Tuesday, 

December 7, 2010 

Part III 

Commodity Futures 

Trading Commission 

17 CFR Part 43 

Real-Time Public Reporting of Swap 

Transaction Data; Proposed Rule 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76140 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

1 17 CFR 145.9. 

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. 

5Rules governing the reporting and dissemination 

of security-based swaps are the subject of a separate 

and forthcoming rulemaking by the Securities and 

Exchange Commission (‘‘SEC’’). 

COMMODITY FUTURES TRADING 

COMMISSION 

17 CFR Part 43 

RIN 3038–AD08 

Real-Time Public Reporting of Swap 

Transaction Data 

AGENCY: Commodity Futures Trading 

Commission. 

ACTION: Notice of proposed rulemaking. 

SUMMARY: The Commodity Futures 

Trading Commission (‘‘Commission’’) is 

proposing rules to implement new 

statutory provisions enacted by Title VII 

of the Dodd-Frank Wall Street Reform 

and Consumer Protection Act (the 

‘‘Dodd-Frank Act’’). Specifically, in 

accordance with Section 727 of the 

Dodd-Frank Act, the Commission is 

proposing rules to implement a new 

framework for the real-time public 

reporting of swap transaction and 

pricing data for all swap transactions. 

Additionally, the Commission is 

proposing rules to address the 

appropriate minimum size and time 

delay relating to block trades on swaps 

and large notional swap transactions. 

DATES: Comments must be received by 

February 7, 2011. 

ADDRESSES: You may submit comments, 

identified by RIN number 3038–AD08, 

by any of the following methods: 

• Federal eRulemaking Portal at 

http://www.regulations.gov. Follow the 

instructions for submitting comments. 

• Agency Internet Web site, via Its 

Comments Online Process: http:// 

comments.cftc.gov. Follow the 

instructions for submitting comments 

through the Internet 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. 

All comments must be submitted in 

English, or if not, accompanied by an 

English translation. Comments will be 

posted as received on http:// 

www.cftc.gov. You should submit only 

information that you wish to make 

publicly available. If you wish the 

Commission to consider information 

that is 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 

Commission Regulation § 145.9.1

The Commission reserves the right, 

but shall not have the obligation, to 

review, pre-screen, filter, redact, refuse, 

or remove any or all of your submission 

from www.cftc.gov that it may deem to 

be inappropriate for publication, such as 

obscene language. All submissions that 

have been redacted or removed from the 

Commission’s Internet Web site, but that 

contain comments on the merits of the 

rulemaking, will be retained in the 

public comment file and will be 

considered as required under the 

Administrative Procedure Act, 5 U.S.C. 

551 et seq., and other applicable laws, 

and may be accessible under the 

Freedom of Information Act, 5 U.S.C. 

552. 

FOR FURTHER INFORMATION CONTACT: 

Thomas Leahy, Associate Director, 

Division of Market Oversight, 202–418– 

5278, tleahy@cftc.gov; or Jeffrey L. 

Steiner, Special Counsel, Division of 

Market Oversight, 202–418–5482, 

jsteiner@cftc.gov; Commodity Futures 

Trading Commission, Three Lafayette 

Center, 1155 21st Street, NW., 

Washington, DC 20581. 

SUPPLEMENTARY INFORMATION: 

Table of Contents 

I. Background 

II. Explanation of the Proposed Rules 

A. Overview 

1. Introduction 

2. Parties Responsible for Reporting Swap 

Transaction and Pricing Data to a 

Registered Entity 

3. Parties Responsible for Publicly 

Disseminating Swap Transaction and 

Pricing Data in Real-Time 

4. Proposed Effective Date and 

Implementation Schedule 

B. Section-by-Section Analysis 

1. Proposed Section 43.1—Purpose, Scope 

and Rules of Construction 

2. Proposed Section 43.2—Definitions 

3. Proposed Section 43.3—Method and 

Timing for Real-Time Public Reporting 

i. Responsibilities of the Reporting Party To 

Report Data 

ii. Responsibilities of Swap Markets To 

Publicly Disseminate Swap Transaction 

and Pricing Data in Real-Time 

iii. Requirements for Registered SDRs 

iv. Requirements for Third-Party Service 

Providers 

v. Availability of Real-Time Swap 

Transaction and Pricing Data 

vi. Errors or Omissions 

vii. Hours of Operation 

viii. Recordkeeping Requirements 

ix. Fees Charged by Registered SDRs 

x. Consolidated Public Dissemination of 

Swap Data 

4. Proposed Section 43.4 and Appendix A 

to Proposed Part 43—Swap Transaction 

and Pricing Data to be Publicly 

Disseminated in Real-Time 

i. Ensuring the Anonymity of the Parties to 

a Swap 

ii. Unique Product Identifiers 

iii. Price-Forming Continuation Data 

iv. Reporting and Public Dissemination of 

Notional or Principal Amount 

v. Appendix A to Proposed Part 43 

vi. Examples to Illustrate the Public 

Reporting of Real-Time Swap 

Transaction and Pricing Data 

5. Proposed Section 43.5—Block Trades 

and Large Notional Swaps 

i. Parties to a Block Trade or Large Notional 

Swap 

ii. Block Trades on Swaps 

iii. Large Notional Swaps 

iv. Time-Stamp and Reporting Requirements 

for Block Trades and Large Notional 

Swaps 

v. Responsibilities of Registered SDRs in 

Determining the Appropriate Minimum 

Block Size 

vi. Formula to Calculate the Appropriate 

Minimum Block Size 

vii. Distribution Test 

viii. Multiple Test 

ix. Responsibilities of Swap Markets in 

Determining Minimum Block Trade 

Sizes 

x. Responsibilities of the Parties to a Swap 

in Determining the Appropriate 

Minimum Large Notional Swap Size 

xi. Time Delay in the Real-Time Public 

Reporting of Block Trades and Large 

Notional Swaps 

xii. Prohibition of Aggregation of Trades 

III. Related Matters 

A. Cost-Benefit Analysis 

1. Introduction 

2. Summary of Proposed Requirements 

3. Costs 

4. Benefits 

B. Paperwork Reduction Act 

1. Introduction 

2. Information Provided by Reporting 

Entities/Persons 

i. Reporting Requirement 

ii. Public Dissemination Requirement 

iii. Recordkeeping Requirement 

iv. Determination of Appropriate Minimum 

Block Size 

3. Information Collection Comments 

C. Regulatory Flex Act 

I. Background 

On July 21, 2010, President Obama 

signed 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’’) 4 to 

establish a comprehensive, new 

regulatory framework for swaps and 

security-based swaps.5 The legislation 

was enacted to reduce risk, increase 

transparency and promote market 

integrity within the financial system by, 

among other things: (1) Providing for the 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76141 

6Section 2(a)(13)(B) of the CEA states that ‘‘[t]he 

purpose of this section is to authorize the 

Commission to make swap transaction and pricing 

data available to the public in such form and at 

such times as the Commission determines 

appropriate to enhance price discovery.’’ 

It is notable that the CEA is silent as to the 

appropriate method through which real-time public 

reporting must occur. 

7The mandatory clearing requirement is found in 

Section 2(h)(1) of the CEA, as added by Section 

723(a)(3) of the Dodd-Frank Act. 

8Section 2(h)(7) of the CEA provides the nonfinancial end-user exception from the mandatory 

clearing requirement. 

9The legislative history of the Dodd-Frank Act 

also suggests that the real-time reporting 

requirements of Section 2(a)(13) apply to all swaps. 

Senate Agriculture Committee Chairwoman 

Blanche Lincoln stated during Senate deliberations 

that ‘‘[t]he major components of the derivatives title 

include: 100 percent reporting of swaps and 

security-based swaps, mandatory trading and 

clearing of standardized swaps and security-based 

swaps and real-time price reporting for all swap 

transactions—those subject to mandatory trading 

and clearing as well as those subject to the end-user 

clearing exemption and customized swaps.’’ 156 

Cong. Rec. S5,920 (daily ed. July 15, 2010) 

(statement of Sen. Blanche Lincoln). 

10 In addition, the Commission is required by 

Section 2(a)(13)(C)(iii) of the CEA to prescribe realtime public reporting requirements for off-facility 

swaps ‘‘in a manner that does not disclose the 

business transactions and market positions of any 

person.’’ 

11Section 763 of the Dodd-Frank Act authorizes 

the SEC to promulgate rules ‘‘to provide for the 

public availability of security-based swap 

transaction, volume, and pricing data * * *.’’ 

12See Section 712(a)(1) of the Dodd-Frank Act 

requires staff to consult with the SEC and other 

prudential regulators. 

13The transcript from the Roundtable (the 

‘‘Roundtable Tr.) is available at: http:// 

www.cftc.gov/ucm/groups/public/@swaps/ 

documents/file/derivative18sub091410.pdf. 

14Such comments are available at: http:// 

www.cftc.gov/LawRegulation/DoddFrankAct/ 

OTC_18_RealTimeReporting.html. 

15A list and description of such meetings is 

available at: http://www.cftc.gov/LawRegulation/ 

DoddFrankAct/ExternalMeetings/index.htm. 

registration and comprehensive 

regulation of swap dealers and major 

swap participants (‘‘MSPs’’); (2) 

imposing mandatory clearing and trade 

execution requirements on standardized 

derivative products; (3) creating robust 

recordkeeping and real-time reporting 

regimes; and (4) enhancing the 

Commodity Futures Trading 

Commission’s (‘‘Commission’’ or 

‘‘CFTC’’) rulemaking and enforcement 

authorities with respect to, among 

others, all registered entities and 

intermediaries subject to the 

Commission’s oversight. 

Accordingly, in order to ensure the 

proper implementation of the new 

regulatory framework, Section 727 of 

the Dodd-Frank Act created Section 

2(a)(13) of the CEA, which requires the 

Commission to promulgate rules that 

provide for the public availability of 

swap transaction and pricing data in 

real-time in such form and at such times 

as the Commission determines 

appropriate to enhance price discovery.6

Under new Section 2(a)(13)(A) of the 

CEA, the definition of ‘‘real-time public 

reporting’’ means reporting ‘‘data 

relating to a swap transaction, including 

price and volume, as soon as 

technologically practicable after the 

time at which the swap transaction has 

been executed.’’ 

