Swap Record

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Wednesday,

December 8, 2010

Part III

Commodity Futures Trading Commission

17 CFR Part 45

Swap Data Recordkeeping and Reporting Requirements; Proposed Rule

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76574 Federal Register / Vol. 75, No. 235/ Wednesday, December 8, 2010/ Proposed Rules

1Commission regulations referred to herein arefound at 17 CFR Ch. 1.

2See Dodd-Frank Wall Street Reform andConsumer Protection Act, Public Law 111–203, 124Stat. 1376 (2010). The text of the Dodd-Frank Actmay be accessed at http://www.cftc.gov./ LawRegulation/OTCDERIVATIVES/index.htm.

3Pursuant to Section 701 of the Dodd-Frank Act,Title VII may be cited as the ‘‘Wall StreetTransparency and Accountability Act of 2010. ’’

47 U.S.C. 1, et seq.5See also CEA § 1a(40)(E).6Regulations governing core principles and

registration requirements for, and the duties of,SDRs are the subject of a separate notice of proposed rulemaking under Part 49 of theCommission’s regulations.

COMMODITY FUTURES TRADINGCOMMISSION

17 CFR Part 45

RIN 3038–AD19

Swap Data Recordkeeping andReporting Requirements

AGENCY: Commodity Futures TradingCommission (CFTC).

ACTION: Proposed Rulemaking.

SUMMARY: The Commodity FuturesTrading Commission (‘‘Commission orCFTC’’) is proposing rules to implementnew statutory provisions enacted byTitle VII of the Dodd-Frank Wall StreetReform and Consumer Protection Act.These proposed rules apply to swapdata recordkeeping and reportingrequirements for swap data repositories,derivatives clearing organizations,designated contract markets, swap

execution facilities, swap dealers, majorswap participants, and swapcounterparties who are neither swapdealers nor major swap participants(including counterparties who qualifyfor the end user exception with respectto particular swaps).

DATES: Comments must be received onor before February 7, 2011.

ADDRESSES: You may submit comments,identified by RIN number 3038–AD19,

by any of the following methods:• Agency Web site, via its Comments

Online process: http:// comments.cftc.gov. Follow the

instructions for submitting commentsthrough the Web site.• Mail: David A. Stawick, Secretary of

the Commission, Commodity FuturesTrading Commission, Three LafayetteCentre, 1155 21st Street, NW.,Washington, DC 20581.• Hand Delivery/Courier: Same as

mail above.• Federal eRulemaking Portal: http://

www.regulations.gov. Follow theinstructions for submitting comments.

All comments must be submitted inEnglish, or must be accompanied by anEnglish translation. Contents will be

posted as received to http:// www.cftc.gov. You should submit onlyinformation that you wish to makeavailable publicly. If you wish theCommission to consider informationthat may be exempt from disclosureunder the Freedom of Information Act,a petition for confidential treatment of the exempt information may besubmitted according to the establishedprocedures in CFTC Regulation 145.9.1

FOR FURTHER INFORMATION CONTACT:David Taylor, Special Counsel, Divisionof Market Oversight, 202–418–5488,[email protected], or Irina Leonova,Financial Economist, Division of MarketOversight, 202–418–5646,[email protected]; Commodity FuturesTrading Commission, Three LafayetteCentre, 1155 21st Street, NW.,

Washington, DC 20851.SUPPLEMENTARY INFORMATION:

Table of Contents

Supplementary InformationI. Background

A. IntroductionB. Swap Data Provisions of the Dodd-Frank

ActC. International Developments Affecting

Swap Data Reporting• G–20 and FSB• Standard Setting for Repositories and

Data Reporting by IOSCO and CPSS• BIS• ODRF and ODSGD. Regulatory Needs for Swap DataE. Existing Trade RepositoriesF. Consultations With Other U.S. Financial

RegulatorsG. Consultations With International

RegulatorsData Reporting Approaches

II. Proposed New Regulations, Part 45A. Recordkeeping RequirementsB. Swap Data Reporting• Swap Creation Data• Swap Continuation DataC. Unique Identifiers• Need for Unique Identifiers• Unique Swap Identifiers• Unique Counterparty Identifiers• Unique Product IdentifiersD. Determination of Which Counterparty

Must ReportE. Third Party Facilitation of Swap Data

ReportingF. Reporting to a Single SDRG. Swap Data Reporting for Swaps in Asset

Classes Not Accepted by Any Swap DataRepository

H. Required Data StandardsReporting of Errors and Omissions in

Previously Reported DataIII. Related Matters

A. Regulatory Flexibility ActB. Paperwork Reduction ActCost-Benefit Analysis

Proposed Effective DataIV. General Solicitation of CommentsProposed Rules

§ 45.1 Definitions§ 45.2 Swap Recordkeeping§ 45.3 Swap Data Reporting§ 45.4 Unique Identifiers§ 45.5 Determination of Which

Counterparty Must Report§ 45.6 Third-Party Facilitation of Data

Reporting§ 45.7 Reporting to a Single SDR§ 45.8 Data Reporting for Swaps in a

Swap Asset Class Not Accepted by AnySDR

§ 45.9 Required Data Standards§ 45.10 Reporting of Errors and

Omissions in Previously Reported Data

Appendix 1 to Part 45—Tables of MinimumPrimary Economic Terms Data andMinimum Valuation Data

Appendix 2 to Part 45—Master ReferenceGeneric Data Fields List

I. Background

A. Introduction

On July 21, 2010, President Obama

signed into law the Dodd-Frank WallStreet Reform and Consumer ProtectionAct (‘‘Dodd-Frank Act’’).2 Title VII of theDodd-Frank Act 3 amended theCommodity Exchange Act (‘‘CEA’’ or‘‘Act’’) 4 to establish a comprehensivenew regulatory framework for swapsand security-based swaps. Thelegislation was enacted to reducesystemic risk, increase transparency,and promote market integrity within thefinancial system by, among other things:providing for the registration andcomprehensive regulation of swapdealers (‘‘SDs’’) and major swap

participants (‘‘MSPs

’’); imposing clearingand trade execution requirements on

standardized derivative products;creating rigorous recordkeeping anddata reporting regimes with respect toswaps, including real time reporting;and enhancing the Commission’srulemaking and enforcement authoritieswith respect to, among others, allregistered entities, intermediaries, andswap counterparties subject to theCommission’s oversight.

B. Swap Data Provisions of the Dodd-Frank Act

To enhance transparency, promote

standardization, and reduce systemicrisk, Section 728 of the Dodd-Frank Actestablishes a newly-created registeredentity—the swap data repository(‘‘SDR’’) 5—to collect and maintain datarelated to swap transactions asprescribed by the Commission, and tomake such data electronically availableto regulators.6

Section 728 directs the Commission toprescribe standards for swap datarecordkeeping and reporting.Specifically, Section 728 provides that:

The Commission shall prescribe standardsthat specify the data elements for each swap


http://www.cftc.gov./LawRegulation/OTCDERIVATIVES/index.htm


http://comments.cftc.gov/


http://www.regulations.gov/


http://www.cftc.gov/


mailto:[email protected]














76575Federal Register / Vol. 75, No. 235/ Wednesday, December 8, 2010/ Proposed Rules

7CEA § 21(b)(1)(A).

8CEA § 21(b)(1)(B).

9CEA § 1a(48).

10CEA § 21(b)(2).

11CEA § 21(b)(3).

12See CEA § 4r(a)(3).13CEA §4r(c)(2) requires individuals or entities

that enter into a swap transaction that is neithercleared nor accepted by an SDR to make required books and records open to inspection by anyrepresentative of the Commission; an appropriateprudential regulator; the Securities and ExchangeCommission; the Financial Stability OversightCouncil; and the Department of Justice.

14CEA §4r(c).15CEA §4r(d).16G–20 Leaders’ Statement, The Pittsburg

Summit, September 24–25, 2009.

17Financial Stability Board, Implementing OTC Derivatives Market Reforms: Report of the OTC Derivatives Working Group, October 20, 2010.

18 Id. at 1–2.

19Financial Stability Board, Implementing OTC Derivatives Market Reforms: Report of the OTC Derivatives Working Group, October 20, 2010, at 49.

20 IOSCO Technical Committee Task Force OnOTC Derivatives Regulation, Terms of Reference, at1–2.

21 Id.

that shall be collected and maintained byeach registered swap data repository.7 These standards are to apply to bothregistered entities and counterpartiesinvolved with swaps:

In carrying out [the duty to prescribe dataelement standards], the Commission shallprescribe consistent data element standardsapplicable to registered entities and reportingcounterparties.8

Section 727 of the Dodd-Frank Actrequires that each swap, either clearedor uncleared, shall be reported to aregistered SDR. That Section alsoamends Section 1(a) of the CEA to addthe definition of swap data repository:

The term ‘swap data repository’means any person that collects andmaintains information or records withrespect to transactions or positions in,or the terms and conditions of, swapsentered into by third parties for thepurpose of providing a centralizedrecordkeeping facility for swaps.9 Section 728 also directs the Commission

to regulate data collection andmaintenance by SDRs.

The Commission shall prescribe datacollection and data maintenance standardsfor swap data repositories.10 These standards are to be comparable tothose for clearing organizations.

The [data] standards prescribed by theCommission under this subsection shall becomparable to the data standards imposed bythe Commission on derivatives clearingorganizations in connection with theirclearing of swaps.11

Section 729 of the Dodd-Frank Actadded to the CEA new Section 4r, whichaddresses reporting and recordkeeping

requirements for uncleared swaps.Pursuant to this section, each swap notaccepted for clearing by any designatedclearing organization (‘‘DCO’’) must bereported to an SDR (or to theCommission if no repository will acceptthe swap).

Section 729 ensures that at least onecounterparty to a swap has an obligationto report data concerning that swap. Thedetermination of this reportingcounterparty depends on the status of the counterparties involved. If only onecounterparty is an SD, the SD isrequired to report the swap. If onecounterparty is an MSP, and the othercounterparty is neither an SD nor anMSP (‘‘non-SD/MSP counterparty’’), theMSP must report. Where thecounterparties have the same status—two SDs, two MSPs, or two non-SD–MSP counterparties—the counterparties

must select a counterparty to report theswap.12

In addition, Section 729 provides forreporting to the Commission of swapsneither cleared nor accepted by anySDR. Under this provision,counterparties to such swaps mustmaintain books and records pertainingto their swaps in the manner and for the

time required by the Commission, andmust make these books and recordsavailable for inspection by theCommission or other specifiedregulators if requested to do so.13 It alsorequires counterparties to such swaps toprovide reports concerning such swapsto the Commission upon its request, inthe form and manner specified by theCommission.14 Such reports must be ascomprehensive as the data required to

be collected by SDRs.15

C. International Developments Affecting Swap Data Reporting

An extensive amount of work has

been done in the area of over-the-counter (‘‘OTC’’) derivatives reporting,

both internationally and domestically.The Commission has reviewed andconsidered this work in preparing theseproposed regulations.

G–20 and FSB. In November 2008, asa response to the global economic crisis,the G–20 met in Washington. InSeptember 2009, G–20 Leaders agreed inPittsburgh to critical elements relatingto the reform of OTC oversight,including a provision that all ‘‘OTCderivatives contracts should be reportedto trade repositories.’’ 16

In October 2010, the Financial

Stability Board (‘‘FSB’’) published areport setting out 21 recommendationsaddressing implementation of G–20commitments concerningstandardization, central clearing,organized platform trading, andreporting to trade repositories (‘‘TRs’’).17 The report stated that regulatoryauthorities ‘‘must have full and timelyaccess to the data needed to carry outtheir respective mandates.’’ 18 It alsoprovided that:

Authorities with the legal mandate to setrequirements for the reporting of transactions

to trade repositories should consider therecommendations set out in the forthcomingreport of the FSB Data Gaps and SystemicLinkages Group, and consult with theCommittee on the Global Financial System(CGFS), the Bank for InternationalSettlements (BIS), the ODSG and ODRF, toidentify the data that should be reported totrade repositories to enable authorities tocarry out their respective tasks . * * *Further, as the data must be able to be readilyaggregated on a global basis, by end-2011CPSS and IOSCO, in consultation withauthorities, and with the ODRF, shoulddevelop both for market participantsreporting to trade repositories and for traderepositories reporting to the public and toregulators: (i) minimum data reportingrequirements and standardised formats, and(ii) the methodology and mechanism for theaggregation of data on a global basis.19

Standard-Setting for Repositories and Data Reporting by CPSS and IOSCO. Tofulfill the mandate from FSB notedabove, the Committee on Payment and

Settlement Systems (‘‘CPSS

’’), and theInternational Organization of Securities

Commissions (‘‘IOSCO’’), which isrecognized as the international standardsetting body for securities markets, haveformed an OTC Derivatives RegulationTask Force (‘‘Task Force’’). One purposeof the Task Force is ‘‘to take a leadingrole in coordinating securities andfutures regulators’ efforts to worktogether in the development of supervisory and oversight structuresrelated to derivatives markets,’’ and ‘‘tocoordinate other international initiativesrelating to OTC derivativesregulation.’’ 20 Regarding data reporting,the Task Force will produce a datareport, scheduled for release in July2011, which:

sets out, both for market participantsreporting to trade repositories and for traderepositories reporting to the public and toregulators for the purpose of macro- andmicro-surveillance: (1) Minimum datareporting requirements and standardisedformats; and (2) the methodology andmechanism for the aggregation of data on aglobal basis.21

The Commission serves as a Co-Chair of the Task Force, and will participate indrafting its data report.

In May 2010, the IOSCO TechnicalCommittee and CPSS issued aconsultative report, Considerations for Trade Repositories in OTC DerivativesMarkets (‘‘CPSS–IOSCO Considerations

for Trade Repositories’’), that identified





22Committee on Payment and SettlementSystems, and Technical Committee of theInternational Organization of SecuritiesCommissions, Considerations for TradeRepositories in OTC Derivatives Markets:Consultative Report, May 2010.

23 Id. at 11.

24As the ODRF itself states, ‘‘the Forum is not alegal entity in its own right with its own separateand independent authority, nor is it a standardsetting body.’’ Rather, the ODRF ‘‘provides mutualassistance among the [regulatory] Authorities incarrying out their respective responsibilities with

respect to OTC derivatives CCPs and TRs. In doingso, the Forum acts without prejudice to eachAuthority’s statutory duties, and to national andotherwise applicable laws.’’ While the ODRF seeksto promote consistent standards, ‘‘This does notmean that the Forum will develop its ownstandards or provide guidance interpretingstandards, but rather, the Forum supports theapplication and implementation of standards set byother bodies in the international regulatorycommunity.’’ OTC Derivatives Regulators’ Forum,Scope and Relationship with International Bodies,March 23, 2010, at 1.

25ODRF, Outline of Trade Repository Functionality Being Sought by Members of the OTC Derivatives Regulators’ Forum (version 2), August27, 2010.

twelve factors for consideration by traderepositories and relevant authorities indeveloping more robust datarecordkeeping and reportingarrangements for derivatives.22 Regarding data reporting andrecordkeeping, the report emphasizesthat:

[A] trade repository should promptlyrecord the trade information it receives fromits participants. To ensure the accuracy andcurrency of data, a trade repository shouldemploy timely and efficient record keepingprocedures to document changes to recordedtrade information resulting from subsequentpost-trade events. Ideally, a trade repositoryshould record to its central registry tradeinformation it receives from its participantsin real-time, and at a minimum, within one

business day.23 BIS. The Bank for International

Settlements (‘‘BIS’’) is an internationalorganization that fosters internationalmonetary and financial cooperation andserves as a bank for central banks. It is

the parent organization of CPSS, whichis a BIS standing committee. BIS’sCoordination Group, a senior group of supervisory standard setters comprisedof the Chairmen and Secretaries of BIS,IOSCO, and the InternationalAssociation of Insurance Supervisors,meets twice annually to allowsupervisory standard settingorganizations to exchange views onpriorities and key issues. BIS alsopublishes statistics on global banking,securities, foreign exchange andderivatives markets. Its Semiannual Over-the-Counter (OTC) Derivatives

Markets Statistics Report is designed toobtain comprehensive andinternationally consistent informationon the size and structure of majorderivatives markets, includinginformation on swaps and options of foreign exchange, interest rate, equityand commodity derivatives. Every threeyears, this semiannual survey is part of a world-wide exercise concerningactivity on derivatives markets. Forthese reasons, BIS’s expertise is relevantto data recordkeeping and reporting forderivatives.

ODRF and ODSG. The OTC

Derivative’s Regulators’ Forum(‘‘ODRF’’) brings together representativesfrom central banks, prudentialsupervisors, securities regulators andmarket regulators to discuss issues of common interest, regarding centralclearing parties (‘‘CCPs’’) and TRs for

OTC derivatives.24 As part of its supportfor application and implementation of standards, the ODRF has developed anoutline of trade repository functionalitythat is desired by its members.25 Theoutline is designed to document traderepository attributes that will supportthe market transparency and dataavailability objectives set out in the

CPSS–IOSCO Considerations for TradeRepositories. The outline addressestypes, coverage, quality, and frequencyof TR data, as well as access to TR dataand desirable data elements. Whendiscussing the frequency of datareporting to trade repositories, theoutline suggests that transaction data intrade repositories should be updated atleast once per day, such that alltransaction records can be consideredreliable as of the previous day. The OTCDerivatives Supervisors Group (‘‘ODSG’’)

brings together the prudentialsupervisors of the major OTC

derivatives dealers for coordinationamong them concerning major industryinitiatives in the OTC derivativesmarket. The ODSG has workedcooperatively with major industryparticipants concerning establishmentof trade repositories for several OTCderivatives asset classes.

D. Regulatory Needs for Swap Data

The various parts of the U.S. financialsector are regulated by several agenciesand institutions: the CommodityFutures Trading Commission (‘‘CFTC’’),Office of the Comptroller of theCurrency (‘‘OCC’’), Federal Deposit

Insurance Corporation (‘‘FDIC’’), FederalReserve Board of Governors (‘‘FRB’’),National Credit Union Administration(‘‘NCUA’’), and Securities and ExchangeCommission (‘‘SEC’’).

The CFTC’s mission is to protectmarket users and the public from fraud,manipulation, and abusive practicesrelated to the sale of commodity and

financial futures and options, and tofoster open, competitive, and financiallysound futures and option markets. TheOCC’s primary mission is to charter,regulate, and supervise all national

banks. The OCC supervises the Federal branches and agencies of foreign banks.The OCC’s goal in supervising banks isto ensure that they operate in a safe and

sound manner and in compliance withlaws requiring fair treatment of theircustomers and fair access to credit andfinancial products. The FDIC is anindependent agency created by theCongress to maintain stability andpublic confidence in the nation’sfinancial system by: Insuring deposits,examining and supervising financialinstitutions for safety and soundnessand consumer protection, and managingreceiverships. The Federal Reserve’sduties fall into four general areas:Conducting the nation’s monetarypolicy by influencing the monetary and

credit conditions in the economy inpursuit of maximum employment,stable prices, and moderate long-terminterest rates; supervising and regulating

banking institutions to ensure the safetyand soundness of the nation’s bankingand financial system and to protect thecredit rights of consumers; maintainingthe stability of the financial system andcontaining systemic risk that may arisein financial markets; providing financialservices to depository institutions, theU.S. government, and foreign officialinstitutions, including playing a majorrole in operating the nation’s payments

system. The NCUA is the independentFederal agency that charters andsupervises Federal credit unions. Themission of the SEC is to protectinvestors, maintain fair, orderly, andefficient markets, and facilitate capitalformation.

According to their regulatorymandates, the various U.S. financialregulators need different types of financial information to fulfill theirmissions. Systemic risk regulators,among other things, need data that willenable them to monitor gross and netcounterparty exposures, whereverpossible, not only on notional volumesfor each contract but also market values,exposures before collateral, andexposure values net of collateral with afull counterparty breakdown. Such datawould allow for the calculation of measures that capture counterparty riskconcentrations both for individual riskcategories as well as the overall market.Market regulators need data that enablesthem to promote marketcompetitiveness and efficiency, protectmarket participants against fraud,manipulation, and abusive trading





26Financial Stability Board, Implementing OTC Derivatives Market Reforms: Report of the OTC Derivatives Working Group, October 20, 2010, at 47.

27 Id. at 48.28 Id.

29For currency swaps involving foreign exchange(sometimes called FX swaps), DTCC also providescentral, automated settlement of payments forcontracts processed through the Warehouse’sCentral Settlement Service, in partnership with CLSBank International.

practices, enforce aggregate speculativeposition limits as adopted, and ensurethe financial integrity of the clearingprocess.

International financial regulators havesimilarly varied data needs. As noted inFSB’s Report on Implementing OTC Derivative Market Reforms:

The breadth and depth of informationneeded by authorities varies according totheir respective mandates and may continueto evolve over time. Such mandates andobjectives include, (i) assessing systemic riskand financial stability; (ii) conducting marketsurveillance and enforcement; (iii)supervising market participants; and (iv)conducting resolution activities.26

When expanding on the level of datathat must be collected to satisfy theseregulatory functions, the Reportaddresses both transaction level dataand portfolio level data. Regardingtransaction level data, the Report says:

Authorities must be able to retrievetransaction event (flow) data at different

levels of granularity, from aggregate statisticsto transaction level information. TRs mustcollect and maintain data at a high level of details. Transaction event data must preserveinformation on the original terms of thetransaction that is complete as practical andpossible, and includes, for example,preserving the underlying reference, tradingcounterparties, price, and the time and dateof the original transactions.27

Regarding portfolio level data, theReport states that:

TRs should collect data to enablemonitoring of gross and net counterpartyexposures where possible, not only onnotional volumes for each contract but also

market values, exposures before collateral,and exposure value net of collateral with afull counterparty breakdown. This wouldallow for the calculation of measures thatcapture counterparty risk concentration bothfor individual risk categories as well as theoverall market.28

E. Existing Trade Repositories

Currently there are global traderepositories for credit, interest rate, andequity derivatives, in various stages of maturity and development.

Credit Swaps Repository. The oldestand most fully developed of the threeexisting trade repositories is the current

repository for credit swaps, theDepository Trust & ClearingCorporation’s (‘‘DTCC’s’’) TradeInformation Warehouse (‘‘DTCCWarehouse’’ or ‘‘Warehouse’’). It isoperated by a DTCC subsidiary, TheWarehouse Trust Company, LLC, whichis registered as a bank and regulated as

a member of the U.S. Federal ReserveSystem, and as a limited purpose trustcompany by the New York StateBanking Department. All G–14 dealers

began submitting credit swap data toDTCC Warehouse in 2009, after theycommitted to reporting all credit swaptrades to a repository.

In addition to receiving and

maintaining swap data, the Warehouseis substantially focused on providing anumber of other services to swapcounterparties. It calculates paymentson all confirmed CDS contracts andcreates real-time bilateral nets for eachcurrency.29 The Warehouse supportstrade processing associated with eventsof default, such as bankruptcy, failure topay and restructuring that may triggerpay-outs for the buyer of the creditprotection for the underlying referenceentity of the credit derivative. Itsautomated event processing includescoupon payment recalculations, and

calculation of credit event recovery andrebate amounts based on auction results,automated exit of the transactions forsingle-named trades exhausted by thecredit event, factor adjustment and re-versioning to new identification foraffected index transactions.

Interest Rate Swaps Repository. In January 2010, TriOptima launched theGlobal OTC Derivatives Interest RateTrade Reporting Repository (‘‘TriOptimaInterest Rate Repository’’ or ‘‘TriOptimaIRTRR’’), after being selected by theRates Steering Committee of theInternational Swaps and DerivativesAssociation (‘‘ISDA’’) to provide a trade

repository to collect information ontrades in the interest rate derivativesmarket. The TriOptima IRTRR isregulated by the Swedish FinancialSupervisory Authority. TriOptima isalso a provider of post-trade services forOTC derivatives, including portfolioreconciliation and compression.

