CFTC Defined Terms

Term

Definition

Acronym

Citation

Affiliate

means a person that directly, or indirectly, Controls, is controlled by, or is under common control with, the Swap Data Repository.

49.2(a)

As Soon As Technologically Practicable

means as soon as possible, taking into consideration the prevalence, implementation, and use of technology by comparable market participants.

ASATP

49.2(a)

43.2(a)

Asset class

means a broad category of commodities including, without limitation, any “excluded commodity” as defined in section 1a(19) of the Act, with common characteristics underlying a swap. The asset classes include interest rate, foreign exchange, credit, equity, Other Commodity, and such other asset classes as may be determined by the Commission.

49.2(a)

43.2(a)

Data Validation Acceptance Message

means a notification that SDR Data satisfied the data validation procedures applied by a Swap Data Repository.

49.2(a)

Data Validation Error

means that a specific data element of SDR Data did not satisfy the data validation procedures applied by a Swap Data Repository.

49.2(a)

Data Validation Error Message

means a notification that SDR Data contained one or more data validation error(s).

49.2(a)

Data Validation Procedures

procedures established by a Swap Data Repository pursuant to § 49.10 to validate SDR Data reported to the Swap Data Repository.

49.2(a)

Foreign Regulator

means a foreign futures authority as defined in section 1a(26) of the Act, foreign financial supervisors, foreign central banks, foreign ministries, and other foreign authorities.

49.2(a)

Market Participant

means any person participating in the swap market, including, but not limited to, Designated Contract Markets, derivatives clearing organizations, swap execution facilities, swap dealers, major swap participants, and any other counterparty to a swap transaction.

49.2(a)

Open Swap 

means an executed swap transaction that has not reached maturity or expiration, and has not been fully exercised, closed out, or terminated.

49.2(a)

Position 

means the gross and net notional amounts of open swap transactions aggregated by one or more attributes, including, but not limited to, the:
(1) Underlying instrument;
(2) Index, or reference entity;
(3) Counterparty;
(4) Asset class;
(5) Long risk of the underlying instrument, index, or reference entity; and
(6) Short risk of the underlying instrument, index, or reference entity.

49.2(a)

Reporting Counterparty

means the counterparty required to report SDR Data pursuant to part 43, 45, or 46 of this chapter.

And means the party to a swap with the duty to report a Publicly Reportable Swap Transaction in accordance with this part and section 2(a)(13)(F) of the Act.

49.2(a)

43.2(a)

SDR Data

means the specific data elements and information required to be reported to a Swap Data Repository or disseminated by a Swap Data Repository pursuant to two or more of parts 43, 45, 46, and/or 49, as applicable in the context.

49.2(a)

SDR Information 

means any information that the Swap Data Repository receives or maintains related to the business of the Swap Data Repository that is not SDR data.

49.2(a)

Section 8 Material

means the business transactions, SDR data, or market positions of any person and trade secrets or names of customers.

49.2(a)

Swap Data 

means the specific data elements and information required to be reported to a Swap Data Repository pursuant to part 45 or made available to the Commission pursuant to this part, as applicable.

49.2(a)

Swap Transaction and Pricing Data

means the specific data elements and information required to be reported to a Swap Data Repository or Publicly Disseminated by a Swap Data Repository pursuant to part 43, as applicable.

49.2(a)

Local operating unit 

(relating to LEI)

means an entity authorized under the standards of the Global Legal Entity Identifier System to issue legal entity identifiers.

LOU

45.6(a)

Appropriate Minimum Block Size

means the minimum notional or principal amount for a category of swaps that qualifies a swap within such category as a block trade or large notional Off-Facility Swap.

43.2(a)

Block Trade 

means a Publicly Reportable Swap Transaction that:
(1) Involves a swap that is listed on a Swap Execution Facility or Designated Contract Market;
(2) Is executed on a Swap Execution Facility's trading system or platform that is not an order book as defined in § 37.3(a)(3) of this chapter, or occurs away from the Swap Execution Facility's or Designated Contract Market's trading system or platform and is executed pursuant to the Swap Execution Facility's or Designated Contract Market's rules and procedures;
(3) Has a notional or principal amount at or above the Appropriate Minimum Block Size applicable to such swap; and
(4) Is reported subject to the rules and procedures of the Swap Execution Facility or Designated Contract Market and the rules described in this part, including the appropriate time delay requirements set forth in § 43.5.

43.2(a)

Business Day 

means the twenty-four hour day, on all days except Saturdays, Sundays and legal holidays, in the location of the reporting party or registered entity reporting data for the swap.

43.2(a)

Business hours 

means the consecutive hours of one or more consecutive Business Days.

43.2(a)

Cap Size 

means, for each swap category, the maximum notional or principal amount of a Publicly Reportable Swap Transaction that is Publicly Disseminated.

43.2(a)

Economically Related 

means a direct or indirect reference to the same commodity at the same delivery location or locations, or with the same or a substantially similar cash market price series.

43.2(a)

Futures-Related Swap 

means a swap (as defined in section 1a(47) of the Act and as further defined by the Commission in implementing regulations) that is Economically Related to a futures contract.

