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

1Commission regulations referred to herein are 

found at 17 CFR Ch. 1. 

2See Dodd-Frank Wall Street Reform and 

Consumer Protection Act, Public Law 111–203, 124 

Stat. 1376 (2010). The text of the Dodd-Frank Act 

may 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 Street 

Transparency and Accountability Act of 2010.’’ 

4 7 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 the 

Commission’s regulations. 

COMMODITY FUTURES TRADING 

COMMISSION 

17 CFR Part 45 

RIN 3038–AD19 

Swap Data Recordkeeping and 

Reporting Requirements 

AGENCY: Commodity Futures Trading 

Commission (CFTC). 

ACTION: Proposed Rulemaking. 

SUMMARY: The Commodity Futures 

Trading Commission (‘‘Commission or 

CFTC’’) is proposing rules to implement 

new statutory provisions enacted by 

Title VII of the Dodd-Frank Wall Street 

Reform and Consumer Protection Act. 

These proposed rules apply to swap 

data recordkeeping and reporting 

requirements for swap data repositories, 

derivatives clearing organizations, 

designated contract markets, swap 

execution facilities, swap dealers, major 

swap participants, and swap 

counterparties who are neither swap 

dealers nor major swap participants 

(including counterparties who qualify 

for the end user exception with respect 

to particular swaps). 

DATES: Comments must be received on 

or 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 comments 

through the Web site. 

• Mail: David A. Stawick, Secretary of 

the Commission, Commodity Futures 

Trading Commission, Three Lafayette 

Centre, 1155 21st Street, NW., 

Washington, DC 20581. 

• Hand Delivery/Courier: Same as 

mail above. 

• Federal eRulemaking Portal: http:// 

www.regulations.gov. Follow the 

instructions for submitting comments. 

All comments must be submitted in 

English, or must be accompanied by an 

English translation. Contents will be 

posted as received to http:// 

www.cftc.gov. You should submit only 

information that you wish to make 

available publicly. If you wish the 

Commission to consider information 

that may be exempt from disclosure 

under the Freedom of Information Act, 

a petition for confidential treatment of 

the exempt information may be 

submitted according to the established 

procedures in CFTC Regulation 145.9.1

FOR FURTHER INFORMATION CONTACT: 

David Taylor, Special Counsel, Division 

of Market Oversight, 202–418–5488, 

dtaylor@cftc.gov, or Irina Leonova, 

Financial Economist, Division of Market 

Oversight, 202–418–5646, 

ileonova@cftc.gov; Commodity Futures 

Trading Commission, Three Lafayette 

Centre, 1155 21st Street, NW., 

Washington, DC 20851. 

SUPPLEMENTARY INFORMATION: 

Table of Contents 

Supplementary Information 

I. Background 

A. Introduction 

B. Swap Data Provisions of the Dodd-Frank 

Act 

C. International Developments Affecting 

Swap Data Reporting 

• G–20 and FSB 

• Standard Setting for Repositories and 

Data Reporting by IOSCO and CPSS 

• BIS 

• ODRF and ODSG 

D. Regulatory Needs for Swap Data 

E. Existing Trade Repositories 

F. Consultations With Other U.S. Financial 

Regulators 

G. Consultations With International 

Regulators 

Data Reporting Approaches 

II. Proposed New Regulations, Part 45 

A. Recordkeeping Requirements 

B. Swap Data Reporting 

• Swap Creation Data 

• Swap Continuation Data 

C. Unique Identifiers 

• Need for Unique Identifiers 

• Unique Swap Identifiers 

• Unique Counterparty Identifiers 

• Unique Product Identifiers 

D. Determination of Which Counterparty 

Must Report 

E. Third Party Facilitation of Swap Data 

Reporting 

F. Reporting to a Single SDR 

G. Swap Data Reporting for Swaps in Asset 

Classes Not Accepted by Any Swap Data 

Repository 

H. Required Data Standards 

Reporting of Errors and Omissions in 

Previously Reported Data 

III. Related Matters 

A. Regulatory Flexibility Act 

B. Paperwork Reduction Act 

Cost-Benefit Analysis 

Proposed Effective Data 

IV. General Solicitation of Comments 

Proposed 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 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 and 

Minimum Valuation Data 

Appendix 2 to Part 45—Master Reference 

Generic Data Fields List 

I. Background 

A. Introduction 

On July 21, 2010, President Obama 

signed into law the Dodd-Frank Wall 

Street Reform and Consumer Protection 

Act (‘‘Dodd-Frank Act’’).2 Title VII of the 

Dodd-Frank Act 3 amended the 

Commodity Exchange Act (‘‘CEA’’ or 

‘‘Act’’) 4 to establish a comprehensive 

new regulatory framework for swaps 

and security-based swaps. The 

legislation was enacted to reduce 

systemic risk, increase transparency, 

and promote market integrity within the 

financial system by, among other things: 

providing for the registration and 

comprehensive regulation of swap 

dealers (‘‘SDs’’) and major swap 

participants (‘‘MSPs’’); imposing clearing 

and trade execution requirements on 

standardized derivative products; 

creating rigorous recordkeeping and 

data reporting regimes with respect to 

swaps, including real time reporting; 

and enhancing the Commission’s 

rulemaking and enforcement authorities 

with respect to, among others, all 

registered entities, intermediaries, and 

swap counterparties subject to the 

Commission’s oversight. 

B. Swap Data Provisions of the DoddFrank Act 

To enhance transparency, promote 

standardization, and reduce systemic 

risk, Section 728 of the Dodd-Frank Act 

establishes a newly-created registered 

entity—the swap data repository 

(‘‘SDR’’) 5—to collect and maintain data 

related to swap transactions as 

prescribed by the Commission, and to 

make such data electronically available 

to regulators.6

Section 728 directs the Commission to 

prescribe standards for swap data 

recordkeeping and reporting. 

Specifically, Section 728 provides that: 

The Commission shall prescribe standards 

that specify the data elements for each swap 


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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 neither 

cleared nor accepted by an SDR to make required 

books and records open to inspection by any 

representative of the Commission; an appropriate 

prudential regulator; the Securities and Exchange 

Commission; the Financial Stability Oversight 

Council; and the Department of Justice. 14CEA § 4r(c). 15CEA § 4r(d). 16 G–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 On 

OTC Derivatives Regulation, Terms of Reference, at 

1–2. 

21 Id. 

that shall be collected and maintained by 

each registered swap data repository.7

These standards are to apply to both 

registered entities and counterparties 

involved with swaps: 

In carrying out [the duty to prescribe data 

element standards], the Commission shall 

prescribe consistent data element standards 

applicable to registered entities and reporting 

counterparties.8

Section 727 of the Dodd-Frank Act 

requires that each swap, either cleared 

or uncleared, shall be reported to a 

registered SDR. That Section also 

amends Section 1(a) of the CEA to add 

the definition of swap data repository: 

The term ‘swap data repository’ 

means any person that collects and 

maintains information or records with 

respect to transactions or positions in, 

or the terms and conditions of, swaps 

entered into by third parties for the 

purpose of providing a centralized 

recordkeeping facility for swaps.9

Section 728 also directs the Commission 

to regulate data collection and 

maintenance by SDRs. 

The Commission shall prescribe data 

collection and data maintenance standards 

for swap data repositories.10

These standards are to be comparable to 

those for clearing organizations. 

The [data] standards prescribed by the 

Commission under this subsection shall be 

comparable to the data standards imposed by 

the Commission on derivatives clearing 

organizations in connection with their 

clearing of swaps.11

Section 729 of the Dodd-Frank Act 

added to the CEA new Section 4r, which 

addresses reporting and recordkeeping 

requirements for uncleared swaps. 

Pursuant to this section, each swap not 

accepted for clearing by any designated 

clearing organization (‘‘DCO’’) must be 

reported to an SDR (or to the 

Commission if no repository will accept 

the swap). Section 729 ensures that at least one 

counterparty to a swap has an obligation 

to report data concerning that swap. The 

determination of this reporting 

counterparty depends on the status of 

the counterparties involved. If only one 

counterparty is an SD, the SD is 

required to report the swap. If one 

counterparty is an MSP, and the other 

counterparty is neither an SD nor an 

MSP (‘‘non-SD/MSP counterparty’’), the 

MSP must report. Where the 

counterparties have the same status— 

two SDs, two MSPs, or two non-SD– 

MSP counterparties—the counterparties 

must select a counterparty to report the 

swap.12

In addition, Section 729 provides for 

reporting to the Commission of swaps 

neither cleared nor accepted by any 

SDR. Under this provision, 

counterparties to such swaps must 

maintain books and records pertaining 

to their swaps in the manner and for the 

time required by the Commission, and 

must make these books and records 

available for inspection by the 

Commission or other specified 

regulators if requested to do so.13 It also 

requires counterparties to such swaps to 

provide reports concerning such swaps 

to the Commission upon its request, in 

the form and manner specified by the 

Commission.14 Such reports must be as 

comprehensive 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-thecounter (‘‘OTC’’) derivatives reporting, 

both internationally and domestically. 

The Commission has reviewed and 

considered this work in preparing these 

proposed regulations. G–20 and FSB. In November 2008, as 

a response to the global economic crisis, 

the G–20 met in Washington. In 

September 2009, G–20 Leaders agreed in 

Pittsburgh to critical elements relating 

to the reform of OTC oversight, 

including a provision that all ‘‘OTC 

derivatives contracts should be reported 

to trade repositories.’’ 16

In October 2010, the Financial 

Stability Board (‘‘FSB’’) published a 

report setting out 21 recommendations 

addressing implementation of G–20 

commitments concerning 

standardization, central clearing, 

organized platform trading, and 

reporting to trade repositories (‘‘TRs’’).17

The report stated that regulatory 

authorities ‘‘must have full and timely 

access to the data needed to carry out 

their respective mandates.’’ 18 It also 

provided that: 

Authorities with the legal mandate to set 

requirements for the reporting of transactions 

to trade repositories should consider the 

recommendations set out in the forthcoming 

report of the FSB Data Gaps and Systemic 

Linkages Group, and consult with the 

Committee on the Global Financial System 

(CGFS), the Bank for International 

Settlements (BIS), the ODSG and ODRF, to 

identify the data that should be reported to 

trade repositories to enable authorities to 

carry out their respective tasks . * * * 

Further, as the data must be able to be readily 

aggregated on a global basis, by end-2011 

CPSS and IOSCO, in consultation with 

authorities, and with the ODRF, should 

develop both for market participants 

reporting to trade repositories and for trade 

repositories reporting to the public and to 

regulators: (i) minimum data reporting 

requirements and standardised formats, and 

(ii) the methodology and mechanism for the 

aggregation of data on a global basis.19

Standard-Setting for Repositories and 

Data Reporting by CPSS and IOSCO. To 

fulfill the mandate from FSB noted 

above, the Committee on Payment and 

Settlement Systems (‘‘CPSS’’), and the 

International Organization of Securities 

Commissions (‘‘IOSCO’’), which is 

recognized as the international standard 

setting body for securities markets, have 

formed an OTC Derivatives Regulation 

Task Force (‘‘Task Force’’). One purpose 

of the Task Force is ‘‘to take a leading 

role in coordinating securities and 

futures regulators’ efforts to work 

together in the development of 

supervisory and oversight structures 

related to derivatives markets,’’ and ‘‘to 

coordinate other international initiatives 

relating to OTC derivatives 

regulation.’’ 20 Regarding data reporting, 

the Task Force will produce a data 

report, scheduled for release in July 

2011, which: 

sets out, both for market participants 

reporting to trade repositories and for trade 

repositories reporting to the public and to 

regulators for the purpose of macro- and 

micro-surveillance: (1) Minimum data 

reporting requirements and standardised 

formats; and (2) the methodology and 

mechanism for the aggregation of data on a 

global basis.21

The Commission serves as a Co-Chair of 

the Task Force, and will participate in 

drafting its data report. 

In May 2010, the IOSCO Technical 

Committee and CPSS issued a 

consultative report, Considerations for 

Trade Repositories in OTC Derivatives 

Markets (‘‘CPSS–IOSCO Considerations 

for Trade Repositories’’), that identified 


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76576 Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 

22Committee on Payment and Settlement 

Systems, and Technical Committee of the 

International Organization of Securities 

Commissions, Considerations for Trade 

Repositories in OTC Derivatives Markets: 

Consultative Report, May 2010. 

23 Id. at 11. 

24As the ODRF itself states, ‘‘the Forum is not a 

legal entity in its own right with its own separate 

and independent authority, nor is it a standard 

setting body.’’ Rather, the ODRF ‘‘provides mutual 

assistance among the [regulatory] Authorities in 

carrying out their respective responsibilities with 

respect to OTC derivatives CCPs and TRs. In doing 

so, the Forum acts without prejudice to each 

Authority’s statutory duties, and to national and 

otherwise applicable laws.’’ While the ODRF seeks 

to promote consistent standards, ‘‘This does not 

mean that the Forum will develop its own 

standards or provide guidance interpreting 

standards, but rather, the Forum supports the 

application and implementation of standards set by 

other bodies in the international regulatory 

community.’’ 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), August 

27, 2010. 

twelve factors for consideration by trade 

repositories and relevant authorities in 

developing more robust data 

recordkeeping and reporting 

arrangements for derivatives.22

Regarding data reporting and 

recordkeeping, the report emphasizes 

that: 

[A] trade repository should promptly 

record the trade information it receives from 

its participants. To ensure the accuracy and 

currency of data, a trade repository should 

employ timely and efficient record keeping 

procedures to document changes to recorded 

trade information resulting from subsequent 

post-trade events. Ideally, a trade repository 

should record to its central registry trade 

information it receives from its participants 

in real-time, and at a minimum, within one 

business day.23

BIS. The Bank for International 

Settlements (‘‘BIS’’) is an international 

organization that fosters international 

monetary and financial cooperation and 

serves as a bank for central banks. It is 

the parent organization of CPSS, which 

is a BIS standing committee. BIS’s 

Coordination Group, a senior group of 

supervisory standard setters comprised 

of the Chairmen and Secretaries of BIS, 

IOSCO, and the International 

Association of Insurance Supervisors, 

meets twice annually to allow 

supervisory standard setting 

organizations to exchange views on 

priorities and key issues. BIS also 

publishes statistics on global banking, 

securities, foreign exchange and 

derivatives markets. Its Semiannual 

Over-the-Counter (OTC) Derivatives 

Markets Statistics Report is designed to 

obtain comprehensive and 

internationally consistent information 

on the size and structure of major 

derivatives markets, including 

information on swaps and options of 

foreign exchange, interest rate, equity 

and commodity derivatives. Every three 

years, this semiannual survey is part of 

a world-wide exercise concerning 

activity on derivatives markets. For 

these reasons, BIS’s expertise is relevant 

to data recordkeeping and reporting for 

derivatives. 

ODRF and ODSG. The OTC 

Derivative’s Regulators’ Forum 

(‘‘ODRF’’) brings together representatives 

from central banks, prudential 

supervisors, securities regulators and 

market regulators to discuss issues of 

common interest, regarding central 

clearing parties (‘‘CCPs’’) and TRs for 

OTC derivatives.24 As part of its support 

for application and implementation of 

standards, the ODRF has developed an 

outline of trade repository functionality 

that is desired by its members.25 The 

outline is designed to document trade 

repository attributes that will support 

the market transparency and data 

availability objectives set out in the 

CPSS–IOSCO Considerations for Trade 

Repositories. The outline addresses 

types, coverage, quality, and frequency 

of TR data, as well as access to TR data 

and desirable data elements. When 

discussing the frequency of data 

reporting to trade repositories, the 

outline suggests that transaction data in 

trade repositories should be updated at 

least once per day, such that all 

transaction records can be considered 

reliable as of the previous day. The OTC 

Derivatives Supervisors Group (‘‘ODSG’’) 

brings together the prudential 

supervisors of the major OTC 

derivatives dealers for coordination 

among them concerning major industry 

initiatives in the OTC derivatives 

market. The ODSG has worked 

cooperatively with major industry 

participants concerning establishment 

of trade repositories for several OTC 

derivatives asset classes. 

D. Regulatory Needs for Swap Data 

The various parts of the U.S. financial 

sector are regulated by several agencies 

and institutions: the Commodity 

Futures Trading Commission (‘‘CFTC’’), 

Office of the Comptroller of the 

Currency (‘‘OCC’’), Federal Deposit 

Insurance Corporation (‘‘FDIC’’), Federal 

Reserve Board of Governors (‘‘FRB’’), 

National Credit Union Administration 

(‘‘NCUA’’), and Securities and Exchange 

Commission (‘‘SEC’’). 

The CFTC’s mission is to protect 

market users and the public from fraud, 

manipulation, and abusive practices 

related to the sale of commodity and 

financial futures and options, and to 

foster open, competitive, and financially 

sound futures and option markets. The 

OCC’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 is 

to ensure that they operate in a safe and 

sound manner and in compliance with 

laws requiring fair treatment of their 

customers and fair access to credit and 

financial products. The FDIC is an 

independent agency created by the 

Congress to maintain stability and 

public confidence in the nation’s 

financial system by: Insuring deposits, 

examining and supervising financial 

institutions for safety and soundness 

and consumer protection, and managing 

receiverships. The Federal Reserve’s 

duties fall into four general areas: 

Conducting the nation’s monetary 

policy by influencing the monetary and 

credit conditions in the economy in 

pursuit of maximum employment, 

stable prices, and moderate long-term 

interest rates; supervising and regulating 

banking institutions to ensure the safety 

and soundness of the nation’s banking 

and financial system and to protect the 

credit rights of consumers; maintaining 

the stability of the financial system and 

containing systemic risk that may arise 

in financial markets; providing financial 

services to depository institutions, the 

U.S. government, and foreign official 

institutions, including playing a major 

role in operating the nation’s payments 

system. The NCUA is the independent 

Federal agency that charters and 

supervises Federal credit unions. The 

mission of the SEC is to protect 

investors, maintain fair, orderly, and 

efficient markets, and facilitate capital 

formation. 

According to their regulatory 

mandates, the various U.S. financial 

regulators need different types of 

financial information to fulfill their 

missions. Systemic risk regulators, 

among other things, need data that will 

enable them to monitor gross and net 

counterparty exposures, wherever 

possible, not only on notional volumes 

for each contract but also market values, 

exposures before collateral, and 

exposure values net of collateral with a 

full counterparty breakdown. Such data 

would allow for the calculation of 

measures that capture counterparty risk 

concentrations both for individual risk 

categories as well as the overall market. 

Market regulators need data that enables 

them to promote market 

competitiveness and efficiency, protect 

market participants against fraud, 

manipulation, and abusive trading 


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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 provides 

central, automated settlement of payments for 

contracts processed through the Warehouse’s 

Central Settlement Service, in partnership with CLS 

Bank International. 

practices, enforce aggregate speculative 

position limits as adopted, and ensure 

the financial integrity of the clearing 

process. 

International financial regulators have 

similarly varied data needs. As noted in 

FSB’s Report on Implementing OTC 

Derivative Market Reforms: 

The breadth and depth of information 

needed by authorities varies according to 

their respective mandates and may continue 

to evolve over time. Such mandates and 

objectives include, (i) assessing systemic risk 

and financial stability; (ii) conducting market 

surveillance and enforcement; (iii) 

supervising market participants; and (iv) 

conducting resolution activities.26

When expanding on the level of data 

that must be collected to satisfy these 

regulatory functions, the Report 

addresses both transaction level data 

and portfolio level data. Regarding 

transaction level data, the Report says: 

Authorities must be able to retrieve 

transaction event (flow) data at different 

levels of granularity, from aggregate statistics 

to transaction level information. TRs must 

collect and maintain data at a high level of 

details. Transaction event data must preserve 

information on the original terms of the 

transaction that is complete as practical and 

possible, and includes, for example, 

preserving the underlying reference, trading 

counterparties, price, and the time and date 

of the original transactions.27

Regarding portfolio level data, the 

Report states that: 

TRs should collect data to enable 

monitoring of gross and net counterparty 

exposures where possible, not only on 

notional volumes for each contract but also 

market values, exposures before collateral, 

and exposure value net of collateral with a 

full counterparty breakdown. This would 

allow for the calculation of measures that 

capture counterparty risk concentration both 

for individual risk categories as well as the 

overall market.28

E. Existing Trade Repositories 

Currently there are global trade 

repositories for credit, interest rate, and 

equity derivatives, in various stages of 

maturity and development. 

Credit Swaps Repository. The oldest 

and most fully developed of the three 

existing trade repositories is the current 

repository for credit swaps, the 

Depository Trust & Clearing 

Corporation’s (‘‘DTCC’s’’) Trade 

Information Warehouse (‘‘DTCC 

Warehouse’’ or ‘‘Warehouse’’). It is 

operated by a DTCC subsidiary, The 

Warehouse Trust Company, LLC, which 

is registered as a bank and regulated as 

a member of the U.S. Federal Reserve 

System, and as a limited purpose trust 

company by the New York State 

Banking Department. All G–14 dealers 

began submitting credit swap data to 

DTCC Warehouse in 2009, after they 

committed to reporting all credit swap 

trades to a repository. 

In addition to receiving and 

maintaining swap data, the Warehouse 

is substantially focused on providing a 

number of other services to swap 

counterparties. It calculates payments 

on all confirmed CDS contracts and 

creates real-time bilateral nets for each 

currency.29 The Warehouse supports 

trade processing associated with events 

of default, such as bankruptcy, failure to 

pay and restructuring that may trigger 

pay-outs for the buyer of the credit 

protection for the underlying reference 

entity of the credit derivative. Its 

automated event processing includes 

coupon payment recalculations, and 

calculation of credit event recovery and 

rebate amounts based on auction results, 

automated exit of the transactions for 

single-named trades exhausted by the 

credit event, factor adjustment and reversioning to new identification for 

affected index transactions. 

Interest Rate Swaps Repository. In 

January 2010, TriOptima launched the 

Global OTC Derivatives Interest Rate 

Trade Reporting Repository (‘‘TriOptima 

Interest Rate Repository’’ or ‘‘TriOptima 

IRTRR’’), after being selected by the 

Rates Steering Committee of the 

International Swaps and Derivatives 

Association (‘‘ISDA’’) to provide a trade 

repository to collect information on 

trades in the interest rate derivatives 

market. The TriOptima IRTRR is 

regulated by the Swedish Financial 

Supervisory Authority. TriOptima is 

also a provider of post-trade services for 

OTC derivatives, including portfolio 

reconciliation and compression. 

Equity Swaps Repository. The newest 

existing trade repository is DTCC’s 

Equity Derivatives Reporting Repository 

(‘‘EDRR’’), launched on August 5, 2010. 

EDRR is designed to hold key position 

data, including product types, notional 

value, open trade positions, maturity 

and currency denomination for 

transactions, and counterparty type 

indicators. Equity derivatives that EDRR 

plans to support initially include equity 

swaps, dividend swaps, variance swaps, 

portfolio swaps, and swaptions, among 

other categories. DTCC’s MarkitSERV 

subsidiary will provide operational 

support, including account 

management, client sign-up and 

customer service, and other product 

management services. Derivatives 

Repository Ltd., the legal company that 

runs the EDRR service, is regulated by 

the United Kingdom Financial Services 

Authority (‘‘UK FSA’’). 

Existing Repository Data Access. 

Access to data in the existing 

repositories requires a Memorandum of 

Understanding between the primary 

regulator of a repository and any 

competent financial regulatory authority 

that requires the data for regulatory 

purposes. 

F. Consultations With Other U.S. 

Financial Regulators 

In developing the swap data 

recordkeeping and reporting rule, 

Commission staff has engaged in 

extensive consultations with U.S. 

domestic financial regulators. The 

agencies and institutions consulted 

include the Federal Reserve Board of 

Governors (including the Federal 

Reserve Bank of New York), Federal 

Deposit Insurance Corporation, Office of 

the Comptroller of Currency, Securities 

and Exchange Commission, and the 

Department of the Treasury. 