Equity Swaps Repository. The newestexisting trade repository is DTCC’sEquity Derivatives Reporting Repository(‘‘EDRR’’), launched on August 5, 2010.EDRR is designed to hold key positiondata, including product types, notionalvalue, open trade positions, maturity

and currency denomination fortransactions, and counterparty typeindicators. Equity derivatives that EDRRplans to support initially include equityswaps, dividend swaps, variance swaps,portfolio swaps, and swaptions, amongother categories. DTCC’s MarkitSERVsubsidiary will provide operational

support, including accountmanagement, client sign-up andcustomer service, and other productmanagement services. DerivativesRepository Ltd., the legal company thatruns the EDRR service, is regulated bythe United Kingdom Financial ServicesAuthority (‘‘UK FSA’’).

Existing Repository Data Access.Access to data in the existingrepositories requires a Memorandum of Understanding between the primaryregulator of a repository and anycompetent financial regulatory authoritythat requires the data for regulatorypurposes.

F. Consultations With Other U.S.Financial Regulators

In developing the swap datarecordkeeping and reporting rule,Commission staff has engaged inextensive consultations with U.S.domestic financial regulators. Theagencies and institutions consultedinclude the Federal Reserve Board of Governors (including the FederalReserve Bank of New York), FederalDeposit Insurance Corporation, Office of the Comptroller of Currency, Securitiesand Exchange Commission, and theDepartment of the Treasury.Commission staff welcomes and willcontinue consultations with these andother U.S. agencies and institutionswhile working on the final version of the rule.

G. Consultations With International

Financial RegulatorsIn developing the swap data

recordkeeping and reporting rule,Commission staff has had extensiveconsultations with numerousinternational financial regulators andorganizations. The internationalorganizations and institutions consultedhave included the EuropeanCommission (‘‘EC’’), European CentralBank (‘‘ECB’’), Committee of EuropeanSecurities Regulators (‘‘CESR’’), FSBData Gaps and Systemic Linkages Group(‘‘DGSLG’’), UK FSA, and financialregulators from India, Brazil, and

Canada, as well as IOSCO and theODRF. Commission staff welcomes andwill continue consultations with theseand other international agencies,institutions and organizations whileworking on the final version of the rule.

H. Data Reporting Approaches

Two Conceptual Approaches to SwapData Reporting. Conceptually, there aretwo distinct approaches to swap datareporting. One is commonly referred toas a life-cycle or event flow approach,





30European Commission Staff Working Paper Accompanying the Commission Communication‘‘Ensuring Efficient, Safe and Sound DerivativesMarkets (SEC 2009) 905 final, 3 July2009).

31Depository Trust & Clearing Corporation,Response by The Depository Trust & Clearing Corporation to the CPSS–IOSCO ConsultativeReport, June 22, 2010, at 8.

32See TriOptima Letter to the CommodityFutures Trading Commission, October 26, 2010.

and the other is a state or snapshotapproach.

The life cycle approach is focused onmanaging the flow of an informationsystem’s data throughout the life cycleof the flow from creation and initialstorage to the time when it becomesobsolete. Sometimes called an eventflow approach, the life cycle method

records the details of a swap at itsinception, and thereafter recordsindividual events that affect the terms of the swap, when they occur. Systems

based on the life-cycle data reportingapproach typically are based on, orinterrelated with, operationalinfrastructure for other functions, suchas central credit event processing, legalrecordkeeping, settlement services, etc.

The state or snapshot approach is based on a report of all of the primaryeconomic terms of a swap at itsinception, followed by a daily update of the current state of the swap whichincorporates all the changes that havehappened to the swap since theprevious snapshot. This approach alsomaintains daily synchronization andreconciliation of the data in a repositorywith the data of the reporting swapcounterparty. Unlike the life cycleapproach, the state or snapshotapproach does not require specifyingand prescribing the various events thatrequire updating of data in a repository.

While both approaches are viablemethods of data collection, one can bemore efficient than the other in differentassets classes, due to differences

between asset classes in terms of market

structure and market processes. While alife-cycle approach is an efficient andeffective method of data processing forcredit swaps, and may also be suitablefor equity swaps, a state or snapshotapproach maybe more appropriate forinterest rate swaps, commodity swaps,and currency swaps.

Illustration of the Life CycleApproach. The DTCC Warehouse,currently the only centralized globalrepository for OTC credit derivativescontracts, follows the life cycleapproach to data reporting. TheWarehouse supports the trade

processing associated with events of default, including bankruptcy, failure topay, restructuring, and other life cyclecredit events which may trigger payoutsfor the buyer of credit protection for theunderlying reference entity that is thesubject of the credit swap.

DTCC cites several benefits of using alife cycle approach for credit swaps.These benefits include greater controlover payment processing, by providingan automated way for participants tostart or stop automatic calculation of coupon payments for a specific trade;

minimization of time and cost byautomating payment calculations andproviding bilateral netting of paymentsfor firms participating in theWarehouse; increased efficiencythrough streamlining of the tradeadherence process for life cycle events;and reduction of risk by handling allcredit events and successor events

identically for each participant, in thesame time frame and with the samedeadlines.

DTCC itself recognizes that the lifecycle approach is not the optimumapproach for all asset classes, and thatit often involves ancillary services notpart of the core function of a repository.In responding to the CPSS–IOSCOConsiderations for Trade Repositories,DTCC agreed with comments made by aEuropean Commission staff workingpaper that highlighted the differentfundamental natures of the OTCderivatives asset classes.30 Due to these

fundamental asset class differences,DTCC said, it should be recognized that:

Therefore, for other asset classes (such asinterest rates, equity derivatives,commodities, etc.) the nature of the productswill dictate the overall operationalinfrastructure. For example, life cycle creditevents are only relevant to CDSs.

DTCC therefore agrees that repositoryservices that fall broadly under (1) positionrecording, (2) data cleansing, [and] (3)reporting to regulators, the public andparticipant firms should be provided on aglobal basis for each OTC asset class. Thestated goals of a repository—‘‘to fostertransparency, thus supporting the efficiency,stability of and orderly functioning (i.e.

avoidance of abusive behavior) of financialmarkets’’—are readily achieved through theseservices.

However, DTCC does not believe it isappropriate to extend the definition of arepository to encompass the aspects of AssetServices (including legal record keeping) andSettlement Services that the TIW (TradeInformation Warehouse) provides to the CDSmarket. These additional services areprovided in addition to the trade repositoryand are complementary to it, as opposed to

being an integral part.31

In contrast to the DTCC Warehouse,which offers a full suite of repositoryand life cycle event processing services,

the DTCC Equity Derivatives ReportingRepository offers only positionrecording and reporting services. Thisaligns with the industry’s primary focusin developing this repository.

Illustration of the State or Snapshot Approach. The TriOptima Interest RateRepository, currently the onlycentralized, global repository for OTCinterest rate derivatives contracts, usesthe state or snapshot approach to datareporting for interest rate swaps. TheTriOptima IRTRR collects transactiondata on interest rate derivatives from

market participants and providesregulators with monthly reportssummarizing outstanding trade volumesand gross notionals as well as currency

breakdown and maturity profiles byproduct type. It holds information for alltypes of both cleared and non-clearedOTC derivatives interest ratetransactions.

TriOptima cites a number of benefitsof using the state or snapshot approachfor interest rate swaps. One is that thisapproach allows the repository to havecomplete and up-to-date records at alltimes for all live contracts to which the

counterparties are legally bound(whether or not full legal confirmation—which can take weeks—has occurred).Such swap data comprehensiveness is akey consideration for systemic riskmonitoring. Another is that the state orsnapshot approach avoids a need tospecify and prescribe all of the eventsthat would need to be recorded by arepository. TriOptima notes that thiswould be extremely difficult for interestrate swaps—in contrast to credit swapswhere the list of life cycle events isclearly established—due to the widevariety of different types of interest rate

swaps, including‘‘ bespoke

’’swapstailored to the specific needs of non-SD/

MSP counterparties (including endusers), and to ongoing interest rate swapproduct innovation. Provision of a dailysnapshot also ensures that the swap datain the repository is reconciled andsynchronized each day with thereporting counterparty’s internalsystems, which improves the quality of data in the repository throughinterfacing with the reportingcounterparty’s risk managementsystems.32

II. Proposed New Regulations, Part 45

A. Recordkeeping Requirements

The Commission’s existingrequirements for recordkeeping withrespect to futures and options are foundin Sections 5(b) and 5(d) of the CEA;§§ 1.31 and 1.35 of the Commission’sRegulations; Appendix B to Part 38 of the Commission’s Regulations, CorePrinciple 17, Recordkeeping; andAppendix A to Part 39 of the





33Committee on Payment and SettlementSystems, Considerations for Trade Repositories inOTC Derivatives Markets, May 2010, at 1.

34The Commission is aware that the EuropeanCommission’s Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL on OTC derivatives, central counterparties, and trade repositories, SEC(2010)1058 and 1059, September 15, 2010, would requireretention of records concerning swaps for ten yearsfollowing final termination of a swap. TheCommission is proposing to require recordretention for five years following final terminationof a swap because it believes that a ten-year post-termination retention period may not be necessaryfor regulatory purposes, and could possibly imposean undue burden and costs on registered entitiesand swap counterparties. The Commission requestscomment concerning the appropriate length of therequired post-termination retention period.

35Dodd-Frank § 728, CEA § 21(c)(4)(A).36ODRF, Outline of Trade Repository

Functionality Being Sought by Members of the OTC Derivatives Regulators’ Forum (version 2), August27, 2010, at 2.

Commission’s Regulations, CorePrinciple K, Recordkeeping.Collectively, these provisions establishrecordkeeping requirements for alldesignated contract markets (‘‘DCMs’’),DCOs, futures commission merchants(‘‘FCMs’’), introducing brokers (‘‘IBs’’),and members of contract markets. Eachsuch entity or person is generally

required to keep full and completerecords, together with all pertinent dataand memoranda, of all activities relatingto the business of the entity or personthat is subject to the Commission’sauthority. All such records must be keptfor a period of five years from the dateof the record, and must be readilyaccessible during the first two years of the five-year period. Copies of all suchrecords must be provided, at theexpense of the person required to keepthe records, upon request by anyrepresentative of the Commission or theDepartment of Justice.

The Commission believes that the

rationale for requiring Commissionregistrants to keep all records relating tothe business involved must also governrecordkeeping with respect to swaps byregistered entities and swapcounterparties. Such records areessential to carrying out the regulatoryfunctions of not only the Commission

but all other financial regulators, and forappropriate risk management byregistered entities and swapcounterparties themselves. The need forsuch records is also recognizedinternationally. As CPSS has noted:

[I]t should be clear that the data recorded

in a TR [trade repository] cannot be asubstitute for the records of transactions atoriginal counterparties. Therefore, it isimportant that even where TRs have beenestablished and used, market participantsmaintain their own records of thetransactions that they are a counterparty toand reconcile them with their counterpartiesor TRs on an ongoing basis (including fortheir own risk management purposes).33

A swap can continue to exist for asubstantial period of time prior to itsfinal termination or expiration. Duringthis time, which in some cases canextend for many years, the keyeconomic terms of the swap can change.Thus, recordkeeping requirements withrespect to a swap must necessarily coverthe entire period of time during whichthe swap exists, as well as anappropriate period following finaltermination or expiration of the swap.

Accordingly, the Commission’sproposed regulations establishinggeneral swap recordkeepingrequirements would require that allDCOs, DCMs, swap execution facilities

(‘‘SEFs’’), SDs, and MSPs must keep full,complete, and systematic records,together with all pertinent data andmemoranda, of all activities relating tothe business of such entities or personswith respect to swaps. For all suchentities and swap counterparties, theserequirements would include, withoutlimitation, records of all data required to

be reported in connection with anyswap.

The proposed regulations wouldrequire that all records required to bekept by DCOs, DCMs, SEFs, SDs, MSPs,and non-SD/MSP counterparties must

be kept throughout the existence of theswap and for five years following finaltermination of the swap.34 Recordsrequired to be kept by DCOs, DCMs,SEFs, SDs, and MSPs would be requiredto be readily accessible by the registeredentity or person in question via realtime electronic access throughout thelife of the swap and for two yearsfollowing the final termination of the

swap, and retrievable within three business days through the remainder of the required retention period.

Non-SD/MSP counterparties,including counterparties who qualify asend users counterparties pursuant toSection 2(h)(7) of the CEA with respectto particular swaps, would be requiredto keep full, complete, and systematicrecords, including all pertinent data andmemoranda, with respect to each swapin which they are a counterparty. Eachsuch record would be required to beretrievable by the counterparty withinthree business days during the required

retention period.The proposed rules would placelesser recordkeeping requirements onnon-SD/MSP counterparties than on SDor MSP counterparties or registeredentities because the Commissionunderstands that non-SD/MSPcounterparties are less likely than othercounterparties or registered entities tohave appropriate systems in place forthis purpose, and that the number of swaps in which they are counterpartiesis likely to be smaller than thecorresponding number for SDs or MSPs.The Commission believes that this

approach also effectuates a policychoice made by Congress in Dodd-Frankto place lesser burdens on non-SD/MSPcounterparties to swaps, where this can

be done without damage to thefundamental systemic risk mitigation,transparency, standardization, andmarket integrity purposes of thelegislation. The Commission requestscomment concerning whether it shouldadopt a phase-in approach forrecordkeeping requirements by non-SD/MSP counterparties.

Because of the importance of swapdata held in SDRs to all of the variousregulatory functions of financialregulators across the U.S. financialsector and internationally, the proposedregulations would require that allrecords required to be kept by SDRsmust be kept by the SDR both: (a)Throughout the existence of the swapand for five years following final

termination or expiration of the swap,during which time the records must bereadily accessible by the SDR andavailable to the Commission via realtime electronic access; and (b)thereafter, for a period determined bythe Commission, in archival storagefrom which they are retrievable by theSDR within three business days. TheCommission believes that SDR recordsmust be readily accessible via real timeelectronic access throughout theexistence of the swap and for five yearsfollowing final termination or expirationof the swap in order to make effective

the statutory mandate that SDRs must‘‘provide direct electronic access to theCommission (or any designee of theCommission including anotherregistered entity.’’ 35 Regarding thelength of the additional period,commencing five years after finaltermination or expiration of a swap,during which an SDR must keep swaprecords in archival storage, theCommission notes that the ODRF hascalled for trade repositories to ‘‘retainhistorical data for an indefiniteperiod.’’ 36 The Commission seekscomment concerning whether SDRs

should be required to keep swap data inarchival storage in perpetuity, orwhether a limited term in years should

be required, and, if so, what archivalstorage period should be required.

The proposed regulations would alsorequire that all records required to bekept pursuant to the regulations must be





37 It is important to note that the reportingrequirements addressed in this proposedrulemaking are separate from the public reportingof swap transactions requirements found in CEA§ 2(a)(13)(A) through (F), commonly called real timereporting. Real time reporting requires swap data to

be publicly disseminated in a manner that protectsanonymity. See CEA §§2(a)(13)(C)(iii) and2(a)(13)(E)(i).

It is also important to note that the Commission

intends to establish data recordkeeping andreporting requirements for ‘‘transitional swaps’’ in aseparate rulemaking. ‘‘Transitional swap’’ means aswap executed on or after the date of enactment of the Dodd-Frank Act (i.e., July 21, 2010) and beforethe effective date of the final rule issued pursuantto this present rulemaking. CEA Section 2(h)(5)Reporting Transition Rules provides that ‘‘Swapsentered into on or after [the] date of enactment [of the Dodd-Frank Act] shall be reported to aregistered swap data repository or the Commissionno later than the later of (i ) 90 days after [the]effective date [of Section 2(h)(5)] or (ii) such othertime after entering into the swap as the Commissionmay prescribe by rule or regulation.’’ TheCommission anticipates that the rulemaking fortransitional swaps will address the records,information and data regarding transitional swapsthat must be retained and the timeframe forreporting such information to the SDR or theCommission.

38The proposed regulation uses the terms ‘‘swapcreation data’’ and ‘‘swap continuation data’’ to referto these two stages in the life of a swap, instead of referring to these stages as, for example, the‘‘execution’’ and ‘‘life cycle’’ of a swap, in order toavoid the confusion that could result from the factthat those and other commonly used terms do nothave universally accepted definitions and are usedin different ways by different people in thederivatives marketplace.

39For example, in the case of a swap involvingan SD, the SD’s front office is where the trade starts.The order is placed, and the SD will price the swapand give the quote to the counterparty. If thecounterparty agrees to the details of the trade and

is willing to enter into the deal, the trade isexecuted. Typically, the trade is then captured bythe SD’s deal capture system, which will validateall the necessary trade economics. An

acknowledgement is sent to the counterparty withthe trade details, and the counterparty either agreesor disagrees with those details.

40When the final regulations are published, theCommission intends to publish such tables in aseparate Federal Register release, which will bereferenced in the final regulations. This procedureis intended to allow the Commission to update thetables from time to time, in response to swapmarket developments, without a need to issue newregulations. The Commission requests commentconcerning this approach, including comments onits possible utility, benefits, or drawbacks; onwhether the data tables should instead be publishedas an Appendix to the final regulations; and onwhether the data tables should be published insome other fashion.

41On December 22, 2008, the FDIC published inthe Federal Register a final rule, effective January

21, 2009, that established recordkeepingrequirements for ‘‘qualified financial contracts’’ held by insured depository institutions in a ‘‘troubledcondition.’’ Recordkeeping Requirements for Qualified Financial Contracts, 12 CFR part 371, RIN3064–AD30, December 22, 2008. Both terms aredefined in the rule. Upon written notification byFDIC, such an institution is required by the rule toproduce certain data required by the FDIC over aperiod specified by the FDIC. The Commissionrequests comment on whether it should incorporatethe recordkeeping and data reporting requirementsin this FDIC rule in its final data reporting rules,in its internal business conduct rules, or in otherrules swap-related rules promulgated by theCommission, and, if so, on how such requirementsshould be incorporated.

open to inspection upon request by anyrepresentative of the Commission, theDepartment of Justice, or the SEC, or byany representative of a prudentialregulator as authorized by theCommission. The registered entity orswap counterparty involved would berequired to provide copies to theCommission, at the expense of the

registered entity or swap counterpartyinvolved, either by electronic means, inhard copy, or both, as requested by theCommission.

As referenced in the proposedregulations, in addition to the generalrecordkeeping requirements discussedabove, specific recordkeepingrequirements are being proposed in theCommission’s other proposedrulemakings concerning SDRs, DCOs,DCMs, SEFs, SDs, MSPs, and non-SD/MSP counterparties.

The Commission requests commenton all aspects of the proposed

recordkeeping requirements. TheCommission specifically requestscomment on the following aspects of therequirements:

• The necessity, for risk management andother business purposes, of the recordsrequired to be kept;• The length of time the records are

required to be kept by DCOs, DCMs, SEFs,SDs, MSPs, and non-SD/MSP counterparties;the technology with which the records can bekept, any burden created by this requirement,and the usefulness of the records in questionover the time required;• The length of time the records are

required to be kept by SDRs, the technology

with which the records would be kept, any burden created by this requirement, and theusefulness of the records in question over thetime required;• Whether records should be required to

be kept by DCOs, DCMs, SEFs, SDs, MSPs,and non-SD/MSP counterparties for ten yearsfollowing final termination of a swap ratherthan five years; and• The requirement that records be

accessible in real time for the periodsrequired in the proposed regulation.• Whether the Commission should adopt a

phase-in approach to recordkeepingrequirements for non-SD/MSPcounterparties.

B. Swap Data Reporting

Swap Data Reporting from Two Stagesof a Swap’s Existence. The Commission

believes that it is important forfulfillment of the purposes of Dodd-Frank to ensure that complete dataconcerning swaps is maintained inSDRs and available to regulators.37

Accordingly, the Commission believesthat swap data reporting should includedata from each of two important stagesof the existence of a swap: The creationof the swap, and the continuation of theswap over its existence until its finaltermination or expiration.38

Swap Creation Data Reporting: TwoSets of Data. With regard to the creation

of a swap, the proposed regulation callsfor reporting of two sets of datagenerated in connection with creation of the swap: Primary economic terms data,and confirmation data.

Primary Economic Terms Data. Theprimary economic terms of a swapinclude all of the terms of the swapverified or matched by thecounterparties at or shortly after theexecution of the swap. Such terms candiffer not only for swaps in differentswap asset classes, but also forstandardized versus non-standardizedswaps. For swaps executed on a SEF or

DCM, the primary economic terms will be those specified in the contract listedon the platform in question. For non-standardized or bespoke swaps executed

bilaterally, primary economic terms aretypically far less standardized.However, counterparties verify theprimary or essential economic terms of their swap with each other in somefashion following execution in the caseof every swap.39 The industry does not

have a single agreed-upon term for thisverification process, which is variouslycalled affirmation, matching, orconfirmation of primary economicterms. By whatever name, the proposedregulation would require that all of theterms of the swap thus verified by thecounterparties be reported to an SDR.

Minimum primary economic terms

data. In order to ensure that the arrayof primary economic terms reported toan SDR for a swap is sufficient in eachcase for regulatory purposes, theproposed regulations would require thatthe primary economic terms reportedmust include, at a minimum, all of thedata elements listed by the Commissionin the table of data elements for a swapof the asset class involved, found inAppendix 1 to Part 45.40 The tables inAppendix 1 to Part 45 are designed toinclude data elements that reflectgeneric economic terms and conditionscommon to most standardized products

in the asset class in question.41

Theyreflect the focus of required reporting of primary economic terms data on the

basic nature and essential economicterms of the product involved, and areprovided in order to ensure to the extentpossible that most such essential termsare included when required primaryeconomic terms are reported for eachswap. The proposed regulations aredesigned to capture the additional,





4275 FR 67258 (November 2, 2010).43CEA § 21(c)(2).

44FSB, Implementing OTC Derivatives Market Reforms: Report of the OTC Derivatives Working Group, October 20, 2010, at 47.

45To ensure that no required primary economicterms data goes unreported in any circumstance, the

proposed regulations also contain a ‘‘catch-all’’clause requiring the reporting counterparty to reportany required primary economic terms data notreported by the SEF or DCM.

unique features of particular swaps inthe asset class in question throughrequired reporting of confirmation data,which will include reporting of allterms of each swap.

In addition to the tables included inAppendix 1 to Part 45, Appendix 2 toPart 45 contains a Master ReferenceGeneric Data Fields List, which includes

data elements that the Commission believes could be relevant forstandardized swaps in some or all swapasset classes. The Commission requestscomment on whether any of the datafields in this Master Reference GenericData Fields List should be included inone or more of the Tables of RequiredMinimum Primary Economic TermsData for specific swap asset classes, orin the Minimum Valuation Data table,that are included in Appendix 1 toPart 45.

The minimum primary economicterms data elements listed in the tables

in Appendix 1 to Part 45 include futurescontract equivalent data fields. Therationale for including those fields is thestatutory mandate to the Commission topromulgate regulations to limit theamount of positions, other than bonafide hedge positions, that may be held

by any person with respect tocommodity futures and option contractsin exempt and agriculturalcommodities. The Commission wouldrequire position data for not only

futures and option contracts but also foreconomically equivalent swaps, if theCommission’s proposed rules titled‘‘Position Reports for PhysicalCommodity Swaps’’ become final.42 Inorder to decrease potential burdens onpersons that could be subject to therequirement to file position reportsunder those proposed rules (should they

become final), the Commission requestscomment on whether certain aspects of the proposed position reports should bea part of data reporting to SDRs.