43.2(a)

Large Notional Off-Facility Swap

means an Off-Facility Swap that has a notional or principal amount at or above the Appropriate Minimum Block Size applicable to such Publicly Reportable Swap Transaction and is not a Block Trade as defined in § 43.2.

43.2(a)

Major currencies 

means the currencies, and the cross-rates between the currencies, of Australia, Canada, Denmark, New Zealand, Norway, South Africa, South Korea, Sweden, and Switzerland.

43.2(a)

Mirror Swap 

means a swap:

To which—

A Prime Broker is a counterparty; or

Both counterparties are Prime Brokers;

That is executed contemporaneously with a corresponding Trigger Swap;

That has identical terms and pricing as the contemporaneously executed Trigger Swap, except:

That a mirror swap, but not the corresponding Trigger Swap, may include any associated Prime Brokerage service fees agreed to by the parties; and

As provided in paragraph (5) of this “mirror swap” definition;

With respect to which the sole price forming event is the occurrence of the contemporaneously executed Trigger Swap; and

The execution of which is contingent on, or is triggered by, the execution of the contemporaneously executed Trigger Swap. The contractually agreed payments and delivery amounts under a Mirror Swap may differ from those amounts of the corresponding Trigger Swap if:

Under all such mirror swaps to which the Prime Broker that is a counterparty to the Trigger Swap is also a counterparty, the aggregate contractually agreed payments and delivery amounts shall be equal to the aggregate of the contractually agreed payments and delivery amounts under the corresponding Trigger Swap; and

The market risk and contractually agreed payments and delivery amounts of all such mirror swaps to which a Prime Broker that is not a counterparty to the corresponding Trigger Swap is a party will offset each other, resulting in such Prime Broker having a flat market risk position at the execution of such mirror swaps.

43.2(a)

Non-Major currencies 

means all other currencies that are not Super-Major Currencies or Major currencies.

43.2(a)

Novation 

means the process by which a party to a swap legally transfers all or part of its rights, liabilities, duties, and obligations under the swap to a new legal party other than the counterparty to the swap under applicable law.

43.2(a)

Off-Facility Swap

 means any swap transaction that is not executed on or pursuant to the rules of a Swap Execution Facility or Designated Contract Market.

43.2(a)

Other Commodity 

means any commodity that is not categorized in the interest rate, credit, foreign exchange, equity, or other asset classes as may be determined by the Commission.

43.2(a)

Physical Commodity Swap 

means a swap in the Other Commodity asset class that is based on a tangible commodity.

43.2(a)

Post-Priced Swap 

means an Off-Facility Swap for which the price is not determined as of the time of execution.

43.2(a)

Pricing Event 

means the completion of the negotiation of the material economic terms and pricing of a Trigger Swap.

43.2(a)

Prime Broker 

means, with respect to a Mirror Swap and its related Trigger Swap, a swap dealer acting in the capacity of a Prime Broker with respect to such swaps.

43.2(a)

Prime Broker Swap 

means any swap to which a swap dealer acting in the capacity as Prime Broker is a party.

43.2(a)

Prime Brokerage Agency Arrangement 

means an arrangement pursuant to which a Prime Broker authorizes one of its Clients, acting as agent for such Prime Broker, to cause the execution of a Prime Broker Swap.

43.2(a)

Prime Brokerage Agent

 means a Client of a Prime Broker who causes the execution of one or more Prime Broker Swap(s) acting pursuant to a Prime Brokerage Agency Arrangement.

43.2(a)

Public Dissemination and Publicly Disseminate

means to make freely available and readily accessible to the public Swap Transaction and Pricing Data in a non-discriminatory manner, through the internet or other electronic data feed that is widely published. Such Public Dissemination shall be made in a consistent, usable, and machine-readable electronic format that allows the data to be downloaded, saved, and analyzed.

43.2(a)

Publicly Reportable Swap Transaction 

Publicly Reportable Swap Transaction means:

Unless otherwise provided in this part—

Any executed swap that is an arm's-length transaction between two parties that results in a corresponding change in the market risk position between the two parties; or

Any termination, assignment, Novation, exchange, transfer, amendment, conveyance, or extinguishing of rights or obligations of a swap that changes the pricing of the swap.

Examples of executed swaps that do not fall within the definition of publicly reportable swap may include:

Internal swaps between one-hundred percent owned subsidiaries of the same parent entity;

Swaps entered into by a derivatives clearing organization as part of managing the default of a clearing member.

These examples represent swaps that are not at arm's length and thus are not Publicly Reportable Swap Transactions, notwithstanding that they do result in a corresponding change in the market risk position between two parties.

43.2(a)

Reference Price 

means a floating price series (including derivatives contract prices and cash market prices or price indices) used by the parties to a swap or swaption to determine payments made, exchanged, or accrued under the terms of a swap contract.

43.2(a)

Super-Major Currencies 

means the currencies of the European Monetary Union, Japan, the United Kingdom, and United States.