Sections 2(a)(13)(C)(i) through (iv) of 

the CEA set out the four types of swaps 

for which transaction and pricing data 

must be reported to the public in realtime: (i) Swaps that are subject to the 

mandatory clearing requirement 7

(including those swaps that may qualify 

for a non-financial end-user exception 

from the mandatory clearing 

requirement); 8 (ii) swaps that are not 

subject to the mandatory clearing 

requirement but are cleared at a 

registered derivatives clearing 

organization (‘‘DCO’’); (iii) swaps that 

are not cleared at a registered DCO and 

which are reported to a registered swap 

data repository (‘‘SDR’’) or to the 

Commission pursuant to Section 2(h)(6) 

of the CEA; and (iv) swaps that are 

‘‘determined to be required to be 

cleared’’ under Section 2(h)(2) of the 

CEA but are not cleared. The four 

categories described in Section 

2(a)(13)(C) of the CEA cover all swaps 

and, therefore, the real-time reporting 

requirements apply to all swaps, 

including those swaps executed on a 

registered swap execution facility 

(‘‘SEF’’) or a registered designated 

contract market (‘‘DCM,’’ together with a 

SEF, a ‘‘swap market’’) and those swaps 

executed bilaterally between 

counterparties and not pursuant to the 

rules of a SEF or DCM (‘‘off-facility 

swaps’’).9

With regard to swaps described in 

Sections 2(a)(13)(C)(i) and (ii) of the 

CEA, Section 2(a)(13)(E) of the CEA 

provides that the Commission shall 

prescribe rules that: (i) Ensure such 

information does not identify the 

participants; (ii) specify the criteria for 

determining what constitutes a large 

notional swap transaction (block trade) 

for particular markets and contracts; (iii) 

specify the appropriate time delay for 

reporting large notional swap 

transactions (block trades) to the public; 

and (iv) take into account whether 

public disclosure will materially reduce 

market liquidity. CEA Section 

2(a)(13)(E) does not state explicitly that 

the proposed rules must contain similar 

provisions for those swaps described in 

Sections 2(a)(13)(C)(iii) and (iv). 

However, in applying its authority 

under Section 2(a)(13)(B) to ‘‘make swap 

transaction and pricing data available to 

the public in such form and at such 

times as the Commission determines 

appropriate to enhance price discovery,’’ 

the Commission is authorized to 

prescribe similar rules to those 

provisions in Section 2(a)(13)(E) for offfacility swap transactions described in 

Sections 2(a)(13)(C)(iii) and (iv).10

II. Explanation of the Proposed Rules 

A. Overview 

1. Introduction 

The Commission proposes to create a 

new part 43 of its regulations, 

implementing the provisions of Section 

2(a)(13) of the CEA. The proposed rules 

in part 43 set out: (1) The entities or 

persons that shall be responsible for 

reporting swap transaction and pricing 

data; (2) the entities or persons that 

shall be responsible for publicly 

disseminating such data; (3) the data 

fields and guidance on the appropriate 

order and format for data to be reported 

to the public in real-time; (4) the 

appropriate minimum size and time 

delay for block trades and large notional 

swaps; and (5) the proposed effective 

date and implementation schedule for 

the proposed rules. 

The proposed rules reflect 

consultation with staff of the Securities 

and Exchange Commission (the 

‘‘SEC’’) 11 and staff of the Board of 

Governors of the Federal Reserve.12

Staff from each of these agencies has 

provided verbal and/or written 

comments and the proposed rules 

incorporate elements of the comments 

provided. The proposed rules have been 

further informed by (i) the joint 

roundtable conducted by CFTC staff and 

staff of the SEC on September 14, 2010 

(the ‘‘Roundtable’’); 13 (ii) public 

comments posted on the Commission’s 

Internet Web site; 14 and (iii) CFTC staff 

meetings with market participants.15

The SEC is adopting rules related to 

the real-time reporting of security based 

swaps as required under Section 763 of 

the Dodd-Frank Act. Understanding that 

the Commission and the SEC regulate 

different products and markets and, as 

such may be proposing alternative 

regulatory requirements, the 

Commission requests comments on the 

impact of any differences between the 

Commission’s and the SEC’s approach 

to the regulation and reporting of swaps 

and security-based swaps and the public 

dissemination of swap transaction and 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76142 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

16Section 1a(40) of the CEA, as amended by 

Section 721(a) of the Dodd-Frank Act, defines 

‘‘registered entity’’ to include SEFs, DCMs and 

SDRs, but does not include swap dealers and MSPs. 

Section 1a(40) also defines registered entity to 

include DCOs. The Commission has determined not 

to apply this requirement to DCOs because it 

believes that the value of timely public 

dissemination outweighs the benefit of waiting 

until a swap is presented to a clearing organization. 

17Sections 4s(f)(1)(A) and 4s(f)(2) of the CEA, 

provide the Commission with broad authority to 

adopt rules governing the reporting of all swap 

transaction information for swap dealers and MSPs. 

Specifically, Section 4s(f)(1)(A) of the CEA provides 

that ‘‘[e]ach registered swap dealer and major swap 

participant shall make such reports as are required 

by the Commission by rule or regulation regarding 

the transactions and positions and financial 

condition of the registered swap dealer or major 

swap participant * * *’’ Section 4s(f)(2) of the CEA 

provides that ‘‘[t]he Commission shall adopt rules 

governing reporting and recordkeeping for swap 

dealers and major swap participants.’’ Additionally, 

Sections 4s(h)(1)(D) and 4s(h)(3)(D) of the CEA 

provide the Commission with rulemaking authority 

to establish business conduct standards and 

requirements relating to the real-time reporting 

requirements on swap dealers and major swap 

participants. 

18Section 4r(a)(3) of the CEA provides that for 

swaps in which only one counterparty is a swap 

dealer or MSP, the swap dealer or MSP is required 

to report the swap to a registered SDR. For swaps 

in which only one counterparty is a swap dealer 

and the other is an MSP, the swap dealer is required 

to report to a registered SDR. For all other swaps, 

Section 4r(a)(3) provides that the counterparties to 

the swap shall select a counterparty to report to a 

registered SDR. 

19The real-time reporting requirements pursuant 

to Section 2(a)(13) of the CEA are separate and apart 

from the requirements to report swap transaction 

information to a registered SDR. The reporting 

requirements for all swap transaction information to 

an SDR are found in Sections 2(a)(13)(G) and 

4r(a)(1) of the CEA. Specifically, Section 2(a)(13)(G) 

of the CEA provides that [e]ach swap, (whether 

cleared or uncleared) shall be reported to a 

registered swap data repository.’’ In addition, 

Section 4r(a)(1) provides that ‘‘[e]ach swap that is 

not accepted for clearing by any [DCO] shall be 

reported to [an SDR] described in section 21 [of the 

CEA];’’ or if no SDR exists, to the Commission. 

20 In considering different schemes of real-time 

public reporting requirements, the Commission also 

considered a ‘‘first touch’’ method of reporting 

whereby the swap dealer, MSP or swap market 

where a swap transaction occurred would have 

been required to real-time report the transaction by 

posting the transaction on its Internet Web site or 

through other electronic means. The Commission 

chose not to pursue a ‘‘first touch’’ method because 

it would likely lead to greater fragmentation of 

market data, increased search costs for market 

participants and potential concerns with the quality 

of the data that would be publicly disseminated. 

21See Section 754 of the Dodd-Frank Act which 

states: ‘‘Unless otherwise provided in this title, the 

provisions of this subtitle shall take effect on the 

later of 360 days after the date of enactment of this 

subtitle or, to the extent a provision of this subtitle 

requires a rulemaking, not less than 60 days after 

publication of the final rule or regulation 

implementing such provision of this subtitle.’’ 

pricing data in real-time. In addition, 

the Commission requests specific 

comment on the following issues: 

• Would the regulatory approach of 

the Commission in this proposed 

rulemaking, pursuant to Section 727 of 

the Dodd-Frank Act, and the SEC’s 

proposed rulemaking, pursuant to 

Section 763 and 766 of the Dodd-Frank 

Act, result in duplicative or inconsistent 

requirements on the part of market 

participants to both regulatory regimes 

or result in gaps between those regimes? 

If so, in what way should these 

duplications, inconsistencies or gaps be 

minimized? 

• Do commenters believe that the 

proposed approaches by the 

Commission and the SEC for the realtime reporting and public dissemination 

of swap transaction and pricing data are 

comparable? If not, why? Are there 

approaches that could make the realtime reporting and public dissemination 

of swap transaction and pricing data 

more comparable? If so, what? 

• Do commenters believe that it 

would be appropriate for the 

Commission to adopt an approach 

proposed by the SEC that differs from 

the Commission’s proposal? If so, which 

one(s)? The Commission requests that 

commenters provide data, to the extent 

possible, to support any suggested 

approaches. 

2. Parties Responsible for Reporting 

Swap Transaction and Pricing Data to a 

Registered Entity 

Section 2(a)(13)(F) of the CEA 

provides that the parties to a swap 

(including agents of the parties to a 

swap) shall be responsible for reporting 

swap transaction information to the 

appropriate registered entity 16 in a 

timely manner as may be prescribed by 

the Commission.17 For off-facility 

swaps, the Commission’s proposal 

places the requirement to report the 

swap transaction and pricing data in 

real-time to a registered entity (i.e., a 

registered SDR that accepts and publicly 

disseminates real-time swap transaction 

and pricing data in real-time) in a 

manner similar to that in which all 

swap transaction information for 

uncleared swaps would be reported to a 

registered SDR pursuant to Section 

4r(a)(3) of the CEA.18 With respect to 

swaps that are executed on a swap 

market, the Commission’s proposal 

provides that if the parties to a swap 

execute a transaction on a swap market, 

then the transacting parties’ reporting 

requirements under Section 2(a)(13)(F) 

of the CEA are satisfied. The 

Commission views the real-time swap 

transaction and pricing data that is sent 

to a real-time disseminator and the swap 

information that is sent to a registered 

SDR as two separate and distinct data 

streams.19

3. Parties Responsible for Publicly 

Disseminating Swap Transaction and 

Pricing Data in Real-Time 

Section 2(a)(13)(D) of the CEA 

authorizes the Commission to require 

registered entities ‘‘to publicly 

disseminate the swap transaction and 

pricing data.’’ With respect to all offfacility swaps, the Commission’s 

proposal requires that reporting parties 

send swap transaction and pricing data 

to registered SDRs to publicly 

disseminate such data in real-time. With 

respect to swaps that are executed on a 

swap market, the Commission’s 

proposal requires that swap markets 

publicly disseminate swap transaction 

and pricing data either through a 

registered SDR or a third-party service 

provider. Under the proposal, if a swap 

market sends the swap transaction and 

pricing data to a registered SDR, the 

swap market is responsible for ensuring 

that such data is sent in a timely manner 

for public dissemination. Alternatively, 

if a swap market sends the swap 

transaction and pricing data to a thirdparty service provider for the public 

dissemination of such data, the swap 

market does not absolve itself from or 

satisfy the requirement to publicly 

disseminate swap transaction and 

pricing data until such time as the thirdparty service provider actually 

disseminates such data. Indeed, under 

the alternative, a swap market must 

ensure that the third-party service 

provider publicly disseminates the data 

in the manner set forth in the 

proposal.20

The Commission requests comment 

on all aspects of the proposed rules, as 

well as comment on the specific 

provisions, issues and questions 

highlighted in the discussion in Section 

B below. 