Confirmation data. The second set of data generated in connection with thecreation of a swap and required by theproposed regulations to be reported isconfirmation data. The proposedrulemaking defines ‘‘confirmation’’ asthe full, signed, legal confirmation bythe counterparties of all of the terms of a swap, and defines ‘‘confirmation data’’

as all of the terms of a swap matchedand agreed upon by the counterparties

in confirming the swap. The proposedregulations would require reporting of confirmation data, in addition to theearlier reporting of primary economicterms data, in order to help ensure thecompleteness and accuracy of the datamaintained in an SDR with respect to aswap. Reporting of the terms of theconfirmation, which has the assent of

both counterparties, provides a means of fulfilling the statutory directive that anSDR ‘‘shall confirm with both

counterparties to the swap the accuracyof the data that was submitted.’’ 43 Thegoal of ensuring the highest possibledegree of swap data accuracy is sharedinternationally, as noted in thestatement included in the FSB ReportImplementing OTC Derivatives Market Reforms that ‘‘authorities should ensurethat market participants report and TRs

collect and provide data of the highestreliability practicable * * *’’ 44

Who Reports Swap Creation Data.Under the proposed regulations,determination of who must reportrequired swap creation data is based ontwo criteria. The first criterion iswhether the swap is (1) executed on aSEF or DCM and cleared on a DCO;(2) executed on a SEF or DCM but notcleared; (3) not executed on a SEF orDCM but cleared on a DCO; or (4) notexecuted on a SEF or DCM and notcleared. The second criterion is whetherthe reporting counterparty (as

determined according to §45.5) is an SDor MSP, or instead is a non-SD/MSPcounterparty. Using these two criteria todetermine who reports is intended tostreamline and simplify the datareporting approach, by calling forreporting of each set of swap creationdata by the registered entity orcounterparty that has the easiest, fastest,and cheapest access to the set of data inquestion. The results of this approachare shown in the following table:

REPORTING OF SWAP CREATION DATA

Reporting counterparty

Executed on a platform

and cleared

Executed on a platform

and not cleared

Not executed on a plat-

form and cleared

Not executed on a plat-

form and not cleared

SD or MSP ........................ SEF/DCM (primary eco-nomic terms).

SEF (primary economicterms).

SD/MSP (primary eco-nomic terms).

SD/MSP (primary eco-nomic terms).

DCO (confirmation) ........... SD/MSP (confirmation) ..... DCO (confirmation) ........... SD/MSP (confirmation).Non-SD/MSP Counterparty SEF/DCM (primary eco-

nomic terms).SEF (primary economic

terms).Non-SD/MSP (primary

economic terms).Non-SD/MSP (primary

economic terms).DCO (confirmation) ........... Non-SD/MSP (confirma-

tion).DCO (confirmation) ........... Non-SD/MSP (confirma-

tion).

Who Reports Primary EconomicTerms Data. For a swap executed on aSEF or DCM, the Commissionanticipates that the swap contractcertification process conducted by theSEF or DCM will define all or most of the primary economic terms of theswap, and that all or most of therequired primary economic terms datafor the swap will be created, inelectronic form, on the electronicplatform by virtue of execution of theswap contract offered by the SEF or

DCM. The proposed regulationstherefore call for the SEF or DCM toreport the required primary economicterms data for the swap to an SDR inelectronic form.45 In the case of a swapnot executed on a SEF or DCM, primaryeconomic terms data will be created bythe counterparties’ verification of theprimary economic terms of the swap.The proposed regulations therefore callfor the reporting counterparty (asdefined in the proposed regulations) toreport the required primary economic

terms data for the swap to an SDR inelectronic form.

Who Reports Confirmation Data. Forcleared swaps, confirmation data will begenerated by DCOs in the course of thenormal clearing process. The proposedregulations thus call for DCOs to reportconfirmation data for all cleared swapsto the appropriate SDR in electronicform. For non-cleared swaps,confirmation will be done by thecounterparties, in many cases with theassistance of a third-party confirmation







51The Commission requests comment concerningthe appropriate deadline for reporting of requiredconfirmation data in the case of a swap for whichconfirmation was done manually rather thanelectronically.

amount of time, because the requiredprimary economic terms data for such aswap would have been put intoelectronic form for verification of primary economic terms, which wouldnot require a significant amount of manual intervention.

Finally, since required primaryeconomic terms data with respect to a

swap for which neither execution norverification of primary economic termsoccurs electronically would not likely

be already in electronic format, andcould require a significant amount of manual intervention, the Commission

believes that additional time would beneeded for reporting. The Commission

believes that 24 hours would be asufficient amount of time to enable suchreporting while still making data for theswap available to regulators withoutundue delay, based on conversationswith industry representatives.

Time of Reporting for ConfirmationData. The proposed regulations followsimilar principles for the reporting of required confirmation data. For swapscleared on a DCO, where the DCOpossesses the necessary confirmationdata in electronic form at the time theswap is cleared, the Commission

believes that required confirmation datashould be reported to an SDR by theDCO electronically, as soon astechnologically practicable followingthe clearing of the swap. With respect toswaps not cleared on a DCO, wherereporting of required confirmation datawill be done by the reportingcounterparty, the Commission

recognizes that the amount of timeneeded for reporting could vary,depending on whether the reportingcounterparty is an SD or MSP orconversely is a non-SD/MSPcounterparty, and depending onwhether confirmation is doneelectronically (via the automatedsystems of a third-party confirmationservice provider or of an SD or MSPcounterparty), or is done manually witha resulting need to put the confirmationterms into an electronic format forconfirmation reporting purposes.

Accordingly, the proposed regulations

would require a DCO to report requiredconfirmation data for a cleared swapelectronically, as soon astechnologically practicable followingclearing of the swap. In the case of anuncleared swap, the proposedregulations would require the reportingcounterparty to report requiredconfirmation data electronically, makingsuch a report promptly followingconfirmation, but in no event later than:• 15 minutes after confirmation of a

swap for which confirmation occurselectronically; or

• In the case of a swap for whichconfirmation was done manually ratherthan electronically, within a time to bedetermined by the Commission prior topromulgation of its final data reportingregulations.51

Swap Continuation Data Reporting.As noted earlier, the Commission

believes that it is important to fulfilling

the purposes of Dodd-Frank to ensurethat complete data concerning swaps ismaintained in SDRs and available toregulators. This requires reporting of data from the continuation of a swapover its existence from the time it iscreated until its final termination orexpiration.

Two Approaches to SwapContinuation Data Reporting. Swapcontinuation data reporting can followeither of the two conceptual approachesto data reporting discussed above: thelife cycle or event flow approach, or thestate or snapshot approach. Aspreviously noted, while bothapproaches are viable methods of datacollection, one can be more efficientthan the other in different assets classes,due to differences between asset classesin terms of market structure and marketprocesses. With respect to swapcontinuation data reporting, the lifecycle approach involves managing theflow of an information system’s datathroughout the data’s life cycle fromcreation and initial storage to the timewhen it becomes obsolete, while thestate or snapshot approach involves adaily update of the current state of theswap which incorporates all the changes

that have happened to the swap sincethe previous snapshot.

Life Cycle Approach for Credit Swapand Equity Swap Asset Classes. Theproposed regulations define the swapcontinuation data required to bereported for credit and equity swaps interms of the life cycle approach, in part

because the Commission understandsthat the life cycle approach is likely to

be followed in the SEC’s proposedregulations concerning swap datareporting for security-based swaps inthese asset classes. The Commission

believes that, to the extent possible, a

unified approach to the reporting of swap data over the existence of swapsin asset classes where the SEC and theCommission share jurisdiction mayserve the public interest, by avoidingimposition of differing reportingrequirements for security-based andnon-security-based swaps in the sameasset class, and thus avoiding

imposition of an undue burden on swapmarket participants. The Commission isalso aware of the work already done bythe industry with respect to credit swapdata reporting using the life cycleapproach, and of the fact that theexisting global trade repository forcredit swaps, the DTCC Warehouse,uses the life cycle approach. The

Commission believes that the life cycleapproach may be appropriate for thecredit swap asset class, and to an extentfor the equity swap asset class, due totheir market structure, market processes,and present degree of productstandardization.

State or Snapshot Approach for Interest Rate Swap, Currency Swap, and Other Commodity Swap Asset Classes.In light of the work already done by theindustry with respect to data reportingin the other swap asset classes—notablythe interest rate swap asset class—usingthe state or snapshot approach, and in

light of the fact that the existing globaltrade repository for interest rate swaps,the TriOptima Interest Rate Repository,uses the state or snapshot approach, theproposed regulations define the swapcontinuation data required to bereported for interest rate swaps,currency swaps, and other commodityswaps in terms of the state or snapshotapproach. The Commission believes thatthis approach may be better suited tothese asset classes, due to their marketstructure, market processes, and presentdegree of product standardization.

One reason for this is that theCommission understands that the

interest rate swap, currency swap, andother commodity swap asset classesinvolve numerous and widely varyingtypes of derivatives products and aconsiderable degree of innovation andchange with regard to instrument types.Swaps in these asset classes are oftentailored to the specific needs of non-SD/MSP counterparties includingend users. Thus, it would be verydifficult, if not impossible, to enumerateall of the events that would need to bereported during the continuation of such swaps. This situation contrasts, forexample, with the situation prevailing

in the credit swap asset class, where agreater degree of standardization exists.Another reason why the state or

snapshot approach may be better suitedto the interest rate swap, currency swap,and other commodity swap asset classesis that in the life cycle or event flowapproach, reporting counterparties must

be able to generate messages to the SDRnot only for all relevant life cycleevents, but also for correction of errorsand omissions in previously submitteddata. Such messages must be tracked

between reporting counterparties and





52FSB, Implementing OTC Derivatives Market Reforms: Report of the OTC Derivatives Working Group, October 20, 2010, at 48.

the SDR. This can create a need formanual intervention and produceinformation backlog. It also creates aneed to reconcile data between the SDRand the reporting counterparty’sinternal systems to ensure that allevents have been captured correctly inthe SDR’s data. These problems areexacerbated in the case of asset classes

with relatively less standardization of swap terms. By contrast, the state orsnapshot approach eliminates the needto specify and require reporting of all of the individual life cycle events thatrequire updating of SDR data, since thecurrent state of all of the primaryeconomic terms of all existing swaps issubmitted daily to the SDR. This dailysnapshot ensures that SDR data isreconciled with a reportingcounterparty’s internal systems on adaily basis, and provides automaticdaily corrections of errors andomissions in previously submitted data.

The daily snapshot also ensures thatSDR data is continually refreshed by thedata contained in the risk managementsystems of reporting counterparties,who for business reasons normallydevote considerable resources toensuring data correctness. Leveragingthe data quality assurance processes of reporting counterparties in this way canprovide significant benefits in terms of the accuracy of swap data resident inSDRs.

Finally, the state or snapshotapproach eliminates the need for acomplex array of exception management

messages, and reduces the reporting burden for reporting counterparties bypermitting the systems of reportingcounterparties to submit one basic typeof message, the daily snapshot of updated primary economic terms. Thegreater technological simplicity thuspermitted can be a significant benefitwhere non-SD/MSP counterparties(including end users) are concerned.

Four Sets of Swap Continuation Data.For the above reasons, with regard to thecontinuation of a swap, the proposedregulations would call for reporting of four sets of data generated in connectionwith the continuation of the swap: (1)Life cycle data for credit swaps andequity swaps; (2) contract-intrinsic datafor credit swaps and equity swaps; (3)daily state data for interest rate swaps,currency swaps, and other commodityswaps; and (4) valuation data for swapsin all five swap asset classes.

Life Cycle Event Data Reporting for Credit Swaps and Equity Swaps. For thepurpose of required continuation datareporting for credit swaps and equityswaps, the proposed regulations requirereporting, throughout the existence of a

swap until its final termination orexpiration, of ‘‘life cycle event data’’,defined as all of the data elementsnecessary to fully report any life cycleevent, or any adjustment due to a lifecycle event, that results in a change todata previously reported for the swap inquestion. The proposed regulationsdefine ‘‘life cycle event’’ to mean any

event that would result in a change inthe data previously reported to an SDRin connection with the swap, including,without limitation, a counterpartychange resulting from an assignment ornovation; a partial or full termination of the swap; a change in the cash flowsoriginally reported; for a credit swap orequity swap that is not cleared, anychange to the collateral agreement; or acorporate action affecting a security orsecurities on which the swap is based(e.g., a merger, dividend, stock split, or

bankruptcy).Contract-Intrinsic Data Reporting for

Credit Swaps and Equity Swaps. For thepurpose of required continuation datareporting for credit swaps and equityswaps, the proposed regulations wouldalso require reporting, throughout theexistence of a swap until its finaltermination or expiration, of ‘‘contract-intrinsic event data,’’ defined as all of the data elements necessary to fullyreport any contract-intrinsic event withrespect to the swap in question. Theproposed regulations define ‘‘contract-intrinsic event’’ to mean a scheduled,anticipated event occurring during theexistence of a swap that does not result

in any change to the contractual termsof the swap, including, withoutlimitation, the scheduled expiration of aswap, or a previously described andanticipated interest rate adjustment.

State Data Snapshot Reporting for Interest Rate Swaps, Currency Swaps,and Other Commodity Swaps. For thepurpose of required continuation datareporting for interest rate swaps,currency swaps, and other commodityswaps, the proposed regulations wouldrequire reporting of all ‘‘state data’’ forthe swap, reported daily throughout theexistence of the swap until its finaltermination or expiration. The proposedregulations define ‘‘state data’’ to meanall of the data elements necessary toprovide a snapshot view, on a daily

basis, of all of the primary economicterms of a swap, including any changesto such terms since the last snapshot.The proposed regulations also requirethat, at a minimum, this data mustinclude all of the economic termsreflected in the appropriate table of dataelements for a swap of the asset classinvolved. These tables can be found inAppendix 1 to Part 45.

Valuation Data Reporting for Swapsin All Swap Asset Classes. Valuationdata is defined in the proposedregulations to mean all of the dataelements necessary for a person todetermine the current market value of aswap, including, without limitation,daily margin, daily mark-to-market, and

other measures of valuation to bedetermined by the Commission prior topromulgation of its final swap datareporting regulations. Swap valuationdata is essential to a variety of theregulatory functions of many financialregulators, and is crucial to fulfillmentof fundamental purposes of Dodd-Frank,including systemic risk reduction andincreased transparency of thederivatives marketplace to regulators.The Commission and other regulatorswould use valuation informationregarding swaps reported to SDRs forprudential oversight, to monitor

potential systemic risk, and to monitorcompliance with regulatoryrequirements for SDs and MSPs. Theimportance of reporting swap valuationdata to SDRs is recognizedinternationally. The FSB ReportImplementing OTC Derivatives Market Reforms provides that:

TRs should collect data to enablemonitoring of gross and net counterpartyexposures, wherever possible, not only onnotional volumes for each contract but alsomarket values, exposures before collateral,and exposure value net of collateral with afull counterparty breakdown. This wouldallow for the calculation of measures thatcapture counterparty risk concentrations bothfor individual risk categories as well as forthe overall market.52

Accordingly, the proposed regulationswould require reporting of valuationdata for swaps in all five asset classes.

Who Reports Swap ContinuationData. Under the proposed regulations,determination of who must reportrequired swap continuation data is

based on two criteria. The first criterionis whether or not the swap is cleared on

a DCO. The second criterion is whetherthe reporting counterparty (as providedin the proposed regulations) is an SD orMSP, or instead is a non-SD/MSPcounterparty. Using these two criteria todetermine who reports is intended tostreamline and simplify the datareporting approach, by calling forreporting of each set of swap





53As noted earlier, the proposed regulationsdefine ‘‘valuation data’’ as including ‘‘othermeasures of valuation as determined by theCommission’’ in addition to specified valuationmeasures. The Commission is requesting commentconcerning what other measures of valuation of aswap should be required to be reported to an SDR.The Commission’s eventual determination as towhat other measures of valuation should berequired may affect what valuation data must bereported by a DCO or by a reporting counterparty.

continuation data by the registeredentity or counterparty that has the

easiest, fastest, and cheapest access tothe set of data in question. The results

of this approach are shown in thefollowing table:

REPORTING OF SWAP CONTINUATION DATA

Reporting counterparty

Credit and equity asset classes Interest rate, currency, and other commodityasset classes

Cleared Not cleared Cleared Not cleared

SD or MSP ............................ DCO (life-cycle data) ............ SD/MSP (life-cycle data) ...... SD/MSP (state snapshotdata).

SD/MSP (statesnapshot data).

SD/MSP (intrinsic data) ........ SD/MSP (intrinsic data) ........ DCO and SD/MSP (valuationdata).

SD/MSP (valu-ation data).

DCO and SD/MSP (valuationdata).

SD/MSP (valuation data).

Non-SD/MSP Counterparty ... DCO (life-cycle data) ............ Non-SD/MSP (life-cycle data) Non-SD/MSP (state snap-shot data).

Non-SD/MSP(state snapshotdata).

Non-SD/MSP (intrinsic data) Non-SD/MSP (intrinsic data).DCO (valuation data) ............ Non-SD/MSP (valuation

data).DCO (valuation data) ............ Non-SD/MSP

(valuationdata).

Who Reports Life Cycle Event Data

and Contract-Intrinsic Event Data. For acredit swap or equity swap cleared ona DCO, the Commission understandsthat the DCO will possess informationin electronic form concerning some lifecycle events required to be reportedover the existence of the swap, due toits status as a central counterparty,while the swap counterparty (as definedin the proposed regulations) willpossess information concerning otherlife cycle events. The proposedregulations therefore call for the DCO toreport required life cycle event data inits possession, and for the reporting

counterparty to report life cycle eventdata in its possession. For a credit swapor equity swap that is not cleared, theproposed regulations call for thereporting counterparty to report allrequired life cycle event data and allcontract-intrinsic event data.

The Commission understands thatcontract-intrinsic event data, whichinvolves anticipated events such asscheduled adjustments, will be availableto, and known in advance by, thereporting counterparty. The proposedregulations thus require the reportingcounterparty to report all required

contract-intrinsic event data for allcredit swaps or equity swaps.

Who Reports a Daily Snapshot of State Data. For an interest rate swap,currency swap, or other commodityswap cleared on a DCO, the proposedregulations require the reportingcounterparty to report all required statedata, on a daily basis.

Who Reports Valuation Data. Forcleared swaps in all five swap assetsclasses, both the DCO and the reportingcounterparty may possess different

types of valuation data.53 Therefore, for

each cleared swap, the proposedregulations would call for both the DCOand the reporting counterparty to reportvaluation data. For uncleared swaps inall five swap asset classes, the onlysource of valuation data will be acounterparty. Accordingly, for eachuncleared swap, the proposedregulations would call for the reportingcounterparty to report valuation data.

Time of Reporting for Life Cycle and Contract-Intrinsic Event Data. For creditswaps and equity swaps, whethercleared or uncleared, the proposedregulations would require that life cycleevent data must be reported on the sameday in which any life cycle eventoccurs, while contract-intrinsic eventdata must be reported on the same dayin which any contract-intrinsic eventoccurs.

Time of Reporting for a Daily Snapshot of State Data. For interest rateswaps, currency swaps, and othercommodity swaps, whether cleared oruncleared, the proposed regulationswould require that all required statedata for the swap be reported dailythrough the existence of the swap untilits final termination or expiration.

Time of Reporting for Valuation Data.

For each swap (regardless of asset class)cleared on a DCO, the proposedregulations would require the DCO toreport all valuation data in its

possession on a daily basis. Where the

reporting counterparty for such a swapis an SD or MSP, the proposedregulations would require the SD orMSP to report all valuation data in itspossession on a daily basis. TheCommission understands that DCOs andSD or MSP reporting counterparties arelikely to have the automated systemcapacity necessary for such dailyreporting. The Commission alsounderstands that, as of the effective dateof the final swap data reportingregulations, non-SD/MSP reportingcounterparties may not have acomparable level of automated system

capacity. Accordingly, where thereporting counterparty for such a swapis a non-SD/MSP counterparty, theproposed regulations would call for thereporting counterparty to report allvaluation data in its possession at timesto be determined by the Commissionprior to its adoption of final swap datareporting regulations. The Commissionrequests comment concerning the timeintervals necessary and appropriate forreporting of valuation data by non-SD/MSP counterparties, and concerningwhether the Commission should adopta phase-in approach to valuation data

reporting by non-SD/MSPcounterparties.

Swap Asset Classes and Other SwapClassifications. For the purpose of theproposed regulations, a swap would beclassified as belonging to one of fiveswap asset classes, including: (1) Creditswaps; (2) currency swaps (includingFX swaps and their variations); (3)equity swaps; (4) interest rate swaps;and (5) other commodity swaps. Theproposed regulations would definethese swap asset classes as follows.





54

CEA §1a(25) provides that:‘‘The term ‘foreignexchange swap’ means a transaction that solely

involves—(A) an exchange of 2 [sic] differentcurrencies on a specific date at a fixed rate that isagreed upon on the inception of the contractcovering the exchange; and (B) a reverse exchangeof the 2 [sic] currencies described in subparagraph(A) at a later date and at a fixed rate that is agreedupon on the inception of the contract covering theexchange.’’

55Dodd-Frank defines ‘‘mixed swap’’ as follows:‘‘The term ‘security-based swap’ includes anyagreement, contract, or transaction that is asdescribed in section 3(a)(68)(A) of the SecuritiesExchange Act of 1934 (15 U.S.C. 78c(a)(68)(A)) andis also based on the value of 1 [sic] or more interestor other rates, currencies, commodities, instruments

of indebtedness, indices, quantitative measures,other financial or economic interest or property of any kind (other than a single security or a narrow- based security index), or the occurrence, non-occurrence, or the extent of the occurrence of anevent or contingency associated with a potentialfinancial, economic, or commercial consequence(other than an event described in subparagraph(A)(iii).’’ Dodd-Frank § 721(21), CEA § 1a(47)(D).

‘‘Credit swap’’ means any swap that isprimarily based on instruments of indebtedness, including, withoutlimitation: Any swap primarily based onone or more broad-based indices relatedto instruments of indebtedness: Anyswap that is an index credit swap ortotal return swap on one or more indicesof debt instruments.

‘‘Currency swap’’ means any swapwhich is primarily based on rates of exchange between different currencies,changes in such rates, or other aspectsof such rates. This category includesforeign exchange swaps as defined inCEA Section 1a(25).54

‘‘Equity swap’’ means any swap that isprimarily based on equity securities,including, without limitation: any swapprimarily based on one or more broad-

based indices of equity securities; anytotal return swap on one or more equityindices.

‘‘Interest rate swap’’ means any swap

which is primarily based on one or morereference rates, such as swaps of payments determined by fixed andfloating rates.

‘‘Other commodity swap’’ means anyswap not included in the credit swap,currency swap, equity swap, or interestrate swap categories, including, withoutlimitation, any swap for which theprimary underlying item is a physicalcommodity or the price or any otheraspect of a physical commodity.

‘‘Asset class’’ means the particular broad category of goods, services orcommodities underlying a swap. Theasset classes include interest rate,

currency, credit, equity, othercommodity, and such other asset classesas may be determined by theCommission.

In addition, the Commissionanticipates that some swaps subject toits jurisdiction may belong to two otherswap categories: mixed swaps, andmulti-asset swaps. Generally, a mixedswap is in part a security-based swapsubject to the jurisdiction of the SECand in part a swap belonging to one of the swap asset classes subject to thejurisdiction of the Commission.55 Multi-

asset swaps are those that do not haveone easily identifiable primaryunderlying notional item within theCommission’s jurisdiction. TheCommission requests commentconcerning how such swaps should betreated with respect to swap datareporting, and concerning the categoryor categories under which swap data for

such swaps should be reported to SDRsand maintained by SDRs.