Commission staff welcomes and will 

continue consultations with these and 

other U.S. agencies and institutions 

while working on the final version of 

the rule. 

G. Consultations With International 

Financial Regulators 

In developing the swap data 

recordkeeping and reporting rule, 

Commission staff has had extensive 

consultations with numerous 

international financial regulators and 

organizations. The international 

organizations and institutions consulted 

have included the European 

Commission (‘‘EC’’), European Central 

Bank (‘‘ECB’’), Committee of European 

Securities Regulators (‘‘CESR’’), FSB 

Data Gaps and Systemic Linkages Group 

(‘‘DGSLG’’), UK FSA, and financial 

regulators from India, Brazil, and 

Canada, as well as IOSCO and the 

ODRF. Commission staff welcomes and 

will continue consultations with these 

and other international agencies, 

institutions and organizations while 

working on the final version of the rule. 

H. Data Reporting Approaches 

Two Conceptual Approaches to Swap 

Data Reporting. Conceptually, there are 

two distinct approaches to swap data 

reporting. One is commonly referred to 

as a life-cycle or event flow approach, 


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30European Commission Staff Working Paper 

Accompanying the Commission Communication 

‘‘Ensuring Efficient, Safe and Sound Derivatives 

Markets (SEC 2009) 905 final, 3 July 

2009). 

31 Depository Trust & Clearing Corporation, 

Response by The Depository Trust & Clearing 

Corporation to the CPSS–IOSCO Consultative 

Report, June 22, 2010, at 8. 

32See TriOptima Letter to the Commodity 

Futures Trading Commission, October 26, 2010. 

and the other is a state or snapshot 

approach. 

The life cycle approach is focused on 

managing the flow of an information 

system’s data throughout the life cycle 

of the flow from creation and initial 

storage to the time when it becomes 

obsolete. Sometimes called an event 

flow approach, the life cycle method 

records the details of a swap at its 

inception, and thereafter records 

individual events that affect the terms of 

the swap, when they occur. Systems 

based on the life-cycle data reporting 

approach typically are based on, or 

interrelated with, operational 

infrastructure for other functions, such 

as central credit event processing, legal 

recordkeeping, settlement services, etc. 

The state or snapshot approach is 

based on a report of all of the primary 

economic terms of a swap at its 

inception, followed by a daily update of 

the current state of the swap which 

incorporates all the changes that have 

happened to the swap since the 

previous snapshot. This approach also 

maintains daily synchronization and 

reconciliation of the data in a repository 

with the data of the reporting swap 

counterparty. Unlike the life cycle 

approach, the state or snapshot 

approach does not require specifying 

and prescribing the various events that 

require updating of data in a repository. 

While both approaches are viable 

methods of data collection, one can be 

more efficient than the other in different 

assets classes, due to differences 

between asset classes in terms of market 

structure and market processes. While a 

life-cycle approach is an efficient and 

effective method of data processing for 

credit swaps, and may also be suitable 

for equity swaps, a state or snapshot 

approach maybe more appropriate for 

interest rate swaps, commodity swaps, 

and currency swaps. 

Illustration of the Life Cycle 

Approach. The DTCC Warehouse, 

currently the only centralized global 

repository for OTC credit derivatives 

contracts, follows the life cycle 

approach to data reporting. The 

Warehouse supports the trade 

processing associated with events of 

default, including bankruptcy, failure to 

pay, restructuring, and other life cycle 

credit events which may trigger payouts 

for the buyer of credit protection for the 

underlying reference entity that is the 

subject of the credit swap. 

DTCC cites several benefits of using a 

life cycle approach for credit swaps. 

These benefits include greater control 

over payment processing, by providing 

an automated way for participants to 

start or stop automatic calculation of 

coupon payments for a specific trade; 

minimization of time and cost by 

automating payment calculations and 

providing bilateral netting of payments 

for firms participating in the 

Warehouse; increased efficiency 

through streamlining of the trade 

adherence process for life cycle events; 

and reduction of risk by handling all 

credit events and successor events 

identically for each participant, in the 

same time frame and with the same 

deadlines. 

DTCC itself recognizes that the life 

cycle approach is not the optimum 

approach for all asset classes, and that 

it often involves ancillary services not 

part of the core function of a repository. 

In responding to the CPSS–IOSCO 

Considerations for Trade Repositories, 

DTCC agreed with comments made by a 

European Commission staff working 

paper that highlighted the different 

fundamental natures of the OTC 

derivatives asset classes.30 Due to these 

fundamental asset class differences, 

DTCC said, it should be recognized that: 

Therefore, for other asset classes (such as 

interest rates, equity derivatives, 

commodities, etc.) the nature of the products 

will dictate the overall operational 

infrastructure. For example, life cycle credit 

events are only relevant to CDSs. 

DTCC therefore agrees that repository 

services that fall broadly under (1) position 

recording, (2) data cleansing, [and] (3) 

reporting to regulators, the public and 

participant firms should be provided on a 

global basis for each OTC asset class. The 

stated goals of a repository—‘‘to foster 

transparency, thus supporting the efficiency, 

stability of and orderly functioning (i.e. 

avoidance of abusive behavior) of financial 

markets’’—are readily achieved through these 

services. 

However, DTCC does not believe it is 

appropriate to extend the definition of a 

repository to encompass the aspects of Asset 

Services (including legal record keeping) and 

Settlement Services that the TIW (Trade 

Information Warehouse) provides to the CDS 

market. These additional services are 

provided in addition to the trade repository 

and are complementary to it, as opposed to 

being an integral part.31

In contrast to the DTCC Warehouse, 

which offers a full suite of repository 

and life cycle event processing services, 

the DTCC Equity Derivatives Reporting 

Repository offers only position 

recording and reporting services. This 

aligns with the industry’s primary focus 

in developing this repository. 

Illustration of the State or Snapshot 

Approach. The TriOptima Interest Rate 

Repository, currently the only 

centralized, global repository for OTC 

interest rate derivatives contracts, uses 

the state or snapshot approach to data 

reporting for interest rate swaps. The 

TriOptima IRTRR collects transaction 

data on interest rate derivatives from 

market participants and provides 

regulators with monthly reports 

summarizing outstanding trade volumes 

and gross notionals as well as currency 

breakdown and maturity profiles by 

product type. It holds information for all 

types of both cleared and non-cleared 

OTC derivatives interest rate 

transactions. 

TriOptima cites a number of benefits 

of using the state or snapshot approach 

for interest rate swaps. One is that this 

approach allows the repository to have 

complete and up-to-date records at all 

times 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 a 

key consideration for systemic risk 

monitoring. Another is that the state or 

snapshot approach avoids a need to 

specify and prescribe all of the events 

that would need to be recorded by a 

repository. TriOptima notes that this 

would be extremely difficult for interest 

rate swaps—in contrast to credit swaps 

where the list of life cycle events is 

clearly established—due to the wide 

variety of different types of interest rate 

swaps, including ‘‘bespoke’’ swaps 

tailored to the specific needs of non-SD/ 

MSP counterparties (including end 

users), and to ongoing interest rate swap 

product innovation. Provision of a daily 

snapshot also ensures that the swap data 

in the repository is reconciled and 

synchronized each day with the 

reporting counterparty’s internal 

systems, which improves the quality of 

data in the repository through 

interfacing with the reporting 

counterparty’s risk management 

systems.32

II. Proposed New Regulations, Part 45 

A. Recordkeeping Requirements 

The Commission’s existing 

requirements for recordkeeping with 

respect to futures and options are found 

in Sections 5(b) and 5(d) of the CEA; 

§§ 1.31 and 1.35 of the Commission’s 

Regulations; Appendix B to Part 38 of 

the Commission’s Regulations, Core 

Principle 17, Recordkeeping; and 

Appendix A to Part 39 of the 


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33Committee on Payment and Settlement 

Systems, Considerations for Trade Repositories in 

OTC Derivatives Markets, May 2010, at 1. 

34The Commission is aware that the European 

Commission’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 require 

retention of records concerning swaps for ten years 

following final termination of a swap. The 

Commission is proposing to require record 

retention for five years following final termination 

of a swap because it believes that a ten-year posttermination retention period may not be necessary 

for regulatory purposes, and could possibly impose 

an undue burden and costs on registered entities 

and swap counterparties. The Commission requests 

comment concerning the appropriate length of the 

required post-termination retention period. 

35 Dodd-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), August 

27, 2010, at 2. 

Commission’s Regulations, Core 

Principle K, Recordkeeping. 

Collectively, these provisions establish 

recordkeeping requirements for all 

designated contract markets (‘‘DCMs’’), 

DCOs, futures commission merchants 

(‘‘FCMs’’), introducing brokers (‘‘IBs’’), 

and members of contract markets. Each 

such entity or person is generally 

required to keep full and complete 

records, together with all pertinent data 

and memoranda, of all activities relating 

to the business of the entity or person 

that is subject to the Commission’s 

authority. All such records must be kept 

for a period of five years from the date 

of the record, and must be readily 

accessible during the first two years of 

the five-year period. Copies of all such 

records must be provided, at the 

expense of the person required to keep 

the records, upon request by any 

representative of the Commission or the 

Department of Justice. The Commission believes that the 

rationale for requiring Commission 

registrants to keep all records relating to 

the business involved must also govern 

recordkeeping with respect to swaps by 

registered entities and swap 

counterparties. Such records are 

essential to carrying out the regulatory 

functions of not only the Commission 

but all other financial regulators, and for 

appropriate risk management by 

registered entities and swap 

counterparties themselves. The need for 

such records is also recognized 

internationally. As CPSS has noted: 

[I]t should be clear that the data recorded 

in a TR [trade repository] cannot be a 

substitute for the records of transactions at 

original counterparties. Therefore, it is 

important that even where TRs have been 

established and used, market participants 

maintain their own records of the 

transactions that they are a counterparty to 

and reconcile them with their counterparties 

or TRs on an ongoing basis (including for 

their own risk management purposes).33

A swap can continue to exist for a 

substantial period of time prior to its 

final termination or expiration. During 

this time, which in some cases can 

extend for many years, the key 

economic terms of the swap can change. 

Thus, recordkeeping requirements with 

respect to a swap must necessarily cover 

the entire period of time during which 

the swap exists, as well as an 

appropriate period following final 

termination or expiration of the swap. Accordingly, the Commission’s 

proposed regulations establishing 

general swap recordkeeping 

requirements would require that all 

DCOs, DCMs, swap execution facilities 

(‘‘SEFs’’), SDs, and MSPs must keep full, 

complete, and systematic records, 

together with all pertinent data and 

memoranda, of all activities relating to 

the business of such entities or persons 

with respect to swaps. For all such 

entities and swap counterparties, these 

requirements would include, without 

limitation, records of all data required to 

be reported in connection with any 

swap. The proposed regulations would 

require that all records required to be 

kept by DCOs, DCMs, SEFs, SDs, MSPs, 

and non-SD/MSP counterparties must 

be kept throughout the existence of the 

swap and for five years following final 

termination of the swap.34 Records 

required to be kept by DCOs, DCMs, 

SEFs, SDs, and MSPs would be required 

to be readily accessible by the registered 

entity or person in question via real 

time electronic access throughout the 

life of the swap and for two years 

following 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 as 

end users counterparties pursuant to 

Section 2(h)(7) of the CEA with respect 

to particular swaps, would be required 

to keep full, complete, and systematic 

records, including all pertinent data and 

memoranda, with respect to each swap 

in which they are a counterparty. Each 

such record would be required to be 

retrievable by the counterparty within 

three business days during the required 

retention period. The proposed rules would place 

lesser recordkeeping requirements on 

non-SD/MSP counterparties than on SD 

or MSP counterparties or registered 

entities because the Commission 

understands that non-SD/MSP 

counterparties are less likely than other 

counterparties or registered entities to 

have appropriate systems in place for 

this purpose, and that the number of 

swaps in which they are counterparties 

is likely to be smaller than the 

corresponding number for SDs or MSPs. 

The Commission believes that this 

approach also effectuates a policy 

choice made by Congress in Dodd-Frank 

to place lesser burdens on non-SD/MSP 

counterparties to swaps, where this can 

be done without damage to the 

fundamental systemic risk mitigation, 

transparency, standardization, and 

market integrity purposes of the 

legislation. The Commission requests 

comment concerning whether it should 

adopt a phase-in approach for 

recordkeeping requirements by non-SD/ 

MSP counterparties. 

Because of the importance of swap 

data held in SDRs to all of the various 

regulatory functions of financial 

regulators across the U.S. financial 

sector and internationally, the proposed 

regulations would require that all 

records required to be kept by SDRs 

must be kept by the SDR both: (a) 

Throughout the existence of the swap 

and for five years following final 

termination or expiration of the swap, 

during which time the records must be 

readily accessible by the SDR and 

available to the Commission via real 

time electronic access; and (b) 

thereafter, for a period determined by 

the Commission, in archival storage 

from which they are retrievable by the 

SDR within three business days. The 

Commission believes that SDR records 

must be readily accessible via real time 

electronic access throughout the 

existence of the swap and for five years 

following final termination or expiration 

of the swap in order to make effective 

the statutory mandate that SDRs must 

‘‘provide direct electronic access to the 

Commission (or any designee of the 

Commission including another 

registered entity.’’ 35 Regarding the 

length of the additional period, 

commencing five years after final 

termination or expiration of a swap, 

during which an SDR must keep swap 

records in archival storage, the 

Commission notes that the ODRF has 

called for trade repositories to ‘‘retain 

historical data for an indefinite 

period.’’ 36 The Commission seeks 

comment concerning whether SDRs 

should be required to keep swap data in 

archival storage in perpetuity, or 

whether a limited term in years should 

be required, and, if so, what archival 

storage period should be required. 

The proposed regulations would also 

require that all records required to be 

kept pursuant to the regulations must be 


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76580 Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 

37 It is important to note that the reporting 

requirements addressed in this proposed 

rulemaking are separate from the public reporting 

of swap transactions requirements found in CEA 

§ 2(a)(13)(A) through (F), commonly called real time 

reporting. Real time reporting requires swap data to 

be publicly disseminated in a manner that protects 

anonymity. See CEA §§ 2(a)(13)(C)(iii) and 

2(a)(13)(E)(i). 

It is also important to note that the Commission 

intends to establish data recordkeeping and 

reporting requirements for ‘‘transitional swaps’’ in a 

separate rulemaking. ‘‘Transitional swap’’ means a 

swap executed on or after the date of enactment of 

the Dodd-Frank Act (i.e., July 21, 2010) and before 

the effective date of the final rule issued pursuant 

to this present rulemaking. CEA Section 2(h)(5) 

Reporting Transition Rules provides that ‘‘Swaps 

entered into on or after [the] date of enactment [of 

the Dodd-Frank Act] shall be reported to a 

registered swap data repository or the Commission 

no later than the later of (i) 90 days after [the] 

effective date [of Section 2(h)(5)] or (ii) such other 

time after entering into the swap as the Commission 

may prescribe by rule or regulation.’’ The 

Commission anticipates that the rulemaking for 

transitional swaps will address the records, 

information and data regarding transitional swaps 

that must be retained and the timeframe for 

reporting such information to the SDR or the 

Commission. 

38The proposed regulation uses the terms ‘‘swap 

creation data’’ and ‘‘swap continuation data’’ to refer 

to 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 to 

avoid the confusion that could result from the fact 

that those and other commonly used terms do not 

have universally accepted definitions and are used 

in different ways by different people in the 

derivatives marketplace. 

39For example, in the case of a swap involving 

an SD, the SD’s front office is where the trade starts. 

The order is placed, and the SD will price the swap 

and give the quote to the counterparty. If the 

counterparty agrees to the details of the trade and 

is willing to enter into the deal, the trade is 

executed. Typically, the trade is then captured by 

the SD’s deal capture system, which will validate 

all the necessary trade economics. An 

acknowledgement is sent to the counterparty with 

the trade details, and the counterparty either agrees 

or disagrees with those details. 

40When the final regulations are published, the 

Commission intends to publish such tables in a 

separate Federal Register release, which will be 

referenced in the final regulations. This procedure 

is intended to allow the Commission to update the 

tables from time to time, in response to swap 

market developments, without a need to issue new 

regulations. The Commission requests comment 

concerning this approach, including comments on 

its possible utility, benefits, or drawbacks; on 

whether the data tables should instead be published 

as an Appendix to the final regulations; and on 

whether the data tables should be published in 

some other fashion. 

41On December 22, 2008, the FDIC published in 

the Federal Register a final rule, effective January 

21, 2009, that established recordkeeping 

requirements for ‘‘qualified financial contracts’’ held 

by insured depository institutions in a ‘‘troubled 

condition.’’ Recordkeeping Requirements for 

Qualified Financial Contracts, 12 CFR part 371, RIN 

3064–AD30, December 22, 2008. Both terms are 

defined in the rule. Upon written notification by 

FDIC, such an institution is required by the rule to 

produce certain data required by the FDIC over a 

period specified by the FDIC. The Commission 

requests comment on whether it should incorporate 

the recordkeeping and data reporting requirements 

in this FDIC rule in its final data reporting rules, 

in its internal business conduct rules, or in other 

rules swap-related rules promulgated by the 

Commission, and, if so, on how such requirements 

should be incorporated. 

open to inspection upon request by any 

representative of the Commission, the 

Department of Justice, or the SEC, or by 

any representative of a prudential 

regulator as authorized by the 

Commission. The registered entity or 

swap counterparty involved would be 

required to provide copies to the 

Commission, at the expense of the 

registered entity or swap counterparty 

involved, either by electronic means, in 

hard copy, or both, as requested by the 

Commission. 

As referenced in the proposed 

regulations, in addition to the general 

recordkeeping requirements discussed 

above, specific recordkeeping 

requirements are being proposed in the 

Commission’s other proposed 

rulemakings concerning SDRs, DCOs, 

DCMs, SEFs, SDs, MSPs, and non-SD/ 

MSP counterparties. 

The Commission requests comment 

on all aspects of the proposed 

recordkeeping requirements. The 

Commission specifically requests 

comment on the following aspects of the 

requirements: 

• The necessity, for risk management and 

other business purposes, of the records 

required 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 be 

kept, any burden created by this requirement, 

and the usefulness of the records in question 

over 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 the 

usefulness of the records in question over the 

time required; 

• Whether records should be required to 

be kept by DCOs, DCMs, SEFs, SDs, MSPs, 

and non-SD/MSP counterparties for ten years 

following final termination of a swap rather 

than five years; and 

• The requirement that records be 

accessible in real time for the periods 

required in the proposed regulation. 

• Whether the Commission should adopt a 

phase-in approach to recordkeeping 

requirements for non-SD/MSP 

counterparties. 

B. Swap Data Reporting 

Swap Data Reporting from Two Stages 

of a Swap’s Existence. The Commission 

believes that it is important for 

fulfillment of the purposes of DoddFrank to ensure that complete data 

concerning swaps is maintained in 

SDRs and available to regulators.37

Accordingly, the Commission believes 

that swap data reporting should include 

data from each of two important stages 

of the existence of a swap: The creation 

of the swap, and the continuation of the 

swap over its existence until its final 

termination or expiration.38

Swap Creation Data Reporting: Two 

Sets of Data. With regard to the creation 

of a swap, the proposed regulation calls 

for reporting of two sets of data 

generated in connection with creation of 

the swap: Primary economic terms data, 

and confirmation data. 

Primary Economic Terms Data. The 

primary economic terms of a swap 

include all of the terms of the swap 

verified or matched by the 

counterparties at or shortly after the 

execution of the swap. Such terms can 

differ not only for swaps in different 

swap asset classes, but also for 

standardized versus non-standardized 

swaps. For swaps executed on a SEF or 

DCM, the primary economic terms will 

be those specified in the contract listed 

on the platform in question. For nonstandardized or bespoke swaps executed 

bilaterally, primary economic terms are 

typically far less standardized. 

However, counterparties verify the 

primary or essential economic terms of 

their swap with each other in some 

fashion following execution in the case 

of every swap.39 The industry does not 

have a single agreed-upon term for this 

verification process, which is variously 

called affirmation, matching, or 

confirmation of primary economic 

terms. By whatever name, the proposed 

regulation would require that all of the 

terms of the swap thus verified by the 

counterparties be reported to an SDR. 

Minimum primary economic terms 

data. In order to ensure that the array 

of primary economic terms reported to 

an SDR for a swap is sufficient in each 

case for regulatory purposes, the 

proposed regulations would require that 

the primary economic terms reported 

must include, at a minimum, all of the 

data elements listed by the Commission 

in the table of data elements for a swap 

of the asset class involved, found in 

Appendix 1 to Part 45.40 The tables in 

Appendix 1 to Part 45 are designed to 

include data elements that reflect 

generic economic terms and conditions 

common to most standardized products 

in the asset class in question.41 They 

reflect the focus of required reporting of 

primary economic terms data on the 

basic nature and essential economic 

terms of the product involved, and are 

provided in order to ensure to the extent 

possible that most such essential terms 

are included when required primary 

economic terms are reported for each 

swap. The proposed regulations are 

designed to capture the additional, 


jlentini on DSKJ8SOYB1PROD with PROPOSALS3
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42 75 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 economic 

terms data goes unreported in any circumstance, the 

proposed regulations also contain a ‘‘catch-all’’ 

clause requiring the reporting counterparty to report 

any required primary economic terms data not 

reported by the SEF or DCM. 

unique features of particular swaps in 

the asset class in question through 

required reporting of confirmation data, 

which will include reporting of all 

terms of each swap. 

In addition to the tables included in 

Appendix 1 to Part 45, Appendix 2 to 

Part 45 contains a Master Reference 

Generic Data Fields List, which includes 

data elements that the Commission 

believes could be relevant for 

standardized swaps in some or all swap 

asset classes. The Commission requests 

comment on whether any of the data 

fields in this Master Reference Generic 

Data Fields List should be included in 

one or more of the Tables of Required 

Minimum Primary Economic Terms 

Data for specific swap asset classes, or 

in the Minimum Valuation Data table, 

that are included in Appendix 1 to 

Part 45. 

The minimum primary economic 

terms data elements listed in the tables 

in Appendix 1 to Part 45 include futures 

contract equivalent data fields. The 

rationale for including those fields is the 

statutory mandate to the Commission to 

promulgate regulations to limit the 

amount of positions, other than bona 

fide hedge positions, that may be held 

by any person with respect to 

commodity futures and option contracts 

in exempt and agricultural 

commodities. The Commission would 

require position data for not only 

futures and option contracts but also for 

economically equivalent swaps, if the 

Commission’s proposed rules titled 

‘‘Position Reports for Physical 

Commodity Swaps’’ become final.42 In 

order to decrease potential burdens on 

persons that could be subject to the 

requirement to file position reports 

under those proposed rules (should they 

become final), the Commission requests 

comment on whether certain aspects of 

the proposed position reports should be 

a part of data reporting to SDRs. 

Confirmation data. The second set of 

data generated in connection with the 

creation of a swap and required by the 

proposed regulations to be reported is 

confirmation data. The proposed 

rulemaking defines ‘‘confirmation’’ as 

the full, signed, legal confirmation by 

the counterparties of all of the terms of 

a swap, and defines ‘‘confirmation data’’ 

as all of the terms of a swap matched 

and agreed upon by the counterparties 

in confirming the swap. The proposed 

regulations would require reporting of 

confirmation data, in addition to the 

earlier reporting of primary economic 

terms data, in order to help ensure the 

completeness and accuracy of the data 

maintained in an SDR with respect to a 

swap. Reporting of the terms of the 

confirmation, which has the assent of 

both counterparties, provides a means of 

fulfilling the statutory directive that an 

SDR ‘‘shall confirm with both 

counterparties to the swap the accuracy 

of the data that was submitted.’’ 43 The 

goal of ensuring the highest possible 

degree of swap data accuracy is shared 

internationally, as noted in the 

statement included in the FSB Report 

Implementing OTC Derivatives Market 

Reforms that ‘‘authorities should ensure 

that market participants report and TRs 

collect and provide data of the highest 

reliability practicable * * *’’ 44

Who Reports Swap Creation Data. 