4. Proposed Effective Date and 

Implementation Schedule 

The Dodd-Frank Act requires the 

Commission to promulgate rules to 

implement these provisions by July 15, 

2011.21 Proposed part 43 is designed to 

provide clarity as to the real-time 

reporting and public dissemination 

requirements with respect to all swap 

transaction and pricing data. The 

Commission acknowledges that the 

systems for reporting and public 

dissemination described in proposed 

part 43 may take a significant amount of 

time and resources to implement 

effectively. While the Commission is 

fully committed to implementing 

Congress’ directive to require real-time 

public reporting of all swaps and will 

adopt final rules by July 15, 2011, 

participants will need a reasonable 

amount of time in which to acquire or 

configure the necessary systems, engage 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76143 

22See discussion relating to proposed § 43.5(g)(4) 

below. 

23The terms ‘‘execution’’ and ‘‘executed’’ are 

discussed below. 

and train the necessary staff and 

develop and implement the necessary 

policies and procedures to implement 

the proposed rules. The Commission’s 

proposed rules provide that appropriate 

minimum block sizes will be published 

by registered SDRs beginning in January 

2012.22 Accordingly, it is anticipated 

that registered entities and registrants 

will have begun their compliance by 

that time. 

The Commission requests comment 

on what would be an appropriate 

implementation schedule (i.e., effective 

date) for the final rules. In addition, the 

Commission requests specific comment 

on the following issues: 

• How do commenters believe that an 

appropriate implementation schedule 

should be structured? Should there be a 

phased-in approach? Please provide 

specific examples. 

• Do commenters believe that 

different types of reporting parties (e.g., 

swap dealers, MSPs and end-users) 

should have different implementation 

timeframes? If so, why and what 

timeframes? If not, why and what 

timeframe? 

• Do commenters believe that 

different types of execution (e.g., SEF, 

DCM and off-facility) should have 

different implementation timeframes? If 

so, why and what timeframes? If not, 

why and what timeframe? 

• How long would swap dealers, 

MSPs and end-users need to establish 

the appropriate connections to report 

off-facility swaps to registered SDRs? 

Please explain. 

• How long after registration would 

registered SDRs need to accept and 

publicly disseminate swap transaction 

and pricing data in real-time? Please 

explain. 

• Should there be different 

implementation timeframes for 

particular asset classes, markets or 

contracts? If so, what criteria should be 

used to select those asset classes, 

markets or contracts? 

• Should the implementation 

timeframes for real-time reporting and 

public dissemination requirements for 

swaps and security-based swaps be 

coordinated? 

• Should there be different 

implementation timeframes for the 

block trade and large notional swap 

rules explained in the discussion 

relating to proposed § 43.5 below? 

B. Section-by-Section Analysis 

1. Proposed Section 43.1—Purpose, 

Scope and Rules of Construction 

The proposed rules apply to all swaps 

as defined in Section 1a(47) of the CEA 

and as may be further defined by 

Commission regulations. The categories 

of swaps described in Section 

2(a)(13)(C) of the CEA account for all 

swaps, whether cleared or uncleared, 

and regardless of whether a swap is 

executed on a SEF, DCM or off-facility. 

The proposed rules apply real-time 

reporting requirements to SEFs, DCMs, 

SDRs and the parties of a swap, 

including registered or exempt swap 

dealers, registered or exempt MSPs and 

U.S.-based end-users. 

The Commission requests comment 

generally on the scope of transactions 

covered by this part. In addition, the 

Commission requests specific comment 

on which parties to a swap should be 

covered by the reporting requirements 

in this part in order to enhance price 

discovery? 

2. Proposed Section 43.2—Definitions 

Proposed § 43.2 contains definitions 

for, inter alia, the following terms: 

‘‘Affirmation’’; ‘‘As Soon As 

Technologically Practicable’’; ‘‘Asset 

Class’’; ‘‘Confirmation’’; ‘‘Execution’’; 

‘‘Public Dissemination’’ or ‘‘Publicly 

Disseminate’’; ‘‘Real-Time 

Disseminator’’; ‘‘Reportable Swap 

Transaction’’; ‘‘Swap Instrument’’; and 

‘‘Third-Party Service Provider’’. 

Affirmation 

Proposed § 43.2(b) defines 

‘‘affirmation’’ as the process 

(electronically, orally, in writing or 

otherwise) in which the parties to a 

swap verify that they agree on the 

primary economic terms of a swap, but 

not necessarily all terms of the swap. 

The affirmation of the swap is only the 

agreement to the primary economic 

terms of the swap, as distinguished from 

the confirmation of a swap in which all 

of the terms of the swap are agreed to 

in writing to memorialize the agreement 

of all parties to the swap. Such 

confirmation legally supersedes any 

previous agreement of the parties. 

Affirmation and execution can, but do 

not necessarily, occur at the same time. 

In either case, affirmation and execution 

always occur prior to the confirmation 

of a swap. One further distinction is that 

‘‘affirmation’’, as defined in the 

proposed rules, differs from 

‘‘confirmation by affirmation’’. Some 

confirmation service vendors (e.g., 

Deriv/SERV, MarkitSERV) have used the 

term ‘‘affirmation’’ to describe the 

process by which one party to a swap 

(usually an end-user) electronically 

acknowledges its assent to complete 

swap terms submitted to the vendor by 

its counterparty (usually a dealer). This 

process allows for electronic 

confirmation even when one party to 

the swap does not have the systems 

necessary to submit swap terms to the 

vendor electronically. Upon such assent 

to complete swap terms, a swap is 

legally confirmed (i.e., ‘‘confirmation by 

affirmation’’). Parties that use a 

confirmation by affirmation process 

previously will have affirmed the 

primary economic terms of the trade 

and therefore executed the trade 

pursuant to the definitions in the 

proposed rules. 

As Soon as Technologically Practicable 

Section 2(a)(13)(A) of the CEA defines 

‘‘real-time public reporting’’ to mean ‘‘to 

report data relating to a swap 

transaction, including price and 

volume, as soon as technologically 

practicable after the time at which the 

swap transaction has been executed.’’ 

‘‘As soon as technologically practicable’’ 

and ‘‘executed’’ are not defined in the 

Dodd-Frank Act.23

The proposed rules provide 

definitions for ‘‘as soon as 

technologically practicable’’ and 

‘‘executed’’. Proposed § 43.2(d) defines 

the term ‘‘as soon as technologically 

practicable’’ to mean as soon as possible, 

taking into consideration the prevalence 

of technology, implementation and use 

of technology by comparable market 

participants. In defining ‘‘as soon as 

technologically practicable’’, the 

Commission has considered that this 

term may have different interpretations 

for different parties to a swap (i.e., swap 

dealers, MSPs and end-users), for 

different types of swaps (e.g., energy 

swaps, credit default swaps, interest rate 

swaps, etc.) and for different methods of 

execution (i.e., SEFs, DCMs and offfacility). Staff considered real-time 

reporting regimes that are currently in 

place, comments by market participants 

at external meetings, the discussions at 

the Roundtable and the potential costs 

to market participants, among other 

things. Cost, access to the latest 

technology and other factors may 

prevent some of the fastest, most 

efficient technology from being 

available to all market participants. 

Because of these factors, the 

Commission recognizes that what is 

‘‘technologically practicable’’ for one 

party to a swap may not be the same as 

what is ‘‘technologically practicable’’ for 

another party to a swap. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76144 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

24Proposed § 43.2(e) also provides that the 

Commission may determine other asset classes. 

25Proposed § 43.2(q) defines ‘‘other commodity’’ 

to mean any commodity that cannot be grouped in 

one of the other four asset classes (i.e., interest rate, 

currency, credit, equity). Other commodities may 

include physical commodities (e.g., natural gas, oil) 

but may also include non-physical commodities 

(e.g., weather and property). 26Section 2(a)(13)(A) of the CEA. 

27Because contract law varies by jurisdiction, the 

time at which a legally enforceable contract is 

formed may differ based on the applicable state or 

local law. 

The Commission requests comment 

on whether the term should account for 

other considerations not presently 

identified in the definition. 

Asset Class 

Proposed § 43.2(e) defines the term 

‘‘asset class’’ to mean the broad category 

of goods, services or commodities 

underlying a swap. The asset classes 

include, but are not limited to, the 

following five major categories: interest 

rate, currency, credit, equity and other 

commodity.24 In proposing these five 

major categories, the Commission 

considered market statistics that 

distinguish between those general types 

of underlying instruments, as well as 

market infrastructures that have been 

established for these five types of 

instruments. The interest rate asset class 

would encompass the underlying of any 

swap which is primarily based on one 

or more reference rates, such as swaps 

of payments determined by fixed and 

floating rates. The currency asset class 

would encompass the underlying of any 

swap that is primarily based on rates of 

exchange between different currencies, 

changes in such rates or other aspects of 

such rates including any swap that is a 

foreign exchange option. This category 

includes foreign exchange swaps 

defined in Section 1a(25) of the CEA. 

The credit asset class would encompass 

the underlying of any swap that is 

primarily based on one 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 default 

swap or a total return swap on one or 

more indices of debt instruments. The 

equity asset class would encompass the 

underlying of any swap that is primarily 

based on equity securities, including, 

without limitation, any swap primarily 

based on one or more broad-based 

indices of equity securities and any total 

return swap on one or more equity 

indices. The other commodity asset 

class would encompass the underlying 

of any swap not included in the credit, 

currency, equity or interest rate asset 

class categories, including, without 

limitation, any swap for which the 

primary underlying notional item is a 

physical commodity or the price or any 

other aspect of a physical commodity.25

The Commission requests comment 

on the following issues related to the 

definition of asset class: 

• Do commenters agree with the 

proposed asset class categories? If not, 

why? Should there be any additional 

categories of asset classes? Should any 

categories of asset classes in the 

proposed definition be changed or 

removed? 

• Do commenters agree on the 

proposed method of allocating swaps 

among asset class categories? If not, 

why? 

• Should the Commission classify 

cross-currency rate swaps as belonging 

to the interest rate asset class or to the 

currency asset class? Please explain. 

• Should the asset class for other 

commodity be divided further (e.g., 

agricultural commodity, energy 

commodity, etc.)? If so, how should it be 

divided? 