Requests for Comment. TheCommission requests comment on allaspects of the proposed data reportingregulation and the definitions associatedwith it. The Commission specificallyrequests comment on the followingquestions relating to this proposedregulation.• Is the separation of reporting

counterparties into two categories (SDor MSP, versus non-SD/MSPcounterparty) appropriate, and does itfurther the purposes described?

• Is the second criterion for swapcreation data—division of swaps intofour categories depending on whetherthey are platform executed and clearedor not—appropriate?• Should the Commission take the

internal recordkeeping systems of SDsand MSPs into account as it does in theproposed regulation?• Is the concept of primary economic

terms data, as defined, inclusive enoughto capture all of the primary economicterms of a swap upon execution?• What are the benefits or drawbacks

of required reporting of primaryeconomic terms data? Will suchreporting serve to verify the accuracy of swap execution data?• Will the required reporting of

confirmation data to an SDR, after thereporting of primary economic termsdata to the SDR, help enable the SDR tosatisfy the statutory requirement toconfirm with both counterparties to theswap the accuracy of the data andinformation submitted?• Should back-office confirmation be

an acceptable means of confirming aswap?• What is the proper way to report

bunched (block) orders that are

allocated to ultimate owners afterexecution?• What is the appropriate time delay

for reporting of primary economic terms by (1) SDs, (2) MSPs, and (3) non-SD/

MSP counterparties? Should the timerequired differ according to thesecategories?• What is the appropriate time delay

for reporting of confirmation terms by(1) SDs, (2) MSPs, and (3) non-SD/MSPcounterparties? Should the timerequired differ according to thesecategories?

• Is there sufficient industryinfrastructure in place to support thelife cycle data reporting approach forcredit and equity swaps?• Is it appropriate to use the life cycle

approach to swap data reporting forcredit swaps, or for equity swaps? Whyor why not?• Is it appropriate to use the daily

snapshot of state data approach to swapdata reporting for interest rate, currencyand commodity swaps? Why or whynot?• Is there currently infrastructure in

place to support alternative approachesfor data reporting for credit, equity,interest rate, currency and commodityswaps?• Is the definition of ‘‘multi-asset

swap’’ appropriate? Why or why not?• For the purposes of the data

recordkeeping and reporting rule,should a multi-asset swap be reportedwithin any of the following categories:credit swaps, equity swaps, currencyswaps, commodity swaps, or interestrate swaps? What criteria should governthis determination?• Should a separate procedure be

established for reporting of multi-assetswaps?•

Should the Commission requirethat, for multi-asset swaps, reportingcounterparties must report all requiredswap data in each asset class involved?• Should a separate procedure be

established for reporting of mixedswaps?• Is the list of swap asset classes all-

inclusive and appropriately defined?Why or why not?• Should a phase-in approach be used

for the time of reporting of confirmation by non-SD/MSP counterparties?

• Should a separate collateralwarehouse system be established as partof an SDR to enable systemic risk and

prudential regulators to monitorcollateral management and grossexposure on a portfolio level for swapparticipants? How should this be done?• Should a separate master agreement

library system be established as part of an SDR? How should this be done?• In what asset class should cross-

currency swaps be reported? Shouldthis be done in the interest rate swapasset class, or in the currency swap assetclass?• For multi-asset class swaps, should

the swap data required to be reported





56See Dodd-Frank Act Title 1, Subtitle B,Sections 151 through 156.

57Dodd-Frank Act, Title 1, Sections 153(2) and153(7).

include all required primary economicterms data for each asset class involvedin any leg or part of the swap?• How should asset class

classification be done for the purpose of data reporting? What should be thecriteria to classify a swap within acertain asset class?• Should foreign exchange swaps be

included in the currency swap assetclass, or should they be treatedseparately for data reporting purposes?A foreign exchange swap is usuallydefined as a financial transactionwhereby two parties exchange agreed-upon amounts of two currencies as aspot transaction, simultaneouslyagreeing to unwind the exchange at afuture date, based on a rule that reflects

both interest and principal payments.

C. Unique Identifiers

Need for Unique Identifiers. Over thecourse of the last decade, virtually allstakeholders in the financial sector havecome to recognize the need foruniversal, accurate, and trusted methodsof identifying particular financialtransactions, the legal entities that areparties to financial transactions, and theproduct type involved in particularfinancial transactions. Such identifierswill be crucial tools for financialregulators tasked with measuring andmonitoring systemic risk, preventingfraud and market manipulation,conducting market and trade practicesurveillance, enforcing position limits,and exercising resolution authority.Without such unique identifiers, and

the ability to aggregate data acrossmultiple markets, entities, andtransactions that they would provide,the enhanced monitoring of systemicrisk and greater market transparencythat are fundamental goals of Dodd-Frank cannot be fully achieved. Suchidentifiers would also have great

benefits for financial transactionprocessing, internal recordkeeping,compliance, due diligence, and riskmanagement by financial entities. TheCommission believes, in light of recenteconomic events, that the need forunique identifiers that are based on

open standards and are capable of international adoption is now urgent,and that their creation has becomeessential.

The Commission understands thatthis conceptual approach is supported

by the SEC. Commission staff haveconsulted closely with SEC staff concerning the unique ID provisions of these regulations. The Commissionanticipates that proposed regulationsissued by SEC with respect to swap datarecordkeeping and reporting will followthe same principles with respect to

unique ID that are included in theunique ID provisions of theCommission’s proposed regulations.The Commission understands, fromdiscussions with staff of the Departmentof the Treasury, that this conceptualapproach could also be followed by theOffice of Financial Research (‘‘OFR’’),created in the Department of the

Treasury by the Dodd-Frank Act 56 inpart for the purposes of standardizingthe types and formats of data reportedand collected by the OFR with regard toswaps, and of assisting agencies that aremembers of the Financial StabilityOversight Council (‘‘FSOC’’) indetermining the types and formats of data they will collect, as required byDodd-Frank.57

The Commission’s own need forunique identifiers for swap transactions,counterparties, and products arises froma need to aggregate and trackinformation on swap transactions

efficiently across a diverse array of market participants, trading venues, andproduct classes. Unlike centralizedfutures markets where standardizedcontracts are traded among participantsin a fairly closed system, swaps have

been and will continue to be offered ina variety of forms and market venues.There is a close relationship betweenthe swap markets and the underlyingcash and futures markets that typicallyprovide the basis for the price referencesand benchmark prices. In addition,

because swaps can serve as a substitutefor a transaction in the underlyingreference market, market participantsare often free to transact in the marketof their choice, meaning that an entitymay hold positions, for example, in boththe futures market and in swaps thatreference the futures market price.

With respect to futures marketsfutures commission merchants, clearingmembers, and foreign brokers arerequired to file reports on the positionsof large traders (as defined by theCommission), and in doing so toaggregate the positions of traders thatmay be held in various accounts at thefirm, and to report them under a single,unique, identifying account number.

Thus, at least with respect to reporting by a single reporting firm, theCommission is able to see the totalposition of a trader in a particularfutures or option contract offered at anexchange. By contrast, swapcounterparties will not necessarilyconduct their trading through a singleentity or trading venue that could easily

aggregate an entity’s position. Instead,swaps having similar underlyingproduct characteristics may be enteredinto through a variety of dealers orMSPs, on different DCMs or SEFs, or in

bilateral trades. In addition, becauseeach swap contract potentially has aunique set of terms and conditions, asopposed to the common set of terms and

conditions that define an exchange-traded futures contract, defining aposition or transaction in a particularcontract can be complicated.

Unique identifiers would also servethe important goal of enabling theCommission to link together all of thevarious types of data that it collects infulfilling its regulatory missions,including data concerning swaps,futures, and large traders. This wouldenhance the effectiveness of theCommission’s various marketmonitoring tools, and improve its abilityto detect and respond to market risks.

The ability of unique identifiers to serveas a data linchpin will also be of great benefit to other financial regulators withrespect to the different types of datathey collect.

Accordingly, the Commission isproposing to require use of uniqueidentifiers designed to ensure theCommission’s ability to aggregatetransaction and position data for thepurpose of conducting market andfinancial risk surveillance, enforcingposition limits, analyzing market data,enforcing Commission regulations,monitoring systemic risk, andimproving market transparency. Such

unique identifiers will better enable theCommission to ascertain the overallpositions and activity of traders in andacross markets, track activity over thelife of individual transactions, anddetermine overall activity in particularproduct classes.

Unique Swap Identifiers. The UniqueSwap Identifier (‘‘USI’’) called for by theproposed rules would be created andassigned to a swap at the time it isexecuted, and used to identify thatparticular swap transaction throughoutits existence. Swaps will typically havea number of events associated with

them over their lifetime, often referredto as life cycle events. These caninclude economic revisions,counterparty changes, early partial orfull terminations, normal terminations,option exercises, credit events, servicingevents and cash flow settlements.Because a swap might have a life thatextends over many years, it is importantthat the Commission be able to identifythe origins of the transaction as well asevents related to that swap over itslifetime. Without the ability to tracktransactions through the use of a unique





identifier, it would be difficult for theCommission to separate newtransactions from existing ones and toidentify changes that have occurred to aspecific swap contract. Use of USIs isalso essential to collating swap creationdata, swap continuation data, and errorcorrections reported by executionplatforms, clearing houses, and

counterparties concerning a single swapinto a single, accurate data record thattracks the swap over its duration.

The Commission believes thatworkable USIs for all swaps under itsjurisdiction can be created via a ‘‘first-touch’’ approach. For a swap executedon a trading platform, the USI would becreated and assigned by the SEF or DCMinvolved. For a swap executed

bilaterally, the USI would be created

and assigned by the SD or MSP requiredto report concerning the swap, or in thecase of a swap between non-SD/MSPcounterparties would be created by theSDR to which the swap is reported.

The proposed rules would ensure theuniqueness of each USI by specifyingthat the USI must include twocomponents. The first component

would be the unique, extensible,alphanumeric code assigned by theCommission to each registered entityrequired by the proposed regulations tocreate USIs, at the time of itsregistration, for the purpose of identifying that entity in the context of USI creation. The second componentwould be an extensible, alphanumericcode generated and assigned by theautomated systems of the registered

entity that must be unique with respectto all such codes generated and assigned

by the entity.

The registered entity creating the USIwould be required to transmit the USIto all other registered entities and swapcounterparties involved with the swap,as soon as technologically practicable

after its creation and assignment.Thereafter, all registered entities andswap counterparties would be requiredto include the USI in all records and allswap data reporting concerning thatswap, throughout the existence of theswap and for as long as any records arerequired to be kept concerning thatswap.BILLING CODE 6351–01–P







Systemic Risk, before the Subcommittee on Securityand International Trade and Finance, Committee onBanking, Housing, and Urban Affairs, U.S. Senate,Washington, DC, February 12, 2010.

59Discussions of the concept of a universal legalentity identification system for financial firms of alltypes often refer to a legal entity identifier or ‘‘LEI.’’This is the same concept addressed by the proposedrule. The proposal refers to the identifier as a UCI,rather than an LEI, because in the context of thisrule it would be used to identify the legal entitieswho are counterparties to a swap. The Commissionrecognizes that identifiers provided by a universallegal identification system through an internationalconsensus process could appropriately be used toidentify legal entities in various other contextsacross the financial sector.

60OTC Derivatives Regulators’ Forum,Prioritization and Communication of Regulatory Data Requests: Consolidated Report and Recommendations, 10 November 2009, at 5(emphasis added).

61ODRF Outline of Trade Repository Functionality Being Sought by Members of the OTC Derivatives Regulators’ Forum, August 27, 2010(revision 2), at 3.

62CFTC, Account Ownership and Control Report,17 CFR Part 16, September 9, 2010.

An important purpose of the UCIrequired by the proposed rules would beto enable effective assessment of counterparty positions and aggregationof swap data across asset classes,markets, and related legal entities, inorder to effectuate the systemic riskprevention and transparency purposesof Dodd-Frank.

Policy analysis by financial regulatorsemploys legal entity reference data asthe basic infrastructure for identifying,describing, classifying, labeling,organizing, and using other information.Such reference data allowsidentification of interconnections

between firms.In the business world, legal entity

reference data can supportcommunication between systems,facilitate transaction processing, andallow for accurate aggregation of positions vis-a-vis individualcounterparties or classes of

counterparties, something necessary foreffective risk management andcalculation of margin. Sales,compliance, and due diligencefunctions also rely on entity identifiers,and would benefit from availability of unique entity identifiers.

Today, there is no universal legalentity identification system available toserve the financial sector and regulatorycommunity.59 In the absence of such auniversal system, private firms andregulators have created a variety of identifiers. This creates inefficienciesfor firms, and presents obstacles toregulators and policymakers.

At private firms, because there is noindustry-wide legal entity identificationstandard, tracking counterparties andcalculating exposures across multipledata systems is complicated, expensive,and can result in costly errors. Forexample, maintaining internal identifierdatabases and reconciling entityidentification with counterparties isexpensive for large firms anddisproportionately so for small firms. Inthe worst case scenario, identificationproblems can lead to transactions thatare broken or fail to settle.

The lack of a universal identificationstandard also creates problems forfinancial regulators. Preciseidentification of financial firms isnecessary to understand systemic risk,which involves entities operating acrossa range of industries. The problems thatfirms face in aggregating exposure aremagnified in measuring risk across the

system. In addition, futures andsecurities regulators must often identifyparents and affiliates of futurescommission merchants or broker-dealersmanually and by name. Multiple andgenerally different identifiers forparticipants can make it difficult tocreate a consolidated order audit trail.

It is worth noting in this context thatleaders in the information technologyindustry have stated that datastandardization is a significant obstacleto using technology to further the needsof private industry and regulators.Complete automation of back-officeactivities and ‘‘straight through

processing’’ remain elusive, in part because of the lack of a universalidentifier for legal entities.

The vendor community has attemptedto provide solutions for these privateand public challenges. However, none issufficiently robust, comprehensive, andopen to serve as an industry-widestandard. Indeed, most of the solutionsoffered by vendors are proprietary andrestricted in use and redistribution. Inaddition, current identifiers are notsufficiently unique or persistent.Current vendor identifiers that areunique and unrestricted with respect to

use and redistribution are limited inscope; for example, limited toinstitutions engaged in paymentactivities.

All of these challenges are magnifiedin the international context. Many inindustry and the world regulatorycommunity have recognized thepotential benefit of a universal standardfor legal entity identification for years.For example, the ODRF has stated that:

A number of key data items related toregistered OTC derivatives transactions spanOTC derivative asset classes— for example,entity representation. * * * In order toensure consistency across asset classes,infrastructure platforms and services shouldmodel these items in a consistent manner,preferably through the development of openstandards in industry forums.60

ODRF’s Outline of Trade Repository Functionality states that trade repositorydata:

should represent the counterparties of thetransaction records it maintains as precise

legal entities, enriched with furthercounterparty information including affiliaterelationships, sector and geography. Affiliaterelationship data should enable the analysisof aggregated transaction records in terms of netting, guaranty, and credit supportarrangements.61

Efforts have been made to create such astandard through domestic and

international processes. Heretofore, alack of focus, funding and investmentissues, and competing priorities haveprevented consensus andimplementation.

However, circumstances havechanged. The financial crisis hasfocused both industry and regulators onthis issue. Dodd-Frank’s mandate to theCommission and the SEC to promulgateregulations for swap data reporting hascreated a window of opportunity for theworld financial sector to come togetherin creation of a universal,internationally accepted standard for

legal entity identification. TheCommission believes that the datareporting regulations to be issuedsimultaneously by the Commission andthe SEC pursuant to Dodd-Frank canand should provide the necessaryimpetus for achieving this long-soughtgoal.

The proposed regulations wouldmandate that each counterparty in anyswap subject to the Commission’sjurisdiction and executed after theeffective date of the Commission’s finalswap data reporting regulations must beidentified in all recordkeeping and

reporting by means of a single UCIhaving the characteristics specified bythe Commission.

It should be noted that the UCIrequirement included in the proposedregulations differs markedly from theconcept of identifying the ultimate

beneficial owners of particular futuresand options accounts, a subjectaddressed in a previous Commissionproposed rulemaking.62 Unlikeidentification of the ownership andcontrol of existing accounts, use of UCIsfor swap data reporting would notrequire modification of existing systemsor alteration of existing data. The UCIrequirement would only applyprospectively to new swap transactionsexecuted following the effective date of the Commission’s final swap datareporting regulations. No substantialalteration of system architecture would

be required; instead, only a single data





63Public Law 104–113, § 12(d). 64CEA § 21(f)(4)(B).

field would need to be added to theinformation submitted with an order fora swap transaction or with a report of swap data to an SDR. Where compilingthe information necessary to create thetype of account ownership and controlreport addressed in the Commission’sproposed ownership and control rulewould depend on collecting data points

not in the possession of any singleentity, by contrast, once a legal entitythat intends to be a swap counterpartyhas obtained an UCI—something itwould only need to do once—it wouldpossess all the information required forits subsequent use.

Information concerning acounterparty’s affiliations must beavailable in conjunction with UCIs inorder to enable regulators to aggregatedata across entities and markets for thepurpose of effective monitoring of systemic risk. For this purpose,regulators need to be able to identify all

swap positions within the sameownership group. Accordingly, theproposed regulations would requireeach swap counterparty to report all of its corporate affiliations into aconfidential, non-public corporateaffiliations reference database,maintained and located as determined

by the Commission. Data contained inthe corporate affiliations referencedatabase would be available only to theCommission, and to other financialregulators via the same data accessprocedures applicable to data in SDRs,for regulatory purposes. For thesepurposes, ‘‘corporate affiliations’’ would

mean the identity of all legal entitiesthat own the counterparty, that areunder common ownership with thecounterparty, or that are owned by thecounterparty. The corporate affiliationinformation reported would be requiredto be sufficient to disclose parent-subsidiary and affiliate relationships,such that each legal entity within oraffiliated with the corporate hierarchyor ownership group to which thecounterparty belongs would beseparately identified. Each counterpartywould also be required to report to thecorporate affiliations reference database

all changes to the informationpreviously reported concerning thecounterparty’s corporate affiliations, soas to ensure that the corporate affiliationinformation recorded in the corporateaffiliations reference database remainscurrent and accurate at all times.

The corporate affiliations referencedatabase would need to be accessible to

both national and international financialregulators in order to make theidentification system involving UCIsfully effective for regulatory purposes.To ensure the availability of

comprehensive and accurateinformation, it would therefore appearto be optimal that there be a singlecorporate affiliations reference database,maintained by a single organization ina single location. The Commission seekscomment on where and by whatorganization the corporate affiliationsdatabase would best be maintained:

whether by an international voluntaryconsensus standards body (discussed

below); by a self-regulatoryorganization; by the Commission; by theOFR; or by some other organization.

The Commission understands that,while a single identifier satisfying therequirements included in the proposedregulations is not currently published

by any standard-setting body, marketparticipants have been workingdiligently to solve practical issues thatstand in the way of such publication.

The Commission believes, andunderstands that the SEC and the OFRalso believe, that optimum effectivenessof UCIs for achieving the systemic riskprotection and transparency goals of Dodd-Frank—goals shared by financialregulators world-wide—would comefrom creation of an identificationsystem, including UCIs, on aninternational basis, through aninternational ‘‘voluntary consensusstandards body’’ as defined in Office of Management and Budget (‘‘OMB’’)Circular No. A–119 Revised. TheNational Technology Transfer andAdvancement Act of 1995 codified OMBCircular No. A–119, and directs Federalagencies to use voluntary consensus

standards in lieu of government-uniquestandards except where inconsistentwith law or otherwise impractical.63 This provision’s intent is to eliminatethe cost to the government of developing its own standards, decreasethe burden of complying with agencyregulations, provide incentives andopportunities to establish standards thatserve national needs, encourage long-term growth for U.S. enterprises,promote efficiency and economiccompetition through harmonization of standards, and further the policy of reliance upon the private sector to

supply government needs for goods andservices. Further, to promote trade andimplement the provisions of international treaty agreements, theprovision requires Federal agencies toconsider international standards inprocurement and regulatoryapplications.

As defined in OMB Circular A–119,‘‘voluntary consensus standards’’ arestandards developed or adopted byvoluntary consensus standards bodies,

both domestic and international. Thesestandards include provisions requiringthat owners of relevant intellectualproperty have agreed to make thatintellectual property available on a non-discriminatory, royalty-free orreasonable royalty basis to all interestedparties. ‘‘Voluntary consensus standards

bodies’’ are domestic or international

organizations that plan, develop,establish, or coordinate voluntaryconsensus standards using agreed-uponprocedures.

For the reasons set forth above, theCommission proposes to use itsrulemaking authority to require the useof UCIs in all swap data reportingsubject to its jurisdiction. TheCommission prefers to have its swapdata reporting regulations prescribe useof a universally-available UCI that ispart of an identification system createdon an international basis through aninternational ‘‘voluntary consensus

standards body,’’

and intends topromulgate final regulations to thateffect if such an identification isavailable sufficiently prior to theimplementation date included in theCommission’s final swap data reportingregulations. However, the Commissionwill prescribe its own method forcreation of UCIs to be used in swap datareporting subject to the Commission’sregulations if no such internationally-accepted identification systemacceptable to the Commission isavailable prior to the implementationdate of the final regulations.

The Commission anticipates that asystem for publication of UCIs meetingthe requirements of the proposedregulations may be developed throughan international voluntary consensus

body and be available as of theimplementation date for the UCIrequirement. Dodd-Frank explicitlypermits the Commission to ‘‘take intoconsideration any evolving standard of the United States or the internationalcommunity.’’ 64

Accordingly, the proposed regulationsset forth principles that the Commission

believes must govern the identificationsystem used to establish UCIs for swap

counterparties, among other purposes.Under these principles, theidentification system must:

• Result in a unique identifier format thatis capable of becoming the singleinternational standard for uniqueidentification of legal entities in the financialsector on a global basis.• Be developed via an international

‘‘voluntary consensus standards body’’ asdefined in OMB Circular No. A–119 Revised,such as the International Organization for





65Dodd-Frank § 729.66CEA § 21(c)(2).67The Commission does not believe that Dodd-

Frank precludes an SDR from accepting and

Standardization (‘‘ISO’’), and must bemaintained by such a body and an associatedRegistration Authority. Both the standards

body and Registration Authority must have aformally documented governance structureacceptable to the Commission.• Be available to all interested parties on

a non-discriminatory, royalty-free orreasonable royalty basis. While reasonableinitial and annual fees would be appropriate

to cover the cost of issuance, maintenance,and initial and ongoing verification of uniqueidentifiers, fees must not be charged forredistribution, publication or other use by thecounterparty identified or any other entity orperson, and the identification system must beoperated on a non-profit basis. Informationconcerning the issuance process for newidentifiers and a comprehensive, currentdirectory of the UCIs issued by theidentification system (but not the entityrelationship or affiliation informationreported by counterparties), must beavailable publicly and free of charge.• Be supported by a trusted and auditable

method of verifying the identity of each legalentity receiving a UCI, both initially and at

appropriate intervals thereafter. TheRegistration Authority must maintainreference data sufficient to verify that a userhas been correctly identified as an entity.Issuance of identifiers must be speedy andunbiased.• Maintain robust quality assurance

practices and system safeguards acceptable tothe Commission.• Be sufficiently extensible to cover all

existing and potential future legal entities of all types that are or may become swapcounterparties, are or may become involvedin any aspect of the financial issuance andtransactions process, or may be subject torequired due diligence by financial sectorentities.• Assign only one unique identifier to any

legal entity.• Have a unique identifier format

consisting of a single data field, and containeither no embedded intelligence or as littleembedded intelligence as practicable.• Persist despite all corporate events.