Under the proposed regulations, 

determination of who must report 

required swap creation data is based on 

two criteria. The first criterion is 

whether the swap is (1) executed on a 

SEF or DCM and cleared on a DCO; 

(2) executed on a SEF or DCM but not 

cleared; (3) not executed on a SEF or 

DCM but cleared on a DCO; or (4) not 

executed on a SEF or DCM and not 

cleared. The second criterion is whether 

the reporting counterparty (as 

determined according to § 45.5) is an SD 

or MSP, or instead is a non-SD/MSP 

counterparty. Using these two criteria to 

determine who reports is intended to 

streamline and simplify the data 

reporting approach, by calling for 

reporting of each set of swap creation 

data by the registered entity or 

counterparty that has the easiest, fastest, 

and cheapest access to the set of data in 

question. The results of this approach 

are 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 platform and cleared Not executed on a platform and not cleared 

SD or MSP ........................ SEF/DCM (primary economic terms).SEF (primary economic 

terms).

SD/MSP (primary economic terms).SD/MSP (primary economic terms). 

DCO (confirmation) ........... SD/MSP (confirmation) ..... DCO (confirmation) ........... SD/MSP (confirmation). 

Non-SD/MSP Counterparty SEF/DCM (primary economic terms).SEF (primary economic 

terms).

Non-SD/MSP (primary 

economic terms).

Non-SD/MSP (primary 

economic terms). 

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

Who Reports Primary Economic 

Terms Data. For a swap executed on a 

SEF or DCM, the Commission 

anticipates that the swap contract 

certification process conducted by the 

SEF or DCM will define all or most of 

the primary economic terms of the 

swap, and that all or most of the 

required primary economic terms data 

for the swap will be created, in 

electronic form, on the electronic 

platform by virtue of execution of the 

swap contract offered by the SEF or 

DCM. The proposed regulations 

therefore call for the SEF or DCM to 

report the required primary economic 

terms data for the swap to an SDR in 

electronic form.45 In the case of a swap 

not executed on a SEF or DCM, primary 

economic terms data will be created by 

the counterparties’ verification of the 

primary economic terms of the swap. 

The proposed regulations therefore call 

for the reporting counterparty (as 

defined in the proposed regulations) to 

report the required primary economic 

terms data for the swap to an SDR in 

electronic form. 

Who Reports Confirmation Data. For 

cleared swaps, confirmation data will be 

generated by DCOs in the course of the 

normal clearing process. The proposed 

regulations thus call for DCOs to report 

confirmation data for all cleared swaps 

to the appropriate SDR in electronic 

form. For non-cleared swaps, 

confirmation will be done by the 

counterparties, in many cases with the 

assistance of a third-party confirmation 


jlentini on DSKJ8SOYB1PROD with PROPOSALS3
76582 Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 

46Proposed § 45.1(c) defines ‘‘confirmation’’ as the 

full, signed, legal confirmation by the 

counterparties of all of the terms of a swap. 

47FSB, Implementing OTC Derivatives Market 

Reforms: Report of the OTC Derivatives Working 

Group, October 20, 2010, at 44 (emphasis added). 48 Dodd-Frank § 728, CEA § 21(a)(1)(B). 49See CEA § 21(f)(1). 

50The Commission requests comment concerning 

the appropriate deadline for reporting of required 

primary economic terms data in the case of a swap 

for which neither execution nor verification of 

primary economic terms occurs electronically. 

service provider. The proposed 

regulations therefore would require the 

reporting counterparty to report 

confirmation data for each uncleared 

swap. Time of Reporting for Primary 

Economic Terms Data. Dodd-Frank does 

not specify the timeframes for reporting 

of swap data to SDRs for regulatory 

purposes (as opposed to real time 

reporting). However, to further the 

objectives of Dodd-Frank regarding 

systemic risk mitigation, transparency of 

the entire swaps market to regulators, 

and enhanced market surveillance and 

position limit monitoring, the 

Commission believes it is important that 

swap data be reported to SDRs either 

immediately following execution of the 

swap—the point of time at which the 

counterparties become irrevocably 

bound by contract under applicable 

law—or within a short but reasonable 

time following execution, rather than 

waiting until the time that full, signed, 

legal confirmation by the counterparties 

of all terms (not just the primary 

economic terms) of the swap is 

completed.46 Requiring reporting only 

at or after the time when full legal 

confirmation is completed, rather than 

at the time (shortly after execution) 

when verification of the primary 

economic terms of the swap occurs, 

could encourage counterparties to delay 

full legal confirmation in order to delay 

the reporting of a swap. In addition, the 

Commission has been informed by 

various existing trade repositories, third 

party service providers, and swap 

counterparties (notably including nonSD/MSP counterparties) that full legal 

confirmation of a swap currently can 

take weeks or even months in an 

appreciable number of cases. Allowing the first report of swap data 

concerning a swap to come from a DCO 

following clearing, or from a 

counterparty following full legal 

confirmation, would result in reporting 

delays that the Commission does not 

believe are desirable. Without reporting 

of primary economic terms data shortly 

following execution of a swap, 

regulators examining SDR data for 

regulatory purposes in many cases 

would not see the swap in question for 

hours or in some cases nearly an entire 

day (if initial reporting followed 

clearing), or even for days or weeks (if 

initial reporting followed full legal 

confirmation). This lack of complete 

swap data would frustrate fundamental 

purposes of financial reform, recognized 

not only by Congress in passing DoddFrank, but internationally. As the FSB 

Report Implementing OTC Derivatives 

Market Reforms states: 

[A]uthorities (i) should ensure that TRs are 

established to collect and maintain 

comprehensive OTC derivative transaction 

data; and (ii) must require market 

participants to report all OTC transactions, 

both centrally cleared and non-centrally 

cleared accurately and in a timely manner to 

TRs (or in exceptional circumstances, to 

relevant authorities). Where transactions are 

centrally cleared or otherwise terminated 

early, reporting to TRs also must capture and 

preserve information on the original terms of 

the transaction.47

It would also be undesirable to have 

all reporting of required swap creation 

data for cleared swaps done by DCOs, 

because such a limitation could have 

anti-competitive effects. Dodd-Frank 

explicitly permits DCOs to register as 

SDRs.48 However, the statute does not 

limit SDR registration to DCOs, and it 

contemplates free market competition 

between registered SDRs on a level 

playing field (as the existence of its 

antitrust provisions makes clear).49 If 

Commission regulations directed that all 

reporting of swap creation data for 

cleared swaps was to be done by DCOs, 

this could give DCOs a competitive 

advantage in comparison with other 

non-DCO SDRs, since non-DCO SDRs 

would not be able to offer data reporting 

to an SDR as part of a possible bundling 

of services to customers. The proposed 

regulations are designed to ensure fair 

competition in the provision of SDR 

services. 

Primary Economic Terms Reporting 

Time for Swaps Executed on a SEF or 

DCM. In the case of swaps executed on 

a SEF or DCM, where the platform 

possess the necessary primary economic 

terms data in electronic form at the time 

of execution, the Commission believes 

that required primary execution data 

should be reported to an SDR by the 

SEF or DCM electronically, as soon as 

technologically practicable following 

execution of the swap. 

Primary Economic Terms Reporting 

Time for Swaps Not Executed on a SEF 

or DCM. With respect to swaps not 

executed on a SEF or DCM, where 

reporting of required primary economic 

terms data will be done by the reporting 

counterparty, the Commission 

recognizes that the amount of time 

needed for reporting could vary 

depending on, among other things, the 

extent to which the swap is 

standardized, and whether execution of 

the swap and verification by the parties 

of the primary economic terms of the 

swap occur electronically or manually. 

Based on discussions with industry 

participants, the Commission believes 

that required primary economic terms 

data would be available relatively 

quickly for a swap for which execution 

and verification of primary economic 

terms occur electronically, because in 

many cases all of the required data 

would already be in an electronic 

format. The Commission understands 

that the majority of swaps, which are 

likely to have an SD or MSP as the 

reporting counterparty, are likely to fall 

into this category. 

Conversely, the Commission is aware 

that, where execution and verification of 

primary economic terms do not occur 

electronically—a situation which may 

occur more frequently for the relatively 

small number of swaps between nonSD/MSP counterparties, including end 

users—additional time may be needed 

to put the required data into an 

electronic format. 

Accordingly, the proposed regulation 

would require reporting counterparty to 

report required primary economic terms 

data promptly, but in no event later 

than: 

• 15 minutes after execution of a swap for 

which execution and verification of primary 

economic terms occur electronically; 

• 30 minutes after execution of a swap 

which is not executed electronically but for 

which verification of primary economic 

terms occurs electronically; or 

• In the case of a swap for which neither 

execution nor verification of primary 

economic terms occurs electronically, within 

a time after execution of the swap to be 

determined by the Commission prior to 

promulgation of its final data reporting 

regulations.50

The Commission believes that 

requiring reporting of required primary 

economic terms data by a reporting 

counterparty within 15 minutes of a 

swap’s execution would be appropriate 

for a swap for which execution and 

verification of primary economic terms 

occur electronically, because data for 

such a swap could easily be put into the 

necessary electronic format if it is not in 

such a format already. 

The Commission also believes that, 

for a swap which is not executed 

electronically but for which verification 

of primary economic terms occurs 

electronically, the reporting 

counterparty could need additional time 

for reporting. The Commission believes 

that 30 minutes would be a sufficient 


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51The Commission requests comment concerning 

the appropriate deadline for reporting of required 

confirmation data in the case of a swap for which 

confirmation was done manually rather than 

electronically. 

amount of time, because the required 

primary economic terms data for such a 

swap would have been put into 

electronic form for verification of 

primary economic terms, which would 

not require a significant amount of 

manual intervention. 

Finally, since required primary 

economic terms data with respect to a 

swap for which neither execution nor 

verification of primary economic terms 

occurs electronically would not likely 

be already in electronic format, and 

could require a significant amount of 

manual intervention, the Commission 

believes that additional time would be 

needed for reporting. The Commission 

believes that 24 hours would be a 

sufficient amount of time to enable such 

reporting while still making data for the 

swap available to regulators without 

undue delay, based on conversations 

with industry representatives. 

Time of Reporting for Confirmation 

Data. The proposed regulations follow 

similar principles for the reporting of 

required confirmation data. For swaps 

cleared on a DCO, where the DCO 

possesses the necessary confirmation 

data in electronic form at the time the 

swap is cleared, the Commission 

believes that required confirmation data 

should be reported to an SDR by the 

DCO electronically, as soon as 

technologically practicable following 

the clearing of the swap. With respect to 

swaps not cleared on a DCO, where 

reporting of required confirmation data 

will be done by the reporting 

counterparty, the Commission 

recognizes that the amount of time 

needed for reporting could vary, 

depending on whether the reporting 

counterparty is an SD or MSP or 

conversely is a non-SD/MSP 

counterparty, and depending on 

whether confirmation is done 

electronically (via the automated 

systems of a third-party confirmation 

service provider or of an SD or MSP 

counterparty), or is done manually with 

a resulting need to put the confirmation 

terms into an electronic format for 

confirmation reporting purposes. 

Accordingly, the proposed regulations 

would require a DCO to report required 

confirmation data for a cleared swap 

electronically, as soon as 

technologically practicable following 

clearing of the swap. In the case of an 

uncleared swap, the proposed 

regulations would require the reporting 

counterparty to report required 

confirmation data electronically, making 

such a report promptly following 

confirmation, but in no event later than: 

• 15 minutes after confirmation of a 

swap for which confirmation occurs 

electronically; or 

• In the case of a swap for which 

confirmation was done manually rather 

than electronically, within a time to be 

determined by the Commission prior to 

promulgation of its final data reporting 

regulations.51

Swap Continuation Data Reporting. 

As noted earlier, the Commission 

believes that it is important to fulfilling 

the purposes of Dodd-Frank to ensure 

that complete data concerning swaps is 

maintained in SDRs and available to 

regulators. This requires reporting of 

data from the continuation of a swap 

over its existence from the time it is 

created until its final termination or 

expiration. 

Two Approaches to Swap 

Continuation Data Reporting. Swap 

continuation data reporting can follow 

either of the two conceptual approaches 

to data reporting discussed above: the 

life cycle or event flow approach, or the 

state or snapshot approach. As 

previously noted, while both 

approaches are viable methods of data 

collection, one can be more efficient 

than the other in different assets classes, 

due to differences between asset classes 

in terms of market structure and market 

processes. With respect to swap 

continuation data reporting, the life 

cycle approach involves managing the 

flow of an information system’s data 

throughout the data’s life cycle from 

creation and initial storage to the time 

when it becomes obsolete, while the 

state or snapshot approach involves a 

daily update of the current state of the 

swap which incorporates all the changes 

that have happened to the swap since 

the previous snapshot. 

Life Cycle Approach for Credit Swap 

and Equity Swap Asset Classes. The 

proposed regulations define the swap 

continuation data required to be 

reported for credit and equity swaps in 

terms of the life cycle approach, in part 

because the Commission understands 

that the life cycle approach is likely to 

be followed in the SEC’s proposed 

regulations concerning swap data 

reporting for security-based swaps in 

these asset classes. The Commission 

believes that, to the extent possible, a 

unified approach to the reporting of 

swap data over the existence of swaps 

in asset classes where the SEC and the 

Commission share jurisdiction may 

serve the public interest, by avoiding 

imposition of differing reporting 

requirements for security-based and 

non-security-based swaps in the same 

asset class, and thus avoiding 

imposition of an undue burden on swap 

market participants. The Commission is 

also aware of the work already done by 

the industry with respect to credit swap 

data reporting using the life cycle 

approach, and of the fact that the 

existing global trade repository for 

credit swaps, the DTCC Warehouse, 

uses the life cycle approach. The 

Commission believes that the life cycle 

approach may be appropriate for the 

credit swap asset class, and to an extent 

for the equity swap asset class, due to 

their market structure, market processes, 

and present degree of product 

standardization. 

State or Snapshot Approach for 

Interest Rate Swap, Currency Swap, and 

Other Commodity Swap Asset Classes. 

In light of the work already done by the 

industry with respect to data reporting 

in the other swap asset classes—notably 

the interest rate swap asset class—using 

the state or snapshot approach, and in 

light of the fact that the existing global 

trade repository for interest rate swaps, 

the TriOptima Interest Rate Repository, 

uses the state or snapshot approach, the 

proposed regulations define the swap 

continuation data required to be 

reported for interest rate swaps, 

currency swaps, and other commodity 

swaps in terms of the state or snapshot 

approach. The Commission believes that 

this approach may be better suited to 

these asset classes, due to their market 

structure, market processes, and present 

degree of product standardization. 

One reason for this is that the 

Commission understands that the 

interest rate swap, currency swap, and 

other commodity swap asset classes 

involve numerous and widely varying 

types of derivatives products and a 

considerable degree of innovation and 

change with regard to instrument types. 

Swaps in these asset classes are often 

tailored to the specific needs of 

non-SD/MSP counterparties including 

end users. Thus, it would be very 

difficult, if not impossible, to enumerate 

all of the events that would need to be 

reported during the continuation of 

such swaps. This situation contrasts, for 

example, with the situation prevailing 

in the credit swap asset class, where a 

greater degree of standardization exists. 

Another reason why the state or 

snapshot approach may be better suited 

to the interest rate swap, currency swap, 

and other commodity swap asset classes 

is that in the life cycle or event flow 

approach, reporting counterparties must 

be able to generate messages to the SDR 

not only for all relevant life cycle 

events, but also for correction of errors 

and omissions in previously submitted 

data. Such messages must be tracked 

between reporting counterparties and 


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76584 Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 

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 for 

manual intervention and produce 

information backlog. It also creates a 

need to reconcile data between the SDR 

and the reporting counterparty’s 

internal systems to ensure that all 

events have been captured correctly in 

the SDR’s data. These problems are 

exacerbated in the case of asset classes 

with relatively less standardization of 

swap terms. By contrast, the state or 

snapshot approach eliminates the need 

to specify and require reporting of all of 

the individual life cycle events that 

require updating of SDR data, since the 

current state of all of the primary 

economic terms of all existing swaps is 

submitted daily to the SDR. This daily 

snapshot ensures that SDR data is 

reconciled with a reporting 

counterparty’s internal systems on a 

daily basis, and provides automatic 

daily corrections of errors and 

omissions in previously submitted data. 

The daily snapshot also ensures that 

SDR data is continually refreshed by the 

data contained in the risk management 

systems of reporting counterparties, 

who for business reasons normally 

devote considerable resources to 

ensuring data correctness. Leveraging 

the data quality assurance processes of 

reporting counterparties in this way can 

provide significant benefits in terms of 

the accuracy of swap data resident in 

SDRs. 

Finally, the state or snapshot 

approach eliminates the need for a 

complex array of exception management 

messages, and reduces the reporting 

burden for reporting counterparties by 

permitting the systems of reporting 

counterparties to submit one basic type 

of message, the daily snapshot of 

updated primary economic terms. The 

greater technological simplicity thus 

permitted can be a significant benefit 

where non-SD/MSP counterparties 

(including end users) are concerned. 

Four Sets of Swap Continuation Data. 

For the above reasons, with regard to the 

continuation of a swap, the proposed 

regulations would call for reporting of 

four sets of data generated in connection 

with the continuation of the swap: (1) 

Life cycle data for credit swaps and 

equity swaps; (2) contract-intrinsic data 

for credit swaps and equity swaps; (3) 

daily state data for interest rate swaps, 

currency swaps, and other commodity 

swaps; and (4) valuation data for swaps 

in all five swap asset classes. 

Life Cycle Event Data Reporting for 

Credit Swaps and Equity Swaps. For the 

purpose of required continuation data 

reporting for credit swaps and equity 

swaps, the proposed regulations require 

reporting, throughout the existence of a 

swap until its final termination or 

expiration, of ‘‘life cycle event data’’, 

defined as all of the data elements 

necessary to fully report any life cycle 

event, or any adjustment due to a life 

cycle event, that results in a change to 

data previously reported for the swap in 

question. The proposed regulations 

define ‘‘life cycle event’’ to mean any 

event that would result in a change in 

the data previously reported to an SDR 

in connection with the swap, including, 

without limitation, a counterparty 

change resulting from an assignment or 

novation; a partial or full termination of 

the swap; a change in the cash flows 

originally reported; for a credit swap or 

equity swap that is not cleared, any 

change to the collateral agreement; or a 

corporate action affecting a security or 

securities 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 the 

purpose of required continuation data 

reporting for credit swaps and equity 

swaps, the proposed regulations would 

also require reporting, throughout the 

existence of a swap until its final 

termination or expiration, of ‘‘contractintrinsic event data,’’ defined as all of 

the data elements necessary to fully 

report any contract-intrinsic event with 

respect to the swap in question. The 

proposed regulations define ‘‘contractintrinsic event’’ to mean a scheduled, 

anticipated event occurring during the 

existence of a swap that does not result 

in any change to the contractual terms 

of the swap, including, without 

limitation, the scheduled expiration of a 

swap, or a previously described and 

anticipated interest rate adjustment. 

State Data Snapshot Reporting for 

Interest Rate Swaps, Currency Swaps, 

and Other Commodity Swaps. For the 

purpose of required continuation data 

reporting for interest rate swaps, 

currency swaps, and other commodity 

swaps, the proposed regulations would 

require reporting of all ‘‘state data’’ for 

the swap, reported daily throughout the 

existence of the swap until its final 

termination or expiration. The proposed 

regulations define ‘‘state data’’ to mean 

all of the data elements necessary to 

provide a snapshot view, on a daily 

basis, of all of the primary economic 

terms of a swap, including any changes 

to such terms since the last snapshot. 

The proposed regulations also require 

that, at a minimum, this data must 

include all of the economic terms 

reflected in the appropriate table of data 

elements for a swap of the asset class 

involved. These tables can be found in 

Appendix 1 to Part 45. 

Valuation Data Reporting for Swaps 

in All Swap Asset Classes. Valuation 

data is defined in the proposed 

regulations to mean all of the data 

elements necessary for a person to 

determine the current market value of a 

swap, including, without limitation, 

daily margin, daily mark-to-market, and 

other measures of valuation to be 

determined by the Commission prior to 

promulgation of its final swap data 

reporting regulations. Swap valuation 

data is essential to a variety of the 

regulatory functions of many financial 

regulators, and is crucial to fulfillment 

of fundamental purposes of Dodd-Frank, 

including systemic risk reduction and 

increased transparency of the 

derivatives marketplace to regulators. 

The Commission and other regulators 

would use valuation information 

regarding swaps reported to SDRs for 

prudential oversight, to monitor 

potential systemic risk, and to monitor 

compliance with regulatory 

requirements for SDs and MSPs. The 

importance of reporting swap valuation 

data to SDRs is recognized 

internationally. The FSB Report 

Implementing OTC Derivatives Market 

Reforms provides that: 

TRs should collect data to enable 

monitoring of gross and net counterparty 

exposures, wherever possible, not only on 

notional volumes for each contract but also 

market values, exposures before collateral, 

and exposure value net of collateral with a 

full counterparty breakdown. This would 

allow for the calculation of measures that 

capture counterparty risk concentrations both 

for individual risk categories as well as for 

the overall market.52

Accordingly, the proposed regulations 

would require reporting of valuation 

data for swaps in all five asset classes. 

Who Reports Swap Continuation 

Data. Under the proposed regulations, 

determination of who must report 

required swap continuation data is 

based on two criteria. The first criterion 

is whether or not the swap is cleared on 

a DCO. The second criterion is whether 

the reporting counterparty (as provided 

in the proposed regulations) is an SD or 

MSP, or instead is a non-SD/MSP 

counterparty. Using these two criteria to 

determine who reports is intended to 

streamline and simplify the data 

reporting approach, by calling for 

reporting of each set of swap 


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53As noted earlier, the proposed regulations 

define ‘‘valuation data’’ as including ‘‘other 

measures of valuation as determined by the 

Commission’’ in addition to specified valuation 

measures. The Commission is requesting comment 

concerning what other measures of valuation of a 

swap should be required to be reported to an SDR. 

The Commission’s eventual determination as to 

what other measures of valuation should be 

required may affect what valuation data must be 

reported by a DCO or by a reporting counterparty. 

continuation data by the registered 

entity or counterparty that has the 

easiest, fastest, and cheapest access to 

the set of data in question. The results 

of this approach are shown in the 

following table: 

REPORTING OF SWAP CONTINUATION DATA

Reporting counterparty 

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

asset classes 

Cleared Not cleared Cleared Not cleared 

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

data).

SD/MSP (state 

snapshot data). 

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

data).

SD/MSP (valuation data). 

DCO and SD/MSP (valuation 

data).

SD/MSP (valuation data).

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

(state snapshot 

data). 

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

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

data).

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

(valuation 

data). 

Who Reports Life Cycle Event Data 

and Contract-Intrinsic Event Data. For a 

credit swap or equity swap cleared on 

a DCO, the Commission understands 

that the DCO will possess information 

in electronic form concerning some life 

cycle events required to be reported 

over the existence of the swap, due to 

its status as a central counterparty, 

while the swap counterparty (as defined 

in the proposed regulations) will 

possess information concerning other 

life cycle events. The proposed 

regulations therefore call for the DCO to 

report required life cycle event data in 

its possession, and for the reporting 

counterparty to report life cycle event 

data in its possession. For a credit swap 

or equity swap that is not cleared, the 

proposed regulations call for the 

reporting counterparty to report all 

required life cycle event data and all 

contract-intrinsic event data. 

