion rate.
Net Present Value Previous........  Previous day's NPV by             M
                                     currency.
Price Alignment Interest..........  To minimize the impact of         M
                                     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.
Universal (or Unique) Swap          Universal (or Unique) Swap         C
 Identifier.                         Identifier (USI)
                                     namespace and USI. The
                                     USI namespace and the USI
                                     should be separated by a
                                     pipe ``[verbar]''
                                     character.
Settlement Amount.................  The amount paid/received          M
                                     on the Payment Date.
                                     Always report adjusted
                                     date. (The position pays
                                     on a negative amount.).
Other Payments....................  Includes any upfront and/          C
                                     or final/settlement
                                     payments made/received
                                     for the trade date.
                                     (Indicate gross pay/
                                     collect amounts.).
Net Cash Flow.....................  Net cash flow recognized           C
                                     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 from         C
                                     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 value         C
                                     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 each        M
                                     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 trade           M
                                     was cleared at the DCO.
Position Status...................  Position's status: active         M
                                     or terminated. Terminated
                                     positions should only be
                                     reported on the day of
                                     termination.
DCO Pays Indicator................  Indicate which cash flow          M
                                     the DCO pays.
DCO Receives Indicator............  Indicate which cash flow          M
                                     the DCO receives.
Clearing Participant Pays           Indicate which cash flow          M
 Indicator.                          the clearing member pays.
Clearing Participant Receives       Indicate which cash flow          M
 Indicator.                          the clearing member
                                     receives.
Clearing Security Identifier......  Code assigned by the DCO          M
                                     for a particular contract.
Unique Product Identifier.........  A unique set of characters        O
                                     that represents a
                                     particular swap. The
                                     Commission will designate
                                     a UPI pursuant to 17 CFR
                                     45.7.
Security Type.....................  Registered commodity              M
                                     clearing identifier.
Asset Class.......................  The broad asset category          M
                                     for assessing risk
                                     exposure.
Asset Subclass....................  The subcategory                    C
                                     description of the asset
                                     class.
Asset Type........................  Provides a more specific           C
                                     description of the asset
                                     subclass.
Swap Class........................  The classification or type        M
                                     of swap.
Swap Subclass.....................  The sub-classification or          C
                                     notional schedule type of
                                     the swap.
Security Description..............  Used to provide a textual         M
                                     description of a
                                     financial instrument.
Leg Type..........................  Identifies if the leg is          M
                                     fixed or floating.
Leg Notional......................  Notional amount associated        M
                                     with leg.
Leg Notional Currency.............  Currency of the leg's             M
                                     notional amount.
Leg Start Date Adj Bus Day Conv...  If start date falls on a           C
                                     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 Conv  If the maturity date falls         C
                                     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 the           C
                                     month when the payment is
                                     made.
Leg Calc Per Adj Calendar.........  Regarding the calculation          C
                                     period, this specifies
                                     which dates are
                                     considered holidays.
Leg Stream Daycount...............  Defines how interest is           M
                                     accrued/calculated.
Payment Stream Comp Method........  If payments are made on            C
                                     one timeframe but
                                     calculations are made on
                                     a shorter timeframe, this
                                     describes how to compound
                                     interest.
Payment Stream Business Day Conv..  If cash flow pay or                C
                                     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 date          C
                                     when the payment date is
                                     relative to that date.
Payment Stream First Date.........  The unadjusted first               C
                                     payment date.
Payment Stream Last Regular Date..  The unadjusted last                C
                                     regular payment date.
Payment Leg Calendar..............  Regarding dates on which           C
                                     cash flow payments/
                                     receipts are scheduled,
                                     this specifies which
                                     dates are considered
                                     holidays.
Leg Reset Date Bus Day Conv.......  Business day convention to         C
                                     apply to each reset date
                                     if the reset date falls
                                     on a holiday.
Leg Reset Date Relative To........  Specifies the anchor date          C
                                     when reset date is
                                     relative to that date.
Leg Reset Frequency...............  Frequency at which resets          C
                                     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 date          C
                                     relative to the reset
                                     date in terms of a
                                     business days offset.
Leg Fixing Day Type...............  The type of days to use to         C
                                     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 convention to         C
                                     apply to each fixing date
                                     if the fixing date falls
                                     on a holiday.
Leg Fixing Date Calendar..........  Regarding the fixing date,         C
                                     this specifies which
                                     dates are considered
                                     holidays.
Fixed Leg Rate or Amount..........  Only populate if Leg1 is           C
                                     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 rate,           C
                                     this gives the index
                                     applicable to the
                                     floating rate.
Floating Leg Spread...............  Describes if there is a            C
                                     spread (typically an add-
                                     on) applied to the coupon
                                     rate.
Floating Leg Payment Inflation Lag  Number of business days            C
                                     after payment due date on
                                     which the payment is
                                     actually made.