In the event that an identificationsystem satisfying these principles is notavailable as of the effective date of theproposed regulations, the proposedregulations provide that a UCI for eachswap counterparty must be created andassigned by an SDR, using the methodspecified for this purpose in the

proposed regulations.The Commission seeks commentconcerning the required use of UCIs;concerning the benefits that requireduse of UCIs would create; concerningthe required reporting of affiliationinformation by swap counterparties andthe scope of affiliation informationnecessary to achieve regulatorypurposes; concerning the principles setforth in the proposed regulations fordevelopment of an identification systemincluding UCIs; concerning possiblemeans of achieving international

adoption of a suitable identificationsystem for financial sector legal entitiesthat involves UCIs; and concerning whatinternational voluntary consensusstandards body can best provide theneeded identification standardincluding UCIs, and what advantagesare offered by the standards bodyrecommended by the commenter.

Unique Product Identifiers. TheUnique Product Identifier (‘‘UPI’’) calledfor by the proposed rules would be usedfor categorization of swaps with respectto the underlying products referenced inthem. While the UPI would be assignedto a particular level of the taxonomy of the asset class or sub-asset class inquestion, its existence would enable theCommission and other regulators toaggregate transactions at varioustaxonomy levels based on the type of product underlying the swap. Forexample, a UPI might identify a swapreferencing the NYMEX futures price for

light, sweet crude oil as a NYMEX WTIcrude oil futures price swap. Thetaxonomy associated with the UPIwould enable regulators to identify theproduct underlying the swap as acommodity, an energy product, apetroleum product, a crude oil product,or ultimately the NYMEX crude oilfutures price, as desired.

The ability to identify underlyingproducts in a categorical way wouldserve several regulatory purposes. First,it would enhance transparency, byallowing the Commission or otherregulators to aggregate and report swap

activity at a variety of product typelevels. Second, it would enhanceposition limit enforcement. The Dodd-Frank Act requires the Commission toestablish position limits for agriculturaland exempt commodities that wouldspan across the futures, options andswap markets. A UPI that providesinformation indicating what swaps needto be aggregated with other contractswould enhance the Commission’sability to develop and oversee itsposition limit regulatory program.Third, it would enhance analysis of swap data. For example, classification of swaps via UPIs would facilitateexamination of the activity of marketparticipants at various levels of aproduct class. The Commission isrequired by Dodd-Frank to preparesemi-annual reports regarding swapmarket activity, and such classificationvia UPIs would be necessary formeaningful evaluation of such activity.

Effective use of UPIs for regulatorypurposes would require a robusttaxonomy for swaps in each swap assetclass, as well as decisions concerningwhat classification scheme to use, and

concerning the appropriate level for UPIassignment within such taxonomies.

The Commission seeks commentsconcerning the most effectiveclassification scheme for swap products,and concerning the taxonomy levelwithin each swap asset class at whichUPIs should be assigned. In consideringthese issues, commenters should take

into consideration what levels of aggregation are desirable for reportingswap activity. The Commission alsoseeks comment concerning the benefitsor burdens that required use of UPIswould create, and concerning theoptimal implementation date foreffective adoption and use of UPIs.

D. Determination of Which Counterparty Must Report

New Section 4r(3) of the CEAspecifies the counterparty obligated toreport a swap transaction to a swap datarepository.65 Specifically, Section 4r(3)provides that:

With respect to a swap in which only 1[sic] counterparty is a swap dealer or majorswap participant, the swap dealer or majorswap participant shall report the swap * * *With respect to a swap in which 1 [sic]counterparty is a swap dealer and the othera major swap participant, the swap dealershall report the swap. * * * With respect toany other swap * * * the counterparties tothe swap shall select a counterparty to reportthe swap * * *.

The effect of this provision is toestablish a hierarchy of counterpartytypes for reporting obligation purposes,in which SDs outrank MSPs, whooutrank non-SD/MSP counterparties.Where both counterparties are at thesame hierarchical level, the statute callsfor them to select the counterpartyobligated to report.

The Commission believes that,regardless of the possible merits of swapdata reporting by both counterparties toa swap, this statutory provision does notpermit the Commission by regulation orother regulatory action to require swapdata reporting by both counterparties toa swap. New CEA Section 21 doesprovide, with respect to the duties of anSDR, that an SDR shall ‘‘confirm with

both counterparties to the swap the

accuracy of the data that wassubmitted.’’ 66 However, the obligationto report swap data to an SDR is distinctfrom the duty of the SDR to confirm theaccuracy of the reported data. Congresscould have provided for reporting by

both counterparties, but chose instead toestablish which counterparty bears theobligation to report.67 The proposed





maintaining swap data from both counterparties toa swap. For example, an SDR or its affiliateperforming the ancillary service of maintaining thesingle binding legal record of a swap, such as the‘‘gold’’ record maintained by the Depository Trust &Clearing Corporation (‘‘DTCC’’) for credit swaps,would not be barred from receiving dual reportingin that connection.

regulations require reporting of confirmation data for all swaps as ameans of verification of the accuracy of the data submitted in connection witheach swap.

While Section 4r(a) of the CEAapplies explicitly to swaps not acceptedfor clearing by any DCO, theCommission believes, preliminarily,

that for the sake of uniformity and easeof applicability, the duty to reportshould be borne by the samecounterparty regardless of whether theswap is cleared or uncleared. TheCommission also believes it isappropriate for SDs and MSPs to havethe responsibility of reporting withrespect to the majority of swaps,

because they are more likely than othercounterparties to have automatedsystems in place that can facilitatereporting.

The proposed regulations establish amechanism for counterparties to follow

in choosing the counterparty to report insituations where both counterpartieshave the same hierarchical status, inorder to prevent confusion or delayconcerning this choice. Where bothcounterparties are SDs, or both areMSPs, or both are non-SD/MSPcounterparties, the proposed regulationsrequire the counterparties to agree asone term of their swap transactionwhich counterparty will fulfill reportingobligations with respect to that swap.

The proposed regulations also providethat, where only one counterparty to aswap is a U.S. person, the U.S. personshould be the reporting counterparty.The Commission believes this approachis necessary in order to ensurecompliance with reporting requirementsin such situations.

The Commission requests commentconcerning the possible utility of sometype of swap data reporting by bothcounterparties, and how such dualreporting could be achieved other than

by regulations requiring such reporting(which regulations appear barred byDodd-Frank); regarding whetherreporting of confirmation data is asufficient means of verifying with bothparties the accuracy of swap data

reported to an SDR, and if not, whatother means should be employed; onwhether selection of the reportingcounterparty should be the same forcleared swaps as for non-cleared swaps,and if not on how the reporting

counterparty should be selected forcleared swaps; and on the mechanismsprovided in the proposed regulation forcounterparties to follow in choosing thecounterparty to report in situationswhere both counterparties have thesame hierarchical status, and onpossible alternative mechanisms for thispurpose.

E. Third Party Facilitation of Swap DataReporting

While the various reportingobligations established in the proposedregulations fall explicitly on registeredentities and swap counterparties, theCommission recognizes that practicality,efficiencies, and decreased cost could insome circumstances be gained byengaging third parties to facilitate theactual reporting of information. The useof such third-party facilitators, however,should not allow the counterparty withthe obligation to report to avoid itsresponsibility to report swap data in atimely and accurate manner. Therefore,the proposed regulations explicitlyrecognize that registered entities andcounterparties required to report underprovisions in Part 45 may contract withthird-party service providers to facilitatereporting, but, nonetheless, remain fullyresponsible for reporting as required bythe regulations.

The Commission requests commenton the merits of allowing third partyfacilitation of swap data reporting; onappropriate types of third partyfacilitators and functions to be used forthis purpose; and on the automated

system and connectivity technology thatmay be required or should be used inthis connection.

F. Reporting to a Single SDR

The Commission believes thatimportant regulatory purposes of Dodd-Frank would be frustrated, and thatregulators’ ability to see necessaryinformation concerning swaps could beimpeded, if data concerning a givenswap was spread over multiple SDRs.Accordingly, the proposed regulationswould require that all swap data for agiven swap must be reported to a single

SDR, which shall be the SDR to whichrequired primary economic terms datafor that swap is first reported. Theproposed regulations would alsoprovide that the SDR receiving thisinitial report must transmit its ownidentity, together with the USI for theswap (created as provided in §45.4) toeach counterparty to the swap, to theSEF or DCM, if any, on which the swapwas executed, and to the DCO, if any,to which the swap is submitted forclearing. Thereafter, the proposedregulations would require that all data

reported for the swap by any registeredentity or any counterparty to the swap,and all corrections of errors andomissions in previously reported data,must be reported to that same SDR (orto its successor in the event that itceases to operate).

Where the initial report of requiredprimary economic terms data is made by

the SEF or DCM on which a swap isexecuted, or by an SD or MSPcounterparty in the case of a swap notexecuted on a SEF or DCM, theproposed regulations would providethat the choice of the SDR to receive theinitial report shall be made in a mannerto be determined by the Commissionprior to adoption of its final swap datareporting regulations. Where the initialreport of required primary economicterms data is made by a non-SD/MSPcounterparty, the proposed regulationswould provide that the non-SD/MSPcounterparty making that report shall

choose the SDR to which the report ismade.The Commission requests comment

concerning the benefits or drawbacks of requiring that all swap data for a givenswap should be reported to the sameSDR; concerning how the choice of theSDR to which swap data is to bereported for a swap should be made,and concerning what registered entity orswap counterparty should make thischoice.

G. Data Reporting for Swaps in Asset Classes Not Accepted by Any Swap DataRepository

Section 4r(a)(1)(B) of the CEArecognizes that in some circumstancesthere may be no SDR that will acceptswap data for certain swap transactions.This category of swaps should belimited, since proposed regulations forSDRs set forth in the Commission’sseparate advance notice of proposedrulemaking regarding SDRs will requirean SDR that accepts swap data for anyswap in an asset class to accept data forall swaps in that asset class. However,situations could arise where a novelproduct does not fit into any existingasset class, or where no SDR yet accepts

swap data for any swap in an existingasset class. In such situations, the CEAand the proposed regulations wouldrequire the reporting counterparty toreport to the Commission all swap datarequired by Part 45 to be reported to anSDR where one is available. This reportwould be required to be made at a timeand in a form and manner determined

by the Commission.The Commission requests comment

on whether SDRs that accept data forany swap in a swap asset class should

be required to accept data for all swaps





68CEA § 21(b)(2).69CEA §21(c)(3) and (4). 70CEA § 21(f)(4)(B).

in that asset class; and on the time andthe form and manner of reporting thatthe Commission should require withrespect to data reporting for swaps thatmust be reported to the Commission

because no SDR presently accepts swapdata for swaps in the asset classinvolved.

H. Required Data StandardsDodd-Frank directs the Commission

to ‘‘prescribe data collection and datamaintenance standards for swap datarepositories.’’ 68 It also provides thatSDRs shall maintain swap data reportedto them ‘‘in such form, in such manner,and for such period as may be required

by the Commission,’’ and directs SDRsto ‘‘provide direct electronic access tothe Commission.’’ 69 These requirementsare designed to effectuate thefundamental purpose for thelegislation’s swap data reportingrequirements: making swap dataavailable to the Commission and otherfinancial regulators so as to enable themto better fulfill their market oversightand other regulatory functions, increasemarket transparency, and mitigatesystemic risk. Accordingly, theCommission believes that datastandards for SDRs must enable them toprovide data to the Commission in aformat that enables its effective andtimely use for such purposes.

The Commission has considered, andwill continue to consider, whether itwould be preferable to require that allswap data reporting to SDRs be done ina uniform reporting format or via a

single data standard. However, theCommission is aware that such arequirement would be likely to requirechanges to the existing automatedsystems of some entities andcounterparties that will be required toreport swap data pursuant to theseregulations, and that in some cases suchchanges could impose a substantial

burden on such entities andcounterparties. The Commission has

been advised by some existing traderepositories that they are able to acceptdata in multiple formats or datastandards from different counterparties,

and to map the data they receive into acommon data standard within therepository, without undue difficulty,delay, or cost. The Commissionunderstands that automated systemsand data standards evolve over time,and that it may be desirable forregulations concerning data standards toavoid locking reporting entities,reporting counterparties, and SDRs intoparticular data standards that could

become less appropriate in the future.Dodd-Frank explicitly permits theCommission to ‘‘take into considerationany evolving standard of the UnitedStates or the internationalcommunity.’’ 70

Finally, the Commission anticipatesthat the degree of flexibility offered bySDRs concerning data standards for

swap data reporting could become anelement of marketplace competitionwith respect to SDRs.

Accordingly, the proposed regulationswould require an SDR to maintain allswap data reported to it in a formatacceptable to the Commission, and totransmit all swap data requested by theCommission to the Commission in anelectronic file in a format acceptable tothe Commission. The proposedregulations would require reportingentities and counterparties to use thefacilities, methods, or data standardsprovided or required by an SDR towhich they report data, but also wouldallow an SDR to permit reporting viavarious facilities, methods, or datastandards, provided that itsrequirements in this regard enable it tomaintain swap data and transmit it tothe Commission as the Commissionrequires. The Commission believes thatthis approach can provide marketparticipants sufficient flexibility andopportunity to innovate, while alsoensuring that SDRs can meet their legalmandates to transmit swap data to theCommission in a timely fashion.Finally, the proposed regulations woulddelegate to the Director of the Division

of Market Oversight the ability toaccommodate the needs of differentcommunities of users and to provide theflexibility to adapt to changingcircumstances and evolving datastandards.

The Commission requests commentsconcerning the approach to datastandards taken in the proposedregulation; and concerning the relativemerits of leaving SDRs free to permitreporting via various facilities, methods,or data standards, provided that itsrequirements in this regard enable it tomaintain swap data and transmit it to

the Commission as the Commissionrequires; concerning whether theCommission should require use of asingle data standard (e.g., FpML) by allreporting entities and counterpartiesand by all SDRs.

I. Reporting of Errors and Omissions inPreviously Reported Data

Accurate swap data is essential toeffective fulfillment of the variousregulatory functions of financial

regulators. To help ensure dataaccuracy, the proposed regulationswould require registered entities andswap counterparties that report swapdata to an SDR or to any other registeredentity or swap counterparty to reportany errors or omissions in the data theyreport, as soon as technologicallypracticable after discovery of any error

or omission. Because daily snapshotreports of state data by reportingcounterparties by their nature cancorrect errors or omissions in previoussnapshot reports, the proposedregulations provide that for interest rateswaps, commodity swaps, and currencyswaps, reporting counterparties fulfillthe requirement to report errors oromissions in state data previouslyreported by making corrections in theirnext daily report of state data. BecauseDodd-Frank permits the Commission torequire reporting by only one swapcounterparty, and because error and

omission correction from non-reportingcounterparties is nevertheless desirableto better ensure data accuracy, theproposed regulation (a) would require anon-reporting swap counterparty thatdiscovers any error or omission withrespect to any swap data reported to anSDR for its swaps to notify the reportingcounterparty promptly of each sucherror or omission, and (b) would requirethe reporting counterparty, uponreceiving such notice, to report acorrection of each such error oromission to the SDR, as soon astechnologically practicable afterreceiving notice of it from the non-

reporting counterparty.To ensure consistency of data within

an SDR with respect to error corrections,the proposed regulations would requirean entity or counterparty correcting anerror or omission to do so in the samedata format it used in making theerroneous report. To similarly ensureconsistency of data transmitted to theCommission with respect to errorcorrections, the proposed regulationsimpose the same requirement on SDRswith respect to transmission of errorcorrections.

The Commission requests comment

concerning the requirement that allentities and counterparties that reportswap data to an SDR or to any otherregistered entity or swap counterpartymust report any errors or omissions inthe data they report, as soon astechnologically practicable afterdiscovery of any error or omission;concerning the mechanism provided inthe proposed regulation for reporting of errors or omissions discovered by a non-reporting swap counterparty, andwhether any alternative methods for thispurpose would be preferable; and





715 U.S.C. 601 et seq.725 U.S.C. 601 et seq.7347 FR 18618 (Apr. 30, 1982).7447 FR 18618, 18619 (April 30, 1982) discussing

contract markets; and 66 FR 45604, 45609 (August29, 2001) discussing derivatives clearingorganizations.

7547 FR 18618 (Apr. 30, 1982).

76 Id. at 18619.7747 FR at 18620.7829 U.S.C. 11067944 U.S.C. 3501 et seq.

80

Because SDRs, MSPs, SDs, DCOs, and SEFs arenew entities, estimates were made by theCommission: 15 SDRs, 50 MSPs, 250 SDs, 12 DCOs,and 40 SEFs. The number of DCMs was estimatedto be 17 DCMs based on the current (as of October18, 2010) number of designated DCMs (http:// services.cftc.gov/SIRT/SIRT.aspx?Topic=Trading Organizations&implicit=true&type=DCM&CustomColumnDisplay=TTTTTTTT ). Additionally, forpurposes of the Paperwork Reduction Act, theCommission estimates that there would be 30,000non-SD/MSP counterparties who would annually be subject to the recordkeeping requirements of proposed Regulation 45.1. Because the Commissionhas not regulated the swap market, it has notcollected data relevant to this estimate. Therefore,the Commission requests comment on this estimate.

concerning the requirement for use of the same data format to report errors oromissions that was used to report theerroneous data in question.

III. Related Matters

A. Regulatory Flexibility Act

The RFA 71 requires that agenciesconsider whether the rules they proposewill have a significant economic impacton a substantial number of small entitiesand, if so, provide a regulatoryflexibility analysis respecting theimpact.72 The rules proposed by theCommission would affect SDRs, DCOs,SEFs, DCMs, SDs, MSPs, andnon-SD/MSP counterparties who arecounterparties to one of more swaps andsubject to the Commission’sjurisdiction. The Commission haspreviously established certaindefinitions of ‘‘small entities’’ to be used

by the Commission in evaluating theimpact of its regulations on small

entities in accordance with the RFA.73 In its previous determinations, theCommission has concluded that DCMsand DCOs are not small entities for thepurpose of the RFA.74

As SDRs, SDs, MSPs and SEFs arenew entities to be regulated by theCommission pursuant to the Dodd-Frank Act, the Commission has notpreviously determined whether they aresmall entities for the purpose of theRFA. The Commission is proposing todetermine that SDRs, SDs, MSPs andSEFs covered by these rules, for reasonssimilar to those applicable to DCMs and

DCOs, are not small entities forpurposes of the RFA.

Specifically, the Commissionproposes that SDRs, SDs, MSPs andSEFs should not be considered smallentities based on, among other things,the central role they will play in thenational regulatory scheme overseeingthe trading of swaps. Because they will

be required to accept swaps across assetclasses, SDRs will require significantoperational resources. With respect toSDs, the Commission previously hasdetermined that FCMs should not beconsidered to be small entities for

purposes of the RFA.75

Like FCMs, SDswill be subject to minimum capital andmargin requirements, and are expectedto comprise the largest global financialfirms. Additionally, the Commission isrequired to exempt from designation

entities that engage in a de minimislevel of swaps.76 Similarly, with respectto MSPs, the Commission has alsopreviously determined that large tradersare not ‘‘small entities’’ for RFApurposes.77 Like large traders, MSPswill maintain substantial positions,creating substantial counterpartyexposure that could have serious

adverse effects on the financial stabilityof the United States banking system orfinancial markets. With respect to SEFs,not only will SEFs play a vital role inthe national economy, but they will berequired to operate as self-regulatoryorganizations, subject to Commissionoversight, with statutory duties toenforce the rules adopted by their owngoverning bodies. Most of these entitieswill not be small entities for RFApurposes.

The proposed regulations wouldrequire reporting by a non-SD/MSPcounterparty only with respect to swaps

in which neither counterparty is an SDor MSP. The considerable majority of swaps involve at least one SD or MSP.In addition, most end users and othernon-SD/MSP counterparties who areregulated by the Employee RetirementIncome Security Act of 1974 ( ‘‘ERISA’’),such as pension funds, which are amongthe most active participants in the swapmarket, are prohibited from transactingdirectly with other ERISA-regulatedparticipants.78 Therefore, theCommission does not believe that thereporting obligations under thisrulemaking will create a significanteconomic impact on a substantialnumber of small entities.

Accordingly, the Chairman, on behalf of the Commission, hereby certifiespursuant to 5 U.S.C. 605(b) that theproposed rules will not have asignificant impact on a substantialnumber of small entities. Nonetheless,the Commission specifically requestscomment on the impact these proposedrules may have on small entities.

B. Paperwork Reduction Act

Introduction. Provisions of proposedCommission Regulations 45.2, 45.3, and45.4 would result in new collection of

information requirements within themeaning of the Paperwork ReductionAct (‘‘PRA’’).79 The Commissiontherefore is submitting this proposal tothe Office of Management and Budget(OMB) for review in accordance with 44U.S.C. 3507(d) and 5 CFR 1320.11. Thetitle for this collection of information is‘‘Regulations 45.2, 45.3, and 45.4—Swap

Data Recordkeeping and ReportingRequirements,’’ OMB control number3038—NEW). If adopted, responses tothis new collection of informationwould be mandatory. The Commissionwill protect proprietary informationaccording to the Freedom of InformationAct and 17 CFR part 145, ‘‘CommissionRecords and Information.’’ In addition,

section 8(a)(1) of the Act strictlyprohibits the Commission, unlessspecifically authorized by the Act, frommaking public ‘‘data and informationthat would separately disclose the

business transactions or marketpositions of any person and tradesecrets or names of customers.’’ TheCommission also is required to protectcertain information contained in agovernment system of records accordingto the Privacy Act of 1974, 5 U.S.C.552a.

Information Provided by Reporting Entities/Persons. Under proposed

Regulation 45.2, SDRs, SEFs, DCMs,DCOs, SDs, MSPs, and non-SD/MSPcounterparties—which presently wouldinclude an estimated 30,384 entities orpersons 80—would be required to keeprecords of all activities relating toswaps. Specifically, proposedRegulation 45.2 would require SDRs,SEFs, DCMs, DCOs, SDs, and MSPs tokeep complete records of all activitiesrelating to their business with respect toswaps. The proposed regulation wouldrequire non-SD/MSP counterparties tokeep complete records with respect toeach swap in which they are acounterparty. With respect to SDs and

MSPs, the Commission has determinedthat proposed Regulation 45.2 will notimpose any new recordkeeping orinformation collection requirements, orother collections of information thatrequire approval of the Office of Management and Budget under thePaperwork Reduction Act.Requirements for maintaining andrecording swap transaction data by SDsand MSPs will be addressed by relatedrulemakings associated with businessconduct standards for SDs and MSPs aspart of the Commission’s overall


http://services.cftc.gov/SIRT/SIRT.aspx?Topic=TradingOrganizations&implicit=true&type=DCM&CustomColumnDisplay=TTTTTTTT












81The Commission invites public comment onthe accuracy of its estimate that no additionalrecordkeeping or information collectionrequirements related to SDs and MSP would resultfrom the rules proposed herein.

82For purposes of this Paperwork Reduction Actanalysis, the Commission estimates that ‘‘highactivity’’ entities or persons are those who processor enter into hundreds or thousands of swaps perweek that are subject to the jurisdiction of theCommission. Low activity users would be thosewho process or enter into substantially fewer thanthe high activity users. The Commission requestscomment on its estimate.

83Estimated burden hours were obtained inconsultation with the Commission’s informationtechnology staff. The Commission requestscomment on these estimates.