The Commission understands that 

contract-intrinsic event data, which 

involves anticipated events such as 

scheduled adjustments, will be available 

to, and known in advance by, the 

reporting counterparty. The proposed 

regulations thus require the reporting 

counterparty to report all required 

contract-intrinsic event data for all 

credit swaps or equity swaps. 

Who Reports a Daily Snapshot of 

State Data. For an interest rate swap, 

currency swap, or other commodity 

swap cleared on a DCO, the proposed 

regulations require the reporting 

counterparty to report all required state 

data, on a daily basis. 

Who Reports Valuation Data. For 

cleared swaps in all five swap assets 

classes, both the DCO and the reporting 

counterparty may possess different 

types of valuation data.53 Therefore, for 

each cleared swap, the proposed 

regulations would call for both the DCO 

and the reporting counterparty to report 

valuation data. For uncleared swaps in 

all five swap asset classes, the only 

source of valuation data will be a 

counterparty. Accordingly, for each 

uncleared swap, the proposed 

regulations would call for the reporting 

counterparty to report valuation data. 

Time of Reporting for Life Cycle and 

Contract-Intrinsic Event Data. For credit 

swaps and equity swaps, whether 

cleared or uncleared, the proposed 

regulations would require that life cycle 

event data must be reported on the same 

day in which any life cycle event 

occurs, while contract-intrinsic event 

data must be reported on the same day 

in which any contract-intrinsic event 

occurs. 

Time of Reporting for a Daily 

Snapshot of State Data. For interest rate 

swaps, currency swaps, and other 

commodity swaps, whether cleared or 

uncleared, the proposed regulations 

would require that all required state 

data for the swap be reported daily 

through the existence of the swap until 

its final termination or expiration. 

Time of Reporting for Valuation Data. 

For each swap (regardless of asset class) 

cleared on a DCO, the proposed 

regulations would require the DCO to 

report all valuation data in its 

possession on a daily basis. Where the 

reporting counterparty for such a swap 

is an SD or MSP, the proposed 

regulations would require the SD or 

MSP to report all valuation data in its 

possession on a daily basis. The 

Commission understands that DCOs and 

SD or MSP reporting counterparties are 

likely to have the automated system 

capacity necessary for such daily 

reporting. The Commission also 

understands that, as of the effective date 

of the final swap data reporting 

regulations, non-SD/MSP reporting 

counterparties may not have a 

comparable level of automated system 

capacity. Accordingly, where the 

reporting counterparty for such a swap 

is a non-SD/MSP counterparty, the 

proposed regulations would call for the 

reporting counterparty to report all 

valuation data in its possession at times 

to be determined by the Commission 

prior to its adoption of final swap data 

reporting regulations. The Commission 

requests comment concerning the time 

intervals necessary and appropriate for 

reporting of valuation data by non-SD/ 

MSP counterparties, and concerning 

whether the Commission should adopt 

a phase-in approach to valuation data 

reporting by non-SD/MSP 

counterparties. 

Swap Asset Classes and Other Swap 

Classifications. For the purpose of the 

proposed regulations, a swap would be 

classified as belonging to one of five 

swap asset classes, including: (1) Credit 

swaps; (2) currency swaps (including 

FX swaps and their variations); (3) 

equity swaps; (4) interest rate swaps; 

and (5) other commodity swaps. The 

proposed regulations would define 

these swap asset classes as follows. 


jlentini on DSKJ8SOYB1PROD with PROPOSALS3
76586 Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 

54CEA § 1a(25) provides that: ‘‘The term ‘foreign 

exchange swap’ means a transaction that solely 

involves—(A) an exchange of 2 [sic] different 

currencies on a specific date at a fixed rate that is 

agreed upon on the inception of the contract 

covering the exchange; and (B) a reverse exchange 

of the 2 [sic] currencies described in subparagraph 

(A) at a later date and at a fixed rate that is agreed 

upon on the inception of the contract covering the 

exchange.’’ 

55 Dodd-Frank defines ‘‘mixed swap’’ as follows: 

‘‘The term ‘security-based swap’ includes any 

agreement, contract, or transaction that is as 

described in section 3(a)(68)(A) of the Securities 

Exchange Act of 1934 (15 U.S.C. 78c(a)(68)(A)) and 

is also based on the value of 1 [sic] or more interest 

or 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 narrowbased security index), or the occurrence, nonoccurrence, or the extent of the occurrence of an 

event or contingency associated with a potential 

financial, 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 is 

primarily based on instruments of 

indebtedness, including, without 

limitation: Any swap primarily based on 

one or more broad-based indices related 

to instruments of indebtedness: Any 

swap that is an index credit swap or 

total return swap on one or more indices 

of debt instruments. 

‘‘Currency swap’’ means any swap 

which is primarily based on rates of 

exchange between different currencies, 

changes in such rates, or other aspects 

of such rates. This category includes 

foreign exchange swaps as defined in 

CEA Section 1a(25).54

‘‘Equity swap’’ means any swap that is 

primarily based on equity securities, 

including, without limitation: any swap 

primarily based on one or more broadbased indices of equity securities; any 

total return swap on one or more equity 

indices. 

‘‘Interest rate swap’’ means any swap 

which is primarily based on one or more 

reference rates, such as swaps of 

payments determined by fixed and 

floating rates. 

‘‘Other commodity swap’’ means any 

swap not included in the credit swap, 

currency swap, equity swap, or interest 

rate swap categories, including, without 

limitation, any swap for which the 

primary underlying item is a physical 

commodity or the price or any other 

aspect of a physical commodity. 

‘‘Asset class’’ means the particular 

broad category of goods, services or 

commodities underlying a swap. The 

asset classes include interest rate, 

currency, credit, equity, other 

commodity, and such other asset classes 

as may be determined by the 

Commission. 

In addition, the Commission 

anticipates that some swaps subject to 

its jurisdiction may belong to two other 

swap categories: mixed swaps, and 

multi-asset swaps. Generally, a mixed 

swap is in part a security-based swap 

subject to the jurisdiction of the SEC 

and in part a swap belonging to one of 

the swap asset classes subject to the 

jurisdiction of the Commission.55 Multiasset swaps are those that do not have 

one easily identifiable primary 

underlying notional item within the 

Commission’s jurisdiction. The 

Commission requests comment 

concerning how such swaps should be 

treated with respect to swap data 

reporting, and concerning the category 

or categories under which swap data for 

such swaps should be reported to SDRs 

and maintained by SDRs. 

Requests for Comment. The 

Commission requests comment on all 

aspects of the proposed data reporting 

regulation and the definitions associated 

with it. The Commission specifically 

requests comment on the following 

questions relating to this proposed 

regulation. 

• Is the separation of reporting 

counterparties into two categories (SD 

or MSP, versus non-SD/MSP 

counterparty) appropriate, and does it 

further the purposes described? 

• Is the second criterion for swap 

creation data—division of swaps into 

four categories depending on whether 

they are platform executed and cleared 

or not—appropriate? 

• Should the Commission take the 

internal recordkeeping systems of SDs 

and MSPs into account as it does in the 

proposed regulation? 

• Is the concept of primary economic 

terms data, as defined, inclusive enough 

to capture all of the primary economic 

terms of a swap upon execution? 

• What are the benefits or drawbacks 

of required reporting of primary 

economic terms data? Will such 

reporting serve to verify the accuracy of 

swap execution data? 

• Will the required reporting of 

confirmation data to an SDR, after the 

reporting of primary economic terms 

data to the SDR, help enable the SDR to 

satisfy the statutory requirement to 

confirm with both counterparties to the 

swap the accuracy of the data and 

information submitted? 

• Should back-office confirmation be 

an acceptable means of confirming a 

swap? 

• What is the proper way to report 

bunched (block) orders that are 

allocated to ultimate owners after 

execution? 

• 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 time 

required differ according to these 

categories? 

• What is the appropriate time delay 

for reporting of confirmation terms by 

(1) SDs, (2) MSPs, and (3) non-SD/MSP 

counterparties? Should the time 

required differ according to these 

categories? 

• Is there sufficient industry 

infrastructure in place to support the 

life cycle data reporting approach for 

credit and equity swaps? 

• Is it appropriate to use the life cycle 

approach to swap data reporting for 

credit swaps, or for equity swaps? Why 

or why not? 

• Is it appropriate to use the daily 

snapshot of state data approach to swap 

data reporting for interest rate, currency 

and commodity swaps? Why or why 

not? 

• Is there currently infrastructure in 

place to support alternative approaches 

for data reporting for credit, equity, 

interest rate, currency and commodity 

swaps? 

• 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 reported 

within any of the following categories: 

credit swaps, equity swaps, currency 

swaps, commodity swaps, or interest 

rate swaps? What criteria should govern 

this determination? 

• Should a separate procedure be 

established for reporting of multi-asset 

swaps? 

• Should the Commission require 

that, for multi-asset swaps, reporting 

counterparties must report all required 

swap data in each asset class involved? 

• Should a separate procedure be 

established for reporting of mixed 

swaps? 

• Is the list of swap asset classes allinclusive 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 collateral 

warehouse system be established as part 

of an SDR to enable systemic risk and 

prudential regulators to monitor 

collateral management and gross 

exposure on a portfolio level for swap 

participants? 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 crosscurrency swaps be reported? Should 

this be done in the interest rate swap 

asset class, or in the currency swap asset 

class? 

• For multi-asset class swaps, should 

the swap data required to be reported 


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56See Dodd-Frank Act Title 1, Subtitle B, 

Sections 151 through 156. 

57 Dodd-Frank Act, Title 1, Sections 153(2) and 

153(7). 

include all required primary economic 

terms data for each asset class involved 

in any leg or part of the swap? 

• How should asset class 

classification be done for the purpose of 

data reporting? What should be the 

criteria to classify a swap within a 

certain asset class? 

• Should foreign exchange swaps be 

included in the currency swap asset 

class, or should they be treated 

separately for data reporting purposes? 

A foreign exchange swap is usually 

defined as a financial transaction 

whereby two parties exchange agreedupon amounts of two currencies as a 

spot transaction, simultaneously 

agreeing to unwind the exchange at a 

future date, based on a rule that reflects 

both interest and principal payments. 

C. Unique Identifiers 

Need for Unique Identifiers. Over the 

course of the last decade, virtually all 

stakeholders in the financial sector have 

come to recognize the need for 

universal, accurate, and trusted methods 

of identifying particular financial 

transactions, the legal entities that are 

parties to financial transactions, and the 

product type involved in particular 

financial transactions. Such identifiers 

will be crucial tools for financial 

regulators tasked with measuring and 

monitoring systemic risk, preventing 

fraud and market manipulation, 

conducting market and trade practice 

surveillance, enforcing position limits, 

and exercising resolution authority. 

Without such unique identifiers, and 

the ability to aggregate data across 

multiple markets, entities, and 

transactions that they would provide, 

the enhanced monitoring of systemic 

risk and greater market transparency 

that are fundamental goals of DoddFrank cannot be fully achieved. Such 

identifiers would also have great 

benefits for financial transaction 

processing, internal recordkeeping, 

compliance, due diligence, and risk 

management by financial entities. The 

Commission believes, in light of recent 

economic events, that the need for 

unique identifiers that are based on 

open standards and are capable of 

international adoption is now urgent, 

and that their creation has become 

essential. 

The Commission understands that 

this conceptual approach is supported 

by the SEC. Commission staff have 

consulted closely with SEC staff 

concerning the unique ID provisions of 

these regulations. The Commission 

anticipates that proposed regulations 

issued by SEC with respect to swap data 

recordkeeping and reporting will follow 

the same principles with respect to 

unique ID that are included in the 

unique ID provisions of the 

Commission’s proposed regulations. 

The Commission understands, from 

discussions with staff of the Department 

of the Treasury, that this conceptual 

approach could also be followed by the 

Office of Financial Research (‘‘OFR’’), 

created in the Department of the 

Treasury by the Dodd-Frank Act 56 in 

part for the purposes of standardizing 

the types and formats of data reported 

and collected by the OFR with regard to 

swaps, and of assisting agencies that are 

members of the Financial Stability 

Oversight Council (‘‘FSOC’’) in 

determining the types and formats of 

data they will collect, as required by 

Dodd-Frank.57

The Commission’s own need for 

unique identifiers for swap transactions, 

counterparties, and products arises from 

a need to aggregate and track 

information on swap transactions 

efficiently across a diverse array of 

market participants, trading venues, and 

product classes. Unlike centralized 

futures markets where standardized 

contracts are traded among participants 

in a fairly closed system, swaps have 

been and will continue to be offered in 

a variety of forms and market venues. 

There is a close relationship between 

the swap markets and the underlying 

cash and futures markets that typically 

provide the basis for the price references 

and benchmark prices. In addition, 

because swaps can serve as a substitute 

for a transaction in the underlying 

reference market, market participants 

are often free to transact in the market 

of their choice, meaning that an entity 

may hold positions, for example, in both 

the futures market and in swaps that 

reference the futures market price. 

With respect to futures markets 

futures commission merchants, clearing 

members, and foreign brokers are 

required to file reports on the positions 

of large traders (as defined by the 

Commission), and in doing so to 

aggregate the positions of traders that 

may be held in various accounts at the 

firm, and to report them under a single, 

unique, identifying account number. 

Thus, at least with respect to reporting 

by a single reporting firm, the 

Commission is able to see the total 

position of a trader in a particular 

futures or option contract offered at an 

exchange. By contrast, swap 

counterparties will not necessarily 

conduct their trading through a single 

entity or trading venue that could easily 

aggregate an entity’s position. Instead, 

swaps having similar underlying 

product characteristics may be entered 

into through a variety of dealers or 

MSPs, on different DCMs or SEFs, or in 

bilateral trades. In addition, because 

each swap contract potentially has a 

unique set of terms and conditions, as 

opposed to the common set of terms and 

conditions that define an exchangetraded futures contract, defining a 

position or transaction in a particular 

contract can be complicated. 

Unique identifiers would also serve 

the important goal of enabling the 

Commission to link together all of the 

various types of data that it collects in 

fulfilling its regulatory missions, 

including data concerning swaps, 

futures, and large traders. This would 

enhance the effectiveness of the 

Commission’s various market 

monitoring tools, and improve its ability 

to detect and respond to market risks. 

The ability of unique identifiers to serve 

as a data linchpin will also be of great 

benefit to other financial regulators with 

respect to the different types of data 

they collect. 

Accordingly, the Commission is 

proposing to require use of unique 

identifiers designed to ensure the 

Commission’s ability to aggregate 

transaction and position data for the 

purpose of conducting market and 

financial risk surveillance, enforcing 

position limits, analyzing market data, 

enforcing Commission regulations, 

monitoring systemic risk, and 

improving market transparency. Such 

unique identifiers will better enable the 

Commission to ascertain the overall 

positions and activity of traders in and 

across markets, track activity over the 

life of individual transactions, and 

determine overall activity in particular 

product classes. 

Unique Swap Identifiers. The Unique 

Swap Identifier (‘‘USI’’) called for by the 

proposed rules would be created and 

assigned to a swap at the time it is 

executed, and used to identify that 

particular swap transaction throughout 

its existence. Swaps will typically have 

a number of events associated with 

them over their lifetime, often referred 

to as life cycle events. These can 

include economic revisions, 

counterparty changes, early partial or 

full terminations, normal terminations, 

option exercises, credit events, servicing 

events and cash flow settlements. 

Because a swap might have a life that 

extends over many years, it is important 

that the Commission be able to identify 

the origins of the transaction as well as 

events related to that swap over its 

lifetime. Without the ability to track 

transactions through the use of a unique 


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76588 Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 

identifier, it would be difficult for the 

Commission to separate new 

transactions from existing ones and to 

identify changes that have occurred to a 

specific swap contract. Use of USIs is 

also essential to collating swap creation 

data, swap continuation data, and error 

corrections reported by execution 

platforms, clearing houses, and 

counterparties concerning a single swap 

into a single, accurate data record that 

tracks the swap over its duration. 

The Commission believes that 

workable USIs for all swaps under its 

jurisdiction can be created via a ‘‘firsttouch’’ approach. For a swap executed 

on a trading platform, the USI would be 

created and assigned by the SEF or DCM 

involved. For a swap executed 

bilaterally, the USI would be created 

and assigned by the SD or MSP required 

to report concerning the swap, or in the 

case of a swap between non-SD/MSP 

counterparties would be created by the 

SDR to which the swap is reported. 

The proposed rules would ensure the 

uniqueness of each USI by specifying 

that the USI must include two 

components. The first component 

would be the unique, extensible, 

alphanumeric code assigned by the 

Commission to each registered entity 

required by the proposed regulations to 

create USIs, at the time of its 

registration, for the purpose of 

identifying that entity in the context of 

USI creation. The second component 

would be an extensible, alphanumeric 

code generated and assigned by the 

automated systems of the registered 

entity that must be unique with respect 

to all such codes generated and assigned 

by the entity. 

The registered entity creating the USI 

would be required to transmit the USI 

to all other registered entities and swap 

counterparties involved with the swap, 

as soon as technologically practicable 

after its creation and assignment. 

Thereafter, all registered entities and 

swap counterparties would be required 

to include the USI in all records and all 

swap data reporting concerning that 

swap, throughout the existence of the 

swap and for as long as any records are 

required to be kept concerning that 

swap. 

BILLING CODE 6351–01–P 


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Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 76589 

58 Daniel K. Tarullo, Member, Board of Governors 

of the Federal Reserve System, Equipping Financial 

Regulators With the Tools Necessary to Monitor 

Continued 

BILLING CODE 6351–01–C 

The required use of USIs would not 

prohibit the additional use or reporting 

of other identifiers internally generated 

by the automated systems of registered 

entities or counterparties. 

The Commission seeks comment 

concerning the required use of USIs; the 

benefits or burdens that required use of 

USIs would create; the practicability of 

the Commission’s proposed method of 

creating USIs; other possible methods of 

creating USIs; and possible transmission 

methods for USIs among registered 

entities and reporting parties. 

Unique Counterparty Identifiers. The 

Unique Counterparty Identifier (‘‘UCI’’) 

called for by the proposed rules would 

be used for precise, reliable, and unique 

identification of each counterparty to 

any swap subject to the Commission’s 

jurisdiction, in all recordkeeping and 

data reporting concerning swaps. The 

Commission believes that full 

realization of the systemic risk 

mitigation and transparency purposes of 

Dodd-Frank cannot be fully achieved 

without mandatory use of UCIs. To 

assess systemic risk, it is essential to 

understand how individual financial 

firms are exposed to specific risks across 

all their activities, and the 

interconnectedness between firms. The 

way that financial firms are identified is 

critical to understanding those issues. 

With such identifiers, regulators will be 

able to aggregate exposures consistently 

and accurately across the financial 

system. As noted in February 2010 by 

Daniel K. Tarullo, member of the Board 

of Governors of the Federal Reserve 

System, in testimony before the U.S. 

Senate: 

Clearly, the [recent financial] crisis 

exposed the need for a regulatory mechanism 

that will provide real time analysis across 

multiple financial markets to identify 

systemic risk and stresses in market 

conditions before they occur. A unique entity 

identifier for data sharing and use in data 

collections between the Federal financial 

regulatory agencies is the critical missing 

component for this analysis.58


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76590 Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 

Systemic Risk, before the Subcommittee on Security 

and International Trade and Finance, Committee on 

Banking, Housing, and Urban Affairs, U.S. Senate, 

Washington, DC, February 12, 2010. 59 Discussions of the concept of a universal legal 

entity identification system for financial firms of all 

types often refer to a legal entity identifier or ‘‘LEI.’’ 

This is the same concept addressed by the proposed 

rule. The proposal refers to the identifier as a UCI, 

rather than an LEI, because in the context of this 

rule it would be used to identify the legal entities 

who are counterparties to a swap. The Commission 

recognizes that identifiers provided by a universal 

legal identification system through an international 

consensus process could appropriately be used to 

identify legal entities in various other contexts 

across 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 UCI 

required by the proposed rules would be 

to enable effective assessment of 

counterparty positions and aggregation 

of swap data across asset classes, 

markets, and related legal entities, in 

order to effectuate the systemic risk 

prevention and transparency purposes 

of Dodd-Frank. 

Policy analysis by financial regulators 

employs legal entity reference data as 

the basic infrastructure for identifying, 

describing, classifying, labeling, 

organizing, and using other information. 

Such reference data allows 

identification of interconnections 

between firms. 

In the business world, legal entity 

reference data can support 

communication between systems, 

facilitate transaction processing, and 

allow for accurate aggregation of 

positions vis-a`-vis individual 

counterparties or classes of 

counterparties, something necessary for 

effective risk management and 

calculation of margin. Sales, 

compliance, and due diligence 

functions also rely on entity identifiers, 

and would benefit from availability of 

unique entity identifiers. 

Today, there is no universal legal 

entity identification system available to 

serve the financial sector and regulatory 

community.59 In the absence of such a 

universal system, private firms and 

regulators have created a variety of 

identifiers. This creates inefficiencies 

for firms, and presents obstacles to 

regulators and policymakers. 

At private firms, because there is no 

industry-wide legal entity identification 

standard, tracking counterparties and 

calculating exposures across multiple 

data systems is complicated, expensive, 

and can result in costly errors. For 

example, maintaining internal identifier 

databases and reconciling entity 

identification with counterparties is 

expensive for large firms and 

disproportionately so for small firms. In 

the worst case scenario, identification 

problems can lead to transactions that 

are broken or fail to settle. 

The lack of a universal identification 

standard also creates problems for 

financial regulators. Precise 

identification of financial firms is 

necessary to understand systemic risk, 

which involves entities operating across 

a range of industries. The problems that 

firms face in aggregating exposure are 

magnified in measuring risk across the 

system. In addition, futures and 

securities regulators must often identify 

parents and affiliates of futures 

commission merchants or broker-dealers 

manually and by name. Multiple and 

generally different identifiers for 

participants can make it difficult to 

create a consolidated order audit trail. 

It is worth noting in this context that 

leaders in the information technology 

industry have stated that data 

standardization is a significant obstacle 

to using technology to further the needs 

of private industry and regulators. 

Complete automation of back-office 

activities and ‘‘straight through 

processing’’ remain elusive, in part 

because of the lack of a universal 

identifier for legal entities. The vendor community has attempted 

to provide solutions for these private 

and public challenges. However, none is 

sufficiently robust, comprehensive, and 

open to serve as an industry-wide 

standard. Indeed, most of the solutions 

offered by vendors are proprietary and 

restricted in use and redistribution. In 

addition, current identifiers are not 

sufficiently unique or persistent. 

Current vendor identifiers that are 

unique and unrestricted with respect to 

use and redistribution are limited in 

scope; for example, limited to 

institutions engaged in payment 

activities. 

All of these challenges are magnified 

in the international context. Many in 

industry and the world regulatory 

community have recognized the 

potential benefit of a universal standard 

for legal entity identification for years. 

For example, the ODRF has stated that: 

A number of key data items related to 

registered OTC derivatives transactions span 

OTC derivative asset classes—for example, 

entity representation. * * * In order to 

ensure consistency across asset classes, 

infrastructure platforms and services should 

model these items in a consistent manner, 

preferably through the development of open 

standards in industry forums.60

ODRF’s Outline of Trade Repository 

Functionality states that trade repository 

data: 

should represent the counterparties of the 

transaction records it maintains as precise 

legal entities, enriched with further 

counterparty information including affiliate 

relationships, sector and geography. Affiliate 

relationship data should enable the analysis 

of aggregated transaction records in terms of 

netting, guaranty, and credit support 

arrangements.61

Efforts have been made to create such a 

standard through domestic and 

international processes. Heretofore, a 

lack of focus, funding and investment 

issues, and competing priorities have 

prevented consensus and 

implementation. 