[[Page 53695]]

 
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 level          C
 Initial Level.                      for the first calculation
                                     period.
Floating Leg Inflation Index        Indicates whether a               O
 Fallback Bond Ind.                  fallback bond as defined
                                     in the 2006 International
                                     Swaps and Derivatives
                                     Association (ISDA)
                                     Inflation Derivatives
                                     Definitions, sections 1.3
                                     and 1.8, is applicable or
                                     not. If not specified,
                                     the default value is
                                     ``Y'' (True/Yes).
Leg Pmt Sched Notional............  Variable notional swap             C
                                     notional values.
Leg Stub Type.....................  Stubs apply to initial or          C
                                     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 linear          C
 Index 1 Tenor.                      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 linear          C
 Index 2 Tenor.                      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 Index  Stub rate can be a linear          C
 1 Tenor.                            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 Index  Stub rate can be a linear          C
 2 Tenor.                            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 beginning            C
                                     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 from        M
                                     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 in        M
                                     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 leg,         M
                                     this indicates the
                                     current rate used to
                                     calculate the next
                                     floating leg coupon in
                                     decimal form (e.g., 4%
                                     should be input as
                                     ``.04'').
I01...............................  Change in value in native         M
                                     currency if the relevant
                                     pricing curve is shifted
                                     up by 1 basis point.
Dollar Value of Basis Point (DV01)  Change in value in native         M
                                     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 recognized          M
                                     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.................  Net present value (NPV) of        M
                                     all positions by currency.
Present Value Of Other Payments...  Includes the present value        M
                                     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.
Net Present Value Previous........  Previous day's NPV by              C
                                     currency.
Price Alignment Interest..........  To minimize the impact of         M
                                     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.
Universal or Unique) Swap           Universal (or Unique) Swap         C
 Identifier.                         Identifier (USI)
                                     namespace and USI. Enter
                                     the USI Namespace and the
                                     USI separated by a pipe
                                     ``[verbar]'' character..
Stream Initial Exchange...........  Amount of any exchange of          C
                                     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 of          C
                                     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 and/          C
                                     or final/settlement
                                     payments made/received
                                     for the trade date.
                                     (Indicate gross pay/
                                     collect amounts.).
Trade Date........................  Actual trade date for each        M
                                     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)
------------------------------------------------------------------------
Exchange Security Identifier......  Contract code issued by           M
                                     the exchange.
Clearing Security Identifier......  Code assigned by the DCO          M
                                     for a particular contract.
Product Type......................  Indicates the type of              C
                                     product the security is
                                     associated with.
Security Type.....................  Indicates type of security        M
Maturity Month Year...............  Month and year of the             M
                                     maturity.
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 category          M
                                     for assessing risk
                                     exposure.
Asset Subclass....................  The subcategory                    C
                                     description of the asset
                                     class.
Asset Type........................  Provides a more specific           C
                                     description of the asset
                                     subclass.
Security Description..............  Used to provide a textual         M
                                     description of a
                                     financial instrument.
Position (Long)...................  Long position size. If a          M
                                     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. If a         M
                                     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, prior           M
                                     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 Code  Underlying Contract code           C
                                     issued by the exchange.
Underlying Clearing Commodity Code  Registered commodity               C
                                     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..........  Indicator which identifies         C
                                     the underlying derivative.
Underlying Maturity Month Year....  Month and year of the              C
                                     maturity.
Underlying Maturity Date..........  The date on which the              C
                                     principal amount becomes
                                     due.
Underlying Asset Class............  The underlying broad asset         C
                                     category for assessing
                                     risk exposure.

[[Page 53696]]

 
Underlying Asset Subclass.........  The subcategory                    C
                                     description of the asset
                                     class.
Underlying Asset Type.............  Provides a more specific           C
                                     description of the asset
                                     subclass.
Underlying Settlement Price/        Settlement price, prior            C
 Currency.                           settlement price,
                                     settlement currency, and
                                     final settlement date.
------------------------------------------------------------------------
M = mandatory C = conditional O = optional.

C. Risk Metric Ladder Reporting

------------------------------------------------------------------------
            Field name                      Description            Use
------------------------------------------------------------------------
              Common Fields (Risk Metric Ladder Reporting)
------------------------------------------------------------------------
Total Message Count...............  The total number of               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 file        M
                                     is transmitted.
Report ID.........................  A unique identifier               M
                                     assigned by the CFTC to
                                     each clearing member
                                     report.
Report Date.......................  The business date of the          M
                                     information being
                                     reported.
Base Currency.....................  Base currency referenced          M
                                     throughout report;
                                     provide exchange rate
                                     against this currency.
Report Time (Message Create Time).  The report ``as of'' or           M
                                     information cut-off time.
Message Event.....................  The event source being            M
                                     reported.
Ladder Indicator..................  Indicator that identifies         M
                                     the type of risk metric
                                     ladder.
DCO Identifier....................  CFTC-assigned identifier          M
                                     for a DCO.
Clearing Participant Identifier...  DCO-assigned identifier           M
                                     for a particular clearing
                                     member.
Clearing Participant Name.........  The name of the clearing          M
                                     member.
Fund Segregation Type.............  Clearing fund segregation         M
                                     type.
Clearing Participant LEI..........  LEI for a particular              M
                                     clearing member.
Clearing Participant LEI Name.....  The LEI name associated           M
                                     with the clearing member
                                     LEI.
Customer Identifier...............  Proprietary identifier for         C
                                     a particular customer
                                     position account.
Customer Name.....................  The name associated with           C
                                     the customer position
                                     identifier.
Customer Account Type.............  Type of account used for           C
                                     reporting.
Customer LEI......................  LEI for a particular               C
                                     customer; provide if
                                     available.
Customer LEI Name.................  The LEI name associated            C
                                     with the customer
                                     position LEI.
Unique Margin Identifier..........  A single field that                C
                                     uniquely identifies the
                                     margin account. This
                                     field us used to identify
                                     associated positions.
------------------------------------------------------------------------
                     Delta Ladder (Daily Reporting)
------------------------------------------------------------------------
Currency..........................  ISO 4217 currency code....        M
FX Rate...........................  Rate used to convert the          M
                                     currency to USD.
Curve Name........................  Name of the reference             M
                                     curve.
Tenor.............................  Number of days from the           M
                                     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 the          M
                                     currency to USD.
Curve Name........................  Name of the reference             M
                                     curve.
Tenor.............................  Number of days from the           M
                                     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 the          M
                                     currency to USD.
Curve Name........................  Name of the reference             M
                                     curve.
Tenor.............................  Number of days from the           M
                                     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 file        M
                                     is transmitted.
Report ID.........................  A unique identifier               M
                                     assigned by the CFTC to
                                     each clearing member
                                     report.
Report Date.......................  The business date of the          M
                                     information being
                                     reported.
Base Currency.....................  Base currency referenced          M
                                     throughout report;
                                     provide exchange rate
                                     against this currency.
Report Time (Message Create Time).  The report ``as of'' or           M
                                     information cut-off time.
Message Event.....................  The event source being            M
                                     reported.
DCO Identifier....................  CFTC-assigned identifier          M
                                     for a DCO.
------------------------------------------------------------------------