84The Commission estimated 2,080 hours byassuming that a significant number of SEFs, DCMs,

DCOs, MSP, and SDs will dedicate the equivalentof at least one full-time employee to ensuringcompliance with the reporting obligations of Regulation 45.3 (2,080 hours = 52 weeks × 5 days×

8 hours). The Commission believes that this is areasonable assumption due to the volume of swaptransactions that will be processed by these entities,the varied nature of the information required to bereported by Regulation 45.3, and the frequency(daily) with which some reports must be made. TheCommission requests comment on its estimate.

85This is the estimated number of non-SD/MSPcounterparties who would be required to report ina given year. Only one counterparty to a swap isrequired to report, typically an SD or a MSP asdetermined by proposed Regulation 45.4. TheCommission requests comment on this estimate.

86Estimated burden hours were obtained inconsultation with the Commission’s informationtechnology staff. The Commission requestscomment on these estimates.

rulemaking initiative implementing theDodd-Frank Act.81 With respect toSDRs, SEFs, DCMs, DCOs (an estimated84 entities or persons), which will havehigher levels of swap recordingactivity 82 than non-SD/MSPcounterparties, the Commissionestimates that there may beapproximately 40 annual burden hours

per entity, excluding customary andusual business practices. With respect tonon-SD/MSP reporting counterparties(an estimated 30,000 entities orpersons), who will have lower levels of swap recording activity, theCommission estimates that there may beapproximately 10 annual burden hoursper entity, excluding customary andusual business practices. Therefore,there are 303,360 estimated aggregateannual burden hours.

Under proposed Regulation 45.3,SEFs, DCMs, DCOs, MSPs, SDs, andnon-SD/MSP counterparties would be

required to provide reports to SDRsregarding swap transactions. SEFs andDCMs are required to report certaininformation once at the time of swapexecution. DCOs, SDs, MSPs, and non-SD/MSP counterparties are required toreport certain information once, as wellas other information on a daily basis.With respect to reporting by SDs, MSPs,and non-SD/MSP counterparties, onlyone counterparty to a swap is requiredto report, typically an SD or an MSP asdetermined by proposed Regulation45.4. The Commission anticipates thatthe reporting will to a significant extent

be automatically completed byelectronic computer systems; thefollowing burden hours are calculated

based on the annual burden hoursnecessary to oversee and maintain thereporting functionality.83 SEFs, DCMs,DCOs, MSPs, and SDs (an estimated 369entities or persons) are anticipated tohave high levels of reporting activity;the Commission estimates that theiraverage annual burden may beapproximately 2,080 hours.84 Non-SD/

MSP counterparties who would berequired to report—which presentlywould include an estimated 1,500entities 85—are anticipated to havelower levels of activity with respect toreporting; the Commission estimatesthat their annual burden may beapproximately 75 hours. Therefore,there are 880,020 estimated aggregate

annual burden hours.Under proposed Regulation 45.4,

SDRs, SEFs, DCMs, SDs, and MSPswould be required to report a uniqueswap identifier to other registeredentities and swap participants. SEFs andDCMs are anticipated to have higherlevels of activity than SDRs, SDs, andMSPs with respect to unique swapidentifier reporting. The Commissionanticipates that the reporting of theunique swap identifier will beautomatically completed by electroniccomputer systems. The following

burden hours are based on the estimated

burden hours necessary to oversee andmaintain the electronic functionality of unique swap ID reporting.86 TheCommission estimates that SEFs andDCMs (an estimated 57 entities orpersons) may have approximately 22annual burden hours per entity. TheCommission estimates that SDRs, SDs,and MSPs (an estimated 315 entities orpersons) may have approximately 6annual burden hours per entity.Therefore, there are 3,144 estimatedaggregated annual burden hours.

Additionally under ProposedRegulation 45.4, SDs, MSPs, and non-SD/MSP counterparties (an estimated

30,300 entities and persons), would berequired to report into a confidentialdatabase their ownership andaffiliations information (as well aschanges to ownership and affiliations).The report would be made once at thetime of the first swap reported to anSDR, and would be made anytimethereafter that the entity’s legalaffiliations change. The estimatednumber of burden hours per report is

approximately two hours per entity,excluding customary and usual businesspractices. The number of reportsrequired to be made per year isestimated to vary between zero and four,depending on the number of changes anentity has in its legal affiliations in thatyear. Thus, the estimated annual burdenper entity varies between zero and eight

burden hours. Therefore, there are between 0 and 242,400 estimatedaggregate annual burden hours.

Information Collection Comments.The Commission invites the public andother Federal agencies to comment onany aspect of the reporting andrecordkeeping burdens discussed above.Pursuant to 44 U.S.C. 3506(c)(2)(B), theCommission solicits comments in orderto: (i) Evaluate whether the proposedcollection of information is necessaryfor the proper performance of thefunctions of the Commission, includingwhether the information will have

practical utility; (ii) evaluate theaccuracy of the Commission’s estimateof the burden of the proposed collectionof information; (iii) determine whetherthere are ways to enhance the quality,utility, and clarity of the information to

be collected; and (iv) minimize the burden of the collection of informationon those who are to respond, includingthrough the use of automated collectiontechniques or other forms of informationtechnology.

Comments may be submitted directlyto the Office of Information andRegulatory Affairs, by fax at (202) 395–6566 or by e-mail at

[email protected]. Pleaseprovide the Commission with a copy of submitted comments so that allcomments can be summarized andaddressed in the final rule preamble.Refer to the Addresses section of thisnotice of proposed rulemaking forcomment submission instructions to theCommission. A copy of the supportingstatements for the collections of information discussed above may beobtained by visiting RegInfo.gov. OMBis required to make a decisionconcerning the collection of information

between 30 and 60 days after

publication of this release.Consequently, a comment to OMB ismost assured of being fully effective if received by OMB (and the Commission)within 30 days after publication of thisnotice of proposed rulemaking.

C. Cost-Benefit Analysis

Introduction. Section 15(a) of theCommodity Exchange Act (‘‘CEA’’)requires the Commission to consider thecosts and benefits of its actions beforeissuing a rulemaking under the Act. Byits terms, section 15(a) does not require







the Commission to quantify the costsand benefits of the rulemaking or todetermine whether the benefits of therulemaking outweigh its costs; rather, itrequires that the Commission ‘‘consider’’

the costs and benefits of its actions.Section 15(a) further specifies that thecosts and benefits shall be evaluated inlight of five broad areas of market and

public concern: (1) Protection of marketparticipants and the public; (2) theefficiency, competitiveness andfinancial integrity of markets; (3) pricediscovery; (4) sound risk managementpractices; and (5) other public interestconsiderations. The Commission may inits discretion give greater weight to anyone of the five enumerated areas andcould in its discretion determine that,notwithstanding its costs, a particularrule is necessary or appropriate toprotect the public interest or toeffectuate any of the provisions toaccomplish any of the purposes of the

Act.Summary of proposed requirements.The proposed Commission regulationsin Part 45 would provide for certainrecordkeeping and data reportingrequirements for SDRs, SEFs, DCMs,DCOs, SDs, MSPs, and non-SD/MSPcounterparties. The proposedregulations would require SDRs, SEFs,DCMs, DCOs, SDs, and MSPs to keeprecords of all activities relating to their

business with respect to swaps; non-SD/MSP counterparties would be requiredto keep records with respect to eachswap in which they are a counterparty.The proposed regulations would require

SEFs, DCMs, DCOs, SDs, MSPs, andnon-SD/MSP counterparties to report toSDRs various types of swap data, asdefined and required in the regulations.Further, in some instances the proposedregulations would require SDRs, SEFs,DCMs, SDs, and MSPs to create uniqueswap identifiers and transmit them toother registered entities and swapparticipants. Additionally, the proposedregulations would require SDs, MSPs,and non-SD/MSP counterparties toreport their ownership and affiliationsinformation (as well as changes toownership and affiliations), in a manner

to be determined by the Commissionprior to its adoption of final swap datareporting regulations.

Costs. With respect to costs, theCommission believes that the proposedreporting and recordkeepingrequirements could impose significantcompliance costs on some SDRs, SEFs,DCMs, DCOs, SDs, MSPs, and non-SD/MSP counterparties. The proposedregulations could require capitalexpenditures for some such entities thatcould affect the ability of someregulated entities to compete in the

global marketplace because of reductions in available resources.

Benefits. Notwithstanding thepotential costs that could be incurred bySDRs, SEFs, DCMs, DCOs, SDs, MSPs,and non-SD/MSP counterparties, theCommission believes that the benefits of the proposed regulations are significantand important. Through the requirement

that swap information be reported toSDRs, the proposed regulations willgreatly improve the efficiency andtransparency of the swap market.Through the Commission’s access toswap data, market participants and thepublic will be better protected, as theresult of increased market surveillanceand monitoring.

The Commission believes that theproposed regulations are essential to thefinancial protection of swap marketparticipants and the public. With theirsupport for greater transparency andmore effective oversight, the proposedregulations will help to ensure theefficiency, competitiveness, andfinancial integrity of swap markets. Byproviding regulators data necessary foreffective prudential supervision, theproposed regulations will enableenhanced protection against systemicrisk. The proposed regulations will alsoimprove the important function of pricediscovery. For all these reasons, theproposed regulations would serve thepublic interest.

Public Comment. For the reasons setforth above, the Commission believesthat the benefits of the proposedregulations outweigh their costs, and

has decided to issue them. TheCommission invites public comment onits cost-benefit considerations.Commenters are also invited to submitany data or other information that theymay have quantifying or qualifying thecosts and benefits of the Proposal withtheir comment letters.

IV. Proposed Effective Date

The Commission understands that,after the date on which the Commissionpromulgates its final swap datareporting regulations, the industry willneed a reasonable period of time to

implement the requirements of thoseregulations. Time may be required forentities to register as SEFs, DCMs,DCOs, or SDRs (or to update currentregistrations as DCMs or DCOs)pursuant to new Commissionregulations concerning such entities.Time may also be needed for registeredentities and potential swapcounterparties to adapt or createautomated systems capable of fulfillingthe requirements of Commissionregulations concerning swap datareporting. Accordingly, it may be

appropriate for the Commission’s finalswap data reporting regulations toestablish an effective date for therequirements contained in thoseregulations that is later than the date of their promulgation.

The Commission requests commentconcerning the need for animplementation date for its final swap

data reporting regulations that is laterthan the date of their promulgation;concerning the benefits or drawbacks of such an approach; concerning the lengthof time needed for registered entitiesand potential swap counterparties toprepare for implementation in the waysdiscussed above, or otherwise; andconcerning the implementation datewhich the Commission should specifyin its final regulations concerning swapdata reporting.

V. General Solicitation of Comments

The Commission requests comments

concerning all aspects of the proposedregulations, including, withoutlimitation, all of the aspects of theproposed regulations on whichcomments have been requestedspecifically herein.

Proposed Rules

List of Subjects in 17 CFR Part 45

Swaps, data recordkeepingrequirements and data reportingrequirements.

For the reasons set forth in thepreamble, the Commodity FuturesTrading Commission proposes to add anew part 45 to read as follows:

PART 45—SWAP DATARECORDKEEPING AND REPORTINGREQUIREMENTS

Sec.45.1 Definitions.45.2 Swap recordkeeping.45.3 Swap data reporting.45.4 Unique identifiers.45.5 Determination of which counterparty

must report.45.6 Third-party facilitation of data

reporting.45.7 Reporting to a single SDR.45.8 Data reporting for swaps in a swap

asset class not accepted by any SDR.45.9 Required data standards.45.10 Reporting of errors and omissions in

previously reported data.Appendix 1 to Part 45—Tables of minimum

primary economic terms data andminimum valuation data

Appendix 2 to Part 45—Master referencegeneric data fields list

Authority: 7 U.S.C. §§2(a)(13)(G), 4r, 6s,7, 7a–1, 7b–3, 12a and 21(b), as amended byTitle VII of the Wall Street Reform andConsumer Protection Act of 2010, Public Law111–203, 124 Stat. 1376 (2010).





§ 45.1 Definitions.

As used in this part 45, the followingterms shall have the definitions set forth

below.(a) ‘‘Asset class’’ means the particular

broad category of goods, services orcommodities underlying a swap. Theasset classes include interest rate,currency, credit, equity, other

commodity, and such other asset classesas may be determined by theCommission.

(b) ‘‘Confirmation’’ (‘‘confirming’’)means the consummation (electronicallyor otherwise) of legally bindingdocumentation (electronic or otherwise)that memorializes the agreement of theparties to all terms of a swap. Aconfirmation must be in writing(whether electronic or otherwise) andmust legally supersede any previousagreement (electronically or otherwise).

(c) ‘‘Confirmation data’’ means all of the terms of a swap matched and agreed

upon by the counterparties inconfirming the swap.

(d) ‘‘Contract-intrinsic event’’ means ascheduled, anticipated event occurringduring the existence of a swap that doesnot result in any change to thecontractual terms of the swap,including, without limitation, thescheduled expiration of a swap, or apreviously described and anticipatedinterest rate adjustment (e.g., a quarterlyinterest rate adjustment).

(e) ‘‘Contract-intrinsic event data’’

means, with respect to a credit swap orequity swap, all of the data elements

necessary to fully report any contract-intrinsic event with respect to thatswap.

(f) ‘‘Credit swap’’ means any swap thatis primarily based on instruments of indebtedness, including, withoutlimitation: Any swap primarily based onone or more broad-based indices relatedto instruments of indebtedness; and anyswap that is an index credit swap ortotal return swap on one or more indicesof debt instruments.

(g) ‘‘Currency swap’’ means any swapwhich is primarily based on rates of exchange between difference currencies,changes in such rates, or other aspectsof such rates. This category includesforeign exchange swaps as defined inCEA Section 1a(25).

(h) ‘‘Derivatives ClearingOrganization’’ or ‘‘DCO’’ has the meaningset forth in CEA Section 1a(9), and anyCommission regulation implementingthat Section, including, withoutlimitation, §39.5 of this chapter.

(i) ‘‘Designated Contract Market’’ or‘‘DCM’’ has the meaning set forth in CEASection 5, and any Commissionregulation implementing that Section.

(j) ‘‘Equity swap’’ means any swap thatis primarily based on equity securities,including, without limitation: Any swapprimarily based on one or more broad-

based indices of equity securities; andany total return swap on one or moreequity indices.

(k) ‘‘Interest rate swap’’ means anyswap which is primarily based on one

or more interest rates, such as swaps of payments determined by fixed andfloating interest rates.

(l) ‘‘Life cycle event’’ means, withrespect to a credit swap or equity swap,any event that would result in a changein the data previously reported to anSDR in connection with the swap,including, without limitation, acounterparty change resulting from anassignment or novation; a partial or fulltermination of the swap; a change in thecash flows originally reported; for acredit swap or equity swap that is notcleared, any change to the collateral

agreement; or a corporate actionaffecting a security or securities onwhich the swap is based (e.g., a merger,dividend, stock split, or bankruptcy).

(m) ‘‘Life cycle event data’’ means,with respect to a credit swap or equityswap, all of the data elements necessaryto fully report any life cycle event, orany adjustment due to a life cycle event,that results in a change to datapreviously reported with respect to thatswap.

(n) ‘‘Major Swap Participant’’ or ‘‘MSP’’

has the meaning set forth in CEASection 1a(33), and any Commission

regulation implementing that Section.(o) ‘‘Non-SD/MSP counterparty’’

means a swap counterparty that isneither a Swap Dealer nor a Major SwapParticipant.

(p) ‘‘Other commodity swap’’ meansany swap not included in the creditswap, currency swap, equity swap, orinterest rate swap categories, including,without limitation, any swap for whichthe primary underlying item is aphysical commodity or the price or anyother aspect of a physical commodity.

(q) ‘‘Primary economic terms’’ for acredit swap or equity swap means:

(1) The Unique Swap Identifier for theswap, pursuant to § 45.4(a);

(2) The Unique CounterpartyIdentifier of each counterparty to theswap, pursuant to §45.4(b);

(3) The Unique Product Identifierassigned to the swap, pursuant to§ 45.4(c);

(4) An indication of the counterpartypurchasing protection and of thecounterparty selling protection;

(5) Information identifying thereference entity for the swap, in a formatdetermined by the Commission;

(6) An indication of whether or not both counterparties are SDs;

(7) An indication of whether or not both counterparties are MSPs;

(8) An indication of whether or not both counterparties are non-SD/MSPcounterparties;

(9) The date and time of execution,expressed using Coordinated Universal

time (‘‘UTC’’);(10) The venue where the swap was

executed;(11) The effective date;(12) The scheduled termination date;(13) The price;(14) The notional amount, the

currency in which the notional amountis expressed, and the equivalentnotional amount in U.S. dollars;

(15) The amount and currency orcurrencies of any up-front payment;

(16) A description of the paymentstreams of each counterparty;

(17) The title of any master agreementincorporated by reference and the dateof any such agreement;

(18) If the transaction involved anexisting swap, an indication that thetransaction did not involve anopportunity to negotiate a material termof the contract, other than thecounterparty;

(19) The data elements necessary fora person to determine the market valueof the transaction;

(20) Whether or not the swap will becleared by a designated clearingorganization;

(21) The name of the designatedclearing organization that will clear the

swap, if any;(22) If the swap is not cleared,

whether the exception in § 2(h)(7) (‘‘EndUser exception’’) was invoked;

(23) If the swap is not cleared, all of the settlement terms, including, withoutlimitation, whether the swap is cash-settled or physically settled, and themethod for determining the settlementvalue; and

(24) Any other primary economicterm(s) of the swap matched by thecounterparties in verifying the swap.

(r) ‘‘Primary economic terms’’ means,for an interest rate swap, other

commodity swap, or currency swap, allof the terms of a swap matched by thecounterparties in verifying the swap,including at a minimum each of theterms included in the most recentFederal Register release by theCommission listing minimum primaryeconomic terms for interest rate swaps,other commodity swaps, or currencyswaps. The Commission’s current listsof minimum primary economic termsfor interest rate, commodity, andcurrency swaps are found in Appendix1 to part 45.





(s) ‘‘Primary economic terms data’’

means all of the data elements necessaryto fully report all of the primaryeconomic terms of a swap in the swapasset class of the swap in question.

(t) ‘‘Reporting counterparty’’ meansthe counterparty required to report swapdata pursuant to §45.5.

(u) ‘‘Required swap creation data’’ for

a credit swap or equity swap means:(1) All primary economic terms data

for a credit swap or equity swap; and(2) All confirmation data for the swap.(v) ‘‘Required swap creation data’’ for

an interest rate swap, commodity swap,or currency swap means:

(1) All primary economic terms datafor an interest rate swap, commodityswap, or currency swap, as appropriate;and

(2) All confirmation data for the swap.(w) ‘‘Required swap continuation

data’’ for a credit swap or equity swapmeans:

(1) All life cycle event data for theswap;

(2) All contract-intrinsic event datafor the swap; and

(3) All valuation data for the swap,and all changes to valuation datapreviously reported concerning theswap, reported at intervals to bedetermined by the Commission prior toits adoption of final swap data reportingregulations.

(x) ‘‘Required swap continuation data’’

for an interest rate swap, othercommodity swap, or currency swapmeans:

(1) All state data for the swap,

reported daily throughout the existenceof the swap until its final termination;and

(2) A report at intervals specified bythe Commission, throughout theexistence of the swap until its finaltermination, of all valuation data and allchanges to valuation data concerningthe swap.

(y) ‘‘State data’’ means all of the dataelements necessary to provide asnapshot view, on a daily basis, of allof the primary economic terms of aswap in the swap asset class of the swapin question, including any changes to

such terms since the last snapshot. At aminimum, state data must include all of the economic terms listed in the mostrecent Federal Register release by theCommission concerning minimumprimary state data elements for interestrate, commodity, or currency swaps.The Commission’s current lists of minimum primary economic terms forinterest rate, commodity, and currencyswaps are found in Appendix 1 to Part45.

(z) ‘‘Swap Data Repository’’ or ‘‘SDR’’

has the meaning set forth in CEA

Section 1a(48), and any Commissionregulation implementing that Section.

(aa) ‘‘Swap Dealer’’ or ‘‘SD’’ has themeaning set forth in CEA Section 1a(49),and any Commission regulationimplementing that Section.

(bb) ‘‘Swap Execution Facility’’ or‘‘SEF’’ has the meaning set forth in CEASection 1a(50), and any Commission

regulation implementing that Section.(cc) ‘‘Valuation data’’ means all of the

data elements necessary for a person todetermine the current market value of the swap, including, without limitation,daily margin, daily mark-to-market, andother measures of valuation asdetermined by the Commission.

(dd) ‘‘Verification’’ (‘‘verify’’ or‘‘verifying’’) means the matching by thecounterparties to a swap of each of theprimary economic terms of a swap, at orshortly after the time the swap isexecuted.

§ 45.2 Swap recordkeeping.

(a) All DCOs, DCMs, SEFs, SDs, andMSPs who are subject to the jurisdictionof the Commission shall keep full,complete, and systematic records,together with all pertinent data andmemoranda, of all activities relating tothe business of such entities or personswith respect to swaps, as prescribed bythe Commission. Such records shallinclude, without limitation, thefollowing:

(1) For DCOs, all records required bypart 39 of this chapter.

(2) For SEFs, all records required bypart 37 of this chapter.

(3) For DCMs, all records required bypart 38 of this chapter.

(4) For SDs and MSPs, all recordsrequired by part 23 of this chapter.

(b) All non-SD/MSP counterpartiessubject to the jurisdiction of theCommission shall keep full, complete,and systematic records, together with allpertinent data and memoranda, withrespect to each swap in which they area counterparty, including all requiredswap creation data and all requiredswap continuation data that they arerequired to report pursuant to this part45, and including all records

demonstrating that they are entitled,with respect to any swap, to the enduser exception pursuant to Section2(h)(7).

(c) All records required to be kept byDCOs, DCMs, SEFs, SDs, MSPs, andnon-SD/MSP counterparties pursuant tothis Section shall be kept with respectto each swap from the date of thecreation of the swap through the life of the swap and for a period of at least fiveyears from the final termination of theswap, in a form and manner acceptableto the Commission.

(d) Records required to be kept byDCOs, DCMs, SEFs, SDs, MSPs, or non-SD/MSP counterparties pursuant to thisSection shall be retrievable as follows:

(1) Each record required by thisSection or any other Section of the Actto be kept by an SDR shall be readilyaccessible via real time electronic access

by the SDR indefinitely.

(2) Each record required by thisSection or any other Section of the Actto be kept by a DCO, DCM, SEF, SD, orMSP shall be readily accessible via realtime electronic access by the registrantthroughout the life of the swap and fortwo years following the finaltermination of the swap, and shall beretrievable by the registrant or itsaffiliates within three business daysthrough the remainder of the periodfollowing final termination of the swapduring which it is required to be kept.

(3) Each record required by thisSection or any other Section of the Actto be kept by a non-SD/MSPcounterparty shall be retrievable by thatcounterparty within three business daysthroughout the period during which it isrequired to be kept.

(e) All SDRs registered with theCommission shall keep full, complete,and systematic records, together with allpertinent data and memoranda, of allactivities relating to the business of theSDR and all swap data reported to theSDR, as prescribed by the Commission.Such records shall include, withoutlimitation, all records required by§ 45.10 of the Commission’s proposedswap data repositories regulations.

(f) All records required to be kept byan SDR pursuant to this §45.2 must bekept by the SDR both:

(1) Throughout the existence of theswap and for five following finaltermination of the swap, during whichtime the records must be readilyaccessible by the SDR and available tothe Commission via real time electronicaccess; and

(2) Thereafter, for a period to bedetermined by the Commission prior topromulgation of its final swap datarecordkeeping and reportingregulations, in archival storage from

which they are retrievable by the SDRwithin three business days.(g) All records required to be kept

pursuant to this Section by anyregistrant or its affiliates or by any non-SD/MSP counterparty shall be open toinspection upon request by anyrepresentative of the Commission, theUnited States Department of Justice, orthe Securities and ExchangeCommission, or by any representative of a prudential regulator as authorized bythe Commission. Copies of all suchrecords shall be provided, at the





expense of the entity or person requiredto keep the record, to any representativeof the Commission upon request, either

by electronic means, in hard copy, or both, as requested by the Commission.