Confirmation 

Proposed § 43.2(g) defines the term 

‘‘confirmation’’ to mean 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 (electronic or otherwise). A 

confirmation between parties to a swap 

may occur in various ways including via 

facsimile, via ‘‘confirmation by 

affirmation’’ and via electronic 

matching. A confirmation will contain 

all of the terms to a swap that have been 

agreed to between two parties, whereas 

an affirmation contains a subset of the 

terms of the confirmation. 

Execution 

As noted above, swap counterparties 

and reporting entities must report ‘‘as 

soon as technologically practicable after 

the time at which the swap transaction 

has been executed.’’ 26 Proposed 

§ 43.2(k) defines ‘‘execution’’ as the 

agreement between parties to the terms 

of a swap that legally binds the parties 

to such terms under applicable law. An 

agreement may be in electronic form 

(e.g., on a swap market or via instant 

message), oral (e.g., over the phone), in 

writing (e.g., a bespoke, structured 

transaction where documents are 

exchanged) or in some other format not 

contemplated at this time. Execution 

immediately follows or is simultaneous 

with the pre-execution affirmation of 

the swap. The Commission notes that 

the proposed definition of execution 

does not attempt to define what 

constitutes a legally enforceable 

contract, only that execution occurs if 

and when the parties have formed a 

legally enforceable contract (which is a 

matter to be decided by applicable 

law).27 If pre-execution affirmation of 

the primary economic terms creates a 

legally enforceable contract under 

applicable law, then it would also 

constitute execution. If pre-execution 

affirmation does not create a legally 

enforceable contract, then execution 

would not have occurred at that stage. 

Public Dissemination and Publicly 

Disseminate 

Proposed § 43.2(r) defines ‘‘public 

dissemination’’ and ‘‘publicly 

disseminate’’ to mean publishing and 

making available swap transaction and 

pricing data in a non-discriminatory 

manner, through the Internet or other 

electronic data feed that is widely 

published and in a machine-readable 

format. The definition encompasses the 

non-delayed provision of such data to 

the public, including market 

participants, end-users, data vendors 

and news media. 

Real-Time Disseminator 

Proposed § 43.2(s) defines ‘‘real-time 

disseminator’’ to mean any registered 

SDR or third-party service provider that 

is responsible for accepting and publicly 

disseminating swap transaction and 

pricing data in real-time from multiple 

sources, in accordance with proposed 

part 43. 

Reportable Swap Transaction 

Proposed § 43.2(v) defines ‘‘reportable 

swap transaction’’ to mean any executed 

swap, novation, swap unwind, partial 

novation, partial swap unwind or such 

post-execution event that affects the 

price of a swap. A reportable swap 

transaction includes not only the 

execution of a swap contract, but also 

certain price-affecting events that occur 

over the ‘‘life’’ of a swap. The 

Commission believes novations and 

swap unwinds are events that clearly 

affect the price of the swap and, 

therefore, should be publicly 

disseminated in real-time. In addition to 

novations and swap unwinds, other 

price-affecting events over the life of a 

swap may be considered reportable 

swap transactions. For example, certain 

amendments that change the price terms 

of a swap may be subject to the real-time 

public reporting requirements. Further, 

the Commission recognizes that certain 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76145 

28See Section 2(a)(13)(F) of the CEA. 

29See Section 2(a)(13)(D) of the CEA. As 

discussed below, the Commission’s proposal 

requires registered entities to publicly disseminate 

swap transaction and pricing data ‘‘as soon as 

technologically practicable’’. See Section 

2(a)(13)(A). 

30The Commission proposes to define ‘‘timely 

manner’’ to mean ‘‘as soon as technologically 

practicable’’. 

31Two examples of how reporting technology can 

improve over time are seen in the evolution of (1) 

the Financial Industry Regulatory Authority’s 

(‘‘FINRA’’) Trade Reporting and Compliance Engine 

(‘‘TRACE’’), and (2) the reporting of over-the-counter 

(‘‘OTC’’) equity securities. Under the reporting rules 

for TRACE, the current maximum reporting time 

requirement for publicly reporting transaction and 

pricing data for corporate bonds is 15 minutes. 

FINRA staff has noted in meetings with 

Continued 

market participants may enter into a 

swap and then immediately enter into 

an amendment to the swap that alters 

the price terms, thus reducing 

transparency and price discovery. The 

Commission believes that including 

such post-execution price-affecting 

events to be reportable for the purposes 

of real-time public reporting will 

enhance the transparency and price 

discovery attributes of swaps trading. 

The Commission requests comments 

on other post-execution events that 

could affect price and that should be 

considered reportable swap 

transactions. 

Swap Instrument 

Proposed § 43.2(y) defines ‘‘swap 

instrument’’ to mean each swap in the 

same asset class with the same or 

similar characteristics. Under proposed 

§ 43.5, discussed below, registered SDRs 

would determine the appropriate 

minimum block size based on the type 

of swap instrument. After a registered 

SDR sets the appropriate minimum 

block size for a swap instrument and 

groups a specific swap contract that is 

listed on a swap market into a category 

of swap instrument, a swap market that 

lists such swap contract would then 

reference such appropriate minimum 

block size when adopting the minimum 

block trade size for such swap. The 

Commission believes that it is 

appropriate to group particular swap 

contracts into various broad categories 

of swap instruments in determining the 

appropriate minimum block size. 

The Commission is requesting general 

and specific comments on swap 

instruments, as described in the 

discussion of appendix A to proposed 

part 43 below. 

Third-Party Service Provider 

Proposed § 43.2(bb) defines ‘‘thirdparty service provider’’ to mean an 

entity, other than a registered SDR, that 

publicly disseminates swap transaction 

and pricing data in real-time on behalf 

of a swap market or, in the case of an 

off-facility swap where there is no 

registered SDR available to publicly 

disseminate the data in real-time, on 

behalf of a reporting party. 

3. Proposed Section 43.3—Method and 

Timing for Real-Time Public Reporting 

Section 2(a)(13) of the CEA does not 

provide an explicit method or timeframe 

in which swap transaction and pricing 

data must be reported to the public in 

real-time. Instead, Section 2(a)(13) of the 

CEA provides the Commission with 

authority to prescribe rules requiring: 

(1) The parties to a swap transaction 

(including agents of the parties) to 

report swap transaction and pricing data 

to the appropriate registered entity in a 

timely manner; 28 and (2) registered 

entities to publicly disseminate swap 

transaction and pricing data.29 In 

addition, Section 2(a)(13)(B) of the CEA 

provides that the Commission is 

authorized to make swap transaction 

and pricing data available to the public 

in such form and at such times as the 

Commission determines appropriate to 

enhance price discovery. Accordingly, 

the Commission’s proposal in § 43.3 sets 

out both the manner in which parties to 

a swap must report the swap transaction 

and pricing data to the appropriate 

registered entity, as well as the manner 

in which registered entities must 

publicly disseminate such data. In 

addition, proposed § 43.3 sets out 

requirements for: (1) The acceptable 

forms of media through which swap 

transaction and pricing data must be 

made available to the public; (2) the 

appropriate methods to cancel or correct 

erroneous or omitted data that has been 

publicly disseminated; (3) the hours of 

operation that swap markets and 

registered SDRs must maintain for the 

public dissemination of swap 

transaction and pricing data; and (4) the 

recordkeeping of data by swap markets 

and registered SDRs. 

i. Responsibilities of the Reporting Party 

To Report Data 

As discussed above, Section 

2(a)(13)(F) of the CEA provides that the 

parties to a swap (including agents of 

the parties to a swap) shall be 

responsible for reporting swap 

transaction information to the 

appropriate registered entity. In general, 

proposed § 43.3(a) provides that the 

‘‘reporting party’’ to each swap 

transaction shall be responsible for 

reporting any reportable swap 

transaction to a registered entity as soon 

as technologically practicable.30

Proposed § 43.2(w) defines ‘‘reporting 

party’’ to mean a party to a swap with 

the duty to report a reportable swap 

transaction to a registered entity. Under 

this proposal, the determination of who 

has this duty depends on whether the 

reportable swap transaction is executed 

on a swap market. For reportable swap 

transactions that are executed on a swap 

market, proposed § 43.3(a)(2)(i) provides 

that the requirement for parties to report 

the swap transaction and pricing data is 

itself satisfied by the act of execution on 

the swap market. The Commission 

believes that this approach should result 

in the timeliest and most efficient 

method of reporting swap transaction 

and pricing data, since swap markets by 

definition would have immediate access 

to the most accurate execution 

information related to each swap 

transaction (e.g., information on the 

counterparties to the swap, date and 

time of execution, bid-offer information, 

final pricing information, whether the 

swap should be deemed a block trade, 

etc.). Proposed § 43.3(a)(2)(ii) recognizes 

that block trades may not be executed 

on a swap market, but would be 

effective pursuant to the rules of the 

swap market. For that reason, this 

section would require the reporting 

party to the block trade to report such 

trades to the swap market in accordance 

with the rules of the swap market and 

proposed § 43.5. 

For off-facility swaps, proposed 

§ 43.3(a)(3) provides that, except 

otherwise provided in proposed § 43.5, 

the reporting party must report (i.e., 

transmit or otherwise electronically 

transfer) swap transaction and pricing 

data to a registered SDR as soon as 

technologically practicable. Once a 

reporting party has reported its swap 

transaction and pricing data to a 

registered SDR, the reporting party has 

satisfied its requirement to report 

pursuant to Section 2(a)(13)(F) of the 

CEA and this proposed part 43. 

The Commission believes that 

advanced technologies presently exist 

through which a reporting party to an 

off-facility swap can send swap 

transaction and pricing data to a 

registered SDR as soon as 

technologically practicable. Through 

discussions with market participants, 

the Commission understands that many 

swaps are executed over the telephone 

and then inputted manually into 

electronic recording systems. The 

Commission believes that reporting 

parties should remain current with 

changes in technology and regularly 

update their technology infrastructure to 

decrease the time of transmission of 

swap transaction and pricing data to 

real-time disseminators.31


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76146 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

Commission staff that over 90% of its trades are 

reported within five minutes. See FINRA Rule 6730 

(‘‘Transaction Reporting’’). Available at: http:// 

finra.complinet.com/en/display/ 

display_main.html?rbid=2403&element_id=4402. 

With respect to the OTC securities market, FINRA 

has recently reduced the reporting requirements for 

these securities to within 30 seconds of execution. 