[[Page 53697]]

 
                    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 years           M
                                     between the maturity date
                                     and reporting date.
Discount Factor...................  Value used to compute the         M
                                     present value of future
                                     cash flows values.
Zero Rate.........................  Averages of the one-period        M
                                     forward rates up to their
                                     maturity.
------------------------------------------------------------------------
M = mandatory C = conditional O = optional.

E. Backtesting Reporting

------------------------------------------------------------------------
            Field name                      Description            Use
------------------------------------------------------------------------
                  Common Fields (Backtesting 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 file        M
                                     is transmitted.
Report ID.........................  A unique identifier               M
                                     assigned by the CFTC to
                                     each clearing member
                                     report.
Report Date.......................  The business date of the          M
                                     information being
                                     reported.
Base Currency.....................  Base currency referenced          M
                                     throughout report;
                                     provide exchange rate
                                     against this currency.
Report Time (Message Create Time).  The report ``as of'' or           M
                                     information cut-off time.
Message Event.....................  The event source being            M
                                     reported.
Breach Indicator..................  Indicates the breach file.        M
DCO Identifier....................  CFTC-assigned identifier          M
                                     for a DCO.
Clearing Participant Identifier...  DCO-assigned identifier           M
                                     for a particular clearing
                                     member.
Clearing Participant Name.........  The name of the clearing          M
                                     member.
Fund Segregation Type.............  Clearing fund segregation         M
                                     type.
Clearing Participant LEI..........  LEI for a particular              M
                                     clearing member.
Clearing Participant LEI Name.....  The LEI name associated           M
                                     with the clearing member
                                     LEI.
Customer Identifier...............  Proprietary identifier for         C
                                     a particular customer
                                     position account.
Customer Name.....................  The name associated with           C
                                     the customer position
                                     identifier.
Customer Account Type.............  Type of account used for           C
                                     reporting.
Customer LEI......................  LEI for a particular               C
                                     customer; provide if
                                     available.
Customer LEI Name.................  The LEI name associated            C
                                     with the customer
                                     position LEI.
Unique Margin Identifier..........  A single field that                C
                                     uniquely identifies the
                                     margin account. This
                                     field us used to identify
                                     associated positions.
------------------------------------------------------------------------
                    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.
Backtesting Metric................  Indicates the type of             M
                                     profit and loss
                                     calculation used for
                                     backtesting:.
                                     VM--Variation
                                     Margin.
                                     STATIC--Static
                                     Portfolio P/L (Clean P/L).
                                     DIRTY--Dirty P/L.
                                     MTMA--Mark to
                                     Market P/L.
                                     MTMO--Mark to
                                     Model P/L.
                                     OTHER............
Backtesting Metric Amount.........  Amount on the positions           M
                                     for which Initial Margin
                                     is computed.
Breach Amount.....................  Difference between the            M
                                     Initial Margin and
                                     Backtesting Metric Amount.
Margin Period of Risk.............  Holding period for which          M
                                     the Backtesting Metric is
                                     calculated in days.
------------------------------------------------------------------------
                    Breach Summary (Daily Reporting)
------------------------------------------------------------------------
Total Instance....................  Total number of testing           M
                                     dates for the account.
Number of Breaches................  Total number of breaches          M
                                     in the testing period.
Test Range Start..................  Beginning date of the test        M
Test Range End....................  End date of the test......        M
------------------------------------------------------------------------
M = mandatory C = conditional O = optional.

F. Manifest Reporting

------------------------------------------------------------------------
            Field name                      Description            Use
------------------------------------------------------------------------
                           Manifest Reporting
------------------------------------------------------------------------
Total Message Count...............  The total number of               M
                                     reports included in the
                                     file.
FIXML Message Type................  FIXML account summary             M
                                     report type.

[[Page 53698]]

 
Sender ID.........................  The CFTC-issued DCO               M
                                     identifier.
To ID.............................  Indicate ``CFTC''.........        M
Message Transmit Datetime.........  The date and time the file        M
                                     is transmitted.
Filenames.........................  List of files to be sent..        M
------------------------------------------------------------------------
M = mandatory C = conditional O = optional.