§ 45.3 Swap data Reporting.

This Section establishes the generalswap data reporting obligations of SDs,

MSPs, non-SD/MSP counterparties,SEFs, DCMs, and DCOs to report swapdata to an SDR. In addition to thereporting obligations set forth in thisSection, SDs, MSPs, and non-SD/MSPcounterparties are also subject to thereporting obligations with respect tocorporate affiliations reporting set forthin § 45.4(b)(2); DCMs, SEFs, SDs, MSPs,and non-SD/MSP counterparties aresubject to the reporting obligations withrespect to real time reporting of swapdata set forth in part 43; and, whereapplicable, SDs, MSPs, and non-SD/MSP counterparties are subject to thereporting obligations with respect tolarge traders set forth in parts 17 and 18of this chapter.

(a) Reporting of required swapcreation data. Registered entities andswap counterparties must reportrequired swap creation dataelectronically to an SDR as set forth inthis Section.

(1) Swaps for which the reporting counterparty is an SD or MSP. For allswaps in which the reportingcounterparty is an SD or MSP, requiredswap creation data must be reported asfollows:

(i) Swaps executed on a SEF or DCM

and cleared on a DCO. (A) The SEF orDCM on which the swap is executedmust report all primary economic termsdata for the swap asset class of the swapthat is in its possession, as soon astechnologically practicable followingexecution of the swap.

(B) The DCO on which the swap iscleared must report all confirmationdata, as soon as technologicallypracticable following clearing of theswap.

(C) The reporting counterparty, asdetermined pursuant to § 45.5, mustreport any primary economic terms data

for the swap asset class of the swap thatis not reported by the SEF or DCM. Thisreport must be made promptly followingverification of the primary economicterms by the counterparties with eachother at the time of, or immediatelyfollowing, execution of the swap, but inno event later than: 15 minutes afterexecution of the swap if both executionand verification of primary economicterms occur electronically; 30 minutesafter execution of the swap if executiondoes not occur electronically butverification of primary economic terms

occurs electronically; or 24 hours afterexecution of the swap if neitherexecution nor verification of primaryeconomic terms occurs electronically.

(ii) Swaps Executed on a SEF but Not Cleared on a DCO. (A) The SEF onwhich the swap is executed must reportall primary economic terms data for theswap asset class of the swap that is in

its possession, as soon astechnologically practicable followingexecution of the swap.

(B) The reporting counterparty, asdetermined pursuant to § 45.5, mustreport any primary economic terms datafor the swap that is not reported by theSEF. This report must be madepromptly following verification of theprimary economic terms by thecounterparties with each other at thetime of, or immediately following,execution of the swap, but in no eventlater than: 15 minutes after execution of the swap if both execution andverification of primary economic termsoccur electronically; 30 minutes afterexecution of the swap if execution doesnot occur electronically but verificationof primary economic terms occurselectronically; or 24 hours afterexecution of the swap if neitherexecution nor verification of primaryeconomic terms occurs electronically.

(C) The reporting counterparty mustreport all confirmation data for theswap. This report must be madepromptly following confirmation of theswap, but in no event later than: 15minutes after confirmation of the swapif confirmation occurs electronically, or

24 hours after confirmation of the swapif confirmation was done manuallyrather than electronically.

(iii) Swaps Not Executed on a SEF or DCM but Cleared on a DCO. (A) Thereporting counterparty, as determinedpursuant to §45.5, must report allprimary economic terms data for theswap asset class of the swap. This reportmust be made promptly followingverification of the primary economicterms by the counterparties with eachother at or immediately followingexecution of the swap, but in no eventlater than: 30 minutes after execution of

the swap if verification of primaryeconomic terms occurs electronically; or24 hours after execution of a swap if verification of primary economic termsdoes not occur electronically.


(iv) Swaps Not Executed on a SEF or DCM and Not Cleared on a DCO. Thereporting counterparty, as determinedpursuant to §45.5, must report all

primary economic terms data for theswap, and must report electronically allconfirmation data for the swap. Thereport of primary economic terms datamust be made promptly followingverification of the primary economicterms by the counterparties with eachother at or immediately followingexecution of the swap, but in no event

later than: 30 minutes after execution of the swap if verification of primaryeconomic terms occurs electronically; or24 hours after execution of a swap if verification of primary economic termsdoes not occur electronically. The reportof confirmation data must be madepromptly following confirmation of theswap, but in no event later than: 15minutes after confirmation of the swapif confirmation occurs electronically, or24 hours after confirmation of the swapif confirmation was done manuallyrather than electronically.

(2) Swaps for which the reporting

counterparty is a non-SD/MSP counterparty. For all swaps in which thereporting counterparty is a non-SD/MSPcounterparty, required swap creationdata must be reported as set forth in thisSection.

(i) Swaps executed on a SEF or DCM and cleared on a DCO. (A) The SEF orDCM on which the swap is executedmust report all primary economic termsdata for the swap asset class of the swapthat is in its possession, as soon astechnologically practicable followingexecution of the swap.

(B) The DCO on which the swap iscleared must report all confirmation

data, as soon as technologicallypracticable following clearing of theswap.

(C) The reporting counterparty, asdetermined pursuant to § 45.5, mustreport any primary economic terms datafor the swap asset class of the swap thatis not reported by the SEF or DCM. Thisreport must be made promptly followingverification of the primary economicterms by the counterparties with eachother at the time of, or immediatelyfollowing, execution of the swap, but inno event later than: 15 minutes afterexecution of the swap if both execution

and verification of primary economicterms occur electronically; 30 minutesafter execution of the swap if executiondoes not occur electronically butverification of primary economic termsoccurs electronically; or 24 hours afterexecution of the swap if neitherexecution nor verification of primaryeconomic terms occurs electronically.

(ii) Swaps Executed on a SEF but Not Cleared on a DCO. (A) The SEF onwhich the swap is executed must reportall primary economic terms data for theswap asset class of the swap that is in





its possession, as soon astechnologically practicable followingexecution of the swap.

(B) The reporting counterparty, asdetermined pursuant to § 45.5, mustreport any primary economic terms datafor the swap that is not reported by theSEF. This report must be madepromptly following verification of the

primary economic terms by thecounterparties with each other at thetime of, or immediately following,execution of the swap, but in no eventlater than: 15 minutes after execution of the swap if both execution andverification of primary economic termsoccur electronically; 30 minutes afterexecution of the swap if execution doesnot occur electronically but verificationof primary economic terms occurselectronically; or 24 hours afterexecution of the swap if neitherexecution nor verification of primaryeconomic terms occurs electronically.

(C) The reporting counterparty mustreport all confirmation data for theswap. This report must be made withina time to be determined by theCommission prior to its adoption of final swap data reporting regulations.

(iii) Swaps Not Executed on a SEF or DCM but Cleared on a DCO. (A) Thereporting counterparty, as determinedpursuant to §45.5, must report allprimary economic terms data for theswap. This report must be madepromptly following verification of theprimary economic terms by thecounterparties with each other at thetime of, or immediately following,

execution of the swap, but in no eventlater than: 30 minutes after execution of the swap if verification of primaryeconomic terms occurs electronically; or24 hours after execution of the swap if verification of primary economic termsdoes not occur electronically.


(iv) Swaps Not Executed on a SEF or DCM and Not Cleared on a DCO. (A)The reporting counterparty, as

determined pursuant to § 45.5, mustreport all primary economic terms datafor the swap asset class of the swap, andmust report all confirmation data. Thereport of primary economic terms datamust be made promptly followingverification of the primary economicterms by the counterparties with eachother at or immediately followingexecution of the swap, but in no eventlater than: 30 minutes after execution of the swap if verification of primaryeconomic terms occurs electronically; or24 hours after execution of a swap if

verification of primary economic termsdoes not occur electronically.

(B) The reporting counterparty mustreport all confirmation data for theswap. This report must be made withina time to be determined by theCommission prior to its adoption of final swap data reporting regulations.

(b) Reporting of required swap

continuation data. Registered entitiesand swap counterparties must reportrequired swap continuation data to anSDR as set forth in this Section.

(1) Credit swaps and equity swaps.For all credit swaps and equity swaps,registered entities and counterpartiesmust report as set forth below.

(i) Swaps for which the reporting counterparty is an SD or MSP. For allcredit swaps and equity swaps in whichthe reporting counterparty is an SD orMSP, required swap continuation datamust be reported as follows:

(A) Swaps cleared on a DCO. (1) The

DCO on which the swap is cleared mustreport all life cycle event data, on thesame day in which any life cycle eventoccurs; and must report all valuationdata in its possession, on a daily basis.

(2) The reporting counterparty mustreport all valuation data in itspossession, on a daily basis; and mustreport all contract-intrinsic event data,on the same day in which any contract-intrinsic event occurs.

(B) Swaps Not Cleared on a DCO. Thereporting counterparty must report:

(1) All life cycle event data, on thesame day in which any life cycle eventoccurs;

(2) All valuation data, on a daily basis; and

(3) All contract-intrinsic event data,on the same day in which any contract-intrinsic event occurs.

(ii) Swaps for which the reporting counterparty is a non-SD/MSP counterparty. For all credit swaps inwhich the reporting counterparty isneither an SD nor MSP, required swapcontinuation data must be reported asfollows:

(A) Swaps cleared on a DCO.(1) The DCO on which the swap is

cleared must report all life cycle event

data, on the same day in which any lifecycle event occurs; and must report allvaluation data in its possession, on adaily basis.

(2) The reporting counterparty mustreport all valuation data in itspossession, at times to be determined bythe Commission prior to its adoption of final swap data reporting regulations;and must report all contract-intrinsicevent data, on the same day in whichany contract-intrinsic event occurs.

(B) Swaps Not Cleared on a DCO. Thereporting counterparty must report all

life cycle event data, on the same dayin which any life cycle event occurs; allvaluation data, at intervals to bedetermined by the Commission prior toits adoption of final swap data reportingregulations; and all contract-intrinsicevent data, on the same day in whichany contract-intrinsic event occurs.

(2) Interest rate swaps, commodity

swaps, and currency swaps. For allinterest rate swaps, commodity swaps,and currency swaps, registered entitiesand counterparties must report asfollows:

(i) Swaps for which the reporting counterparty is an SD or MSP. For allinterest rate swaps, commodity swaps,and currency swaps in which thereporting counterparty is an SD or MSP,required swap continuation data must

be reported as follows:(A) Swaps cleared on a DCO. (1) The

reporting counterparty must report allrequired state data, on a daily basis.

(2) The DCO must report all requiredvaluation data in its possession, on adaily basis.

(3) The reporting counterparty mustreport all required valuation data in itspossession, on a daily basis.

(B) Swaps Not Cleared on a DCO. Thereporting counterparty must report:

(1) All required state data, on a daily basis; and

(2) All required valuation data, on adaily basis.

(ii) Swaps for which the reporting counterparty is a non-SD/MSP counterparty. For all interest rate swaps,commodity swaps, or currency swaps in

which the reporting counterparty is anon-SD/MSP counterparty, requiredswap continuation data must bereported as follows:

(A) Swaps cleared on a DCO. (1) Thereporting counterparty must report allstate data, on a daily basis.

(2) The DCO must report all valuationdata in its possession, on a daily basis.

(3) The reporting counterparty mustreport all valuation data in itspossession, at intervals to be determined

by the Commission prior to its adoptionof final swap data reporting regulations.

(B) Swaps Not Cleared on a DCO. The

reporting counterparty must report:(1) All state data, on a daily basis; and(2) All valuation data, at intervals to

be determined by the Commission priorto its adoption of final swap datareporting regulations.

§ 45.4 Unique identifiers.

Each swap subject to the jurisdictionof the Commission shall be identified inall recordkeeping and all swap datareporting concerning that swap by theuse of three unique identifiers: AUnique Swap Identifier (‘‘USI’’), a





Unique Counterparty Identifier (‘‘UCI’’),and a Unique Product Identifier (‘‘UPI’’).

(a) Unique Swap Identifiers. (1)Creation and Transmission for SwapsExecuted on a SEF or DCM. For eachswap executed on a SEF or DCM, aUnique Swap Identifier shall be createdand transmitted as follows.

(i) Creation. The SEF or DCM shall

generate and assign a Unique SwapIdentifier at the time of execution of theswap, in the form specified by theCommission. The Unique SwapIdentifier shall consist of a single datafield that contains two components:

(A) The unique, extensible,alphanumeric code assigned to the SEFor DCM by the Commission at the timeof its registration, for the purpose of identifying the SEF or DCM; and

(B) an extensible, alphanumeric codegenerated and assigned to that swap bythe automated systems of the SEF orDCM, which shall be unique with

respect to all such codes generated andassigned by that SEF or DCM.(ii) Transmission. The SEF or DCM

creating the Unique Swap Identifier forthe swap shall transmit the identifierelectronically as follows:

(A) To each counterparty to the swap,as soon as technologically practicableafter execution of the swap;

(B) to the DCO, if any, to which theswap is submitted for clearing,simultaneously with the transmission of required swap creation data to the DCOfor clearing purposes; and

(C) to the SDR to which the SEF orDCM reports required swap creation

data for the swap, simultaneously withthe transmission by the SEF or DCM tothe SDR of required swap creation.

(2) Creation and Transmission for Swaps Not Executed on a SEF or DCM.For each swap not executed on a SEF orDCM but rather bilaterally by thecounterparties, a Unique SwapIdentifier shall be created andtransmitted as follows.

(i) Creation Where the Reporting Counterparty Is an SD or MSP. If thereporting counterparty determined inaccordance with §45.5 is an SD or MSP,that counterparty shall generate and

assign a Unique Swap Identifier at thetime of execution of the swap, in theform specified by the Commission. TheUnique Swap Identifier shall consist of a single data field that contains twocomponents:

(A) The unique, extensible,alphanumeric code assigned to the SDor MSP by the Commission at the timeof its registration as such, for thepurpose of identifying the SD or MSPwith respect to USI creation; and

(B) an extensible, alphanumeric codegenerated and assigned to that swap by

the automated systems of the SD orMSP, which shall be unique withrespect to all such codes generated andassigned by that SD or MSP for USIpurposes.

(ii) Transmission Where the Reporting Counterparty Is an SD or MSP. The SDor MSP creating the Unique SwapIdentifier for the swap shall transmit the

identifier electronically as follows:(A) To the other counterparty to the

swap, as soon as technologicallypracticable after execution of the swap;

(B) to the DCO, if any, to which theswap is submitted for clearing,simultaneously with the transmission of required swap creation data to the DCOfor clearing purposes; and

(C) to the SDR to which the SD orMSP reports required swap creationdata for the swap, as part of the reportof that data.

(iii) Creation Where the Reporting Counterparty Is a non-SD–MSP Counterparty. If the reportingcounterparty determined in accordancewith §45.5 is a non-SD/MSPcounterparty, the SDR to which thereporting counterparty reports requiredswap creation data shall generate andassign a Unique Swap Identifier as soonas technologically practicable followingreceipt of the first report of requiredswap creation data concerning the swap,in the form specified by theCommission. The Unique SwapIdentifier shall consist of a single datafield that contains two components:

(A) The unique, extensible,alphanumeric code assigned to the SDR

by the Commission at the time of itsregistration as such, for the purpose of identifying the SDR with respect to USIcreation; and

(B) An extensible, alphanumeric codegenerated and assigned to that swap bythe automated systems of the SDR,which shall be unique with respect toall such codes generated and assigned

by that SDR for USI purposes.(iv) Transmission Where the

Reporting Counterparty Is a Non-SD/ MSP counterparty. The SDR creating theUnique Swap Identifier for the swapshall transmit the identifier

electronically as follows:(A) To the counterparties to the swap,as soon as technologically practicablefollowing creation of the USI; and

(B) To the DCO, if any, to which theswap is submitted for clearing, as soonas technologically practicable followingcreation of the USI.

(3) Use. Each registered entity or swapcounterparty subject to the rules of theCommission shall include the UniqueSwap Identifier for a swap in all of itsrecords and all of its swap datareporting concerning that swap, from

the time it receives the identifierthroughout the existence of the swapand for as long as any records arerequired by the rules of the Commissionto be kept concerning the swap,regardless of any changes that mayoccur from time to time with respect tothe state of the swap or with respect tothe counterparties to or the ownership

of the swap. This requirement shall notprohibit the use by a registered entity orswap counterparty in its own records of any additional identifier or identifiersinternally generated by the automatedsystems of the registered entity or swapcounterparty, or the reporting to an SDRor to a regulator of such internallygenerated identifiers in addition to thereporting of the Unique Swap Identifier.

(b) Unique Counterparty Identifiers.(1) Each counterparty to any swapsubject to the jurisdiction of theCommission shall be identified in allrecordkeeping with respect to swaps

and in all swap data reporting by meansof a single, unique counterpartyidentifier having the characteristicsspecified by the Commission.

(2) Each counterparty to any swapsubject to the jurisdiction of theCommission shall report all of itscorporate affiliations into a confidential,non-public corporate affiliationsreference database maintained andlocated as determined by theCommission. Data contained in thecorporate affiliations reference databaseshall be available only to theCommission, and to other financialregulators via the same data access

procedures applicable to data in SDRsas provided in part 49, for regulatorypurposes. For purposes of this rule,‘‘corporate affiliations’’ means theidentity of all legal entities that own thecounterparty, that are under commonownership with the counterparty, orthat are owned by the counterparty.This corporate affiliation informationmust be sufficient to disclose parent-subsidiary and affiliate relationships,such that each legal entity within oraffiliated with the corporate hierarchyor ownership group to which thecounterparty belongs is separately

identified. Each counterparty shall alsoreport to the corporate affiliationsreference database all changes to theinformation previously reportedconcerning the counterparty’s corporateaffiliations, so as to ensure that thecorporate affiliation informationrecorded in the corporate affiliationsreference database is current andaccurate at all times.

(3) The identification systemcharacteristics required for theCommission to approve aninternationally-developed UCI as the





means by which registered entities andswap counterparties must fulfill theirobligations under §45.4(b)(1) shall be asfollows:

(i) The identification system mustresult in a unique identifier format thatis capable of becoming the singleinternational standard for uniqueidentification of legal entities in the

financial sector on a global basis, if it isadopted world-wide.

(ii) The identification system must bedeveloped via an international‘‘voluntary consensus standards body’’

as defined in Office of Management andBudget (‘‘OMB’’) Circular No. A–119Revised, such as the InternationalOrganization for Standardization, andmust be maintained by such a body andan associated Registration Authority.The standards body and RegistrationAuthority must have a formallydocumented governance structureacceptable to the Commission, and must

have proven expertise in designing andimplementing standards for thefinancial sector. The standards body andRegistration Authority must coordinatewith the Commission, the Securities andExchange Commission, the Office of Financial Research, and other financialregulators.

(iii) As provided in OMB Circular No.A–119 Revised, the identificationsystem must be available to allinterested parties on a non-discriminatory, royalty-free orreasonable royalty basis.

(A) Information concerning the

issuance process for new identifiersmust be available publicly and free of charge.

(B) While reasonable initialregistration fees and reasonable annualfees would be appropriate for issuance,maintenance, and initial and ongoingverification of a unique identifier, feesmust not be charged for use of uniqueidentifiers provided via theidentification system, and theidentification system must be operatedon a non-profit basis.

(C) A comprehensive and reasonablycurrent directory of the UniqueCounterparty Identifiers issued by theidentification system (but not the entityrelationship information reported by thecounterparties to the Office of FinancialResearch or to an SDR as providedabove) must be made available free of charge over the Internet or by similarlyconvenient means.

(iv) The identification system must besupported by a trusted and auditablemethod of verifying the identity of eachlegal entity to whom a unique identifieris assigned, both initially and atappropriate intervals thereafter.

(A) The Registration Authority mustmaintain reference data sufficient toverify that a user has been correctlyidentified as an entity. At a minimum,the reference data (though not theidentifier itself) should include theentity’s name and location.

(B) Issuance of identifiers must bespeedy and unbiased. It must not

materially hinder the normal course of a firm’s business. Any updates to thereference data must be done with aminimal lag.

(v) The Registration Authority mustestablish quality assurance practices.The necessary quality assuranceprocesses must ensure that duplicateidentifiers are not erroneously assigned,and that reference data for legal entitiesis accurate. For this purpose, theRegistration Authority should acceptrequest for updates or amendments fromany identification system participant orfinancial regulator.

(vi) The Registration Authority mustmaintain system safeguards comparableto those required for SDRs pursuant topart 49 of this chapter.

(vii) The identification system must be sufficiently extensible to cover allexisting and potential future legalentities of all types that are or may

become swap counterparties or that areor may become involved in any aspectof the financial issuance andtransactions process, and to coverentities of all types with respect towhich financial sector entities arerequired by any financial regulatorworld-wide to perform due diligence for

reporting or risk management purposes.(viii) The identification system must

assign only one unique identifier to anylegal entity.

(ix) The unique identifier format mustconsist of a single data field, and mustcontain either no embedded intelligenceor as little embedded intelligence aspracticable.

(x) The unique identifier assignedmust persist despite all corporateevents. When a corporate event (e.g., amerger or spin-off) results in a newentity, the new entity must receive anew identifier, while the previous

identifier continues to identify thepredecessor entity.(xi) The identification system must

use data standards and formats that willenable consistency of standards andformats across platforms, datarepositories, and asset classes, in orderto ensure data comparability and enabledata aggregation and cross-sectionalanalysis.

(4) The Commission shall determine,at least 100 days prior to theimplementation date for its final datareporting regulations, whether an

identification system that satisfies therequirements set forth in § 45.4(b)(3) isavailable and can provide UCIs for allregistered entities and swapcounterparties required by § 45.4 to useUCIs. If the Commission determines thatsuch an identification system isavailable, then:

(i) The Commission shall publish in

the Federal Register and on the Website of the Commission, no later than 90days prior to the implementation datefor the Commission’s final swap datareporting, the name of the identificationsystem approved by the Commission,the name and contact information of theRegistration Authority through whichregistered entities and swapcounterparties can obtain UCIs providedthrough the approved identificationsystem, and information concerning theprocedure and requirements forobtaining such a UCI; and

(ii) All registered entities and swap

counterparties subject to theseregulations shall comply with§ 45.4(b)(1) by using a UCI provided bythe identification system approved bythe Commission for that purpose.

(5) The Commission may, in itsdiscretion, delegate to the Director of the Division of Market Oversight(‘‘Director’’), until the Commissionorders otherwise, the authority to makethe determination called for by§ 45.4(b)(4), to be exercised by theDirector or by such other employee oremployees of the Commission as may bedesignated from time to time by the

Director. The Director may submit to theCommission for its consideration anymatter which has been delegated in thisparagraph. Nothing in this paragraphprohibits the Commission, at itselection, from exercising the authoritydelegated in this paragraph.

(6) If the Commission, or the Directoras provided in §45.4(b)(5), determinespursuant to § 45.4(b)(4) that anidentification system that satisfies therequirements set forth in § 45.4(b)(3) isnot then available, then until such timeas the Commission determines that suchan identification system has becomeavailable, registered entities and swapcounterparties shall comply with§ 45.4(b)(1) by using a UCI created andassigned by an SDR as follows:

(i) When a swap involving one ormore counterparties for which nounique counterparty identifier has yet

been created and assigned is reported toan SDR, the repository shall create andassign a unique counterparty identifierfor each such counterparty, in a formatdetermined by the Commission, as soonas technologically practicable after thatswap is first reported to the repository.