However, circumstances have 

changed. The financial crisis has 

focused both industry and regulators on 

this issue. Dodd-Frank’s mandate to the 

Commission and the SEC to promulgate 

regulations for swap data reporting has 

created a window of opportunity for the 

world financial sector to come together 

in creation of a universal, 

internationally accepted standard for 

legal entity identification. The 

Commission believes that the data 

reporting regulations to be issued 

simultaneously by the Commission and 

the SEC pursuant to Dodd-Frank can 

and should provide the necessary 

impetus for achieving this long-sought 

goal. 

The proposed regulations would 

mandate that each counterparty in any 

swap subject to the Commission’s 

jurisdiction and executed after the 

effective date of the Commission’s final 

swap data reporting regulations must be 

identified in all recordkeeping and 

reporting by means of a single UCI 

having the characteristics specified by 

the Commission. 

It should be noted that the UCI 

requirement included in the proposed 

regulations differs markedly from the 

concept of identifying the ultimate 

beneficial owners of particular futures 

and options accounts, a subject 

addressed in a previous Commission 

proposed rulemaking.62 Unlike 

identification of the ownership and 

control of existing accounts, use of UCIs 

for swap data reporting would not 

require modification of existing systems 

or alteration of existing data. The UCI 

requirement would only apply 

prospectively to new swap transactions 

executed following the effective date of 

the Commission’s final swap data 

reporting regulations. No substantial 

alteration of system architecture would 

be required; instead, only a single data 


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Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 76591 

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

field would need to be added to the 

information submitted with an order for 

a swap transaction or with a report of 

swap data to an SDR. Where compiling 

the information necessary to create the 

type of account ownership and control 

report addressed in the Commission’s 

proposed ownership and control rule 

would depend on collecting data points 

not in the possession of any single 

entity, by contrast, once a legal entity 

that intends to be a swap counterparty 

has obtained an UCI—something it 

would only need to do once—it would 

possess all the information required for 

its subsequent use. 

Information concerning a 

counterparty’s affiliations must be 

available in conjunction with UCIs in 

order to enable regulators to aggregate 

data across entities and markets for the 

purpose of effective monitoring of 

systemic risk. For this purpose, 

regulators need to be able to identify all 

swap positions within the same 

ownership group. Accordingly, the 

proposed regulations would require 

each swap counterparty to report all of 

its corporate affiliations into a 

confidential, non-public corporate 

affiliations reference database, 

maintained and located as determined 

by the Commission. Data contained in 

the corporate affiliations reference 

database would be available only to the 

Commission, and to other financial 

regulators via the same data access 

procedures applicable to data in SDRs, 

for regulatory purposes. For these 

purposes, ‘‘corporate affiliations’’ would 

mean the identity of all legal entities 

that own the counterparty, that are 

under common ownership with the 

counterparty, or that are owned by the 

counterparty. The corporate affiliation 

information reported would be required 

to be sufficient to disclose parentsubsidiary and affiliate relationships, 

such that each legal entity within or 

affiliated with the corporate hierarchy 

or ownership group to which the 

counterparty belongs would be 

separately identified. Each counterparty 

would also be required to report to the 

corporate affiliations reference database 

all changes to the information 

previously reported concerning the 

counterparty’s corporate affiliations, so 

as to ensure that the corporate affiliation 

information recorded in the corporate 

affiliations reference database remains 

current and accurate at all times. 

The corporate affiliations reference 

database would need to be accessible to 

both national and international financial 

regulators in order to make the 

identification system involving UCIs 

fully effective for regulatory purposes. 

To ensure the availability of 

comprehensive and accurate 

information, it would therefore appear 

to be optimal that there be a single 

corporate affiliations reference database, 

maintained by a single organization in 

a single location. The Commission seeks 

comment on where and by what 

organization the corporate affiliations 

database would best be maintained: 

whether by an international voluntary 

consensus standards body (discussed 

below); by a self-regulatory 

organization; by the Commission; by the 

OFR; or by some other organization. 

The Commission understands that, 

while a single identifier satisfying the 

requirements included in the proposed 

regulations is not currently published 

by any standard-setting body, market 

participants have been working 

diligently to solve practical issues that 

stand in the way of such publication. 

The Commission believes, and 

understands that the SEC and the OFR 

also believe, that optimum effectiveness 

of UCIs for achieving the systemic risk 

protection and transparency goals of 

Dodd-Frank—goals shared by financial 

regulators world-wide—would come 

from creation of an identification 

system, including UCIs, on an 

international basis, through an 

international ‘‘voluntary consensus 

standards body’’ as defined in Office of 

Management and Budget (‘‘OMB’’) 

Circular No. A–119 Revised. The 

National Technology Transfer and 

Advancement Act of 1995 codified OMB 

Circular No. A–119, and directs Federal 

agencies to use voluntary consensus 

standards in lieu of government-unique 

standards except where inconsistent 

with law or otherwise impractical.63

This provision’s intent is to eliminate 

the cost to the government of 

developing its own standards, decrease 

the burden of complying with agency 

regulations, provide incentives and 

opportunities to establish standards that 

serve national needs, encourage longterm growth for U.S. enterprises, 

promote efficiency and economic 

competition through harmonization of 

standards, and further the policy of 

reliance upon the private sector to 

supply government needs for goods and 

services. Further, to promote trade and 

implement the provisions of 

international treaty agreements, the 

provision requires Federal agencies to 

consider international standards in 

procurement and regulatory 

applications. 

As defined in OMB Circular A–119, 

‘‘voluntary consensus standards’’ are 

standards developed or adopted by 

voluntary consensus standards bodies, 

both domestic and international. These 

standards include provisions requiring 

that owners of relevant intellectual 

property have agreed to make that 

intellectual property available on a nondiscriminatory, royalty-free or 

reasonable royalty basis to all interested 

parties. ‘‘Voluntary consensus standards 

bodies’’ are domestic or international 

organizations that plan, develop, 

establish, or coordinate voluntary 

consensus standards using agreed-upon 

procedures. 

For the reasons set forth above, the 

Commission proposes to use its 

rulemaking authority to require the use 

of UCIs in all swap data reporting 

subject to its jurisdiction. The 

Commission prefers to have its swap 

data reporting regulations prescribe use 

of a universally-available UCI that is 

part of an identification system created 

on an international basis through an 

international ‘‘voluntary consensus 

standards body,’’ and intends to 

promulgate final regulations to that 

effect if such an identification is 

available sufficiently prior to the 

implementation date included in the 

Commission’s final swap data reporting 

regulations. However, the Commission 

will prescribe its own method for 

creation of UCIs to be used in swap data 

reporting subject to the Commission’s 

regulations if no such internationallyaccepted identification system 

acceptable to the Commission is 

available prior to the implementation 

date of the final regulations. 

The Commission anticipates that a 

system for publication of UCIs meeting 

the requirements of the proposed 

regulations may be developed through 

an international voluntary consensus 

body and be available as of the 

implementation date for the UCI 

requirement. Dodd-Frank explicitly 

permits the Commission to ‘‘take into 

consideration any evolving standard of 

the United States or the international 

community.’’ 64

Accordingly, the proposed regulations 

set forth principles that the Commission 

believes must govern the identification 

system used to establish UCIs for swap 

counterparties, among other purposes. 

Under these principles, the 

identification system must: 

• Result in a unique identifier format that 

is capable of becoming the single 

international standard for unique 

identification of legal entities in the financial 

sector on a global basis. 

• Be developed via an international 

‘‘voluntary consensus standards body’’ as 

defined in OMB Circular No. A–119 Revised, 

such as the International Organization for 


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76592 Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 

65 Dodd-Frank § 729. 

66CEA § 21(c)(2). 

67The Commission does not believe that DoddFrank precludes an SDR from accepting and 

Standardization (‘‘ISO’’), and must be 

maintained by such a body and an associated 

Registration Authority. Both the standards 

body and Registration Authority must have a 

formally documented governance structure 

acceptable to the Commission. 

• Be available to all interested parties on 

a non-discriminatory, royalty-free or 

reasonable royalty basis. While reasonable 

initial and annual fees would be appropriate 

to cover the cost of issuance, maintenance, 

and initial and ongoing verification of unique 

identifiers, fees must not be charged for 

redistribution, publication or other use by the 

counterparty identified or any other entity or 

person, and the identification system must be 

operated on a non-profit basis. Information 

concerning the issuance process for new 

identifiers and a comprehensive, current 

directory of the UCIs issued by the 

identification system (but not the entity 

relationship or affiliation information 

reported by counterparties), must be 

available publicly and free of charge. 

• Be supported by a trusted and auditable 

method of verifying the identity of each legal 

entity receiving a UCI, both initially and at 

appropriate intervals thereafter. The 

Registration Authority must maintain 

reference data sufficient to verify that a user 

has been correctly identified as an entity. 

Issuance of identifiers must be speedy and 

unbiased. 

• Maintain robust quality assurance 

practices and system safeguards acceptable to 

the Commission. 

• Be sufficiently extensible to cover all 

existing and potential future legal entities of 

all types that are or may become swap 

counterparties, are or may become involved 

in any aspect of the financial issuance and 

transactions process, or may be subject to 

required due diligence by financial sector 

entities. 

• Assign only one unique identifier to any 

legal entity. 

• Have a unique identifier format 

consisting of a single data field, and contain 

either no embedded intelligence or as little 

embedded intelligence as practicable. 

• Persist despite all corporate events. 

In the event that an identification 

system satisfying these principles is not 

available as of the effective date of the 

proposed regulations, the proposed 

regulations provide that a UCI for each 

swap counterparty must be created and 

assigned by an SDR, using the method 

specified for this purpose in the 

proposed regulations. 

The Commission seeks comment 

concerning the required use of UCIs; 

concerning the benefits that required 

use of UCIs would create; concerning 

the required reporting of affiliation 

information by swap counterparties and 

the scope of affiliation information 

necessary to achieve regulatory 

purposes; concerning the principles set 

forth in the proposed regulations for 

development of an identification system 

including UCIs; concerning possible 

means of achieving international 

adoption of a suitable identification 

system for financial sector legal entities 

that involves UCIs; and concerning what 

international voluntary consensus 

standards body can best provide the 

needed identification standard 

including UCIs, and what advantages 

are offered by the standards body 

recommended by the commenter. 

Unique Product Identifiers. The 

Unique Product Identifier (‘‘UPI’’) called 

for by the proposed rules would be used 

for categorization of swaps with respect 

to the underlying products referenced in 

them. While the UPI would be assigned 

to a particular level of the taxonomy of 

the asset class or sub-asset class in 

question, its existence would enable the 

Commission and other regulators to 

aggregate transactions at various 

taxonomy levels based on the type of 

product underlying the swap. For 

example, a UPI might identify a swap 

referencing the NYMEX futures price for 

light, sweet crude oil as a NYMEX WTI 

crude oil futures price swap. The 

taxonomy associated with the UPI 

would enable regulators to identify the 

product underlying the swap as a 

commodity, an energy product, a 

petroleum product, a crude oil product, 

or ultimately the NYMEX crude oil 

futures price, as desired. 

The ability to identify underlying 

products in a categorical way would 

serve several regulatory purposes. First, 

it would enhance transparency, by 

allowing the Commission or other 

regulators to aggregate and report swap 

activity at a variety of product type 

levels. Second, it would enhance 

position limit enforcement. The DoddFrank Act requires the Commission to 

establish position limits for agricultural 

and exempt commodities that would 

span across the futures, options and 

swap markets. A UPI that provides 

information indicating what swaps need 

to be aggregated with other contracts 

would enhance the Commission’s 

ability to develop and oversee its 

position limit regulatory program. 

Third, it would enhance analysis of 

swap data. For example, classification of 

swaps via UPIs would facilitate 

examination of the activity of market 

participants at various levels of a 

product class. The Commission is 

required by Dodd-Frank to prepare 

semi-annual reports regarding swap 

market activity, and such classification 

via UPIs would be necessary for 

meaningful evaluation of such activity. 

Effective use of UPIs for regulatory 

purposes would require a robust 

taxonomy for swaps in each swap asset 

class, as well as decisions concerning 

what classification scheme to use, and 

concerning the appropriate level for UPI 

assignment within such taxonomies. 

The Commission seeks comments 

concerning the most effective 

classification scheme for swap products, 

and concerning the taxonomy level 

within each swap asset class at which 

UPIs should be assigned. In considering 

these issues, commenters should take 

into consideration what levels of 

aggregation are desirable for reporting 

swap activity. The Commission also 

seeks comment concerning the benefits 

or burdens that required use of UPIs 

would create, and concerning the 

optimal implementation date for 

effective adoption and use of UPIs. 

D. Determination of Which Counterparty 

Must Report 

New Section 4r(3) of the CEA 

specifies the counterparty obligated to 

report a swap transaction to a swap data 

repository.65 Specifically, Section 4r(3) 

provides that: 

With respect to a swap in which only 1 

[sic] counterparty is a swap dealer or major 

swap participant, the swap dealer or major 

swap participant shall report the swap * * * 

With respect to a swap in which 1 [sic] 

counterparty is a swap dealer and the other 

a major swap participant, the swap dealer 

shall report the swap. * * * With respect to 

any other swap * * * the counterparties to 

the swap shall select a counterparty to report 

the swap * * *. 

The effect of this provision is to 

establish a hierarchy of counterparty 

types for reporting obligation purposes, 

in which SDs outrank MSPs, who 

outrank non-SD/MSP counterparties. 

Where both counterparties are at the 

same hierarchical level, the statute calls 

for them to select the counterparty 

obligated to report. 

The Commission believes that, 

regardless of the possible merits of swap 

data reporting by both counterparties to 

a swap, this statutory provision does not 

permit the Commission by regulation or 

other regulatory action to require swap 

data reporting by both counterparties to 

a swap. New CEA Section 21 does 

provide, with respect to the duties of an 

SDR, that an SDR shall ‘‘confirm with 

both counterparties to the swap the 

accuracy of the data that was 

submitted.’’ 66 However, the obligation 

to report swap data to an SDR is distinct 

from the duty of the SDR to confirm the 

accuracy of the reported data. Congress 

could have provided for reporting by 

both counterparties, but chose instead to 

establish which counterparty bears the 

obligation to report.67 The proposed 


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maintaining swap data from both counterparties to 

a swap. For example, an SDR or its affiliate 

performing the ancillary service of maintaining the 

single 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 reporting 

in that connection. 

regulations require reporting of 

confirmation data for all swaps as a 

means of verification of the accuracy of 

the data submitted in connection with 

each swap. 

While Section 4r(a) of the CEA 

applies explicitly to swaps not accepted 

for clearing by any DCO, the 

Commission believes, preliminarily, 

that for the sake of uniformity and ease 

of applicability, the duty to report 

should be borne by the same 

counterparty regardless of whether the 

swap is cleared or uncleared. The 

Commission also believes it is 

appropriate for SDs and MSPs to have 

the responsibility of reporting with 

respect to the majority of swaps, 

because they are more likely than other 

counterparties to have automated 

systems in place that can facilitate 

reporting. 

The proposed regulations establish a 

mechanism for counterparties to follow 

in choosing the counterparty to report in 

situations where both counterparties 

have the same hierarchical status, in 

order to prevent confusion or delay 

concerning this choice. Where both 

counterparties are SDs, or both are 

MSPs, or both are non-SD/MSP 

counterparties, the proposed regulations 

require the counterparties to agree as 

one term of their swap transaction 

which counterparty will fulfill reporting 

obligations with respect to that swap. 

The proposed regulations also provide 

that, where only one counterparty to a 

swap is a U.S. person, the U.S. person 

should be the reporting counterparty. 

The Commission believes this approach 

is necessary in order to ensure 

compliance with reporting requirements 

in such situations. 

The Commission requests comment 

concerning the possible utility of some 

type of swap data reporting by both 

counterparties, and how such dual 

reporting could be achieved other than 

by regulations requiring such reporting 

(which regulations appear barred by 

Dodd-Frank); regarding whether 

reporting of confirmation data is a 

sufficient means of verifying with both 

parties the accuracy of swap data 

reported to an SDR, and if not, what 

other means should be employed; on 

whether selection of the reporting 

counterparty should be the same for 

cleared swaps as for non-cleared swaps, 

and if not on how the reporting 

counterparty should be selected for 

cleared swaps; and on the mechanisms 

provided in the proposed regulation for 

counterparties to follow in choosing the 

counterparty to report in situations 

where both counterparties have the 

same hierarchical status, and on 

possible alternative mechanisms for this 

purpose. 

E. Third Party Facilitation of Swap Data 

Reporting 

While the various reporting 

obligations established in the proposed 

regulations fall explicitly on registered 

entities and swap counterparties, the 

Commission recognizes that practicality, 

efficiencies, and decreased cost could in 

some circumstances be gained by 

engaging third parties to facilitate the 

actual reporting of information. The use 

of such third-party facilitators, however, 

should not allow the counterparty with 

the obligation to report to avoid its 

responsibility to report swap data in a 

timely and accurate manner. Therefore, 

the proposed regulations explicitly 

recognize that registered entities and 

counterparties required to report under 

provisions in Part 45 may contract with 

third-party service providers to facilitate 

reporting, but, nonetheless, remain fully 

responsible for reporting as required by 

the regulations. 

The Commission requests comment 

on the merits of allowing third party 

facilitation of swap data reporting; on 

appropriate types of third party 

facilitators and functions to be used for 

this purpose; and on the automated 

system and connectivity technology that 

may be required or should be used in 

this connection. 

F. Reporting to a Single SDR 

The Commission believes that 

important regulatory purposes of DoddFrank would be frustrated, and that 

regulators’ ability to see necessary 

information concerning swaps could be 

impeded, if data concerning a given 

swap was spread over multiple SDRs. 

Accordingly, the proposed regulations 

would require that all swap data for a 

given swap must be reported to a single 

SDR, which shall be the SDR to which 

required primary economic terms data 

for that swap is first reported. The 

proposed regulations would also 

provide that the SDR receiving this 

initial report must transmit its own 

identity, together with the USI for the 

swap (created as provided in § 45.4) to 

each counterparty to the swap, to the 

SEF or DCM, if any, on which the swap 

was executed, and to the DCO, if any, 

to which the swap is submitted for 

clearing. Thereafter, the proposed 

regulations would require that all data 

reported for the swap by any registered 

entity or any counterparty to the swap, 

and all corrections of errors and 

omissions in previously reported data, 

must be reported to that same SDR (or 

to its successor in the event that it 

ceases to operate). 

Where the initial report of required 

primary economic terms data is made by 

the SEF or DCM on which a swap is 

executed, or by an SD or MSP 

counterparty in the case of a swap not 

executed on a SEF or DCM, the 

proposed regulations would provide 

that the choice of the SDR to receive the 

initial report shall be made in a manner 

to be determined by the Commission 

prior to adoption of its final swap data 

reporting regulations. Where the initial 

report of required primary economic 

terms data is made by a non-SD/MSP 

counterparty, the proposed regulations 

would provide that the non-SD/MSP 

counterparty making that report shall 

choose the SDR to which the report is 

made. 

The Commission requests comment 

concerning the benefits or drawbacks of 

requiring that all swap data for a given 

swap should be reported to the same 

SDR; concerning how the choice of the 

SDR to which swap data is to be 

reported for a swap should be made, 

and concerning what registered entity or 

swap counterparty should make this 

choice. 

G. Data Reporting for Swaps in Asset 

Classes Not Accepted by Any Swap Data 

Repository 

Section 4r(a)(1)(B) of the CEA 

recognizes that in some circumstances 

there may be no SDR that will accept 

swap data for certain swap transactions. 

This category of swaps should be 

limited, since proposed regulations for 

SDRs set forth in the Commission’s 

separate advance notice of proposed 

rulemaking regarding SDRs will require 

an SDR that accepts swap data for any 

swap in an asset class to accept data for 

all swaps in that asset class. However, 

situations could arise where a novel 

product does not fit into any existing 

asset class, or where no SDR yet accepts 

swap data for any swap in an existing 

asset class. In such situations, the CEA 

and the proposed regulations would 

require the reporting counterparty to 

report to the Commission all swap data 

required by Part 45 to be reported to an 

SDR where one is available. This report 

would be required to be made at a time 

and in a form and manner determined 

by the Commission. 

The Commission requests comment 

on whether SDRs that accept data for 

any swap in a swap asset class should 

be required to accept data for all swaps 


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68CEA § 21(b)(2). 

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

in that asset class; and on the time and 

the form and manner of reporting that 

the Commission should require with 

respect to data reporting for swaps that 

must be reported to the Commission 

because no SDR presently accepts swap 

data for swaps in the asset class 

involved. 

H. Required Data Standards 

Dodd-Frank directs the Commission 

to ‘‘prescribe data collection and data 

maintenance standards for swap data 

repositories.’’ 68 It also provides that 

SDRs shall maintain swap data reported 

to them ‘‘in such form, in such manner, 

and for such period as may be required 

by the Commission,’’ and directs SDRs 

to ‘‘provide direct electronic access to 

the Commission.’’ 69 These requirements 

are designed to effectuate the 

fundamental purpose for the 

legislation’s swap data reporting 

requirements: making swap data 

available to the Commission and other 

financial regulators so as to enable them 

to better fulfill their market oversight 

and other regulatory functions, increase 

market transparency, and mitigate 

systemic risk. Accordingly, the 

Commission believes that data 

standards for SDRs must enable them to 

provide data to the Commission in a 

format that enables its effective and 

timely use for such purposes. 

The Commission has considered, and 

will continue to consider, whether it 

would be preferable to require that all 

swap data reporting to SDRs be done in 

a uniform reporting format or via a 

single data standard. However, the 

Commission is aware that such a 

requirement would be likely to require 

changes to the existing automated 

systems of some entities and 

counterparties that will be required to 

report swap data pursuant to these 

regulations, and that in some cases such 

changes could impose a substantial 

burden on such entities and 

counterparties. The Commission has 

been advised by some existing trade 

repositories that they are able to accept 

data in multiple formats or data 

standards from different counterparties, 

and to map the data they receive into a 

common data standard within the 

repository, without undue difficulty, 

delay, or cost. The Commission 

understands that automated systems 

and data standards evolve over time, 

and that it may be desirable for 

regulations concerning data standards to 

avoid locking reporting entities, 

reporting counterparties, and SDRs into 

particular data standards that could 

become less appropriate in the future. 

Dodd-Frank explicitly permits the 

Commission to ‘‘take into consideration 

any evolving standard of the United 

States or the international 

community.’’ 70

Finally, the Commission anticipates 

that the degree of flexibility offered by 

SDRs concerning data standards for 

swap data reporting could become an 

element of marketplace competition 

with respect to SDRs. 

Accordingly, the proposed regulations 

would require an SDR to maintain all 

swap data reported to it in a format 

acceptable to the Commission, and to 

transmit all swap data requested by the 

Commission to the Commission in an 

electronic file in a format acceptable to 

the Commission. The proposed 

regulations would require reporting 

entities and counterparties to use the 

facilities, methods, or data standards 

provided or required by an SDR to 

which they report data, but also would 

allow an SDR to permit reporting via 

various facilities, methods, or data 

standards, provided that its 

requirements in this regard enable it to 

maintain swap data and transmit it to 

the Commission as the Commission 

requires. The Commission believes that 

this approach can provide market 

participants sufficient flexibility and 

opportunity to innovate, while also 

ensuring that SDRs can meet their legal 

mandates to transmit swap data to the 

Commission in a timely fashion. 

Finally, the proposed regulations would 

delegate to the Director of the Division 

of Market Oversight the ability to 

accommodate the needs of different 

communities of users and to provide the 

flexibility to adapt to changing 

circumstances and evolving data 

standards. 

The Commission requests comments 

concerning the approach to data 

standards taken in the proposed 

regulation; and concerning the relative 

merits of leaving SDRs free to permit 

reporting via various facilities, methods, 

or data standards, provided that its 

requirements in this regard enable it to 

maintain swap data and transmit it to 

the Commission as the Commission 

requires; concerning whether the 

Commission should require use of a 

single data standard (e.g., FpML) by all 

reporting entities and counterparties 

and by all SDRs. 