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

0
11. 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
12. 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 July 31, 2023, by the Commission.
Christopher Kirkpatrick,
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 and Chairman's 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 considered a final rule addressing 
reporting and information requirements for derivatives clearing 
organizations (DCOs). As with the proposal, the final rule provides 
greater transparency, clarity, and certainty to our DCOs and market 
participants. It also streamlines how the Commission receives 
information necessary to carry out its supervisory role. By 
periodically updating our regulations, the agency can incorporate 
our experiences with the industry and market participants directly 
into our ruleset. We can also use these opportunities to respond to 
emerging technologies, issues, and risks with responsive and 
targeted regulation. This both creates efficiencies and a level 
playing field, and provides a forum to address ongoing compliance 
concerns on each of our respective sides through open dialogue.
    I fully support the final rule. Ensuring our regulations are 
operating as intended is paramount. DCOs play a critical role in 
U.S. derivatives markets. Any lapse in their duties or even the 
perception that compliance is nothing more than window dressing puts 
our markets and the larger financial system at risk, especially when 
it comes to entities that have been designated as systemically 
important by the Financial Stability Oversight Council known as 
``SIDCOs.''
    The majority of the proposed Part 39 amendments--with the 
exception of those addressing system safeguards--were considered 
today. Several amendments in the final rule, codify existing staff 
letters and Commission practices and interpretations with the goal 
of ensuring that DCOs understand their reporting obligations and the 
Commission receives the information it needs to perform its 
supervisory responsibilities in the most effective and least 
burdensome manner. For example, an amendment to Rule 39.19 will 
codify an existing staff letter \1\ providing for no-action relief 
by removing the requirement that a DCO report daily variation margin 
and cash flows by individual customer account. The final rule will 
also codify existing reporting fields for the daily reporting 
requirements in new appendix C to Part 39.\2\ Additional amendments 
will update information requirements associated with commingling 
customer funds and positions in futures and swaps in the same 
account.
---------------------------------------------------------------------------

    \1\ See CFTC Letter No. 21-01, Request for Temporary No-Action 
Relief from the Reporting Requirements in Commission Regulation 
39.19(c)(1) (Dec. 31, 2020), https://www.cftc.gov/csl/21-01/download; CFTC Letter no. 21-31, Extension of Temporary No-Action 
Relief from the Reporting Requirements in Commission Regulation 
39(c)(1) (Dec. 22, 2021), https://www.cftc.gov/csl/21-31/download; 
and CFTC Letter No. 22-20, Extension of No-Action letter Regarding 
Reporting Requirements in Commission Regulation 39.19(c)(1) (Dec. 
19, 2022), https://www.cftc.gov/csl/22-20/download.
    \2\ Commodity Futures Trading Commission Guidebook for Part 39 
Daily Reports, Version 1.0.1, Dec. 10, 2021 (Reporting Guidebook).
---------------------------------------------------------------------------

    Acknowledging that different risk profiles require more tailored 
consideration, the final rule will adopt specific obligations for 
fully collateralized positions which specify that certain 
requirements for risk management, daily reporting, and website 
publication do not apply to DCOs that clear fully collateralized 
positions. In addition, to ensure that the Commission maintains 
unfettered access to data, an amendment to Part 140 of the 
Commission rules will delegate to the Director of the Division of 
Clearing and Risk (DCR) existing authority to require a DCO to 
provide to the Commission the information specified in Rule 39.19 
and any other 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 must be submitted to 
the Commission.
    Given that what we do as regulators is as important as what we 
do not do, based on the concerns raised regarding the system 
safeguards proposals, the Commission did not vote on the adoption of 
any of the proposed amendments. This determination does not alter 
the current landscape or diminish Commission concerns regarding 
cyber resilience. However, significant and important concerns and 
meaningful alternatives raised by commenters require additional 
consideration and analysis. The Commission will continue to consider 
how best to address the issues targeted in the proposed rule while 
incorporating additional information gained through this rulemaking 
process and additional examination.

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

    Today, the Commission considers several amendments to Part 39 
regulations. In January of 2020, the Commission amended a number of 
the provisions in Part 39 to enhance certain risk management and 
reporting obligations and clarify the meaning of certain provisions 
including registration and reporting requirements.\1\ Last November, 
the Commission considered a proposed rulemaking seeking to further 
update certain Part 39 regulations to reflect developments in risk 
management. I support the Commission's consideration of these 
amendments designed to improve derivatives clearing organizations' 
(DCO) risk management practices and clarify reporting requirements 
set out in Part 39.
---------------------------------------------------------------------------

    \1\ Derivatives Clearing Organization General Provisions and 
Core Principles, 85 FR 4800 (Jan. 27, 2020), https://www.federalregister.gov/documents/2020/01/27/2020-01065/derivatives-clearing-organization-general-provisions-and-core-principles.
---------------------------------------------------------------------------

    The Dodd-Frank Wall Street Reform and Consumer Protection Act 
set out to implement reforms to mitigate systemic risk and promote 
transparency and stability.\2\ DCOs play a significant role in 
mitigating risk and facilitating stability in our markets by 
providing essential clearing and settlement market infrastructure. 
Clearinghouses enhance visibility, introduce and enforce uniform 
contractual obligations, and establish standards for critical risk 
management tools such as initial and variation margin. They 
facilitate dispute resolution among counterparties, ensure the 
maintenance of necessary liquidity reserves,

[[Page 53699]]

introduce important operating systems and cyber-risk management 
measures, and implement governance measures that mitigate conflicts 
of interest and monitor systems safeguards.\3\
---------------------------------------------------------------------------

    \2\ Dodd-Frank Wall Street Reform and Consumer Protection Act, 
Public Law 111-203, 124 Stat. 1376 (2010).
    \3\ Statement of Commissioner Kristin N. Johnson in Support of 
Notice of Proposed Amendments to Reporting and Information 
Requirements for Derivatives Clearing Organizations, Nov. 10, 2022, 
https://www.cftc.gov/PressRoom/SpeechesTestimony/johnsonstatement060723d.
---------------------------------------------------------------------------

    In light of the role of DCOs in our markets, we must provide a 
framework that not only supports market stability but is functional 
and can be practically integrated. The implementation of the 
proposed final amendments to existing regulations will address gaps 
in reporting data to the Commission.