See Securities Exchange Act Release No. 61819 

(March 31, 2010), 75 FR 17806 (April 7, 2010 

(Notice of Filing of Amendment No. 2 and Order 

Granting Accelerated Approval of File No. SR– 

FINRA–2009–061)); See also, FINRA Rules 6282(a); 

6380A(a) and (g); 6380B(a) and (f); 6622(a) and (f); 

7130(b); 7230A(b); 7230B(b); and 7330(b). 

32 In addition, the Commission believes that 

increased transparency may lead to more robust 

price competition, thus decreasing bid-offer spreads 

in certain swap contracts and benefiting end-users. 

33The requirements of Section 4r(a)(3) of the CEA 

are discussed in footnote 18 above. 

34As noted above, Section 1a(40) of the CEA, as 

amended by Section 721(a) of the Dodd-Frank Act, 

defines ‘‘registered entity’’ to include SEFs, DCOs, 

DCMs and SDRs. The Commission has determined, 

however, not to apply the Section 2(a)(13)(D) 

requirement to DCOs because it believes that the 

value of timely public dissemination outweighs the 

benefit of waiting until a swap is presented to a 

clearing organization. 

35Block trades that are transmitted pursuant to a 

swap market’s rules are addressed in proposed 

§ 43.5. 

The determination of which party to 

a swap will be deemed the reporting 

party for the purposes of proposed 

§ 43.3(a) chiefly depends on the types of 

entities that are parties to the swap. 

Specifically, proposed § 43.3(a)(3) 

provides that for off-facility swaps: 

• If only one party is a swap dealer 

or MSP, the swap dealer or MSP shall 

be the reporting party. 

• If one party is a swap dealer and the 

other party is an MSP, the swap dealer 

shall be the reporting party. 

• If both parties are swap dealers, the 

swap dealers shall designate which 

party shall be the reporting party. 

• If both parties are MSPs, the MSPs 

shall designate which party shall be the 

reporting party. 

• If neither party is a swap dealer or 

an MSP, the parties shall designate 

which party (or its agent) shall be the 

reporting party. 

Through discussions with market 

participants at the Roundtable and 

external meetings, the Commission 

believes that swap dealers and MSPs are 

more likely to have the infrastructure 

and resources available to report their 

swap transaction information to a 

registered SDR in a quicker period of 

time than parties to an end-user-to-enduser, off-facility swap. Indeed, the 

Commission recognizes that nonfinancial end-users do not frequently 

enter into swap transactions and may 

not have the technology readily 

available to report swap transaction and 

pricing data for the purposes of the realtime reporting requirements under 

Section 2(a)(13)(F) of the CEA, and 

therefore, may lead to longer reporting 

time periods from execution for such 

reporting parties. 

The Commission understands that the 

requirement to report swap transaction 

and pricing data as soon as 

technologically practicable may increase 

costs for reporting parties as a result of 

such parties having to upgrade their 

technology infrastructures. Based on 

discussions with market participants, 

however, the Commission believes that 

technology solutions may develop, such 

as web portals and other Internet-based 

interfaces, which will aide reporting 

parties in complying with the 

requirements proposed in § 43.3(a) and 

reduce the cost burden associated with 

their compliance. In addition, the 

Commission believes that the total 

number of end-user to end-user swaps 

will be small and thus the costs 

imposed on end-users will likely be 

lower relative to the total number of 

swaps.32

The Commission’s proposal with 

respect to off-facility swaps is consistent 

with the reporting requirements for the 

reporting of uncleared swaps to a 

registered SDR under Section 4r(a) of 

the CEA.33 After consulting with market 

participants at the Roundtable and in 

meetings with market participants, the 

Commission believes that this 

consistency may reduce technology 

infrastructure costs for swap dealers and 

MSPs, particularly since swap dealers 

and MSPs will likely establish direct 

connectivity to registered SDRs to 

satisfy the reporting requirements for 

the reporting of uncleared swaps under 

Section 4r(a) of the CEA. 

In the event that no registered SDR 

exists or is available to accept and 

publicly disseminate swap transaction 

and pricing data, proposed § 43.3(a)(4) 

establishes a special rule for the realtime reporting of these swaps. 

Specifically, proposed § 43.3(a)(4) 

provides that the reporting party may 

report such data to a third-party service 

provider, which provides public 

dissemination services. Similar to the 

requirements placed on swap markets 

when such markets choose to publicly 

disseminate through a third-party 

service provider, the reporting party 

will be required to ensure that the swap 

transaction and pricing data is publicly 

disseminated in real-time. 

The Commission requests comment 

related to the responsibilities of the 

parties to a swap to report swap 

transaction and pricing data. In 

addition, the Commission requests 

specific comment on the following 

issues: 

• Should the Commission establish 

maximum timeframes in which 

reporting parties must report to a 

registered SDR that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time (e.g., as soon as 

technologically practicable but no later 

than five minutes)? If so, what should 

the maximum timeframes be and how 

should they be determined? 

• Do commenters believe that the 

rules should require that any additional 

parties to a swap be the reporting party 

for a swap? If so, which parties and in 

which circumstances? 

• Should the Commission’s final 

rules address the reporting and public 

dissemination of swap transaction and 

pricing data for swaps, which are 

transacted between two non-U.S. 

persons? If so, how should the 

Commission’s final rules address these 

situations? 

• In off-facility swap transactions 

where a non-U.S. swap dealer or nonU.S. MSP transacts with a U.S.-based 

end-user, which party to the swap 

should have the obligation to report to 

a real-time disseminator? Are there 

other situations involving non-U.S. 

parties where this issue may arise? How 

should the Commission address these 

situations in its final rules? 

• Should there be an alternative 

method of reporting and subsequently 

disseminating swap transaction and 

pricing data in real-time when no 

registered SDR is available to accept and 

publicly disseminate such data? If there 

is no registered SDR available and there 

is no third-party service provider 

available to accept and publicly 

disseminate data for a swap transaction, 

what should the real-time reporting 

requirement be for such transaction? 

• Is there a better or more efficient 

alternative to have swap transaction and 

pricing data reported by a reporting 

party to a registered SDR for public 

dissemination in real-time? If so, what 

would that be? 

ii. Responsibilities of Swap Markets To 

Publicly Disseminate Swap Transaction 

and Pricing Data in Real-Time 

Section 2(a)(13)(D) of the CEA gives 

the Commission the authority to require 

registered entities to publicly 

disseminate swap transaction and 

pricing data.34 Proposed § 43.3(b) 

provides the method and timeliness of 

public dissemination of swap 

transaction and pricing data. Proposed 

§ 43.3(b) distinguishes the public 

dissemination requirement for swaps 

that are executed on a swap market 

versus those swaps that are executed 

off-facility.35 Irrespective of the mode of 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76147 

36As discussed immediately below, 

proposed§ 43.3(b)(2) prohibits a swap market or 

reporting parties from disclosing swap transaction 

and pricing data prior to sending such data to a 

real-time disseminator. 

37See, e.g., Comments by Steve Joachim, 

Executive Vice President, Transparency Services, 

FINRA (‘‘[T]he technology for collecting, 

aggregating, and disseminating [swap] data, 

assuming [the] use [of] current infrastructures 

* * * can allow [real-time public reporting] to 

work pretty efficiently.’’) Roundtable Tr. at 277–78. 

execution, the Commission sought to 

provide market participants with 

reasonable guidelines to report and 

publicly disseminate swap transaction 

and pricing data in real-time. 

With respect to reportable swap 

transactions that are executed on a swap 

market, proposed § 43.3(b)(1)(i) provides 

that a swap market shall satisfy its 

requirement to publicly disseminate 

swap transaction and pricing data by: 

(1) Sending, or otherwise electronically 

transmitting, swap transaction and 

pricing data to a registered SDR that 

accepts swaps for the particular asset 

class of reportable swap transactions; or 

(2) disseminating such data to the 

public through a third-party service 

provider operating on behalf of the swap 

market.36 The Commission notes that a 

swap market that relies on a third-party 

service provider to disseminate swap 

transaction and pricing data, for 

example through a contractual 

agreement, remains responsible for 

compliance with the rules of proposed 

part 43. 

If a swap market sends swap 

transaction and pricing data to a 

registered SDR, proposed § 43.3(b)(1)(i) 

provides that such data must be sent as 

soon as technologically practicable after 

the swap has been executed. As a result 

of industry comments made during staff 

meetings and at the Roundtable, the 

Commission believes that technologies 

presently exist through which a swap 

market can send swap transaction and 

pricing data to a registered SDR almost 

instantaneously after execution of a 

reportable swap transaction.37 Under 

the proposal, once the swap market has 

sent the swap transaction and pricing 

data to a registered SDR, the swap 

market will have satisfied its 

dissemination requirement. 

In contrast, proposed § 43.3(b)(1)(ii) 

provides that if a swap market sends 

swap transaction and pricing data to a 

third-party service provider, the swap 

market does not satisfy its requirement 

to publicly disseminate swap 

transaction and pricing data until such 

data is actually disseminated to the 

public. The Commission’s proposal 

distinguishes between a registered SDR 

and a third-party service provider 

because the Commission would have 

oversight authority over a registered 

SDR, but not over a third-party service 

provider. This distinction would be 

especially important if, for example, a 

third-party service provider failed to 

publish swap transaction and pricing 

data in real-time. Under those 

circumstances, the Commission may 

have no authority over the third-party 

service provider to remedy the failure. 

Since the swap market is still obligated 

to publicly disseminate, the 

Commission may require the swap 

market to resolve the failure and 

publicly disseminate the swap 

transaction and pricing data through 

another third-party service provider or a 

registered SDR. Accordingly, the 

Commission would expect that a swap 

market that uses a third-party service 

provider to meet its public 

dissemination obligation should be 

vigilant in monitoring the timeliness 

and accuracy of the provider’s 

publication of the swap market’s swap 

transaction and pricing data. 

Proposed § 43.3(b)(2)(i) prohibits 

swap markets or any reporting party to 

a swap from disclosing the swap 

transaction and pricing data before the 

real-time disseminator has publicly 

disseminated such data. The 

Commission believes that this 

prohibition will ensure that swap 

transaction and pricing data is 

disseminated uniformly and is not 

published in a manner that creates 

unfair advantages for any segment of 

market participants. 

The proposed rules do allow for swap 

markets and swap dealers to provide 

their market participants and customers, 

respectively, with swap transaction and 

pricing data for swaps that they execute. 