43.2(a)

Swap Execution Facility 

means a trading system or platform that is a Swap Execution Facility as defined in CEA section 1a(50) and in § 1.3 of this chapter and that is registered with the Commission pursuant to CEA section 5h and part 37 of this chapter.

SEF

43.2(a)

Swap Transaction and Pricing Data

means all data elements for a swap in appendix A of part 43 that are required to be reported or Publicly Disseminated pursuant to this part.

43.2(a)

Swaps with Composite Reference Prices

means swaps based on Reference Prices that are composed of more than one Reference Price from more than one swap category.

43.2(a)

Trigger Swap 

means a swap:

That is executed pursuant to one or more Prime Brokerage Agency Arrangements;

To which one counterparty or both counterparties are Prime Brokers;

That serves as the contingency for, or triggers, the execution of one or more corresponding mirror swaps; and

That is a Publicly Reportable Swap Transaction that is required to be reported to a Swap Data Repository pursuant to this part and part 45 of this chapter. A Prime Broker Swap executed on or pursuant to the rules of a Swap Execution Facility or Designated Contract Market shall be treated as the Trigger Swap for purposes of this part.

43.2(a)

Emergency 

means any occurrence or circumstance that, in the opinion of the governing board of a registered entity, or a person or persons duly authorized to issue such an opinion on behalf of the governing board of a registered entity under circumstances and pursuant to procedures that are specified by rule, requires immediate action and threatens or may threaten such things as the fair and orderly trading in, or the liquidation of or delivery pursuant to, any agreements, contracts, swaps or transactions or the timely collection and payment of funds in connection with clearing and settlement by a derivatives clearing organization, including:
(1) Any manipulative or attempted manipulative activity;
(2) Any actual, attempted, or threatened corner, squeeze, congestion, or undue concentration of positions;
(3) Any circumstances which may materially affect the performance of agreements, contracts, swaps or transactions, including failure of the payment system or the bankruptcy or insolvency of any participant;
(4) Any action taken by any governmental body, or any other registered entity, board of trade, market or facility which may have a direct impact on trading or clearing and settlement; and
(5) Any other circumstance which may have a severe, adverse effect upon the functioning of a registered entity.

40.1(h)

Rule 

means any constitutional provision, article of incorporation, bylaw, Rule, regulation, resolution, interpretation, stated policy, advisory, terms and conditions, trading protocol, agreement or instrument corresponding thereto, including those that authorize a response or establish standards for responding to a specific Emergency, and any amendment or addition thereto or repeal thereof, made or issued by a registered entity or by the governing board thereof or any committee thereof, in whatever form adopted.

40.1(i)

Appropriate Domestic Regulator

means:
(i) The Securities and Exchange Commission;
(ii) Each prudential Regulator identified in Section 1a(39) of the Act with respect to requests related to any of such regulator's statutory authorities, without limitation to the activities listed for each Regulator in Section 1a(39);
(iii) The Financial Stability Oversight Council;
(iv) The Department of Justice;
(v) Any Federal Reserve Bank;
(vi) The Office of Financial Research; and
(vii) Any other person the Commission determines to be appropriate pursuant to the process set forth in paragraph (h) of this section.

49.17(b)(1)

Appropriate Foreign Regulator

 means those Foreign Regulators the Commission determines to be appropriate pursuant to the process set forth in paragraph (h) of this section.

49.17(b)(2)

Direct Electronic Access

means an electronic system, platform, framework, or other technology that provides internet-based or other form of access to real-time SDR Data that is acceptable to the Commission and also provides scheduled data transfers to Commission electronic systems.

49.17(b)(3)

Commission Access 

A Swap Data Repository shall provide access to the Commission for all SDR Data maintained by the Swap Data Repository pursuant to CFTC Rule 49.17(c).

49.17(c)

Board of Directors

means the Board of Directors of a Swap Data Repository, or for those Swap Data repositories whose organizational structure does not include a Board of Directors, a body performing a function similar to that of a Board of Directors.

BOD

49.22(a)

Controls

means the safeguards or countermeasures employed by the Swap Data Repository in order to protect the reliability, security, or capacity of its automated systems or the confidentiality, integrity, and availability of its SDR Data and SDR Information, and in order to enable the Swap Data Repository to fulfill its statutory and regulatory duties and responsibilities.

49.24(j)(1)

Enterprise Technology Risk Assessment 

means a written assessment that includes, but is not limited to, an analysis of threats and vulnerabilities in the context of mitigating Controls. An Enterprise Technology Risk Assessment identifies, estimates, and prioritizes risks to Swap Data Repository operations or assets, or to market participants, individuals, or other entities, resulting from impairment of the confidentiality, integrity, and availability of SDR Data and SDR Information or the reliability, security, or capacity of automated systems.

49.24(j)(1)

Designated Contract Market

mean a board of trade designated by the Commission as a contract market under the Act and in accordance with the provisions of part 38 of this chapter.

DCM

1.3

Swap Data Repository

means any person that collects and maintains information or records with respect to transactions or positions in, or the terms and conditions of, swaps entered into by third parties for the purpose of providing a centralized recordkeeping facility for swaps.

SDR

1.3