Cyber Security

    We live in a digital age, and our dependence on technology, 
digital operational infrastructure systems, and software is 
increasingly undeniable. The security and integrity of cyber systems 
is important for the effective functioning of individual firms. 
Interconnectedness in financial markets creates the possibility that 
a cyber-threat that impacts certain actors in our markets may also 
impact the safety and soundness of counterparties or customers. In 
some instances, these cyber events will lead to more significant 
disruption, impeding clearing and settlement of transactions or 
impacting price discovery. Just a few months ago, ION, a significant 
service provider in global derivatives markets, experienced a 
cybersecurity event that triggered concerning effects across 
derivatives markets. The ION cybersecurity event underscores the 
importance of cyber security monitoring, prevention, and reporting.
    Under DCO Core Principle I, DCOs must ``establish and maintain a 
program of risk analysis and oversight to identify and minimize 
sources of operational risk through the development of appropriate 
controls and procedures . . . .'' \4\ In accord with this Core 
Principle, the Commission adopted Regulation 39.18(g) requiring DCOs 
to promptly notify the Division of Clearing and Risk (DCR) of any 
cyber security event or targeted threat that materially impairs, or 
creates a significant likelihood of material impairment of automated 
system operation, reliability, security, or capacity.\5\
---------------------------------------------------------------------------

    \4\ 7 U.S.C. 7a-1(c)(2)(I)(i).
    \5\ 17 CFR 39.18(g).
---------------------------------------------------------------------------

    In November of 2022, DCR proposed amendments to Regulation 
39.18(g), recommending improvements to certain cyber-event reporting 
requirements. The proposed amendment would have eliminated the 
materiality threshold, which would have required DCOs to report all 
such events regardless of magnitude.\6\ The amendment would have 
increased reporting of DCO cyber events and automated system 
impairments, including impairments concerning third-party provided 
services.
---------------------------------------------------------------------------

    \6\ Reporting and Information Requirements for Derivatives 
Clearing Organizations, 87 FR 76698, 76700 (Dec. 15, 2022), https://www.cftc.gov/sites/default/files/2022/12/2022-26849a.pdf.
---------------------------------------------------------------------------

    While I appreciate the Commission's careful response to public 
comments received regarding proposed amendments to Regulation 
39.18(g), it is important to balance thoughtful consideration of 
cyber regulation with the emergent need for action. Our markets 
cannot afford to wait for continued attacks or delayed action over a 
significant period of time. The potential disruption that may be 
created by cyber-events requires a timely response.
    As market participants integrate, adopt, and partner with 
significant technology firms and adopt software and technology that 
facilitates the technical operations for their businesses, it is 
imperative that our regulation focus on monitoring, reporting, 
transparency and the development of cyber recovery and resilience 
programs.
    Four months ago, the Market Risk Advisory Committee (MRAC) that 
I sponsor held a meeting in this room. The director of national 
cybersecurity at the White House's Office of the National Cyber 
Director and others joined a thoughtful dialogue focused on 
preventing or mitigating the threat of cyber events and cyber 
security threats. In addition to valuable dialogue during the MRAC 
meeting, my staff and I traveled to the White House executive 
offices to meet with the Office of the National Cyber Director. Our 
discussions and dialogue continue.
    DCR is correctly focused on refining and updating Regulation 
39.18(g). There is a clear need for immediate and careful study of 
the cyber-risk issues that present for DCOs. To this end, an MRAC 
subcommittee focused on technical and operational resilience will 
begin to examine several of the issues raised in the proposed 
amendment and comment letters. Hopefully, our collective efforts 
will enhance cyber resilience of the registrants in our markets as 
well as the critical third- and fourth-party service providers that 
registrants may depend on.

Segregation of Customer Funds

    DCO Core Principle F and requires DCOs to establish standards 
and procedures for protecting and ensuring the safety of clearing 
member and customer funds. In addition, Core Principle F requires 
DCOs to establish standards and procedures that are designed to 
protect and to 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. The 
DCO risk mitigation function is imperative for the segregation and 
safekeeping of clearing member and customer funds and assets.
    Today, DCR proposes amendments that seek to close a gap with 
respect to DCO regulations that govern segregation of customer 
assets.
    While there are robust regulations governing segregation of 
customer funds by futures commission merchants (FCMs),\7\ those same 
protections may not reach all DCO customers. In some instances, the 
divergence in our rules is based on the history and structure of the 
markets for certain assets and products. As innovative financial 
products and market structures proliferate, we must be mindful of 
the consequences of the lack of parallelism in our customer 
protection regulations.
---------------------------------------------------------------------------

    \7\ Section 4d(a)(2) of the CEA requires each FCM to segregate 
from its own assets all money, securities, and other property 
deposited by futures customers to margin, secure, or guarantee 
futures contracts and options on futures contracts traded on 
designated contract markets. 7 U.S.C. 6d(a)(2). In addition, Section 
4d(a)(2) requires an FCM to treat and deal with futures customer 
funds as belonging to the futures customer, and prohibits an FCM 
from using the funds deposited by a futures customer to margin or 
extend credit to any person other than the futures customer that 
deposited the funds. Id.
---------------------------------------------------------------------------

    I support the Commission's adoption of the proposed amendments 
that enhance customer protections, namely segregation of customer 
funds, treatment of customer funds, and the introduction of 
financial resource requirements for certain DCOs.

Liquidity Reserves

    The amendments today also include updates addressing liquidity-
related transparency. When market participants fail to manage 
liquidity risk effectively, enterprise risk management failures may 
occur and, depending on the size and significance of the market 
participants experiencing risk management failures, the effects may 
trigger disruption across global financial markets.
    The transparency amendments proposed today, enhance reporting 
requirements for credit and liquidity facilities. Specifically, 
Regulation 39.19(c)(4)(xv) will require DCOs to report within one 
business day after becoming 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. These 
amendments will improve the Commission's risk surveillance of DCOs 
and clearing members. Prudent risk management--the management of 
liquidity needs, in particular--is critical to DCO resilience. I 
support the amendments to enhance transparency. Each adds value to 
the Core Principles we uphold and our mandate to the protect 
customers and preserve the integrity of the financial markets that 
we regulate.
    I want to thank the staff of DCR--Eileen Donovan, August 
Imholtz, Gavin Young, and Parisa Nouri--for their diligent and 
thoughtful work on these amendments.