In particular, proposed § 43.3(b)(2)(ii) 

provides that notwithstanding the nondisclosure provision in proposed 

§ 43.3(b)(2)(i), a swap market may make 

swap transaction and pricing data 

available to participants on its market 

prior to the public dissemination of 

such data; however, the swap market 

must send such swap transaction and 

pricing data to a real-time disseminator 

at the same time as or earlier than it 

makes such data available to its market 

participants. Similarly, proposed 

§ 43.3(b)(2)(iii) provides that 

notwithstanding the non-disclosure 

provision in proposed § 43.3(b)(2)(i), a 

swap dealer may make swap transaction 

and pricing data for off-facility swaps 

available to its customer base prior to 

the public dissemination of such data; 

however, such swap dealer must send 

such swap transaction and pricing data 

to a registered SDR at the same time as 

or earlier than it makes such data 

available to its customer base. In both 

cases, the data may only be made 

available to the particular market (e.g., 

data for a swap executed on a particular 

SEF or DCM may only be shared with 

market participants on that SEF or 

DCM). The Commission believes that 

granting swap markets and swap dealers 

the flexibility to provide swap 

transaction and pricing data to its 

market participants or customer base, 

respectively, concurrent with reporting 

to the real-time disseminator may 

incentivize a rapid transmittal of data to 

the real-time disseminator. 

The Commission requests comment 

generally on the responsibilities of swap 

markets to publicly disseminate realtime swap transaction and pricing data. 

In addition, the Commission requests 

comment on the following issues: 

• Should the Commission establish a 

maximum timeframe in which swap 

markets must report swap transaction 

and pricing data to a real-time 

disseminator? If so, what is an 

appropriate maximum timeframe and 

why? 

• Do commenters agree with the 

Commission’s proposal that swap 

markets satisfy their public 

dissemination requirement by either 

sending to a registered SDR that accepts 

and disseminates swap transaction and 

pricing data or by publicly 

disseminating through a third-party 

service provider? If not, why? Should 

there be any other means by which a 

swap market can satisfy its public 

dissemination requirement? If yes, by 

what other means? 

iii. Requirements for Registered SDRs 

Sections 2(a)(13)(D) and 21(c)(4)(B) of 

the CEA provide the Commission with 

the authority to require registered SDRs 

to publicly disseminate swap 

transaction and pricing data in realtime. In particular, Section 2(a)(13)(D) 

provides that the Commission may 

require registered entities to publicly 

disseminate swap transaction and 

pricing data. Registered SDRs are 

registered entities as defined in Section 

1(a)(40)(E) of the CEA. Section 

21(c)(4)(B) of the CEA provides that an 

SDR must provide swap transaction 

information in such form and at such 

frequency as the Commission may 

require to comply with the real-time 

reporting requirements under Section 

2(a)(13). 

Pursuant to these authorities, the 

Commission is proposing § 43.3(c)(1) to 

require that registered SDRs that accept 

and publicly disseminate such data in 

real-time to comply with proposed part 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76148 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

38 In a forthcoming release, the Commission will 

propose part 49 of the Commission’s regulations, 

which will set out the requirements that a registered 

SDR must satisfy in connection with its receipt and 

public dissemination of swap transaction and 

pricing data in real-time. Proposed part 49 of the 

Commission’s regulations also will identify the 

necessary systems that registered SDRs must 

develop and maintain in order to receive and 

publicly disseminate such data. 

39 In the forthcoming proposed part 49 of the 

Commission’s regulations, registered swap data 

repositories will select the asset class(es) for which 

they accept swaps. 

49 of the Commission’s regulations.38

Under proposed part 49, a registered 

SDR may choose, but would not be 

required, to publicly disseminate swap 

transaction and pricing data in real-time 

for an asset class of swaps. Further, a 

registered SDR that accepts swap 

transaction and pricing data for public 

dissemination must publicly 

disseminate such data as soon as 

technologically practicable upon receipt 

of such data. Proposed § 43.3(c)(2) 

provides that if a registered SDR 

chooses to publicly disseminate swap 

transaction and pricing data in real-time 

for its specified asset class,39 the 

registered SDR must accept and publicly 

disseminate swap transaction and 

pricing data for all swaps within such 

asset class. This requirement is intended 

to minimize the number of swaps that 

are not accepted by a registered SDR for 

public dissemination by enabling 

market participants to easily identify the 

SDR that accepts particular asset 

classes. In addition, proposed 

§ 43.3(c)(3) provides that any registered 

SDR that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time shall perform, 

on an annual basis, an independent 

review of its security and other system 

controls, in accordance with established 

audit procedures and standards, for the 

purposes of ensuring that the 

requirements of proposed part 43 are 

met. 

The Commission requests comment 

generally on the requirements for 

registered SDRs under proposed part 43. 

In addition, the Commission requests 

comment on whether it should require 

registered SDRs to publicly disseminate 

all real-time swap transaction and 

pricing data. 

iv. Requirements for Third-Party Service 

Providers 

If a swap market chooses to publicly 

disseminate swap transaction and 

pricing data through a third-party 

service provider, proposed § 43.3(d) 

provides that the swap market must 

ensure that the provider maintains 

standards that are, at a minimum, equal 

to those standards for registered SDRs 

described in proposed part 43 and the 

relevant provisions relating to real-time 

public reporting that will be proposed 

in part 49 of the Commission’s 

regulations. In addition, this section 

provides that the swap market must 

ensure that the Commission has access 

to any swap transaction and pricing 

data, either through the swap market or 

directly through the third-party service 

provider. 

v. Availability of Real-Time Swap 

Transaction and Pricing Data 

Under proposed § 43.3(e), registered 

SDRs that report swap transaction and 

pricing data to the public in real-time, 

must make the data available and 

accessible in an electronic format that is 

capable of being downloaded, saved 

and/or analyzed. The Commission is 

proposing this provision to address the 

concern that a registered SDR may flash 

real-time swap transaction and pricing 

data to selected market participants 

with the technology to view such data 

without making such information 

available to the public and all market 

participants. Requiring registered SDRs 

to allow market participants and the 

public to download, save and/or analyze 

the real-time swap transaction and 

pricing data upon public dissemination, 

ensures equal access to real-time swap 

transaction and pricing data. 

vi. Errors or Omissions 

Proposed § 43.3(f)(1) sets out the 

process through which any errors or 

omissions in swap transaction and 

pricing data that were publicly 

disseminated in real-time shall be 

corrected or cancelled. Section 43.3(f)(1) 

sets out different processes depending 

on whether the data error or omission 

was discovered by the reporting party to 

the swap or the non-reporting party. 

Proposed paragraph (f)(1)(i) provides 

that if the non-reporting party becomes 

aware of an error or omission in the data 

reported for its swap, it shall promptly 

notify the reporting party of the 

correction. Proposed paragraph (f)(1)(ii) 

provides that if the reporting party 

becomes aware of an error or omission 

in the reported data, it is required to 

promptly submit the corrected data to 

the swap market or real-time 

disseminator. Proposed paragraph 

(f)(1)(iii) provides that if the swap 

market becomes aware of an error or 

omission in the swap transaction and 

pricing data reported for a swap, 

whether or not it received notification 

from the reporting party, the swap 

market shall promptly submit corrected 

data to the real-time disseminator. 

Proposed paragraph (f)(1)(iv) provides 

that a registered SDR that accepts and 

publicly disseminates swap transaction 

and pricing data in real-time must 

publicly disseminate any cancellations 

or corrections to such data as soon as 

technologically practicable after receipt 

or discovery of such cancellation or 

correction. 

The proposal also seeks to prevent 

fraudulent dissemination for the 

purpose of distorting market pricing. 

Specifically, proposed paragraph (f)(2) 

of this section provides that reporting 

parties, swap markets and registered 

SDRs that accept and publicly 

disseminate swap transaction and 

pricing data in real-time are prohibited 

from submitting or agreeing to submit a 

cancellation or correction for the 

purpose of re-reporting swap transaction 

and pricing data in order to gain or 

extend a delay in publication or to 

otherwise evade the reporting 

requirements of proposed part 43. 

Proposed paragraph (f)(3) of this 

section sets forth the appropriate 

method of canceling incorrectly 

published swap transaction and pricing 

data. Specifically, this paragraph 

provides that a real-time disseminator 

must cancel incorrect data that has been 

disseminated to the public by 

publishing a cancellation of the 

incorrect data in the format and manner 

described in appendix A to proposed 

part 43. 

Proposed paragraph (f)(4) of this 

section sets forth the appropriate 

method of correcting erroneous or 

omitted swap transaction and pricing 

data. Specifically, this paragraph 

provides that a real-time disseminator 

must correct any erroneous or omitted 

data that has been disseminated to the 

public by first publicly disseminating a 

cancellation of the incorrect data and 

then publicly disseminating the correct 

data pursuant to the format described in 

appendix A to proposed part 43. 

Depending on the situation, a 

cancellation may or not be followed by 

a correction. For example, a cancellation 

may occur in a situation where a 

clearinghouse does not accept a 

particular swap for clearing and, 

therefore, the swap may be busted and 

not require a correction. In another 

situation, one or more terms to a swap 

may be incorrectly reported by the party 

responsible for reporting the swap, and 

upon confirmation of the swap the error 

in the terms would be realized. Under 

the proposed rules, such a situation 

would require a cancellation of the 

original incorrectly reported data, 

followed by a correction with the 

correct swap transaction and pricing 

data. Whenever reporting a cancellation 

or correction, the real-time disseminator 

must report the data in the same form 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76149 

40Section 1.31 of the Commission’s regulations 

generally provides, inter alia, all books and records 

required to be kept by the CEA or the Commission’s 

regulations shall be kept for a period of five years 

from the date such records come into existence. In 

addition, § 1.31 provides that the records shall be 

readily accessible during the first two years of the 

five year period. 

41Section 21 of the CEA sets forth the rules with 

respect to the business conduct standards and 

regulation of SDRs. 

42The Commission considered the experience of 

the European Union under the Markets in Financial 

Instruments Directive (‘‘MiFID’’) and its Financial 

Services Action Plan, which went into effect on 

November 1, 2007 for OTC equity securities. Under 

this plan, the European Union broadened post-trade 

transparency requirements in European OTC equity 

securities markets. While MiFID required 

transparency, many market participants expressed 

concerns about the fragmentation of post-trade 

transparency under the MiFID regime, especially in 

OTC trading. The quality, disparate timing of 

publication and other barriers to consolidation of 

post-trade data were all highlighted as problems by 

the Committee of European Securities Regulators 

(‘‘CESR’’) in its Technical Advice report. See ‘‘CESR 

Technical Advice to the European Commission in 

the Context of the MiFID Review and Responses to 

the European Commission Request for Additional 

Information’’ (CESR/10–802, CESR/10–799, CESR/ 

10–808, CESR/10–859), July 29, 2010. Available at: 

http://www.cesr-eu.org/popup2.php?id=7003. 

43See, e.g., 15 U.S.C. 78k–1. 

