CFTC proposes amendment to cleared swap reporting
The Commodity Futures Trading Commission (CFTC) is proposing a change to regulations that relate to the reporting to a swaps data repository of swaps that are cleared by a derivatives clearing organisation (DCO), so as to better accommodate the multi-swap framework of these cleared swaps.
The Commodity Futures Trading Commission has proposed to amend Part 45 of its regulations insofar as they relate to the reporting to a swaps data repository of swaps that are cleared by a derivatives clearing organization (DCO). The proposed amendment is designed to better accommodate the multi-swap framework of such cleared swaps. Specifically, the CFTC has proposed to define the terms “original swap” and “clearing swap” as follows: (1) an original swap is a swap that has been accepted for clearing by a DCO; and (2) a clearing swap is a swap created by the DCO with the DCO as a counterparty. As proposed, original swaps would include swaps commonly referred to as “alpha” swaps, whereas clearing swaps would include swaps commonly referred to as “beta” and “gamma” swaps.

The proposed amendments would modify certain creation data (which includes primary economic terms (PET) and confirmation data) and continuation data reporting obligations. Swap execution facilities, designated contract markets and reporting counterparties would continue to report PET data for swaps intended to be submitted to a DCO, but would no longer report confirmation data for these swaps. DCOs would report PET and confirmation data for all clearing swaps. DCOs would also report all continuation data for original swaps and clearing swaps. Swap dealers and major swap participants would no longer be required to report daily valuation data for cleared swaps.

In addition, the proposed amendments would require DCOs to assign a unique swap identifier (USI) for all clearing swaps. DCOs must include, among other things, the USI for each clearing swap when reporting the termination of the corresponding original swap.

The CFTC’s proposing release is available here.

The CFTC’s related fact sheet is available here.