(ii) Each such repository-createdunique identifier shall consist of asingle data field that contains twocomponents, including:

(A) The unique, extensible,alphanumeric code assigned to the SDR

by the Commission at the time of itsregistration, for the purpose of identifying the SDR; and

(B) An extensible, alphanumeric codegenerated and assigned to thatcounterparty by the automated systemsof the SDR, which shall be unique withrespect to all such unique counterpartyidentifier codes generated and assigned

by that SDR.(iii) The SDR shall transmit each

unique counterparty identifier thuscreated to each counterparty to theswap, to each other registered entityassociated with the swap, to eachregistered entity or swap counterpartywho has made any report of any swapdata to the SDR, and to each SDR

registered with the Commission, as soonas technologically practicable aftercreation and assignment of theidentifier.

(iv) Once any SDR has created andassigned such a UCI to a swapcounterparty and has transmitted it asrequired by § 45.4(b)(6)(iii), allregistered entities and swapcounterparties shall use that UCI toidentify that counterparty in all swapdata recordkeeping and reporting, untilsuch time as the Commissiondetermines that an identification systemcomplying with §45.4(b)(3) has become

available, and by regulation requires theuse of a different UCI provided by thatidentification system.

(c) Unique Product ID. (1) Each swapsubject to the jurisdiction of theCommission shall be identified in allrecordkeeping with respect to swapsand in all swap data reporting by meansof a unique product identifier, havingthe characteristics specified by theCommission.

(2) The unique product identifiershall identify the swap asset class towhich the swap belongs and the sub-type within that swap asset class towhich the swap belongs, with sufficientdistinctiveness and specificity to enablethe Commission and other financialregulators to fulfill their regulatoryresponsibilities and to enable real timereporting of swaps as provided in theAct and the Commission’s regulations.The level of distinctiveness andspecificity which the unique productidentifier will provide shall bedetermined separately for each swapasset class.

(3) The system of swap productclassification used by unique product

identifiers shall be as determined by theCommission.

§ 45.5 Determination of whichcounterparty must report.

(a) If only one counterparty is an SD,the SD shall fulfill all counterpartyreporting obligations.

(b) If neither party is an SD, and only

one counterparty is an MSP, the MSPshall fulfill all counterparty reportingobligations.

(c) If both counterparties are SDs, or both counterparties are MSPs, or bothcounterparties are non-SD/MSPcounterparties, the counterparties shallagree as one term of their swaptransaction which counterparty shallfulfill reporting obligations with respectto that swap; and the counterparty soselected shall fulfill all counterpartyreporting obligations.

(d) Notwithstanding the provisions of § 45.5(a) through (c), if only onecounterparty to a swap is a U.S. person,

that counterparty shall be the reportingcounterparty and shall fulfill allcounterparty reporting obligations.

(e) Notwithstanding the provisions of § 45.5(a) through (c), if neithercounterparty to a swap is a U.S. person,

but the swap is executed on a SEF orDCM or otherwise executed in theUnited States, or is cleared by a DCO,then:

(1) The counterparties to the swapshall select one counterparty to be thereporting counterparty, making suchselection as one term of the swap; and

(2) The counterparty so selected shall be the reporting counterparty and shallfulfill all counterparty reportingobligations.

(f) If a reporting counterparty selectedpursuant to §45.5(a) through (f) ceasesto be a counterparty to a swap due to anassignment or novation, and the newcounterparty is a U.S. person, the newcounterparty shall be the reportingcounterparty and fulfill all reportingcounterparty obligations following suchassignment or novation. If a newcounterparty to a swap due to anassignment or novation is not a U.S.person, the counterparty that is a U.S.person shall be the reporting

counterparty and fulfill all reportingcounterparty obligations following suchassignment or novation.

§ 45.6 Third-party facilitation of datareporting.

Registered entities and counterpartiesrequired by this part 45 to reportrequired swap creation data or requiredswap continuation data, whileremaining fully responsible forreporting as required by this part 45,may contract with third-party serviceproviders to facilitate reporting.

§ 45.7 Reporting to a single SDR.

(a) A SEF, DCM, SD or MSP thatcreates the USI for a swap as providedin § 45.5 shall report all primaryeconomic terms data required to bereported for that swap to a single SDR.The choice of the SDR to receive thisreport shall be made in a manner to bedetermined by the Commission.

(b) Where a non-SD/MSPcounterparty is the reportingcounterparty pursuant to Section 45.5,that reporting counterparty shall reportall primary economic terms datarequired to be reported for that swap toa single SDR of its choosing, which SDRshall create the USI for that swap asprovided in § 45.5.

(c) When the SDR chosen as providedin § 45.8(a) and (b) receives the initialreport of primary economic terms datafor a swap, the SDR shall transmit itsown identity, together with the USI forthe swap, to each counterparty to the

swap, to the SEF or DCM, if any, onwhich the swap was executed, and tothe DCO, if any, to which the swap issubmitted for clearing, as soon astechnologically practicable followingthe SDR’s receipt of the initial report of primary economic terms data for theswap.

(d) Thereafter, all data reported for theswap, and all corrections of errors andomissions in previously reported datafor the swap, by any registered entity orcounterparty, shall be reported to thatsame SDR (or to its successor in theevent that it ceases to operate, asprovided in part 49 of this chapter).

§ 45.8 Data reporting for swaps in a swapasset class not accepted by any SDR.

Should there be a swap asset class forwhich no SDR currently accepts swapdata, each registered entity orcounterparty required by §45.3 to reportany required swap creation data orrequired swap continuation data withrespect to a swap in that asset classmust report that same data at a time andin a form and manner determined by theCommission.

§ 45.9 Required data standards.

(a) Data Maintained and Furnished tothe Commission by SDRs. An SDR shallmaintain all swap data reported to it ina format acceptable to the Commission,and shall transmit all swap datarequested by the Commission to theCommission in an electronic file in aformat acceptable to the Commission.

(b) Data Reported To SDRs. Inreporting swap data to an SDR asrequired by this Part 45, each reportingentity or counterparty shall use thefacilities, methods, or data standardsprovided or required by the SDR to





which the entity or counterparty reportsthe data. SDRs may permit reportingentities and counterparties to usevarious facilities, methods, or datastandards, provided that itsrequirements in this regard enable it tomeet the requirements of §45.9(a) withrespect to maintenance andtransmission of swap data.

(c) Delegation of Authority to theDirector of the Division of Market Oversight. The Commission herebydelegates to the Director of the Divisionof Market Oversight (‘‘Director’’), untilthe Commission orders otherwise, theauthority set forth in this § 45.9(c), to beexercised by the Director or by suchother employee or employees of theCommission as may be designated fromtime to time by the Director. TheDirector may submit to the Commissionfor its consideration any matter whichhas been delegated in this paragraph.Nothing in this paragraph prohibits the

Commission, at its election, fromexercising the authority delegated inthis paragraph. The authority delegatedto the Director by this § 45.9(c) shallinclude:

(1) The authority to determine themanner, format, coding structure, andelectronic data transmission standardsand procedures acceptable to theCommission for the purposes of § 45.9(a).

(2) The authority to determinewhether the Commission may permit orrequire use by reporting entities orcounterparties, or by SDRs, of one ormore particular data standards (such asFIX, FpML, ISO 20022, or some otherstandard), in order to accommodate theneeds of different communities of users,or to enable SDRs to comply with

§ 45.9(a).(d) The Director shall publish from

time to time in the Federal Register andon the Web site of the Commission theformat, data schema, and electronic datatransmission methods and proceduresacceptable to the Commission.

§ 45.10 Reporting of errors and omissionsin previously reported data.

(a) Each registered entity and swapcounterparty required by this Part 45 toreport swap data to an SDR or to anyother registered entity or swapcounterparty shall report any errors and

omissions in the data so reported.Corrections of errors or omissions shall be reported as soon as technologicallypracticable after discovery of any sucherror or omission.

(b) For interest rate swaps, commodityswaps, and currency swaps, reportingcounterparties fulfill the requirement toreport errors or omissions in state datapreviously reported by makingappropriate corrections in their next

daily report of state data as required by§ 45.3(b)(2).

(c) Each counterparty to a swap thatis not the reporting counterparty asdetermined pursuant to § 45.5, and thatdiscovers any error or omission withrespect to any swap data reported to anSDR for that swap, shall promptly notifythe reporting counterparty of each sucherror or omission. Upon receiving suchnotice, the reporting counterparty shallreport a correction of each such error oromission to the SDR, as provided in§ 45.10(a) and (b).

(d) Unless otherwise approved by theCommission, or by the Director of Market Oversight pursuant to §45.9(c),each registered entity or swapcounterparty reporting corrections toerrors or omissions in data previouslyreported as required by this Sectionshall report such corrections in the sameformat as it reported the erroneous oromitted data. Unless otherwise

approved by the Commission, or by theDirector of Market Oversight pursuant to§ 45.9, an SDR shall transmit correctionsto errors or omission in data previouslytransmitted to the Commission in thesame format as it transmitted theerroneous or omitted data.

Appendix 1 to Part 45—Tables of Minimum Primary Economic TermsData and Minimum Valuation Data

MINIMUM PRIMARY ECONOMIC TERMS DATA—CREDIT SWAPS AND EQUITY SWAPS

Sample category Comment

The Unique Swap Identifier for the swap ................................................. As defined in §45.4.The Unique Counterparty Identifier of the reporting counterparty ........... As defined in §45.4.The Unique Counterparty Identifier of the non-reporting party ................ As defined in §45.4.The Unique Product Identifier assigned to the swap ............................... As defined in §45.4.An indication of the counterparty purchasing protection and of the

counterparty selling protection.E.g. option buyer and option seller; buyer and seller.

Information identifying the reference entity .............................................. The entity that is the subject of the protection being purchased andsold in the swap.

An indication of whether or not both counterparties are SDs.An indication of whether or not both counterparties are MSPs.An indication of whether or not either counterparty is an SD or an

MSP.The date and time of trade, expressed using Coordinated Universal

time (‘‘UTC’’).The venue where the swap was executed.The effective date.The expiration data.The price ................................................................................................... E.g. strike, initial price, spread, etc.The notional amount, the currency in which the notional amount is ex-

pressed, and the equivalent notional amount in U.S. dollars.The amount and currency or currencies of any up-front payment ..........A description of the payment streams of each counterparty .............. ..... E.g. coupon.The title of any master agreement incorporated by reference and the

date of any such agreement.E.g. annex, credit agreement.

If the transaction involved an existing swap, an indication that thetransaction did not involve an opportunity to negotiate a materialterm of the contract, other than the counterparty.

E.g. assignment.

The data elements necessary for a person to determine the marketvalue of the transaction.

Whether or not the swap will be cleared by a designated clearing orga-nization.





MINIMUM PRIMARY ECONOMIC TERMS DATA—CREDIT SWAPS AND EQUITY SWAPS—Continued

Sample category Comment

The name of the designated clearing organization that will clear theswap, if any.

If the swap is not cleared, whether the ‘‘End User exception’’ was in-voked.

If the swap is not cleared, all of the settlement terms, including, withoutlimitation, whether the swap is cash-settled or physically settled, and

the method for determining the settlement value.Any other primary economic term(s) of the swap matched by the

counterparties in verifying the swap.

MINIMUM PRIMARY ECONOMIC TERMS DATA—CURRENCY SWAPS

Sample data fields Comments

The Unique Swap Identifier for the swap ................................................. As defined in §45.4.The Unique Counterparty Identifier of the reporting counterparty ........... As defined in §45.4.The Unique Counterparty Identifier of the non-reporting party ................ As defined in §45.4.The Unique Product Identifier assigned to the swap ............................... As defined in §45.4.Contract type ............................................................................................ E.g. swap, swaption, forwards, options, basis swap, index swap, bas-

ket swap, other.Execution timestamp ................................................................................ Time and date of execution.Currency 1 ................................................................................................ ISO Code.

Currency 2 ................................................................................................ ISO Code.Notional amount 1 .................................................................................... For currency one.Notional amount 2 .................................................................................... For currency two.Settlement agent of the reporting counterparty ....................................... ID of the settlement agent.Settlement agent of the non-reporting counterparty ................................ ID of the settlement agent.Settlement currency .................................................................................. If applicable.Exchange rate 1 ....................................................................................... At the moment of trade/agreement.Exchange rate 2 ....................................................................................... At the moment of trade/agreement, if applicable.Swap delivery type ................................................................................... Cash or physical.Expiration date .......................................................................................... Expiration date of the contract.Timestamp for submission to SDR .......................................................... Time and date of submission to the SDR.Futures contract equivalent ...................................................................... As defined in part 150.Futures contract equivalent unit of measure ............................................ As defined in part 150.Any other primary economic term(s) of the swap matched by the


MINIMUM PRIMARY ECONOMIC TERMS DATA—INTEREST RATE SWAPS Sample data field Comment

The Unique Swap Identifier for the swap ............... As defined in § 45.4.The Unique Counterparty Identifier of the report-

ing counterparty.As defined in § 45.4.

The Unique Counterparty Identifier of the non-re-porting party.

As defined in § 45.4.

The Unique Product Identifier assigned to theswap.

As defined in § 45.4.

Contract type .......................................................... E.g. swap, swaption, option, basis swap, index swap, etc.Trade timestamp ..................................................... Time and date of execution.Swap effective date ................................................ Effective date of the contract.Swap end-date ....................................................... Expiration date of the contract.Notional amount one .............................................. The current active notional in local currency.Notional currency one ............................................ ISO code of the notional currency.

Notional amount two ............................................... The second notional amount (e.g. receiver leg).Notional currency two ............................................. ISO code of the notional currency.Timestamp for submission to SDR ........................ Time and date of submission to the SDR.Payer (fixed rate) .................................................... Is the reporting party a fixed rate payer?

Yes/No/Not applicable.Fixed leg payment frequency ................................. How often will the payments on fixed leg be made.Direction .................................................................. For swaps—if the principal is paying or receiving the fixed rate. For float-to-float and fixed-

to-fixed swaps, it is unspecified. For non-swap instruments and swaptions, the instrumentthat was bought or sold.

Option type ............................................................. E.g. put, call, straddle.Fixed rate.Fixed rate day count fraction.Floating rate payment frequency.Floating rate reset frequency.Floating rate index name/rate period.





MINIMUM PRIMARY ECONOMIC TERMS DATA—INTEREST RATE SWAPS—Continued

Sample data field Comment

Leg 1 ....................................................................... If two floating legs, report what is paid.Leg 2 ....................................................................... If two floating legs, repot what is received.Futures contract equivalent .................................... As defined in part 150.Futures contract equivalent unit of measure .......... As defined in part 150.Any other primary economic term(s) of the swap

matched by the counterparties in verifying theswap.

MINIMUM PRIMARY ECONOMIC TERMS DATA—OTHER COMMODITY SWAPS

Sample data field Comment

The Unique Swap Identifier for the swap ................................................. As defined in §45.4.The Unique Counterparty Identifier of the reporting counterparty ........... As defined in §45.4.The Unique Counterparty Identifier of the non-reporting party ................ As defined in §45.4.The Unique Product Identifier assigned to the swap ............................... As defined in §45.4.Contract type ............................................................................................ E.g. swap, swaption, option, etc.Execution timestamp ................................................................................ Time and date of execution.Quantity .................................................................................................... The Unit of measure applicable for the quantity on the swap.Total quantity ............................................................................................ The amount of the commodity for the entire term of the swap.Settlement method ................................................................................... Cash or physical.Delivery type ............................................................................................. For physical delivery.

Start date .................................................................................................. Predetermined start date from which payments will be exchanged.End-date ................................................................................................... Predetermined end date from which payments will be exchanged.Submission to SDR timestamp ................................................................ Time and date of submission to the SDR.Averaging method .................................................................................... The type of calendar days used to calculate price on a transaction.Payment calendar.Buyer pay index ........................................................................................ The published price as paid by the buyer.Seller pay index ........................................................................................ The published price as paid by the seller.Buyer ........................................................................................................ Party purchasing product, e.g. payer of the fixed price (for swaps), or

payer of the floating price (for put swaption), or payer of the fixedprice (for call swaption).

Seller ......................................................................................................... Party offering product, e.g. payer of the floating price (for swaps),payer of the fixed price (for put swaption), or payer of the floatingprice (for call swaption).

Price .......................................................................................................... E.g. fixed price, the heat rate value, etc.Price unit ................................................................................................... The unit of measure applicable for the price on the transaction.Price currency ........................................................................................... E.g. ISO code.Grade ........................................................................................................ E.g. the grade of oil or refined product being delivered.

Futures contract equivalent ...................................................................... As defined in part 150.Futures contract equivalent unit of measure ............................................ As defined in part 150.Any other primary economic term(s) of the swap matched by the


MINIMUM VALUATION DATA

Sample data fields

Independent amount.Independent amount currency.Independent amount payer.Independent amount receiver.Initial margin.Variation margin.

Mark-to-market.

MINIMUM VALUATION DATA—Continued

Sample data fields

Non-cash collateral.Non-cash collateral valuation.

Appendix 2 to Part 45—MasterReference Generic Data Fields List

This table includes Master ReferenceGeneric Data Fields that the Commission

believes could be relevant for standardizedswaps in some or all swap asset classes. TheCommission requests comment on whetherany of the data fields in this Master ReferenceGeneric Data Fields List should be includedin one or more of the Tables of RequiredMinimum Primary Economic Terms Data forspecific swap asset classes, or in theMinimum Valuation Data table, that areincluded in Appendix 1 to Part 45.

Data fields Description

Potential Initial Data

Client Name .............................................................................................. Name of the customer (client).Counterparty Origin .................................................................................. Indicator of whether a swap was done on behalf of a customer or

house account.Delivery Type ............................................................................................ Deliverable or Non-deliverable.Effective Date or Start Date ..................................................................... The date a swap becomes effective or starts.Entity Reporting to SDR ........................................................................... The entity making a data report.Execution Timestamp ............................................................................... The time and date a swap was executed on a platform.






Industrial Sector ........................................................................................ Industrial sector.Intermediary .............................................................................................. The entity that brings two parties together for the swap transaction.Master Agreement Type ........................................................................... The type of master agreement that was executed.Maturity, Termination, or End Date .......................................................... The day a swap expires.Non-Financial Entity ................................................................................. Y/N. Are one or more counterparties to the swap transaction not a fi-

nancial entity?Order Entry Timestamp ............................................................................ The time and date when the order was entered.Parent Counterparty ................................................................................. The parent company of the counterparty.

Parent Originator ...................................................................................... The parent company of the originator.Platform/Deal Source ............................................................................... Name of the platform or system on which the swap was executed.Registration with the SEC ........................................................................ Y/N. This field indicates whether the exempted counterparties are reg-

istered with the SEC.SDR submission date ............................................................................... The time and date the swap transaction was submitted to the SDR.Settlement Method ................................................................................... The agreed upon way the swap will settle.Submission of order entry timestamp ...................................................... The time and date when the order was sent to the platform to be exe-

cuted.

Potential Confirmation/Clearance Data

Board of Directors approval ..................................................................... Y/N. If the exempted counterparties are registered with the SEC didtheir Board of Directors (or alternative governance body for non-cor-porate end users) approve the exemption from clearing?

Call, put or cancellation date .................................................................... Information needed to determine when a call, put, or cancellation mayoccur with respect to a transaction.

Cleared ..................................................................................................... An indicator of whether a swap has been cleared.

Clearing Entity .......................................................................................... Name of the Clearing Organization where a swap was cleared.Clearing Exemption .................................................................................. Y/N. Are one or more counterparties to the swap transaction exemptedfrom clearing?

Clearing Timestamp ................................................................................. The time and date a swap was cleared.Confirmed ................................................................................................. An indicator of whether a swap has been confirmed by both parties.Master Agreement Date ........................................................................... Date of the Master Agreement.Submission Timestamp for clearing ......................................................... The time and date when a swap was submitted to a clearing organiza-

tion.

Potential Position Data

Exchange Rate/Price Unit ........................................................................ Spot rate or price unit used.Futures Contract Equivalent ..................................................................... Swap amount divided by the commodity quantity per futures contract to

give you the total number of futures contracts.Futures Contract Equivalent unit of measure .......................................... The unit of measure that was used in the future contract equivalent

computation.Notional (U.S.$ Equiv.) ............................................................................. U.S.$ equivalent of the ‘‘Notional Amount or Total Quantity.’’

Notional Amount/Total Notional Quantity ................................................. Total currency amount or total quantity in the unit of measure of an un-derlying commodity.

Notional Currency/Price Currency ............................................................ Notional Currency.

Potential Option Instrument Applicable Data

Lockout Period .......................................................................................... Date of first allowable exercise.Option Expiration Date ............................................................................. Expiration date of the option.Option Premium ........................................................................................ Fixed premium paid by the buyer to the seller.Option Premium currency ......................................................................... The currency used to compute the premium.Option Style .............................................................................................. American, European, Bermudan, Asian.Option Type .............................................................................................. Call, Put, Straddle, Strangle, Collar, Butterfly, etc.Strike Price (Cap/Floor rate) .................................................................... The strike price of the option.Value for Options ...................................................................................... This value of the option at the end of every business day.

Potential Margin/Collateral Data

Collateral on Deposit ................................................................................ The amount of collateral that has been agreed upon by the parties to

the swap.Collateral Type ......................................................................................... The type of collateral that has been agreed upon.Credit Support Indicator ........................................................................... Y/N. Have the exempt counterparties given notice to the CFTC regard-

ing the exemption and executed a CSA or other form of credit sup-port?

Independent Amount ................................................................................ Independent amount.Independent Amount Currency ................................................................ Currency of the independent amount.Independent Amount Payer ...................................................................... The counterparty that will pay the independent amount.Independent Amount Receiver ................................................................. The counterparty that will receive the independent amount.Initial Margin Requirement ....................................................................... The initial margin requirement that has been required by the parties to

the swap.Linked Independent Amount .................................................................... Linked independent amount.Linked Independent Amount Currency ..................................................... Currency of the linked independent amount.Long Option Value .................................................................................... The long option value contained in the maintenance margin require-

ment.






Maintenance Margin Requirement ........................................................... The maintenance margin requirement that has been required by theparties to the swap.

Non-Cash Collateral ................................................................................. Non-Cash collateral that is allowed for certain end users.Short Option Value ................................................................................... The short option value contained in the maintenance margin require-

ment.Types of Collateral on Deposit ................................................................. List of collateral by asset type for the collateral on deposit amount.Variation Margin ....................................................................................... U.S. $ amount that is paid daily in order to mark to market the swap

transaction.

Issued in Washington, DC, on November19, 2010, by the Commission.

David A. Stawick,

Secretary of the Commission.

Statement of Chairman Gary Gensler

Swap Data Recordkeeping and Reporting Requirements

I support the proposed rulemaking toestablish swap data recordkeeping andreporting requirements for registered entities

and counterparties involved in swaps. Theproposed rule is intended to ensure thatcomplete, timely and accurate dataconcerning all swaps is available to theCommission and other regulators. Theproposed rule requires that data beconsistently maintained and reported toswap data repositories by swap dealers,major swap participants, designated contractmarkets, swap execution facilities,derivatives clearing organizations and futurescommission merchants. As swaps exist overa period of days to sometimes years, the

proposal includes requirement for thereporting of data upon the transaction and tocontinue over the lifecycle of the swap.Another important component of theproposed rulemaking is that there will berequired unique identifiers for swaps,counterparties and products. This willenhance operational efficiency for marketparticipants and improve market surveillancefor regulators.

[FR Doc. 2010–30476 Filed 12–7–10; 8:45 am]

BILLING CODE 6351–01–P

Documents

Swap Record