I. Reporting of Errors and Omissions in 

Previously Reported Data 

Accurate swap data is essential to 

effective fulfillment of the various 

regulatory functions of financial 

regulators. To help ensure data 

accuracy, the proposed regulations 

would require registered entities and 

swap counterparties that report swap 

data to an SDR or to any other registered 

entity or swap counterparty to report 

any errors or omissions in the data they 

report, as soon as technologically 

practicable after discovery of any error 

or omission. Because daily snapshot 

reports of state data by reporting 

counterparties by their nature can 

correct errors or omissions in previous 

snapshot reports, the proposed 

regulations provide that for interest rate 

swaps, commodity swaps, and currency 

swaps, reporting counterparties fulfill 

the requirement to report errors or 

omissions in state data previously 

reported by making corrections in their 

next daily report of state data. Because 

Dodd-Frank permits the Commission to 

require reporting by only one swap 

counterparty, and because error and 

omission correction from non-reporting 

counterparties is nevertheless desirable 

to better ensure data accuracy, the 

proposed regulation (a) would require a 

non-reporting swap counterparty that 

discovers any error or omission with 

respect to any swap data reported to an 

SDR for its swaps to notify the reporting 

counterparty promptly of each such 

error or omission, and (b) would require 

the reporting counterparty, upon 

receiving such notice, to report a 

correction of each such error or 

omission to the SDR, as soon as 

technologically practicable after 

receiving notice of it from the nonreporting counterparty. 

To ensure consistency of data within 

an SDR with respect to error corrections, 

the proposed regulations would require 

an entity or counterparty correcting an 

error or omission to do so in the same 

data format it used in making the 

erroneous report. To similarly ensure 

consistency of data transmitted to the 

Commission with respect to error 

corrections, the proposed regulations 

impose the same requirement on SDRs 

with respect to transmission of error 

corrections. 

The Commission requests comment 

concerning the requirement that all 

entities and counterparties that report 

swap data to an SDR or to any other 

registered entity or swap counterparty 

must report any errors or omissions in 

the data they report, as soon as 

technologically practicable after 

discovery of any error or omission; 

concerning the mechanism provided in 

the proposed regulation for reporting of 

errors or omissions discovered by a nonreporting swap counterparty, and 

whether any alternative methods for this 

purpose would be preferable; and 


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71 5 U.S.C. 601 et seq. 

72 5 U.S.C. 601 et seq. 

73 47 FR 18618 (Apr. 30, 1982). 

74 47 FR 18618, 18619 (April 30, 1982) discussing 

contract markets; and 66 FR 45604, 45609 (August 

29, 2001) discussing derivatives clearing 

organizations. 

75 47 FR 18618 (Apr. 30, 1982). 

76 Id. at 18619. 

77 47 FR at 18620. 

78 29 U.S.C. 1106 

79 44 U.S.C. 3501 et seq. 

80Because SDRs, MSPs, SDs, DCOs, and SEFs are 

new entities, estimates were made by the 

Commission: 15 SDRs, 50 MSPs, 250 SDs, 12 DCOs, 

and 40 SEFs. The number of DCMs was estimated 

to be 17 DCMs based on the current (as of October 

18, 2010) number of designated DCMs (http:// 

services.cftc.gov/SIRT/SIRT.aspx?Topic=Trading

Organizations&implicit=true&type=DCM&Custom

ColumnDisplay=TTTTTTTT). Additionally, for 

purposes of the Paperwork Reduction Act, the 

Commission estimates that there would be 30,000 

non-SD/MSP counterparties who would annually 

be subject to the recordkeeping requirements of 

proposed Regulation 45.1. Because the Commission 

has not regulated the swap market, it has not 

collected 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 or 

omissions that was used to report the 

erroneous data in question. 

III. Related Matters 

A. Regulatory Flexibility Act 

The RFA 71 requires that agencies 

consider whether the rules they propose 

will have a significant economic impact 

on a substantial number of small entities 

and, if so, provide a regulatory 

flexibility analysis respecting the 

impact.72 The rules proposed by the 

Commission would affect SDRs, DCOs, 

SEFs, DCMs, SDs, MSPs, and 

non-SD/MSP counterparties who are 

counterparties to one of more swaps and 

subject to the Commission’s 

jurisdiction. The Commission has 

previously established certain 

definitions of ‘‘small entities’’ to be used 

by the Commission in evaluating the 

impact of its regulations on small 

entities in accordance with the RFA.73

In its previous determinations, the 

Commission has concluded that DCMs 

and DCOs are not small entities for the 

purpose of the RFA.74

As SDRs, SDs, MSPs and SEFs are 

new entities to be regulated by the 

Commission pursuant to the DoddFrank Act, the Commission has not 

previously determined whether they are 

small entities for the purpose of the 

RFA. The Commission is proposing to 

determine that SDRs, SDs, MSPs and 

SEFs covered by these rules, for reasons 

similar to those applicable to DCMs and 

DCOs, are not small entities for 

purposes of the RFA. 

Specifically, the Commission 

proposes that SDRs, SDs, MSPs and 

SEFs should not be considered small 

entities based on, among other things, 

the central role they will play in the 

national regulatory scheme overseeing 

the trading of swaps. Because they will 

be required to accept swaps across asset 

classes, SDRs will require significant 

operational resources. With respect to 

SDs, the Commission previously has 

determined that FCMs should not be 

considered to be small entities for 

purposes of the RFA.75 Like FCMs, SDs 

will be subject to minimum capital and 

margin requirements, and are expected 

to comprise the largest global financial 

firms. Additionally, the Commission is 

required to exempt from designation 

entities that engage in a de minimis 

level of swaps.76 Similarly, with respect 

to MSPs, the Commission has also 

previously determined that large traders 

are not ‘‘small entities’’ for RFA 

purposes.77 Like large traders, MSPs 

will maintain substantial positions, 

creating substantial counterparty 

exposure that could have serious 

adverse effects on the financial stability 

of the United States banking system or 

financial markets. With respect to SEFs, 

not only will SEFs play a vital role in 

the national economy, but they will be 

required to operate as self-regulatory 

organizations, subject to Commission 

oversight, with statutory duties to 

enforce the rules adopted by their own 

governing bodies. Most of these entities 

will not be small entities for RFA 

purposes. 

The proposed regulations would 

require reporting by a non-SD/MSP 

counterparty only with respect to swaps 

in which neither counterparty is an SD 

or MSP. The considerable majority of 

swaps involve at least one SD or MSP. 

In addition, most end users and other 

non-SD/MSP counterparties who are 

regulated by the Employee Retirement 

Income Security Act of 1974 (‘‘ERISA’’), 

such as pension funds, which are among 

the most active participants in the swap 

market, are prohibited from transacting 

directly with other ERISA-regulated 

participants.78 Therefore, the 

Commission does not believe that the 

reporting obligations under this 

rulemaking will create a significant 

economic impact on a substantial 

number of small entities. 

Accordingly, the Chairman, on behalf 

of the Commission, hereby certifies 

pursuant to 5 U.S.C. 605(b) that the 

proposed rules will not have a 

significant impact on a substantial 

number of small entities. Nonetheless, 

the Commission specifically requests 

comment on the impact these proposed 

rules may have on small entities. 

B. Paperwork Reduction Act 

Introduction. Provisions of proposed 

Commission Regulations 45.2, 45.3, and 

45.4 would result in new collection of 

information requirements within the 

meaning of the Paperwork Reduction 

Act (‘‘PRA’’).79 The Commission 

therefore is submitting this proposal to 

the Office of Management and Budget 

(OMB) for review in accordance with 44 

U.S.C. 3507(d) and 5 CFR 1320.11. The 

title for this collection of information is 

‘‘Regulations 45.2, 45.3, and 45.4—Swap 

Data Recordkeeping and Reporting 

Requirements,’’ OMB control number 

3038—NEW). If adopted, responses to 

this new collection of information 

would be mandatory. The Commission 

will protect proprietary information 

according to the Freedom of Information 

Act and 17 CFR part 145, ‘‘Commission 

Records and Information.’’ In addition, 

section 8(a)(1) of the Act strictly 

prohibits the Commission, unless 

specifically authorized by the Act, from 

making public ‘‘data and information 

that would separately disclose the 

business transactions or market 

positions of any person and trade 

secrets or names of customers.’’ The 

Commission also is required to protect 

certain information contained in a 

government system of records according 

to 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/MSP 

counterparties—which presently would 

include an estimated 30,384 entities or 

persons 80—would be required to keep 

records of all activities relating to 

swaps. Specifically, proposed 

Regulation 45.2 would require SDRs, 

SEFs, DCMs, DCOs, SDs, and MSPs to 

keep complete records of all activities 

relating to their business with respect to 

swaps. The proposed regulation would 

require non-SD/MSP counterparties to 

keep complete records with respect to 

each swap in which they are a 

counterparty. With respect to SDs and 

MSPs, the Commission has determined 

that proposed Regulation 45.2 will not 

impose any new recordkeeping or 

information collection requirements, or 

other collections of information that 

require approval of the Office of 

Management and Budget under the 

Paperwork Reduction Act. 

Requirements for maintaining and 

recording swap transaction data by SDs 

and MSPs will be addressed by related 

rulemakings associated with business 

conduct standards for SDs and MSPs as 

part of the Commission’s overall 


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76596 Federal Register / Vol. 75, No. 235 / Wednesday, December 8, 2010 / Proposed Rules 

81The Commission invites public comment on 

the accuracy of its estimate that no additional 

recordkeeping or information collection 

requirements related to SDs and MSP would result 

from the rules proposed herein. 

82For purposes of this Paperwork Reduction Act 

analysis, the Commission estimates that ‘‘high 

activity’’ entities or persons are those who process 

or enter into hundreds or thousands of swaps per 

week that are subject to the jurisdiction of the 

Commission. Low activity users would be those 

who process or enter into substantially fewer than 

the high activity users. The Commission requests 

comment on its estimate. 

83Estimated burden hours were obtained in 

consultation with the Commission’s information 

technology staff. The Commission requests 

comment on these estimates. 

84The Commission estimated 2,080 hours by 

assuming that a significant number of SEFs, DCMs, 

DCOs, MSP, and SDs will dedicate the equivalent 

of at least one full-time employee to ensuring 

compliance with the reporting obligations of 

Regulation 45.3 (2,080 hours = 52 weeks × 5 days 

× 8 hours). The Commission believes that this is a 

reasonable assumption due to the volume of swap 

transactions that will be processed by these entities, 

the varied nature of the information required to be 

reported by Regulation 45.3, and the frequency 

(daily) with which some reports must be made. The 

Commission requests comment on its estimate. 

85This is the estimated number of non-SD/MSP 

counterparties who would be required to report in 

a given year. Only one counterparty to a swap is 

required to report, typically an SD or a MSP as 

determined by proposed Regulation 45.4. The 

Commission requests comment on this estimate. 

86Estimated burden hours were obtained in 

consultation with the Commission’s information 

technology staff. The Commission requests 

comment on these estimates. 

rulemaking initiative implementing the 

Dodd-Frank Act.81 With respect to 

SDRs, SEFs, DCMs, DCOs (an estimated 

84 entities or persons), which will have 

higher levels of swap recording 

activity 82 than non-SD/MSP 

counterparties, the Commission 

estimates that there may be 

approximately 40 annual burden hours 

per entity, excluding customary and 

usual business practices. With respect to 

non-SD/MSP reporting counterparties 

(an estimated 30,000 entities or 

persons), who will have lower levels of 

swap recording activity, the 

Commission estimates that there may be 

approximately 10 annual burden hours 

per entity, excluding customary and 

usual business practices. Therefore, 

there are 303,360 estimated aggregate 

annual burden hours. 

Under proposed Regulation 45.3, 

SEFs, DCMs, DCOs, MSPs, SDs, and 

non-SD/MSP counterparties would be 

required to provide reports to SDRs 

regarding swap transactions. SEFs and 

DCMs are required to report certain 

information once at the time of swap 

execution. DCOs, SDs, MSPs, and nonSD/MSP counterparties are required to 

report certain information once, as well 

as other information on a daily basis. 

With respect to reporting by SDs, MSPs, 

and non-SD/MSP counterparties, only 

one counterparty to a swap is required 

to report, typically an SD or an MSP as 

determined by proposed Regulation 

45.4. The Commission anticipates that 

the reporting will to a significant extent 

be automatically completed by 

electronic computer systems; the 

following burden hours are calculated 

based on the annual burden hours 

necessary to oversee and maintain the 

reporting functionality.83 SEFs, DCMs, 

DCOs, MSPs, and SDs (an estimated 369 

entities or persons) are anticipated to 

have high levels of reporting activity; 

the Commission estimates that their 

average annual burden may be 

approximately 2,080 hours.84 Non-SD/ 

MSP counterparties who would be 

required to report—which presently 

would include an estimated 1,500 

entities 85—are anticipated to have 

lower levels of activity with respect to 

reporting; the Commission estimates 

that their annual burden may be 

approximately 75 hours. Therefore, 

there are 880,020 estimated aggregate 

annual burden hours. 

Under proposed Regulation 45.4, 

SDRs, SEFs, DCMs, SDs, and MSPs 

would be required to report a unique 

swap identifier to other registered 

entities and swap participants. SEFs and 

DCMs are anticipated to have higher 

levels of activity than SDRs, SDs, and 

MSPs with respect to unique swap 

identifier reporting. The Commission 

anticipates that the reporting of the 

unique swap identifier will be 

automatically completed by electronic 

computer systems. The following 

burden hours are based on the estimated 

burden hours necessary to oversee and 

maintain the electronic functionality of 

unique swap ID reporting.86 The 

Commission estimates that SEFs and 

DCMs (an estimated 57 entities or 

persons) may have approximately 22 

annual burden hours per entity. The 

Commission estimates that SDRs, SDs, 

and MSPs (an estimated 315 entities or 

persons) may have approximately 6 

annual burden hours per entity. 

Therefore, there are 3,144 estimated 

aggregated annual burden hours. 

Additionally under Proposed 

Regulation 45.4, SDs, MSPs, and nonSD/MSP counterparties (an estimated 

30,300 entities and persons), would be 

required to report into a confidential 

database their ownership and 

affiliations information (as well as 

changes to ownership and affiliations). 

The report would be made once at the 

time of the first swap reported to an 

SDR, and would be made anytime 

thereafter that the entity’s legal 

affiliations change. The estimated 

number of burden hours per report is 

approximately two hours per entity, 

excluding customary and usual business 

practices. The number of reports 

required to be made per year is 

estimated to vary between zero and four, 

depending on the number of changes an 

entity has in its legal affiliations in that 

year. Thus, the estimated annual burden 

per entity varies between zero and eight 

burden hours. Therefore, there are 

between 0 and 242,400 estimated 

aggregate annual burden hours. 

Information Collection Comments. 

The Commission invites the public and 

other Federal agencies to comment on 

any aspect of the reporting and 

recordkeeping burdens discussed above. 

Pursuant to 44 U.S.C. 3506(c)(2)(B), the 

Commission solicits comments in order 

to: (i) Evaluate whether the proposed 

collection of information is necessary 

for the proper performance of the 

functions of the Commission, including 

whether the information will have 

practical utility; (ii) evaluate the 

accuracy of the Commission’s estimate 

of the burden of the proposed collection 

of information; (iii) determine whether 

there are ways to enhance the quality, 

utility, and clarity of the information to 

be collected; and (iv) minimize the 

burden of the collection of information 

on those who are to respond, including 

through the use of automated collection 

techniques or other forms of information 

technology. 

Comments may be submitted directly 

to the Office of Information and 

Regulatory Affairs, by fax at (202) 395– 

6566 or by e-mail at 

OIRAsubmissions@omb.eop.gov. Please 

provide the Commission with a copy of 

submitted comments so that all 

comments can be summarized and 

addressed in the final rule preamble. 

Refer to the Addresses section of this 

notice of proposed rulemaking for 

comment submission instructions to the 

Commission. A copy of the supporting 

statements for the collections of 

information discussed above may be 

obtained by visiting RegInfo.gov. OMB 

is required to make a decision 

concerning the collection of information 

between 30 and 60 days after 

publication of this release. 

Consequently, a comment to OMB is 

most assured of being fully effective if 

received by OMB (and the Commission) 

within 30 days after publication of this 

notice of proposed rulemaking. 

C. Cost-Benefit Analysis 

Introduction. Section 15(a) of the 

Commodity Exchange Act (‘‘CEA’’) 

requires the Commission to consider the 

costs and benefits of its actions before 

issuing a rulemaking under the Act. By 

its terms, section 15(a) does not require 


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the Commission to quantify the costs 

and benefits of the rulemaking or to 

determine whether the benefits of the 

rulemaking outweigh its costs; rather, it 

requires that the Commission ‘‘consider’’ 

the costs and benefits of its actions. 

Section 15(a) further specifies that the 

costs and benefits shall be evaluated in 

light of five broad areas of market and 

public concern: (1) Protection of market 

participants and the public; (2) the 

efficiency, competitiveness and 

financial integrity of markets; (3) price 

discovery; (4) sound risk management 

practices; and (5) other public interest 

considerations. The Commission may in 

its discretion give greater weight to any 

one of the five enumerated areas and 

could in its discretion determine that, 

notwithstanding its costs, a particular 

rule is necessary or appropriate to 

protect the public interest or to 

effectuate any of the provisions to 

accomplish any of the purposes of the 

Act. 

Summary of proposed requirements. 

The proposed Commission regulations 

in Part 45 would provide for certain 

recordkeeping and data reporting 

requirements for SDRs, SEFs, DCMs, 

DCOs, SDs, MSPs, and non-SD/MSP 

counterparties. The proposed 

regulations would require SDRs, SEFs, 

DCMs, DCOs, SDs, and MSPs to keep 

records of all activities relating to their 

business with respect to swaps; non-SD/ 

MSP counterparties would be required 

to keep records with respect to each 

swap in which they are a counterparty. 

The proposed regulations would require 

SEFs, DCMs, DCOs, SDs, MSPs, and 

non-SD/MSP counterparties to report to 

SDRs various types of swap data, as 

defined and required in the regulations. 

Further, in some instances the proposed 

regulations would require SDRs, SEFs, 

DCMs, SDs, and MSPs to create unique 

swap identifiers and transmit them to 

other registered entities and swap 

participants. Additionally, the proposed 

regulations would require SDs, MSPs, 

and non-SD/MSP counterparties to 

report their ownership and affiliations 

information (as well as changes to 

ownership and affiliations), in a manner 

to be determined by the Commission 

prior to its adoption of final swap data 

reporting regulations. 

Costs. With respect to costs, the 

Commission believes that the proposed 

reporting and recordkeeping 

requirements could impose significant 

compliance costs on some SDRs, SEFs, 

DCMs, DCOs, SDs, MSPs, and non-SD/ 

MSP counterparties. The proposed 

regulations could require capital 

expenditures for some such entities that 

could affect the ability of some 

regulated entities to compete in the 

global marketplace because of 

reductions in available resources. 

Benefits. Notwithstanding the 

potential costs that could be incurred by 

SDRs, SEFs, DCMs, DCOs, SDs, MSPs, 

and non-SD/MSP counterparties, the 

Commission believes that the benefits of 

the proposed regulations are significant 

and important. Through the requirement 

that swap information be reported to 

SDRs, the proposed regulations will 

greatly improve the efficiency and 

transparency of the swap market. 

Through the Commission’s access to 

swap data, market participants and the 

public will be better protected, as the 

result of increased market surveillance 

and monitoring. 

The Commission believes that the 

proposed regulations are essential to the 

financial protection of swap market 

participants and the public. With their 

support for greater transparency and 

more effective oversight, the proposed 

regulations will help to ensure the 

efficiency, competitiveness, and 

financial integrity of swap markets. By 

providing regulators data necessary for 

effective prudential supervision, the 

proposed regulations will enable 

enhanced protection against systemic 

risk. The proposed regulations will also 

improve the important function of price 

discovery. For all these reasons, the 

proposed regulations would serve the 

public interest. 

Public Comment. For the reasons set 

forth above, the Commission believes 

that the benefits of the proposed 

regulations outweigh their costs, and 

has decided to issue them. The 

Commission invites public comment on 

its cost-benefit considerations. 

Commenters are also invited to submit 

any data or other information that they 

may have quantifying or qualifying the 

costs and benefits of the Proposal with 

their comment letters. 

IV. Proposed Effective Date 

The Commission understands that, 

after the date on which the Commission 

promulgates its final swap data 

reporting regulations, the industry will 

need a reasonable period of time to 

implement the requirements of those 

regulations. Time may be required for 

entities to register as SEFs, DCMs, 

DCOs, or SDRs (or to update current 

registrations as DCMs or DCOs) 

pursuant to new Commission 

regulations concerning such entities. 

Time may also be needed for registered 

entities and potential swap 

counterparties to adapt or create 

automated systems capable of fulfilling 

the requirements of Commission 

regulations concerning swap data 

reporting. Accordingly, it may be 

appropriate for the Commission’s final 

swap data reporting regulations to 

establish an effective date for the 

requirements contained in those 

regulations that is later than the date of 

their promulgation. 

The Commission requests comment 

concerning the need for an 

implementation date for its final swap 

data reporting regulations that is later 

than the date of their promulgation; 

concerning the benefits or drawbacks of 

such an approach; concerning the length 

of time needed for registered entities 

and potential swap counterparties to 

prepare for implementation in the ways 

discussed above, or otherwise; and 

concerning the implementation date 

which the Commission should specify 

in its final regulations concerning swap 

data reporting. 

V. General Solicitation of Comments 

The Commission requests comments 

concerning all aspects of the proposed 

regulations, including, without 

limitation, all of the aspects of the 

proposed regulations on which 

comments have been requested 

specifically herein. 

Proposed Rules 

List of Subjects in 17 CFR Part 45 

Swaps, data recordkeeping 

requirements and data reporting 

requirements. 

For the reasons set forth in the 

preamble, the Commodity Futures 

Trading Commission proposes to add a 

new part 45 to read as follows: 

PART 45—SWAP DATA 

RECORDKEEPING AND REPORTING 

REQUIREMENTS 

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 and 

minimum valuation data 

Appendix 2 to Part 45—Master reference 

generic 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 by 

Title VII of the Wall Street Reform and 

Consumer Protection Act of 2010, Public Law 

111–203, 124 Stat. 1376 (2010). 


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§ 45.1 Definitions. 

As used in this part 45, the following 

terms shall have the definitions set forth 

below. 

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

broad category of goods, services or 

commodities underlying a swap. The 

asset classes include interest rate, 

currency, credit, equity, other 

commodity, and such other asset classes 

as may be determined by the 

Commission. 

(b) ‘‘Confirmation’’ (‘‘confirming’’) 

means the consummation (electronically 

or otherwise) of legally binding 

documentation (electronic or otherwise) 

that memorializes the agreement of the 

parties to all terms of a swap. A 

confirmation must be in writing 

(whether electronic or otherwise) and 

must legally supersede any previous 

agreement (electronically or otherwise). 

(c) ‘‘Confirmation data’’ means all of 

the terms of a swap matched and agreed 

upon by the counterparties in 

confirming the swap. 

(d) ‘‘Contract-intrinsic event’’ means a 

scheduled, anticipated event occurring 

during the existence of a swap that does 

not result in any change to the 

contractual terms of the swap, 

including, without limitation, the 

scheduled expiration of a swap, or a 

previously described and anticipated 

interest rate adjustment (e.g., a quarterly 

interest rate adjustment). 

(e) ‘‘Contract-intrinsic event data’’ 

means, with respect to a credit swap or 

equity swap, all of the data elements 

necessary to fully report any contractintrinsic event with respect to that 

swap. 

(f) ‘‘Credit swap’’ means any swap that 

is primarily based on instruments of 

indebtedness, including, without 

limitation: Any swap primarily based on 

one or more broad-based indices related 

to instruments of indebtedness; and any 

swap that is an index credit swap or 

total return swap on one or more indices 

of debt instruments. 