44As mentioned above, FINRA oversees TRACE, 

which is a mechanism through which post-trade 

data regarding OTC secondary market securities in 

fixed income is reported. FINRA requires its brokerdealer member firms to report transactions to 

TRACE under an SEC-approved set of rules. 

Beginning in 2002, TRACE published transaction 

data on a consolidated tape. TRACE first published 

data on very liquid transactions and later phasedin additional products. More information on 

TRACE can be accessed at: http://www.finra.org/ 

Industry/Compliance/MarketTransparency/TRACE/ 

index.htm. 

and manner in which it was originally 

reported and include a date stamp 

reflecting the time of the original 

transaction, so that market participants 

and the public are aware of exactly 

which swap has been canceled or 

corrected. 

vii. Hours of Operation 

Since Section 2(a)(13) of the CEA 

requires that swap transaction and 

pricing data be reported and 

subsequently disseminated to the public 

in real-time, the Commission proposes 

that registered SDRs maintain certain 

hours of operation in order to comply 

with this legislative requirement. 

Proposed § 43.3(g)(1) requires registered 

SDRs that accept and publicly 

disseminate swap transaction and 

pricing data in real-time to be able to 

receive and publicly disseminate such 

data at all times, twenty-four hours a 

day. 

Because the Commission recognizes 

that a registered SDR periodically may 

need to conduct maintenance on its 

electronic systems, proposed § 43.3(g)(2) 

would permit a registered SDR to 

declare special closing hours to perform 

such maintenance on an ad hoc basis. In 

addition, this section would require a 

registered SDR to provide advance 

notice of its special closing hours to 

market participants and the public. 

Further, proposed § 43.3(g)(3) provides 

that registered SDRs should avoid 

scheduling special closing hours during 

those periods when the U.S. markets 

and major foreign swap markets are 

most active. Proposed § 43.3(h) provides 

that during special closing hours, a 

registered SDR that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time shall have the 

capability to receive and hold in queue 

information regarding reportable swap 

transactions pursuant to proposed part 

43. 

The Commission requests comment 

on the following questions regarding 

hours of operation: 

• Should swap markets have 

requirements regarding hours of 

operation for the purposes of the realtime reporting requirements? 

• Do the proposed requirements 

regarding hours of operation provide 

registered SDRs with sufficient 

flexibility to conduct the necessary 

maintenance on their electronic 

systems? 

• Do commenters agree that registered 

SDRs that accept and publicly 

disseminate swap transaction and 

pricing data should have the capability 

to receive and hold such data in queue 

during special closing hours? If not, 

why and are there any alternatives? 

viii. Recordkeeping Requirements 

Proposed § 43.3(i) requires reporting 

parties, swap markets and registered 

SDRs to retain all data related to a 

reportable swap transaction (including 

large notional swaps and block trades) 

for a period of not less than five years 

following the time at which such 

reportable swap transaction is publicly 

disseminated. The Commission believes 

that it is necessary to retain such 

records in order to recreate transaction 

profiles for the purposes of trade 

practice surveillance and compliance. 

This requirement is separate and 

distinct from any other recordkeeping 

requirements under the Commission’s 

regulations, including § 1.31.40

The Commission requests comment 

on the following questions regarding 

recordkeeping requirements: 

• Do commenters believe that the 

proposed retention period for data 

related to reportable swap transactions 

is an appropriate period of time? 

• Should the recordkeeping 

requirement be the same as § 1.31 of the 

Commission’s regulations? 

• What are the anticipated costs 

associated with storing such real-time 

swap transaction and pricing data for a 

longer period of time? 

ix. Fees Charged by Registered SDRs 

The Commission believes that the 

intent and purpose of Sections 2(a)(13) 

and 21 of the CEA is for registered SDRs 

to provide open and equal access to 

their data collection services for the 

purposes of real-time public reporting.41

Consistent with open and equal access 

to registered SDR services, the 

Commission further believes that fees or 

charges adopted by a registered SDR for 

its data collection services for the 

purposes of real-time public reporting 

must be equitable and nondiscriminatory. Proposed § 43.3(j) 

ensures that any fees or charges assessed 

on a reporting party or a swap market 

are consistent with the intent and 

purpose of Sections 2(a)(13) and 21. 

Proposed § 43.3(j) also prohibits a 

registered SDR from offering a discount 

based on the volume of swap 

transaction and pricing data reported to 

the registered SDR for public 

dissemination, unless such discount is 

offered to all reporting parties and swap 

markets. 

x. Consolidated Public Dissemination of 

Swap Data 

The Commission recognizes the 

benefits of consolidating the public 

dissemination of swap transaction and 

pricing data in real-time.42 During the 

Roundtable and in Commission external 

meetings, several market participants 

commented on their desire for the 

Commission to establish a consolidator 

in order to avoid fragmentation of the 

publication of swap transaction and 

pricing data. The Commission believes 

that a real-time reporting consolidator of 

swap transaction and pricing data could 

provide a comprehensive record of all 

swaps executed in chronological order. 

Additionally, a real-time reporting 

consolidator would create greater 

anonymity for the parties to 

transactions, particularly for swap 

dealers and MSPs. 

Unlike the federal securities laws,43

however, neither the CEA nor the DoddFrank Act grants the Commission 

explicit statutory authority to establish 

a real-time reporting consolidator.44 The 

Commission requests comment on 

methods to encourage the consolidation 

of publicly disseminated swap 

transaction and pricing data. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76150 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

45Proposed § 43.4 would not require that a 

reporting party or swap market provide swap 

transaction and pricing data in a particular format 

or that such data be anonymized prior to being sent 

to a real-time disseminator. Reporting parties and 

swap markets must, however, provide real-time 

disseminators with the information required to 

publicly disseminate the required data fields. 

46The legislative history of the Dodd-Frank Act 

states that ‘‘regulators are to ensure that the public 

reporting of swap transactions and pricing data 

does not disclose the names or identities of the 

parties to the transactions.’’ 156 Cong. Rec. S5,921 

(daily ed. July 15, 2010) (statement of Sen. Blanche 

Lincoln). 

47See, e.g., comments from Steve Joachim, 

Executive Vice President, Transparency Services, 

FINRA (‘‘I think we have to recognize that when 

we’re talking about transparen[cy] in marketplaces 

that if we want to pursue the goal of transparency, 

that trading in transparent markets is different than 

trading in opaque markets and that you lose some 

anonymity no matter what happens. There will not 

be total confidentiality.’’), Roundtable Tr. at 258. 

48See, e.g., comments from Peter Axilrod, 

Managing Director, New Business Development, 

The Depository Trust & Clearing Corporation (‘‘I 

guess I’d like to make a plea for people to be careful 

with commodities. It’s a little bit of a different 

market than what most people have been talking 

about. There are delivery points all over the 

country, there are load-serving entities, many of 

them all over the country, there are producers all 

over the country, and if you force people to specify 

a particular delivery point all the time, people are 

pretty much going to know who’s making those 

trades. So, whatever you do in terms of what 

commodities data is reported publicly, you have to 

leave room for some flexibility in terms of 

anonymization [sic]. So, if the delivery points are 

too specific, you may never get much anonymizing 

[sic] of trades, but if you allow the geographic area 

to be expanded or to have some anonymity criteria 

and perhaps pick the set of the delivery points that 

meets the anonymity criteria, something like that 

needs to be done.’’), Roundtable Tr. at 252–253. 

49 It is important to note that the reporting 

requirement in this section is separate from the 

requirement to report swap transaction information 

to a registered SDR pursuant to Section 2(a)(13)(G) 

of the CEA. The CEA does not require swap 

transaction information be reported in a manner 

that protects anonymity since such information will 

not be publicly disseminated. 

4. Proposed Section 43.4 and Appendix 

A to Proposed Part 43—Swap 

Transaction and Pricing Data To Be 

Publicly Disseminated in Real-Time 

As noted above, Section 2(a)(13)(B) 

authorizes the Commission to prescribe 

regulations to make swap transaction 

and pricing data available in real-time 

in such form as the Commission 

determines appropriate to enhance price 

discovery. Proposed § 43.4 establishes 

the format in which such data will be 

publicly disseminated. 

Proposed § 43.4(a) provides that swap 

transaction information shall be 

reported to a real-time disseminator so 

that the real-time disseminator can 

publicly disseminate swap transaction 

and pricing data in real-time in 

accordance with proposed part 43, 

including the manner and format 

described in appendix A to proposed 

part 43.45 Appendix A to proposed part 

43 provides a list of data fields for 

which a registered SDR must publicly 

disseminate swap transaction and 

pricing data. The descriptions and 

examples in appendix A to proposed 

part 43 are intended to provide 

guidance on an acceptable public 

reporting format and order for the data 

fields that are listed. 

Proposed § 43.4(b) provides that any 

registered SDR that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time shall publicly 

disseminate the information in the data 

fields described in appendix A to 

proposed part 43. 

Proposed § 43.4(c) provides that a 

registered SDR that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time may, as 

necessary, require reporting parties and 

swap markets to report such information 

in addition to the data described in 

appendix A to proposed part 43, in 

order to match the swap transaction and 

pricing data that was publicly 

disseminated in real-time to the data 

reported to a registered SDR or confirm 

that parties to a swap have reported in 

a timely manner pursuant to § 43.3. 

Such additional information shall not be 

publicly disseminated, on either a 

transactional or aggregate basis, by the 

registered SDR that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time. 

Proposed § 43.4(d) provides that the 

Commission may determine from time 

to time to amend the data fields 

described in appendix A. This section 

gives the Commission flexibility to add, 

modify or delete data fields as the 

Commission may deem appropriate and 

necessary to enhance price discovery 

and prevent the disclosure of the 

identities of the parties to any swap. 

The Commission requests comment 

generally on the real-time reporting and 

public dissemination of the data 

described in appendix A to proposed 

part 43. In addition, the Commission 

requests comment on the following 

issues: 

• Should the Commission specify the 

format and/or manner in which swap 

transaction and pricing data must be 

reported to a real-time disseminator? 

• Should the Commission require that 

registered SDRs follow a specified order 

and format for the public dissemination 

of swap transaction and pricing data 

instead of providing examples and 

guidance? 

i. Ensuring the Anonymity of the Parties 

to a Swap 

Sections 2(a)(13)(C)(iii) and 

2(a)(13)(E)(i) of the CEA emphasize the 

importance of maintaining the 

anonymity of the parties to a swap.46

Proposed § 43.4(e)(1) prohibits the 

disclosure of swap transaction and 

pricing data that is publicly 

disseminated in real-time, which 

identifies or otherwise facilitates the 

identification of a party to a swap. This 

section further provides that a registered 

SDR may not report such data in a 

manner that discloses or otherwise 

facilitates the identification of a party to 

a swap. 