Appendix 4--Statement of Support of Commissioner Christy Goldsmith 
Romero

    Clearinghouses play an important public interest role--they are 
critical market infrastructure intended to foster financial 
stability, trust, and confidence in U.S. markets. Dodd-Frank Act 
reforms increased central clearing, thereby increasing financial 
stability. Those reforms also concentrated risk in clearinghouses. 
With that concentrated risk, it is critical that the Commission 
maintain vigilance in its oversight over clearinghouses to identify 
and monitor risk and promote financial stability. This is most 
important for the CFTC's monitoring of systemic risk.

[[Page 53700]]

    Clearinghouse reporting is a cornerstone to the Commission's 
oversight, including monitoring risk and promoting financial 
stability. I support this rule because it strengthens and improves 
certain clearinghouse reporting requirements.

Strengthening Reporting on Risk Characteristics of Unusual Products 
To Be Commingled Facilitates Effective Commission Oversight in 
Areas of Emerging Risk

    First, the final rule strengthens requirements for reporting the 
risk characteristics of products to be commingled that are unusual 
in relation to other products that the clearinghouse clears. A 
clearinghouse must obtain CFTC approval to commingle customer 
positions and associated funds of products that would otherwise be 
held in separate customer accounts.
    This rule facilitates effective Commission oversight, as 
clearinghouses will provide better information for the CFTC to 
evaluate a request to commingle customer positions across asset 
classes. This practice can be used to reduce margin requirements for 
customers with offsetting positions. Margin requirements are an 
important element of financial stability, so any reduction should be 
carefully considered.
    In addition to providing the CFTC an analysis of risk 
characteristics of the products to be commingled, this rule adds an 
analysis of any risk characteristics that are unusual in relation to 
the products that clearinghouse clears, as well as how it plans to 
manage any identified risk. This addition will help the Commission 
better understand the risks posed by the commingling arrangement.
    I also appreciate that the final rule incorporates the 
suggestion by a public interest group that the Commission go further 
and add that the analysis should specifically address the commingled 
products' margining, liquidity, default management, pricing, and 
volatility risks that are unusual in relation to those currently 
cleared by the clearinghouse. This is particularly important given 
that the derivatives industry is seeing a change with emerging 
products such as digital assets for example, that can carry emerging 
risk in each of these areas.

Expanding Reporting of Change of Control of the Clearinghouse

    I support the expansion of the rule requiring a clearinghouse to 
report any change to the entity or person that holds a controlling 
interest, either directly or indirectly, rather than the existing 
rule of reporting a change that would result in at least a 10 
percent change of ownership. The existing rule could mean that there 
would be no reporting when an entity increases its ownership stake 
in a clearinghouse from 45 percent to 51 percent. That would leave 
the Commission blind to important changes of control. This proposed 
rule would provide the CFTC with better understanding of the 
organizational structure of the clearinghouse, including control and 
ownership. This is a critical change.
    I read with interest the comment about changes to Regulation 
39.19(c)(4) during the last Administration regarding Commission 
approval when a clearinghouse seeks to transfer its registration and 
open interest in connection with a corporate change. While that is 
not the subject of this rule, I would be interested in learning more 
about the effects of those amendments and what is needed for the 
Commission to have greater control over a transfer of registration. 
This is an issue that arose when it became apparent that LedgerX 
would be sold in FTX's bankruptcy.

Strengthening the Enforceability of Reporting Fields

    Clearinghouses report information daily to the Commission such 
as initial margin, variation margin, cash flow, and position 
information for each clearing member, by house origin, and by each 
customer origin and customer account. Over time, the Commission has 
provided detailed instructions and technical specifications in the 
Reporting Guidebook. The whole purpose of the Reporting Guidebook 
was to ensure uniformity in clearinghouse reporting, as well as to 
ensure that the Commission received the right information for its 
surveillance and oversight of clearinghouses and the derivatives 
markets.
    I am pleased to support the Commission now requiring the 
reporting fields, rather than just serving as a guide, which will 
strengthen the enforceability of reporting fields and aid in 
clearinghouse accountability. First, the Reporting Guidebook 
contains some reporting fields that are only optional, not required, 
but that would help the Commission in its oversight. It is important 
to require these fields, removing a clearinghouse's option not to 
report them. Second, the types of clearinghouses registering with or 
applying to register with the Commission are changing. Recently, for 
example, we have seen digital asset companies registering or 
applying to register, some with no history of being regulated. It 
has become increasingly important that we have rules and 
regulations, rather than guides that can be ignored by new 
clearinghouses.
    However, I do agree with the comment from a public interest 
group that it is important for the Commission to be nimble, 
particularly in light of emerging products and emerging risk. I urge 
the staff to consider how we can both implement this new rule 
requiring the reporting fields, while also staying ahead of the risk 
curve in gathering the information needed or releasing additional 
guidance or rules.