(g) ‘‘Currency swap’’ means any swap 

which is primarily based on rates of 

exchange between difference currencies, 

changes in such rates, or other aspects 

of such rates. This category includes 

foreign exchange swaps as defined in 

CEA Section 1a(25). 

(h) ‘‘Derivatives Clearing 

Organization’’ or ‘‘DCO’’ has the meaning 

set forth in CEA Section 1a(9), and any 

Commission regulation implementing 

that Section, including, without 

limitation, § 39.5 of this chapter. 

(i) ‘‘Designated Contract Market’’ or 

‘‘DCM’’ has the meaning set forth in CEA 

Section 5, and any Commission 

regulation implementing that Section. 

(j) ‘‘Equity swap’’ means any swap that 

is primarily based on equity securities, 

including, without limitation: Any swap 

primarily based on one or more broadbased indices of equity securities; and 

any total return swap on one or more 

equity indices. 

(k) ‘‘Interest rate swap’’ means any 

swap which is primarily based on one 

or more interest rates, such as swaps of 

payments determined by fixed and 

floating interest rates. 

(l) ‘‘Life cycle event’’ means, with 

respect to a credit swap or equity swap, 

any event that would result in a change 

in the data previously reported to an 

SDR in connection with the swap, 

including, without limitation, a 

counterparty change resulting from an 

assignment or novation; a partial or full 

termination of the swap; a change in the 

cash flows originally reported; for a 

credit swap or equity swap that is not 

cleared, any change to the collateral 

agreement; or a corporate action 

affecting a security or securities on 

which 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 equity 

swap, all of the data elements necessary 

to fully report any life cycle event, or 

any adjustment due to a life cycle event, 

that results in a change to data 

previously reported with respect to that 

swap. 

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

has the meaning set forth in CEA 

Section 1a(33), and any Commission 

regulation implementing that Section. 

(o) ‘‘Non-SD/MSP counterparty’’ 

means a swap counterparty that is 

neither a Swap Dealer nor a Major Swap 

Participant. 

(p) ‘‘Other commodity swap’’ means 

any swap not included in the credit 

swap, currency swap, equity swap, or 

interest rate swap categories, including, 

without limitation, any swap for which 

the primary underlying item is a 

physical commodity or the price or any 

other aspect of a physical commodity. 

(q) ‘‘Primary economic terms’’ for a 

credit swap or equity swap means: 

(1) The Unique Swap Identifier for the 

swap, pursuant to § 45.4(a); 

(2) The Unique Counterparty 

Identifier of each counterparty to the 

swap, pursuant to § 45.4(b); 

(3) The Unique Product Identifier 

assigned to the swap, pursuant to 

§ 45.4(c); 

(4) An indication of the counterparty 

purchasing protection and of the 

counterparty selling protection; 

(5) Information identifying the 

reference entity for the swap, in a format 

determined 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/MSP 

counterparties; 

(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 amount 

is expressed, and the equivalent 

notional amount in U.S. dollars; 

(15) The amount and currency or 

currencies of any up-front payment; 

(16) A description of the payment 

streams of each counterparty; 

(17) The title of any master agreement 

incorporated by reference and the date 

of any such agreement; 

(18) If the transaction involved an 

existing swap, an indication that the 

transaction did not involve an 

opportunity to negotiate a material term 

of the contract, other than the 

counterparty; 

(19) The data elements necessary for 

a person to determine the market value 

of the transaction; 

(20) Whether or not the swap will be 

cleared by a designated clearing 

organization; 

(21) The name of the designated 

clearing organization that will clear the 

swap, if any; 

(22) If the swap is not cleared, 

whether the exception in § 2(h)(7) (‘‘End 

User exception’’) was invoked; 

(23) If the swap is not cleared, all of 

the settlement terms, including, without 

limitation, whether the swap is cashsettled or physically settled, and the 

method for determining the settlement 

value; and 

(24) Any other primary economic 

term(s) of the swap matched by the 

counterparties in verifying the swap. 

(r) ‘‘Primary economic terms’’ means, 

for an interest rate swap, other 

commodity swap, or currency swap, all 

of the terms of a swap matched by the 

counterparties in verifying the swap, 

including at a minimum each of the 

terms included in the most recent 

Federal Register release by the 

Commission listing minimum primary 

economic terms for interest rate swaps, 

other commodity swaps, or currency 

swaps. The Commission’s current lists 

of minimum primary economic terms 

for interest rate, commodity, and 

currency swaps are found in Appendix 

1 to part 45. 


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(s) ‘‘Primary economic terms data’’ 

means all of the data elements necessary 

to fully report all of the primary 

economic terms of a swap in the swap 

asset class of the swap in question. 

(t) ‘‘Reporting counterparty’’ means 

the counterparty required to report swap 

data 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 data 

for an interest rate swap, commodity 

swap, or currency swap, as appropriate; 

and 

(2) All confirmation data for the swap. 

(w) ‘‘Required swap continuation 

data’’ for a credit swap or equity swap 

means: 

(1) All life cycle event data for the 

swap; 

(2) All contract-intrinsic event data 

for the swap; and 

(3) All valuation data for the swap, 

and all changes to valuation data 

previously reported concerning the 

swap, reported at intervals to be 

determined by the Commission prior to 

its adoption of final swap data reporting 

regulations. 

(x) ‘‘Required swap continuation data’’ 

for an interest rate swap, other 

commodity swap, or currency swap 

means: 

(1) All state data for the swap, 

reported daily throughout the existence 

of the swap until its final termination; 

and 

(2) A report at intervals specified by 

the Commission, throughout the 

existence of the swap until its final 

termination, of all valuation data and all 

changes to valuation data concerning 

the swap. 

(y) ‘‘State data’’ means all of the data 

elements necessary to provide a 

snapshot view, on a daily basis, of all 

of the primary economic terms of a 

swap in the swap asset class of the swap 

in question, including any changes to 

such terms since the last snapshot. At a 

minimum, state data must include all of 

the economic terms listed in the most 

recent Federal Register release by the 

Commission concerning minimum 

primary state data elements for interest 

rate, commodity, or currency swaps. 

The Commission’s current lists of 

minimum primary economic terms for 

interest rate, commodity, and currency 

swaps are found in Appendix 1 to Part 

45. 

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

has the meaning set forth in CEA 

Section 1a(48), and any Commission 

regulation implementing that Section. 

(aa) ‘‘Swap Dealer’’ or ‘‘SD’’ has the 

meaning set forth in CEA Section 1a(49), 

and any Commission regulation 

implementing that Section. 

(bb) ‘‘Swap Execution Facility’’ or 

‘‘SEF’’ has the meaning set forth in CEA 

Section 1a(50), and any Commission 

regulation implementing that Section. 

(cc) ‘‘Valuation data’’ means all of the 

data elements necessary for a person to 

determine the current market value of 

the swap, including, without limitation, 

daily margin, daily mark-to-market, and 

other measures of valuation as 

determined by the Commission. 

(dd) ‘‘Verification’’ (‘‘verify’’ or 

‘‘verifying’’) means the matching by the 

counterparties to a swap of each of the 

primary economic terms of a swap, at or 

shortly after the time the swap is 

executed. 

§ 45.2 Swap recordkeeping. 

(a) All DCOs, DCMs, SEFs, SDs, and 

MSPs who are subject to the jurisdiction 

of the Commission shall keep full, 

complete, and systematic records, 

together with all pertinent data and 

memoranda, of all activities relating to 

the business of such entities or persons 

with respect to swaps, as prescribed by 

the Commission. Such records shall 

include, without limitation, the 

following: 

(1) For DCOs, all records required by 

part 39 of this chapter. 

(2) For SEFs, all records required by 

part 37 of this chapter. 

(3) For DCMs, all records required by 

part 38 of this chapter. 

(4) For SDs and MSPs, all records 

required by part 23 of this chapter. 

(b) All non-SD/MSP counterparties 

subject to the jurisdiction of the 

Commission shall keep full, complete, 

and systematic records, together with all 

pertinent data and memoranda, with 

respect to each swap in which they are 

a counterparty, including all required 

swap creation data and all required 

swap continuation data that they are 

required to report pursuant to this part 

45, and including all records 

demonstrating that they are entitled, 

with respect to any swap, to the end 

user exception pursuant to Section 

2(h)(7). 

(c) All records required to be kept by 

DCOs, DCMs, SEFs, SDs, MSPs, and 

non-SD/MSP counterparties pursuant to 

this Section shall be kept with respect 

to each swap from the date of the 

creation of the swap through the life of 

the swap and for a period of at least five 

years from the final termination of the 

swap, in a form and manner acceptable 

to the Commission. 

(d) Records required to be kept by 

DCOs, DCMs, SEFs, SDs, MSPs, or nonSD/MSP counterparties pursuant to this 

Section shall be retrievable as follows: 

(1) Each record required by this 

Section or any other Section of the Act 

to be kept by an SDR shall be readily 

accessible via real time electronic access 

by the SDR indefinitely. 

(2) Each record required by this 

Section or any other Section of the Act 

to be kept by a DCO, DCM, SEF, SD, or 

MSP shall be readily accessible via real 

time electronic access by the registrant 

throughout the life of the swap and for 

two years following the final 

termination of the swap, and shall be 

retrievable by the registrant or its 

affiliates within three business days 

through the remainder of the period 

following final termination of the swap 

during which it is required to be kept. 

(3) Each record required by this 

Section or any other Section of the Act 

to be kept by a non-SD/MSP 

counterparty shall be retrievable by that 

counterparty within three business days 

throughout the period during which it is 

required to be kept. 

(e) All SDRs registered with the 

Commission shall keep full, complete, 

and systematic records, together with all 

pertinent data and memoranda, of all 

activities relating to the business of the 

SDR and all swap data reported to the 

SDR, as prescribed by the Commission. 

Such records shall include, without 

limitation, all records required by 

§ 45.10 of the Commission’s proposed 

swap data repositories regulations. 

(f) All records required to be kept by 

an SDR pursuant to this § 45.2 must be 

kept by the SDR both: 

(1) Throughout the existence of the 

swap and for five following final 

termination of the swap, during which 

time the records must be readily 

accessible by the SDR and available to 

the Commission via real time electronic 

access; and 

(2) Thereafter, for a period to be 

determined by the Commission prior to 

promulgation of its final swap data 

recordkeeping and reporting 

regulations, in archival storage from 

which they are retrievable by the SDR 

within three business days. 

(g) All records required to be kept 

pursuant to this Section by any 

registrant or its affiliates or by any nonSD/MSP counterparty shall be open to 

inspection upon request by any 

representative of the Commission, the 

United States Department of Justice, or 

the Securities and Exchange 

Commission, or by any representative of 

a prudential regulator as authorized by 

the Commission. Copies of all such 

records shall be provided, at the 


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expense of the entity or person required 

to keep the record, to any representative 

of 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 general 

swap data reporting obligations of SDs, 

MSPs, non-SD/MSP counterparties, 

SEFs, DCMs, and DCOs to report swap 

data to an SDR. In addition to the 

reporting obligations set forth in this 

Section, SDs, MSPs, and non-SD/MSP 

counterparties are also subject to the 

reporting obligations with respect to 

corporate affiliations reporting set forth 

in § 45.4(b)(2); DCMs, SEFs, SDs, MSPs, 

and non-SD/MSP counterparties are 

subject to the reporting obligations with 

respect to real time reporting of swap 

data set forth in part 43; and, where 

applicable, SDs, MSPs, and non-SD/ 

MSP counterparties are subject to the 

reporting obligations with respect to 

large traders set forth in parts 17 and 18 

of this chapter. 

(a) Reporting of required swap 

creation data. Registered entities and 

swap counterparties must report 

required swap creation data 

electronically to an SDR as set forth in 

this Section. 

(1) Swaps for which the reporting 

counterparty is an SD or MSP. For all 

swaps in which the reporting 

counterparty is an SD or MSP, required 

swap creation data must be reported as 

follows: 

(i) Swaps executed on a SEF or DCM 

and cleared on a DCO. (A) The SEF or 

DCM on which the swap is executed 

must report all primary economic terms 

data for the swap asset class of the swap 

that is in its possession, as soon as 

technologically practicable following 

execution of the swap. 

(B) The DCO on which the swap is 

cleared must report all confirmation 

data, as soon as technologically 

practicable following clearing of the 

swap. 

(C) The reporting counterparty, as 

determined pursuant to § 45.5, must 

report any primary economic terms data 

for the swap asset class of the swap that 

is not reported by the SEF or DCM. This 

report must be made promptly following 

verification of the primary economic 

terms by the counterparties with each 

other at the time of, or immediately 

following, execution of the swap, but in 

no event later than: 15 minutes after 

execution of the swap if both execution 

and verification of primary economic 

terms occur electronically; 30 minutes 

after execution of the swap if execution 

does not occur electronically but 

verification of primary economic terms 

occurs electronically; or 24 hours after 

execution of the swap if neither 

execution nor verification of primary 

economic terms occurs electronically. 

(ii) Swaps Executed on a SEF but Not 

Cleared on a DCO. (A) The SEF on 

which the swap is executed must report 

all primary economic terms data for the 

swap asset class of the swap that is in 

its possession, as soon as 

technologically practicable following 

execution of the swap. 

(B) The reporting counterparty, as 

determined pursuant to § 45.5, must 

report any primary economic terms data 

for the swap that is not reported by the 

SEF. This report must be made 

promptly following verification of the 

primary economic terms by the 

counterparties with each other at the 

time of, or immediately following, 

execution of the swap, but in no event 

later than: 15 minutes after execution of 

the swap if both execution and 

verification of primary economic terms 

occur electronically; 30 minutes after 

execution of the swap if execution does 

not occur electronically but verification 

of primary economic terms occurs 

electronically; or 24 hours after 

execution of the swap if neither 

execution nor verification of primary 

economic terms occurs electronically. 

(C) The reporting counterparty must 

report all confirmation data for the 

swap. This report must be made 

promptly following confirmation of the 

swap, but in no event later than: 15 

minutes after confirmation of the swap 

if confirmation occurs electronically, or 

24 hours after confirmation of the swap 

if confirmation was done manually 

rather than electronically. 

(iii) Swaps Not Executed on a SEF or 

DCM but Cleared on a DCO. (A) The 

reporting counterparty, as determined 

pursuant to § 45.5, must report all 

primary economic terms data for the 

swap asset class of the swap. This report 

must be made promptly following 

verification of the primary economic 

terms by the counterparties with each 

other at or immediately following 

execution of the swap, but in no event 

later than: 30 minutes after execution of 

the swap if verification of primary 

economic terms occurs electronically; or 

24 hours after execution of a swap if 

verification of primary economic terms 

does not occur electronically. 

(B) The DCO on which the swap is 

cleared must report all confirmation 

data, as soon as technologically 

practicable following clearing of the 

swap. 

(iv) Swaps Not Executed on a SEF or 

DCM and Not Cleared on a DCO. The 

reporting counterparty, as determined 

pursuant to § 45.5, must report all 

primary economic terms data for the 

swap, and must report electronically all 

confirmation data for the swap. The 

report of primary economic terms data 

must be made promptly following 

verification of the primary economic 

terms by the counterparties with each 

other at or immediately following 

execution of the swap, but in no event 

later than: 30 minutes after execution of 

the swap if verification of primary 

economic terms occurs electronically; or 

24 hours after execution of a swap if 

verification of primary economic terms 

does not occur electronically. The report 

of confirmation data must be made 

promptly following confirmation of the 

swap, but in no event later than: 15 

minutes after confirmation of the swap 

if confirmation occurs electronically, or 

24 hours after confirmation of the swap 

if confirmation was done manually 

rather than electronically. 

(2) Swaps for which the reporting 

counterparty is a non-SD/MSP 

counterparty. For all swaps in which the 

reporting counterparty is a non-SD/MSP 

counterparty, required swap creation 

data must be reported as set forth in this 

Section. 

(i) Swaps executed on a SEF or DCM 

and cleared on a DCO. (A) The SEF or 

DCM on which the swap is executed 

must report all primary economic terms 

data for the swap asset class of the swap 

that is in its possession, as soon as 

technologically practicable following 

execution of the swap. 

(B) The DCO on which the swap is 

cleared must report all confirmation 

data, as soon as technologically 

practicable following clearing of the 

swap. 

(C) The reporting counterparty, as 

determined pursuant to § 45.5, must 

report any primary economic terms data 

for the swap asset class of the swap that 

is not reported by the SEF or DCM. This 

report must be made promptly following 

verification of the primary economic 

terms by the counterparties with each 

other at the time of, or immediately 

following, execution of the swap, but in 

no event later than: 15 minutes after 

execution of the swap if both execution 

and verification of primary economic 

terms occur electronically; 30 minutes 

after execution of the swap if execution 

does not occur electronically but 

verification of primary economic terms 

occurs electronically; or 24 hours after 

execution of the swap if neither 

execution nor verification of primary 

economic terms occurs electronically. 

(ii) Swaps Executed on a SEF but Not 

Cleared on a DCO. (A) The SEF on 

which the swap is executed must report 

all primary economic terms data for the 

swap asset class of the swap that is in 


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its possession, as soon as 

technologically practicable following 

execution of the swap. 

(B) The reporting counterparty, as 

determined pursuant to § 45.5, must 

report any primary economic terms data 

for the swap that is not reported by the 

SEF. This report must be made 

promptly following verification of the 

primary economic terms by the 

counterparties with each other at the 

time of, or immediately following, 

execution of the swap, but in no event 

later than: 15 minutes after execution of 

the swap if both execution and 

verification of primary economic terms 

occur electronically; 30 minutes after 

execution of the swap if execution does 

not occur electronically but verification 

of primary economic terms occurs 

electronically; or 24 hours after 

execution of the swap if neither 

execution nor verification of primary 

economic terms occurs electronically. 

(C) The reporting counterparty must 

report all confirmation data for the 

swap. This report must be made within 

a time to be determined by the 

Commission 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) The 

reporting counterparty, as determined 

pursuant to § 45.5, must report all 

primary economic terms data for the 

swap. This report must be made 

promptly following verification of the 

primary economic terms by the 

counterparties with each other at the 

time of, or immediately following, 

execution of the swap, but in no event 

later than: 30 minutes after execution of 

the swap if verification of primary 

economic terms occurs electronically; or 

24 hours after execution of the swap if 

verification of primary economic terms 

does not occur electronically. 

(B) The DCO on which the swap is 

cleared must report all confirmation 

data, as soon as technologically 

practicable following clearing of the 

swap. 

(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, must 

report all primary economic terms data 

for the swap asset class of the swap, and 

must report all confirmation data. The 

report of primary economic terms data 

must be made promptly following 

verification of the primary economic 

terms by the counterparties with each 

other at or immediately following 

execution of the swap, but in no event 

later than: 30 minutes after execution of 

the swap if verification of primary 

economic terms occurs electronically; or 

24 hours after execution of a swap if 

verification of primary economic terms 

does not occur electronically. 

(B) The reporting counterparty must 

report all confirmation data for the 

swap. This report must be made within 

a time to be determined by the 

Commission prior to its adoption of 

final swap data reporting regulations. 

(b) Reporting of required swap 

continuation data. Registered entities 

and swap counterparties must report 

required swap continuation data to an 

SDR as set forth in this Section. 

(1) Credit swaps and equity swaps. 

For all credit swaps and equity swaps, 

registered entities and counterparties 

must report as set forth below. 

(i) Swaps for which the reporting 

counterparty is an SD or MSP. For all 

credit swaps and equity swaps in which 

the reporting counterparty is an SD or 

MSP, required swap continuation data 

must be reported as follows: 

(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 life cycle event 

occurs; and must report all valuation 

data in its possession, on a daily basis. 

(2) The reporting counterparty must 

report all valuation data in its 

possession, on a daily basis; and must 

report all contract-intrinsic event data, 

on the same day in which any contractintrinsic event occurs. 

(B) Swaps Not Cleared on a DCO. The 

reporting counterparty must report: 

(1) All life cycle event data, on the 

same day in which any life cycle event 

occurs; 

(2) All valuation data, on a daily 

basis; and 

(3) All contract-intrinsic event data, 

on the same day in which any contractintrinsic event occurs. 

(ii) Swaps for which the reporting 

counterparty is a non-SD/MSP 

counterparty. For all credit swaps in 

which the reporting counterparty is 

neither an SD nor MSP, required swap 

continuation data must be reported as 

follows: 

(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 life 

cycle event occurs; and must report all 

valuation data in its possession, on a 

daily basis. 

(2) The reporting counterparty must 

report all valuation data in its 

possession, at times to be determined by 

the Commission prior to its adoption of 

final swap data reporting regulations; 

and must report all contract-intrinsic 

event data, on the same day in which 

any contract-intrinsic event occurs. 

(B) Swaps Not Cleared on a DCO. The 

reporting counterparty must report all 

life cycle event data, on the same day 

in which any life cycle event occurs; all 

valuation data, at intervals to be 

determined by the Commission prior to 

its adoption of final swap data reporting 

regulations; and all contract-intrinsic 

event data, on the same day in which 

any contract-intrinsic event occurs. 

(2) Interest rate swaps, commodity 

swaps, and currency swaps. For all 

interest rate swaps, commodity swaps, 

and currency swaps, registered entities 

and counterparties must report as 

follows: 

(i) Swaps for which the reporting 

counterparty is an SD or MSP. For all 

interest rate swaps, commodity swaps, 

and currency swaps in which the 

reporting 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 all 

required state data, on a daily basis. 

(2) The DCO must report all required 

valuation data in its possession, on a 

daily basis. 

(3) The reporting counterparty must 

report all required valuation data in its 

possession, on a daily basis. 

(B) Swaps Not Cleared on a DCO. The 

reporting counterparty must report: 

(1) All required state data, on a daily 

basis; and 

(2) All required valuation data, on a 

daily 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 a 

non-SD/MSP counterparty, required 

swap continuation data must be 

reported as follows: 

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

reporting counterparty must report all 

state data, on a daily basis. 

(2) The DCO must report all valuation 

data in its possession, on a daily basis. 

(3) The reporting counterparty must 

report all valuation data in its 

possession, at intervals to be determined 

by the Commission prior to its adoption 

of 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 prior 

to its adoption of final swap data 

reporting regulations. 

§ 45.4 Unique identifiers. 

Each swap subject to the jurisdiction 

of the Commission shall be identified in 

all recordkeeping and all swap data 

reporting concerning that swap by the 

use of three unique identifiers: A 

Unique Swap Identifier (‘‘USI’’), a 


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Unique Counterparty Identifier (‘‘UCI’’), 

and a Unique Product Identifier (‘‘UPI’’). 

(a) Unique Swap Identifiers. (1) 

Creation and Transmission for Swaps 

Executed on a SEF or DCM. For each 

swap executed on a SEF or DCM, a 

Unique Swap Identifier shall be created 

and transmitted as follows. 

(i) Creation. The SEF or DCM shall 

generate and assign a Unique Swap 

Identifier at the time of execution of the 

swap, in the form specified by the 

Commission. The Unique Swap 

Identifier shall consist of a single data 

field that contains two components: 

(A) The unique, extensible, 

alphanumeric code assigned to the SEF 

or DCM by the Commission at the time 

of its registration, for the purpose of 

identifying the SEF or DCM; and 

(B) an extensible, alphanumeric code 

generated and assigned to that swap by 

the automated systems of the SEF or 

DCM, which shall be unique with 

respect to all such codes generated and 

assigned by that SEF or DCM. 

(ii) Transmission. The SEF or DCM 

creating the Unique Swap Identifier for 

the swap shall transmit the identifier 

electronically as follows: 

(A) To each counterparty to the swap, 

as soon as technologically practicable 

after execution of the swap; 

(B) to the DCO, if any, to which the 

swap is submitted for clearing, 

simultaneously with the transmission of 

required swap creation data to the DCO 

for clearing purposes; and 

(C) to the SDR to which the SEF or 

DCM reports required swap creation 

data for the swap, simultaneously with 

the transmission by the SEF or DCM to 

the 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 or 

DCM but rather bilaterally by the 

counterparties, a Unique Swap 

Identifier shall be created and 

transmitted as follows. 

