2017-25627. Margin Requirements for Uncleared Swaps for Swap Dealers and Major Swap Participants; Correction

AGENCY:

Commodity Futures Trading Commission.

ACTION:

Correcting amendments.

SUMMARY:

The Commodity Futures Trading Commission (CFTC or Commission) is correcting a final rule published in the Federal Register on January 6, 2016. The rule, concerning margin requirements for uncleared swaps for swap dealers and major swap participants, took effect on April 1, 2016. This correction rectifies errors in cross-references in a particular section of the final rule.

DATES:

Effective on November 28, 2017.

FOR FURTHER INFORMATION CONTACT:

Thomas Smith, Deputy Director, 202-418-5495, [e-mail], or Mark Bretscher, Attorney-Advisor, 312-596-0529, [e-mail], Division of Swap Dealer and Intermediary Oversight, Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st Street NW., Washington, DC 20581.

SUPPLEMENTARY INFORMATION:

In the Federal Register of January 6, 2016 (81 FR 636), the CFTC published final rules adopting new regulations to implement a particular provision of the Commodity Exchange Act (CEA), as added by the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act).^[1] This provision requires the Commission to adopt initial and variation margin requirements for certain swap dealers and major swap participants. In implementing the regulations, staff has discovered cross-reference errors in § 23.156 of the regulations. As published, 17 CFR 23.156(a)(3) includes erroneous cross-references to 17 CFR 23.156(a)(1)(iv). Instead, the cross-references should be to 17 CFR 23.156(a)(1)(v). Accordingly, the Commission is making a correcting amendment to 17 CFR 23.156(a)(3) that removes the erroneous cross-references to 17 CFR 23.156(a)(1)(iv) and replaces them with corrected cross-references to 17 CFR 23.156(a)(1)(v).

List of Subjects in 17 CFR Part 23

• Swaps
• Swap dealers
• Major swap participants
• Capital and margin requirements

Accordingly, 17 CFR part 23 is corrected by making the following correcting amendments:

PART 23—SWAP DEALERS AND MAJOR SWAP PARTICIPANTS

1. The authority citation for part 23 continues to read as follows:

Authority: 7 U.S.C. 1a, 2, 6, 6a, 6b, 6b-1, 6c, 6p, 6r, 6s, 6t, 9, 9a, 12, 12a, 13b, 13c, 16a, 18, 19, 21.

2. In § 23.156, revise paragraph (a)(3)(i)(B) to read as follows:

§ 23.156

Forms of margin.

(a) * * *

(3) * * *

(i) * * *

(B) The discounts set forth in the following table:

Standardized Haircut Schedule

Cash in same currency as swap obligation	0.0
Eligible government and related debt (e.g., central bank, multilateral development bank, GSE securities identified in paragraph (a)(1)(v) of this section): Residual maturity less than one-year	0.5
Eligible government and related debt (e.g., central bank, multilateral development bank, GSE securities identified in paragraph (a)(1)(v) of this section): Residual maturity between one and five years	2.0
Eligible government and related debt (e.g., central bank, multilateral development bank, GSE securities identified in paragraph (a)(1)(v) of this section): Residual maturity greater than five years	4.0
Eligible corporate debt (including eligible GSE debt securities not identified in paragraph (a)(1)(v) of this section): Residual maturity less than one-year	1.0
Eligible corporate debt (including eligible GSE debt securities not identified in paragraph (a)(1)(v) of this section): Residual maturity between one and five years	4.0
Eligible corporate debt (including eligible GSE debt securities not identified in paragraph (a)(1)(v) of this section): Residual maturity greater than five years	8.0
Equities included in S&P 500 or related index	15.0
Equities included in S&P 1500 Composite or related index but not S&P 500 or related index	25.0
Gold	15.0
Additional (additive) haircut on asset in which the currency of the swap obligation differs from that of the collateral asset	8.0

* * * * *

Issued in Washington, DC, on November 21, 2017, by the Commission.

Christopher J. Kirkpatrick,

Secretary of the Commission.

Note:

The following appendix will not appear in the Code of Federal Regulations.

Appendix to Margin Requirements for Uncleared Swaps for Swap Dealers and Major Swap Participants; Correction—Commission Voting Summary

On this matter, Chairman Giancarlo and Commissioners Quintenz and Behnam voted in the affirmative. No Commissioner voted in the negative.

Footnotes

1.  See Dodd-Frank Wall Street Reform and Consumer Protection Act, Public Law 111-203, 124 Stat. 1376 (2010).