Continuing Concerns Over Cyber and Other Incident Reporting

    When it comes to expanding the reporting of cyber incidents and 
other incidents, the final rule dropped proposed requirements for 
expanded Commission reporting. Let me start by saying that drafting 
new regulation is a process that works best with public input from 
the full range of interested parties. While I supported this 
requirement at the proposal stage, I also understand the importance 
of listening to commenters about the practical effect of our 
regulations.\1\
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    \1\ Commissioner Christy Goldsmith Romero, ``Statement of 
Commissioner Christy Goldsmith Romero on Proposed Rule on 
Cybersecurity Incident Reporting'' (Nov. 10, 2022), https://www.cftc.gov/PressRoom/SpeechesTestimony/romerostatement111022.
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    However, the concern that caused us to propose the rule still 
exists. The cyber threat is pervasive and increasing. In fact, since 
the Commission issued this proposal last November, cyber incidents 
have continued to threaten the derivatives markets. Notably, in 
January 2023, a third-party service provider, ION Markets, suffered 
a ransomware attack that disrupted trade processing at affected 
brokers.
    Early notification is key for the Commission's ability to 
protect markets, including working with registrants and all those 
affected to coordinate a response. The original proposal was based 
on CFTC staff finding a troubling lack of uniformity in how 
clearinghouses were reporting cyber incidents or incidents of other 
disruptions. As discussed in the open meeting on the proposed rule, 
there were 120 reports of an incident made in fiscal year 2022. 
Examination staff have learned of about perhaps as many incidents 
that they considered material where the CFTC should have been 
notified.\2\ They found that some clearinghouses did an excellent 
job of reporting, while others lagged way behind.\3\
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    \2\ See ``CFTC to Hold an Open Commission Meeting November 10'' 
at 1:15:00 (posted Nov. 15, 2022), https://youtu.be/hZn2Vv5uNRE.
    \3\ See Id.
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    The goal of the rule was to improve the uniformity of reporting 
incidents to the CFTC. While I appreciate the commenters' concerns 
about the consequences of removing the limitation that the incident 
be material, as well as other proposed changes, we still need to 
address the underlying problem in some way.
    Additionally, the proposal also clarified that incidents 
requiring notification were not just those caused by cyber 
attackers, but also those triggered by accidents or malfunctions. At 
the recent Technology Advisory Committee meeting, TAC member 
Professor Hilary Allen of American University Washington College of 
Law described how by some estimates, losses from accidental tech 
glitches exceed those from cyberattacks.\4\ I appreciate the 
discussion in the rule's preamble, which reminds clearinghouses that 
the existing notification requirements already cover many instances 
of operator error.
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    \4\ See CFTC Technology Advisory Committee (July 18, 2023) 
https://www.youtube.com/watch?v=8ro4Iu0N17I.
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    Ultimately, given the experiences of the CFTC staff, the 
Commission needs to find the right fix that improves notifications. 
I am pleased to see a commitment here to addressing this urgent need 
as cyber threats are the threats of our day. The Technology Advisory 
Committee's Cybersecurity Subcommittee is working on advising the 
Commission on how best to promote cyber resilience.
    I am thankful for the Commission's continued attention to this 
topic and I urge

[[Page 53701]]

the staff to continue engaging with commenters, financial 
regulators, and the public, and to then propose new requirements. In 
the interim, the Commission should also continue to work closely 
with clearinghouses to maintain two-way communication, and use our 
supervision and enforcement tools to ensure that we are staying on 
top of cyber and other incidents so that we can fulfill our 
responsibility in protecting markets.