(i) Creation Where the Reporting 

Counterparty Is an SD or MSP. If the 

reporting counterparty determined in 

accordance with § 45.5 is an SD or MSP, 

that counterparty shall generate and 

assign a Unique Swap Identifier at the 

time of execution of the swap, in the 

form specified by the Commission. The 

Unique Swap Identifier shall consist of 

a single data field that contains two 

components: 

(A) The unique, extensible, 

alphanumeric code assigned to the SD 

or MSP by the Commission at the time 

of its registration as such, for the 

purpose of identifying the SD or MSP 

with respect to USI creation; and 

(B) an extensible, alphanumeric code 

generated and assigned to that swap by 

the automated systems of the SD or 

MSP, which shall be unique with 

respect to all such codes generated and 

assigned by that SD or MSP for USI 

purposes. 

(ii) Transmission Where the Reporting 

Counterparty Is an SD or MSP. The SD 

or MSP creating the Unique Swap 

Identifier for the swap shall transmit the 

identifier electronically as follows: 

(A) To the other counterparty to the 

swap, as soon as technologically 

practicable after execution of the swap; 

(B) to the DCO, if any, to which the 

swap is submitted for clearing, 

simultaneously with the transmission of 

required swap creation data to the DCO 

for clearing purposes; and 

(C) to the SDR to which the SD or 

MSP reports required swap creation 

data for the swap, as part of the report 

of that data. 

(iii) Creation Where the Reporting 

Counterparty Is a non-SD–MSP 

Counterparty. If the reporting 

counterparty determined in accordance 

with § 45.5 is a non-SD/MSP 

counterparty, the SDR to which the 

reporting counterparty reports required 

swap creation data shall generate and 

assign a Unique Swap Identifier as soon 

as technologically practicable following 

receipt of the first report of required 

swap creation data concerning the swap, 

in the form specified by the 

Commission. The Unique Swap 

Identifier shall consist of a single data 

field that contains two components: 

(A) The unique, extensible, 

alphanumeric code assigned to the SDR 

by the Commission at the time of its 

registration as such, for the purpose of 

identifying the SDR with respect to USI 

creation; and 

(B) An extensible, alphanumeric code 

generated and assigned to that swap by 

the automated systems of the SDR, 

which shall be unique with respect to 

all 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 the 

Unique Swap Identifier for the swap 

shall transmit the identifier 

electronically as follows: 

(A) To the counterparties to the swap, 

as soon as technologically practicable 

following creation of the USI; and 

(B) To the DCO, if any, to which the 

swap is submitted for clearing, as soon 

as technologically practicable following 

creation of the USI. 

(3) Use. Each registered entity or swap 

counterparty subject to the rules of the 

Commission shall include the Unique 

Swap Identifier for a swap in all of its 

records and all of its swap data 

reporting concerning that swap, from 

the time it receives the identifier 

throughout the existence of the swap 

and for as long as any records are 

required by the rules of the Commission 

to be kept concerning the swap, 

regardless of any changes that may 

occur from time to time with respect to 

the state of the swap or with respect to 

the counterparties to or the ownership 

of the swap. This requirement shall not 

prohibit the use by a registered entity or 

swap counterparty in its own records of 

any additional identifier or identifiers 

internally generated by the automated 

systems of the registered entity or swap 

counterparty, or the reporting to an SDR 

or to a regulator of such internally 

generated identifiers in addition to the 

reporting of the Unique Swap Identifier. 

(b) Unique Counterparty Identifiers. 

(1) Each counterparty to any swap 

subject to the jurisdiction of the 

Commission shall be identified in all 

recordkeeping with respect to swaps 

and in all swap data reporting by means 

of a single, unique counterparty 

identifier having the characteristics 

specified by the Commission. 

(2) Each counterparty to any swap 

subject to the jurisdiction of the 

Commission shall report all of its 

corporate affiliations into a confidential, 

non-public corporate affiliations 

reference database maintained and 

located as determined by the 

Commission. Data contained in the 

corporate affiliations reference database 

shall be available only to the 

Commission, and to other financial 

regulators via the same data access 

procedures applicable to data in SDRs 

as provided in part 49, for regulatory 

purposes. For purposes of this rule, 

‘‘corporate affiliations’’ means the 

identity of all legal entities that own the 

counterparty, that are under common 

ownership with the counterparty, or 

that are owned by the counterparty. 

This corporate affiliation information 

must be sufficient to disclose parentsubsidiary and affiliate relationships, 

such that each legal entity within or 

affiliated with the corporate hierarchy 

or ownership group to which the 

counterparty belongs is separately 

identified. Each counterparty shall also 

report to the corporate affiliations 

reference database all changes to the 

information previously reported 

concerning the counterparty’s corporate 

affiliations, so as to ensure that the 

corporate affiliation information 

recorded in the corporate affiliations 

reference database is current and 

accurate at all times. 

(3) The identification system 

characteristics required for the 

Commission to approve an 

internationally-developed UCI as the 


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means by which registered entities and 

swap counterparties must fulfill their 

obligations under § 45.4(b)(1) shall be as 

follows: 

(i) The identification system must 

result in a unique identifier format that 

is capable of becoming the single 

international standard for unique 

identification of legal entities in the 

financial sector on a global basis, if it is 

adopted world-wide. 

(ii) The identification system must be 

developed via an international 

‘‘voluntary consensus standards body’’ 

as defined in Office of Management and 

Budget (‘‘OMB’’) Circular No. A–119 

Revised, such as the International 

Organization for Standardization, and 

must be maintained by such a body and 

an associated Registration Authority. 

The standards body and Registration 

Authority must have a formally 

documented governance structure 

acceptable to the Commission, and must 

have proven expertise in designing and 

implementing standards for the 

financial sector. The standards body and 

Registration Authority must coordinate 

with the Commission, the Securities and 

Exchange Commission, the Office of 

Financial Research, and other financial 

regulators. 

(iii) As provided in OMB Circular No. 

A–119 Revised, the identification 

system must be available to all 

interested parties on a nondiscriminatory, royalty-free or 

reasonable royalty basis. 

(A) Information concerning the 

issuance process for new identifiers 

must be available publicly and free of 

charge. 

(B) While reasonable initial 

registration fees and reasonable annual 

fees would be appropriate for issuance, 

maintenance, and initial and ongoing 

verification of a unique identifier, fees 

must not be charged for use of unique 

identifiers provided via the 

identification system, and the 

identification system must be operated 

on a non-profit basis. 

(C) A comprehensive and reasonably 

current directory of the Unique 

Counterparty Identifiers issued by the 

identification system (but not the entity 

relationship information reported by the 

counterparties to the Office of Financial 

Research or to an SDR as provided 

above) must be made available free of 

charge over the Internet or by similarly 

convenient means. 

(iv) The identification system must be 

supported by a trusted and auditable 

method of verifying the identity of each 

legal entity to whom a unique identifier 

is assigned, both initially and at 

appropriate intervals thereafter. 

(A) The Registration Authority must 

maintain reference data sufficient to 

verify that a user has been correctly 

identified as an entity. At a minimum, 

the reference data (though not the 

identifier itself) should include the 

entity’s name and location. 

(B) Issuance of identifiers must be 

speedy and unbiased. It must not 

materially hinder the normal course of 

a firm’s business. Any updates to the 

reference data must be done with a 

minimal lag. 

(v) The Registration Authority must 

establish quality assurance practices. 

The necessary quality assurance 

processes must ensure that duplicate 

identifiers are not erroneously assigned, 

and that reference data for legal entities 

is accurate. For this purpose, the 

Registration Authority should accept 

request for updates or amendments from 

any identification system participant or 

financial regulator. 

(vi) The Registration Authority must 

maintain system safeguards comparable 

to those required for SDRs pursuant to 

part 49 of this chapter. 

(vii) The identification system must 

be sufficiently extensible to cover all 

existing and potential future legal 

entities of all types that are or may 

become swap counterparties or that are 

or may become involved in any aspect 

of the financial issuance and 

transactions process, and to cover 

entities of all types with respect to 

which financial sector entities are 

required by any financial regulator 

world-wide to perform due diligence for 

reporting or risk management purposes. 

(viii) The identification system must 

assign only one unique identifier to any 

legal entity. 

(ix) The unique identifier format must 

consist of a single data field, and must 

contain either no embedded intelligence 

or as little embedded intelligence as 

practicable. 

(x) The unique identifier assigned 

must persist despite all corporate 

events. When a corporate event (e.g., a 

merger or spin-off) results in a new 

entity, the new entity must receive a 

new identifier, while the previous 

identifier continues to identify the 

predecessor entity. 

(xi) The identification system must 

use data standards and formats that will 

enable consistency of standards and 

formats across platforms, data 

repositories, and asset classes, in order 

to ensure data comparability and enable 

data aggregation and cross-sectional 

analysis. 

(4) The Commission shall determine, 

at least 100 days prior to the 

implementation date for its final data 

reporting regulations, whether an 

identification system that satisfies the 

requirements set forth in § 45.4(b)(3) is 

available and can provide UCIs for all 

registered entities and swap 

counterparties required by § 45.4 to use 

UCIs. If the Commission determines that 

such an identification system is 

available, then: 

(i) The Commission shall publish in 

the Federal Register and on the Web 

site of the Commission, no later than 90 

days prior to the implementation date 

for the Commission’s final swap data 

reporting, the name of the identification 

system approved by the Commission, 

the name and contact information of the 

Registration Authority through which 

registered entities and swap 

counterparties can obtain UCIs provided 

through the approved identification 

system, and information concerning the 

procedure and requirements for 

obtaining such a UCI; and 

(ii) All registered entities and swap 

counterparties subject to these 

regulations shall comply with 

§ 45.4(b)(1) by using a UCI provided by 

the identification system approved by 

the Commission for that purpose. 

(5) The Commission may, in its 

discretion, delegate to the Director of 

the Division of Market Oversight 

(‘‘Director’’), until the Commission 

orders otherwise, the authority to make 

the determination called for by 

§ 45.4(b)(4), to be exercised by the 

Director or by such other employee or 

employees of the Commission as may be 

designated from time to time by the 

Director. The Director may submit to the 

Commission for its consideration any 

matter which has been delegated in this 

paragraph. Nothing in this paragraph 

prohibits the Commission, at its 

election, from exercising the authority 

delegated in this paragraph. 

(6) If the Commission, or the Director 

as provided in § 45.4(b)(5), determines 

pursuant to § 45.4(b)(4) that an 

identification system that satisfies the 

requirements set forth in § 45.4(b)(3) is 

not then available, then until such time 

as the Commission determines that such 

an identification system has become 

available, registered entities and swap 

counterparties shall comply with 

§ 45.4(b)(1) by using a UCI created and 

assigned by an SDR as follows: 

(i) When a swap involving one or 

more counterparties for which no 

unique counterparty identifier has yet 

been created and assigned is reported to 

an SDR, the repository shall create and 

assign a unique counterparty identifier 

for each such counterparty, in a format 

determined by the Commission, as soon 

as technologically practicable after that 

swap is first reported to the repository. 


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(ii) Each such repository-created 

unique identifier shall consist of a 

single data field that contains two 

components, including: 

(A) The unique, extensible, 

alphanumeric code assigned to the SDR 

by the Commission at the time of its 

registration, for the purpose of 

identifying the SDR; and 

(B) An extensible, alphanumeric code 

generated and assigned to that 

counterparty by the automated systems 

of the SDR, which shall be unique with 

respect to all such unique counterparty 

identifier codes generated and assigned 

by that SDR. 

(iii) The SDR shall transmit each 

unique counterparty identifier thus 

created to each counterparty to the 

swap, to each other registered entity 

associated with the swap, to each 

registered entity or swap counterparty 

who has made any report of any swap 

data to the SDR, and to each SDR 

registered with the Commission, as soon 

as technologically practicable after 

creation and assignment of the 

identifier. 

(iv) Once any SDR has created and 

assigned such a UCI to a swap 

counterparty and has transmitted it as 

required by § 45.4(b)(6)(iii), all 

registered entities and swap 

counterparties shall use that UCI to 

identify that counterparty in all swap 

data recordkeeping and reporting, until 

such time as the Commission 

determines that an identification system 

complying with § 45.4(b)(3) has become 

available, and by regulation requires the 

use of a different UCI provided by that 

identification system. 

(c) Unique Product ID. (1) Each swap 

subject to the jurisdiction of the 

Commission shall be identified in all 

recordkeeping with respect to swaps 

and in all swap data reporting by means 

of a unique product identifier, having 

the characteristics specified by the 

Commission. 

(2) The unique product identifier 

shall identify the swap asset class to 

which the swap belongs and the subtype within that swap asset class to 

which the swap belongs, with sufficient 

distinctiveness and specificity to enable 

the Commission and other financial 

regulators to fulfill their regulatory 

responsibilities and to enable real time 

reporting of swaps as provided in the 

Act and the Commission’s regulations. 

The level of distinctiveness and 

specificity which the unique product 

identifier will provide shall be 

determined separately for each swap 

asset class. 

(3) The system of swap product 

classification used by unique product 

identifiers shall be as determined by the 

Commission. 

§ 45.5 Determination of which 

counterparty must report. 

(a) If only one counterparty is an SD, 

the SD shall fulfill all counterparty 

reporting obligations. 

(b) If neither party is an SD, and only 

one counterparty is an MSP, the MSP 

shall fulfill all counterparty reporting 

obligations. 

(c) If both counterparties are SDs, or 

both counterparties are MSPs, or both 

counterparties are non-SD/MSP 

counterparties, the counterparties shall 

agree as one term of their swap 

transaction which counterparty shall 

fulfill reporting obligations with respect 

to that swap; and the counterparty so 

selected shall fulfill all counterparty 

reporting obligations. 

(d) Notwithstanding the provisions of 

§ 45.5(a) through (c), if only one 

counterparty to a swap is a U.S. person, 

that counterparty shall be the reporting 

counterparty and shall fulfill all 

counterparty reporting obligations. 

(e) Notwithstanding the provisions of 

§ 45.5(a) through (c), if neither 

counterparty to a swap is a U.S. person, 

but the swap is executed on a SEF or 

DCM or otherwise executed in the 

United States, or is cleared by a DCO, 

then: 

(1) The counterparties to the swap 

shall select one counterparty to be the 

reporting counterparty, making such 

selection as one term of the swap; and 

(2) The counterparty so selected shall 

be the reporting counterparty and shall 

fulfill all counterparty reporting 

obligations. 

(f) If a reporting counterparty selected 

pursuant to § 45.5(a) through (f) ceases 

to be a counterparty to a swap due to an 

assignment or novation, and the new 

counterparty is a U.S. person, the new 

counterparty shall be the reporting 

counterparty and fulfill all reporting 

counterparty obligations following such 

assignment or novation. If a new 

counterparty to a swap due to an 

assignment or novation is not a U.S. 

person, the counterparty that is a U.S. 

person shall be the reporting 

counterparty and fulfill all reporting 

counterparty obligations following such 

assignment or novation. 

§ 45.6 Third-party facilitation of data 

reporting. 

Registered entities and counterparties 

required by this part 45 to report 

required swap creation data or required 

swap continuation data, while 

remaining fully responsible for 

reporting as required by this part 45, 

may contract with third-party service 

providers to facilitate reporting. 

§ 45.7 Reporting to a single SDR. 

(a) A SEF, DCM, SD or MSP that 

creates the USI for a swap as provided 

in § 45.5 shall report all primary 

economic terms data required to be 

reported for that swap to a single SDR. 

The choice of the SDR to receive this 

report shall be made in a manner to be 

determined by the Commission. 

(b) Where a non-SD/MSP 

counterparty is the reporting 

counterparty pursuant to Section 45.5, 

that reporting counterparty shall report 

all primary economic terms data 

required to be reported for that swap to 

a single SDR of its choosing, which SDR 

shall create the USI for that swap as 

provided in § 45.5. 

(c) When the SDR chosen as provided 

in § 45.8(a) and (b) receives the initial 

report of primary economic terms data 

for a swap, the SDR shall transmit its 

own identity, together with the USI for 

the swap, to each counterparty to the 

swap, to the SEF or DCM, if any, on 

which the swap was executed, and to 

the DCO, if any, to which the swap is 

submitted for clearing, as soon as 

technologically practicable following 

the SDR’s receipt of the initial report of 

primary economic terms data for the 

swap. 

(d) Thereafter, all data reported for the 

swap, and all corrections of errors and 

omissions in previously reported data 

for the swap, by any registered entity or 

counterparty, shall be reported to that 

same SDR (or to its successor in the 

event that it ceases to operate, as 

provided in part 49 of this chapter). 

§ 45.8 Data reporting for swaps in a swap 

asset class not accepted by any SDR. 

Should there be a swap asset class for 

which no SDR currently accepts swap 

data, each registered entity or 

counterparty required by § 45.3 to report 

any required swap creation data or 

required swap continuation data with 

respect to a swap in that asset class 

must report that same data at a time and 

in a form and manner determined by the 

Commission. 

§ 45.9 Required data standards. 

(a) Data Maintained and Furnished to 

the Commission by SDRs. An SDR shall 

maintain all swap data reported to it in 

a format acceptable to the Commission, 

and shall transmit all swap data 

requested by the Commission to the 

Commission in an electronic file in a 

format acceptable to the Commission. 

(b) Data Reported To SDRs. In 

reporting swap data to an SDR as 

required by this Part 45, each reporting 

entity or counterparty shall use the 

facilities, methods, or data standards 

provided or required by the SDR to 


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which the entity or counterparty reports 

the data. SDRs may permit reporting 

entities and counterparties to use 

various facilities, methods, or data 

standards, provided that its 

requirements in this regard enable it to 

meet the requirements of § 45.9(a) with 

respect to maintenance and 

transmission of swap data. 

(c) Delegation of Authority to the 

Director of the Division of Market 

Oversight. The Commission hereby 

delegates to the Director of the Division 

of Market Oversight (‘‘Director’’), until 

the Commission orders otherwise, the 

authority set forth in this § 45.9(c), to be 

exercised by the Director or by such 

other employee or employees of the 

Commission as may be designated from 

time to time by the Director. The 

Director may submit to the Commission 

for its consideration any matter which 

has been delegated in this paragraph. 

Nothing in this paragraph prohibits the 

Commission, at its election, from 

exercising the authority delegated in 

this paragraph. The authority delegated 

to the Director by this § 45.9(c) shall 

include: 

(1) The authority to determine the 

manner, format, coding structure, and 

electronic data transmission standards 

and procedures acceptable to the 

Commission for the purposes of 

§ 45.9(a). 

(2) The authority to determine 

whether the Commission may permit or 

require use by reporting entities or 

counterparties, or by SDRs, of one or 

more particular data standards (such as 

FIX, FpML, ISO 20022, or some other 

standard), in order to accommodate the 

needs 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 and 

on the Web site of the Commission the 

format, data schema, and electronic data 

transmission methods and procedures 

acceptable to the Commission. 

§ 45.10 Reporting of errors and omissions 

in previously reported data. 

(a) Each registered entity and swap 

counterparty required by this Part 45 to 

report swap data to an SDR or to any 

other registered entity or swap 

counterparty shall report any errors and 

omissions in the data so reported. 

Corrections of errors or omissions shall 

be reported as soon as technologically 

practicable after discovery of any such 

error or omission. 

(b) For interest rate swaps, commodity 

swaps, and currency swaps, reporting 

counterparties fulfill the requirement to 

report errors or omissions in state data 

previously reported by making 

appropriate corrections in their next 

daily report of state data as required by 

§ 45.3(b)(2). 

(c) Each counterparty to a swap that 

is not the reporting counterparty as 

determined pursuant to § 45.5, and that 

discovers any error or omission with 

respect to any swap data reported to an 

SDR for that swap, shall promptly notify 

the reporting counterparty of each such 

error or omission. Upon receiving such 

notice, the reporting counterparty shall 

report a correction of each such error or 

omission to the SDR, as provided in 

§ 45.10(a) and (b). 

(d) Unless otherwise approved by the 

Commission, or by the Director of 

Market Oversight pursuant to § 45.9(c), 

each registered entity or swap 

counterparty reporting corrections to 

errors or omissions in data previously 

reported as required by this Section 

shall report such corrections in the same 

format as it reported the erroneous or 

omitted data. Unless otherwise 

approved by the Commission, or by the 

Director of Market Oversight pursuant to 

§ 45.9, an SDR shall transmit corrections 

to errors or omission in data previously 

transmitted to the Commission in the 

same format as it transmitted the 

erroneous or omitted data. 

Appendix 1 to Part 45—Tables of 

Minimum Primary Economic Terms 

Data 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 and 

sold 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 expressed, 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 the 

transaction did not involve an opportunity to negotiate a material 

term of the contract, other than the counterparty.

E.g. assignment. 

The data elements necessary for a person to determine the market 

value of the transaction.

Whether or not the swap will be cleared by a designated clearing organization.


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MINIMUM PRIMARY ECONOMIC TERMS DATA—CREDIT SWAPS AND EQUITY SWAPS—Continued 

Sample category Comment 

The name of the designated clearing organization that will clear the 

swap, if any.

If the swap is not cleared, whether the ‘‘End User exception’’ was invoked.

If the swap is not cleared, all of the settlement terms, including, without 

limitation, 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, basket 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 

counterparties in verifying the swap. 

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 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, 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 fixedto-fixed swaps, it is unspecified. For non-swap instruments and swaptions, the instrument 

that 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. 


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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 the 

swap.

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 fixed 

price (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 floating 

price (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 

counterparties in verifying the swap.

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—Master 

Reference Generic Data Fields List 

This table includes Master Reference 

Generic Data Fields that the Commission 

believes could be relevant for standardized 

swaps in some or all swap asset classes. The 

Commission requests comment on whether 

any of the data fields in this Master Reference 

Generic Data Fields List should be included 

in one or more of the Tables of Required 

Minimum Primary Economic Terms Data for 

specific swap asset classes, or in the 

Minimum Valuation Data table, that are 

included 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. 


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Data fields Description 

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 financial 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 registered 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 executed. 

Potential Confirmation/Clearance Data 

Board of Directors approval ..................................................................... Y/N. If the exempted counterparties are registered with the SEC did 

their Board of Directors (or alternative governance body for non-corporate end users) approve the exemption from clearing? 

Call, put or cancellation date .................................................................... Information needed to determine when a call, put, or cancellation may 

occur 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 exempted 

from 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 organization. 

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 underlying 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 regarding the exemption and executed a CSA or other form of credit support? 

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 requirement. 


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Data fields Description 

Maintenance Margin Requirement ........................................................... The maintenance margin requirement that has been required by the 

parties 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 requirement. 

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 November 

19, 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 to 

establish swap data recordkeeping and 

reporting requirements for registered entities 

and counterparties involved in swaps. The 

proposed rule is intended to ensure that 

complete, timely and accurate data 

concerning all swaps is available to the 

Commission and other regulators. The 

proposed rule requires that data be 

consistently maintained and reported to 

swap data repositories by swap dealers, 

major swap participants, designated contract 

markets, swap execution facilities, 

derivatives clearing organizations and futures 

commission merchants. As swaps exist over 

a period of days to sometimes years, the 

proposal includes requirement for the 

reporting of data upon the transaction and to 

continue over the lifecycle of the swap. 

Another important component of the 

proposed rulemaking is that there will be 

required unique identifiers for swaps, 

counterparties and products. This will 

enhance operational efficiency for market 

participants and improve market surveillance 

for regulators. 

[FR Doc. 2010–30476 Filed 12–7–10; 8:45 am] 

BILLING CODE 6351–01–P 


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