Appendix 5--Statement of Support of Commissioner Caroline D. Pham

    I support the final rule on reporting and information 
requirements for derivatives clearing organizations (DCOs) (DCO 
Reporting Final Rule) because of its careful attention and response 
to public comments received. I would like to thank Clark Hutchison, 
Eileen Donovan, Parisa Nouri, August Imholtz, Gavin Young, Theodore 
Polley, and Elizabeth Arumilli of the Division of Clearing and Risk 
(DCR) for their work on the DCO Reporting Final Rule. I appreciate 
the staff addressing my concerns.
    The Commission has a great deal to be proud of with respect to 
its DCO registration and oversight regimes. Mandatory clearing for 
swaps was a pillar of the G20 reforms, and the U.S. was one of the 
first jurisdictions to adopt a clearing requirement pursuant to the 
directive.\1\ Since then, the CFTC has amended its rules to keep 
them up to date and ensure they reflect changes that take place in 
the industry.\2\
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    \1\ G20 Pittsburgh Summit (Sept. 24-25, 2009); Clearing 
Requirement Determination Under Section 2(h) of the CEA, 77 FR 74283 
(Dec. 13, 2012).
    \2\ Derivatives Clearing Organization General Provisions and 
Core Principles, 85 FR 4800 (Jan. 27, 2020).
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    I am pleased that the DCO Reporting Final Rule is appropriately 
responsive to industry concerns that the Commission's existing rules 
were unworkable.\3\ I continue to stress the need that the 
Commission evaluate its rules to ensure they are functioning as 
intended, and propose workable solutions to any operational or 
implementation challenges to enable firms to more effectively 
achieve compliance, particularly for technical issues that do not 
meaningfully impact our oversight or systemic risk concerns.
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    \3\ In January 2020, as part of updates to its DCO regulations, 
the CFTC amended the daily reporting requirements for DCOs to 
require, among other things, the reporting of margin and position 
information by each individual customer account. The Commission then 
learned of concerns about futures commission merchants' ability to 
provide this information to DCOs. As a result, CFTC staff issued a 
no-action letter extending the compliance date for this reporting 
requirement in order to resolve this issue. See CFTC Letter No. 21-
01, United States Commodity Futures Trading Commission (Dec. 31, 
2020), https://www.cftc.gov/csl/21-01/download; see also CFTC Letter 
No. 21-31, United States Commodity Futures Trading Commission (Dec. 
22, 2021), https://www.cftc.gov/csl/21-31/download; CFTC Letter No. 
22-20, United States Commodity Futures Trading Commission (Dec. 19, 
2022) (further extending the compliance date), https://www.cftc.gov/csl/22-20/download.
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    In this instance, Regulation 39.19(c)(1) required 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, by each customer origin, and by individual 
customer account.\4\ Since providing certain information by 
individual customer account was unworkable, the Commission proposed 
amending Regulation 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.\5\ In response to commenters, all of 
whom supported removing this part of the requirement, the Commission 
is removing the unfeasible part of the requirement.
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    \4\ 17 CFR 39.19(c)(1).
    \5\ Reporting and Information Requirements for Derivatives 
Clearing Organizations, 87 FR 76698 (Dec. 15, 2022).
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    There are other instances of the Commission responding to 
overwhelming support from commenters on unworkable proposals. These 
include significant amendments the Commission had proposed to the 
system safeguards rules for DCOs. To highlight one, Regulation 
39.18(g)(1) requires that a DCO promptly notify DCR staff 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.\6\
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    \6\ 17 CFR 39.18(g)(1).
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    The Commission had proposed amending Regulation 39.18(g)(1) to 
eliminate the materiality threshold, requiring DCOs to report all 
such events regardless of their magnitude.\7\ Eight out of nine 
commenters opposed this proposal, and took the time to detail the 
compliance issues the proposal created. Reasons included that DCOs 
would report events that do not impact the DCO; the requirement 
would divert attention and resources away from incidents that 
deserve greater focus and planning, with little corresponding 
benefit to the Commission; and the requirement would be inconsistent 
with other notification regimes, including similar Commission rules 
and reporting obligations to other agencies and authorities. In 
general, the commenters' position was that the CFTC underestimated 
the increase in reporting the amended rule would create.
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    \7\ See footnote 5, supra.
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    Speaking from personal experience, I think that if we had 
removed the materiality requirement, there would be a nonstop flood 
of notifications coming in to the staff because there are 
operational issues that occur all the time, many of which are 
insignificant and are resolved with de minimis impact. But 
nonetheless, without a materiality threshold then all such incidents 
would need to be reported promptly. So, I am pleased that we are 
taking the time to consider this aspect of the proposed rule 
further, particularly since there is ongoing work around the world 
on international standards, and the Fed and the Securities and 
Exchange Commission (SEC) are also both updating their incident 
reporting requirements. There is no doubt that the maintenance of 
strong incident reporting regimes is critical to CFTC oversight, but 
I also believe that it is important for the Commission to harmonize 
it's reporting regime with other similar regulatory approaches.
    The SEC's Reg SCI is most analogous to our DCO systems 
safeguards and systems incident reporting requirements.\8\ It was 
promulgated in 2014 after our system safeguard rules, and after a 
joint CFTC-SEC advisory committee examined the cause of the 2010 
flash crash, which showed the interconnectedness between the stock 
and futures markets and made recommendations for market structure 
reforms. Many firms operate DCOs that are either dually registered, 
or have affiliates that are registered as SEC clearing agencies, and 
have already implemented policies, procedures, and processes to 
comply with Reg SCI. Accordingly, it should be simpler and faster 
for them to apply the same SEC reporting framework to the DCOs if we 
are considering an update to our system safeguards requirements.
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    \8\ See generally Regulation Systems Compliance and Integrity, 
79 FR 72251 (Dec. 5, 2014) (codified at 17 CFR 240).
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    In looking at the preamble to the NPRM for Reg SCI, I note that 
it dates back to two policy statements by the SEC on ``Automated 
Systems for Self-Regulatory Organizations'' dated 1989 and 1991.\9\ 
And, these policy statements are based on SEC reports dating back to 
1986. Ultimately these policy statements established the initial 
framework for what would later become Reg SCI.
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    \9\ Automated Systems of Self-Regulatory Organizations, 54 FR 
48703 (Nov. 16, 1989); Automated Systems of Self-Regulatory 
Organizations, 56 FR 22490 (May 15, 1991).
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    Both the securities and futures markets experienced the same 
shift to electronic trading and reliance on automated systems in the 
wake of rapid technological advance, and given how these 
developments dominated the industry, I believe it is reasonable to 
infer that the contemporaneous use of the term ``automated systems'' 
in CFTC regulations would have similar meaning to the SEC's use of 
that term in the context of securities regulation.\10\ If the CFTC 
revisits these rules, I would be interested in learning more about 
the genesis of the DCO systems safeguards and reporting 
requirements, and reviewing the original CFTC rulemakings, to 
confirm whether that was the case.
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    \10\ Regulation Systems Compliance and Integrity, 79 FR 72251, 
72272 (codified at 17 CFR 240) (noting the definition of SCI systems 
to include ``all computer, network, electronic, technical, 
automated, or similar systems of, or operated by or on behalf of, an 
SCI entity that, with respect to securities, directly support 
trading, clearance and settlement, order routing, market data, 
market regulation, or market surveillance'').

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[[Page 53702]]

    Therefore, I think it would make sense to evaluate whether to 
adopt essentially the same definition for ``automated systems'' as 
the SEC definition of ``SCI systems'' because I think the intent and 
scope would be the same. In fact, the SEC explicitly acknowledged 
the similarities in the securities and U.S. commodities markets with 
respect to systems issues and incidents in its preamble to the final 
rule.\11\
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    \11\ See id. at 72256 (``Systems issues are not unique to the 
U.S. securities markets, with similar incidents occurring in the 
U.S. commodities markets as well as foreign markets.'').
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    Overall, this rule is an example of how good government works, 
and I am pleased to support it. Thank you.

[FR Doc. 2023-16591 Filed 8-7-23; 8:45 am]
BILLING CODE 6351-01-P