The Commission understands that 

this latter prohibition may lead to a loss 

of clarity with respect to the precise 

characteristics of swaps in certain 

circumstances.47 Proposed § 43.4(e)(2) 

provides that a reporting party or a swap 

market must provide a real-time 

disseminator with a specific description 

of the underlying asset and tenor of a 

swap. The description must be general 

enough to provide anonymity, but 

specific enough to provide for a 

meaningful understanding of the swap. 

The Commission recognizes that it is 

conceivable that in situations where few 

parties trade a particular type of 

underlying asset, the description of that 

asset may inadvertently reveal the 

identity of one or more party(ies) to the 

swap. 

For off-facility swaps, particularly 

other commodity swaps with very 

specific underlying assets, market 

participants may be able to infer the 

identity of a party or parties to a swap 

based on the description of the 

underlying asset.48 For example, if the 

underlying asset to an off-facility swap 

is an energy commodity contract that 

has a specific delivery point at Lake 

Charles, Louisiana and such contract is 

only traded by two companies, then 

disclosing the underlying asset to the 

public would effectively disclose that 

one of those companies was entering 

into the trade. Proposed § 43.4(e)(2) 

allows reporting parties of off-facility 

swaps to publicly disseminate a 

description an underlying asset or tenor 

that by virtue of its real-time reporting 

would enable market participants to 

infer the identity of a party to the swap, 

in a way that does not disclose a party 

to a swap, but provides a meaningful 

understanding of the swap for the 

purpose of price discovery.49 In the 

example, instead of saying a specific 

delivery point of Lake Charles, 

Louisiana, the reporting party may use 

a broader geographic region (e.g., 

Louisiana, Gulf coast, etc.) under the 

Commission’s proposal. The 

Commission believes that the issue of 

the description being too specific as to 

divulge the identity of a party to a swap 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76151 

50 In a forthcoming release, the Commission will 

propose part 23 of the Commission’s regulations, 

which will set out the internal business conduct 

standards for swap dealers and MSPs, including 

recordkeeping requirements in connection with 

real-time public reporting. 

51See id. 

52 7 U.S.C. 12(a)(1). 

53The BPRs, which provide large-trader positions 

of banks participating in various financial and nonfinancial commodity futures, collect data for every 

market where five or more banks hold reportable 

positions. The BPRs break the banks’ positions into 

two categories—U.S. Banks and Non-U.S. Banks— 

and show their aggregate gross long and short 

market positions for each type. However, in those 

markets where the number of banks in either 

category (U.S. Banks or Non-U.S. Banks) is less than 

five, the number of banks in each of the two 

categories is omitted and only the total number of 

banks is shown for that market. Available at:http:// 

www.cftc.gov/MarketReports/ 

BankParticipationReports/ExplanatoryNotes/ 

index.htm. Similarly, the COT reports provide a 

breakdown of each Tuesday’s open interest for 

markets in which 20 or more traders hold positions 

equal to or above the reporting levels established by 

the Commission. Available at:http://www.cftc.gov/ 

MarketReports/CommitmentsofTraders/ 

AbouttheCOTReports/index.htm. 

54The Commission is considering the issue of 

unique product identifiers in two forthcoming 

rulemakings under proposed parts 45 and 49. 

is more likely to arise when the 

underlying asset is a commodity. The 

Commission, however, believes that 

other asset classes and markets may 

have similar issues. In contrast, for 

those swaps that are executed on a swap 

market, the Commission believes that, 

since such contracts will be listed on a 

particular trading platform or facility, it 

will be unlikely that a party to a swap 

could be inferred based on the reporting 

of the underlying asset and therefore 

parties to swaps executed on swap 

markets must report the specific 

underlying assets and tenor of the swap. 

The Commission recognizes that swap 

markets may differ and that new types 

of swaps may emerge; therefore, the 

Commission is not proposing specific 

guidelines at this time for how an 

underlying asset should be described for 

the purposes of proposed § 43.4(e)(2). 

The specificity of the description will 

vary based on particular markets and 

contracts, but the proposed rules 

provide reporting parties with 

discretion on how to report swap 

transaction and pricing data. Proposed 

§ 43.3(e)(2) and proposed part 23 of the 

Commission’s regulations require that 

swap dealers and MSPs who do not 

disclose a specific description of an 

underlying asset and/or tenor because 

such disclosure would facilitate the 

identity of a party to a swap, must 

document why the specific information 

regarding the underlying asset and/or 

tenor was not publicly disseminated.50

Further, swap dealers and MSPs must 

retain and provide such written 

justifications to the Commission 

pursuant to proposed part 23 of the 

Commission’s regulations.51

The Commission notes that the 

language found in Section 

2(a)(13)(C)(iii) of the CEA, requiring that 

real-time public reporting be done ‘‘in a 

manner that does not disclose the 

business transactions and market 

positions of any person’’ is similar to the 

language found in Section 8(a) of the 

CEA. Section 8(a)(1) of the CEA 

provides, in relevant part, that ‘‘the 

Commission may not publish data and 

information that would separately 

disclose the business transactions or 

market positions of any person and 

trade secrets of or names of customers 

* * *.’’ 52 For the purposes of protecting 

the confidentiality of participants’ 

business transactions or market 

positions as required under Section 

8(a)(1) of the CEA, the Commission has 

historically created guidelines for 

various market information reports (e.g., 

Bank Participation Reports (‘‘BPRs’’) and 

Commitments of Traders (‘‘COT’’) 

reports) that prevent market participants 

and the public from reverse-engineering 

aggregate data to determine the 

participants that submitted the data.53

The Commission believes that the 

approach in the proposed rules 

regarding protecting the identities of 

parties to a swap under Sections 

2(a)(13)(C)(iii) and 2(a)(13)(E)(i) of the 

CEA is consistent with the approach to 

confidentiality under Section 8(a)(1). 

The Commission requests comment 

generally on the protection of identities 

of the parties to the swap relating to 

real-time public reporting. In addition, 

the Commission requests comment on 

the following issues: 

• Do commenters agree with the 

proposed method for real-time reporting 

of less specific information with regard 

to the underlying asset and tenor data 

fields in order to protect the anonymity 

of parties to a swap? If not, why? 

• Should any additional data fields be 

allowed to have less specificity to 

ensure the anonymity of the parties to 

a swap? Should this proposed provision 

apply to all asset classes? If so, why? 

• In what situations, if any, would it 

be appropriate for a reporting party to 

report, for the purposes of public 

dissemination, less specificity in the 

underlying asset(s) of a swap and how 

should such underlying asset(s) be 

reported? Please provide specific 

examples. 

• Do commenters believe that it is 

appropriate to allow for less specificity 

than the month and year (as described 

in appendix A to proposed part 43) for 

the tenor of the swap? If not, why? If so, 

in what situations would it be 

appropriate for a reporting party to 

report, for the purposes of public 

dissemination, less specificity in the 

tenor of a swap and how should the 

tenor be reported? Please provide 

specific examples. 

• What specific parameters for 

reporting less specificity in the 

underlying asset(s) and tenor of a swap 

should be applied to swaps in order to 

protect the identities of the 

counterparties? 

• Should there be an indication to the 

public that a description of the 

underlying asset or tenor lacks 

specificity in order to protect the 

identities of the parties to the swap? 

ii. Unique Product Identifiers 

The Commission anticipates that 

unique product identifiers may develop 

for various swap products in various 

markets. Proposed § 43.4(f) provides 

that if a unique product identifier is 

developed and it sufficiently describes 

the information in one or more of the 

data fields for public dissemination in 

real-time, as described in appendix A, 

then such unique product identifier may 

be used in lieu of such data fields. If a 

swap does not have a unique product 

identifier, the swap transaction and 

pricing data must contain all of the 

appropriate product identification fields 

in appendix A to proposed part 43.54

iii. Price-Forming Continuation Data 

Proposed § 43.4(g) requires any swapspecific event (including, but not 

limited to, novations, swap unwinds, 

partial novations and partial swap 

unwinds) that occurs during the life of 

a swap and affects the price of such 

swap to be publicly disseminated (a 

‘‘price forming continuation event’’). The 

Commission does not believe that a 

price-forming continuation event 

includes the scheduled expiration of a 

swap, any anticipated interest rate 

adjustments, or any other event that 

does not result in a change to the price 

that would otherwise not have been 

known at the point of execution. 

v. Reporting and Public Dissemination 

of Notional or Principal Amount 

Proposed § 43.4(h) and (i) provide 

rules for the public reporting of the 

notional or principal amount for all 

swaps. Proposed § 43.4(h)(1) would 

require the reporting party to report the 

actual notional size of any swap, 

including large notional swaps, to the 

registered SDR that accepts and publicly 

disseminates such data. Proposed 

§ 43.4(h)(2) would require a reporting 

party to transmit the actual notional size 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76152 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

55 In developing the Commission’s proposal, 

Commission staff considered technical advice 

reports from CESR in the context of MiFID. In those 

reports, CESR concluded that market participants in 

the equities markets are not delivering consolidated 

data to the market in a standard format as a result 

of the ‘‘inadequate quality and consistency of the 

raw data itself, the inconsistencies in the way in 

which firms report it for publication, and the lack 

of any formal requirements to publish data through 

bodies with responsibilities for monitoring the 

publication process.’’ Committee for European 

Securities Regulators, ‘‘CESR Technical Advice to 

the European Commission in the Context of the 

MiFID Review—Equity Markets,’’ CESR/10–802, 

July 29, 2010. Available at: http://www.cesr-eu.org/ 

popup2.php?id=7004. See also, ‘‘CESR Technical 

Advice to the European Commission in the Context 

of the MiFID Review and Responses to the 

European Commission Request for Additional 

Information’’ (CESR/10–802, CESR/10–799, CESR/ 

10–808, CESR/10–859), July 29, 2010. Available at: 

http://www.cesr-eu.org/popup2.php?id=7003. 

56See id. 

of any block trade to a swap market. 

Further, a swap market must transmit 

the actual notional size for all swaps 

executed on or pursuant to its rules to 

a real-time disseminator. The 

Commission believes that the 

application of the rounding convention 

for notional or principal size, described 

in proposed § 43.4(i) should be done at 

the point of public dissemination (as 

opposed to the point at which it is 

reported to real-time disseminator) since 

this timing would provide for a more 

efficient audit trail of the swap. 

Proposed § 43.4(i) provides that for all 

swaps the notional or principal amount 

that must be reported pursuant to 

proposed § 43.4 and appendix A to 

proposed part 43 should be rounded 

pursuant a specific rounding 

convention. Specifically, proposed 

§ 43.4(i) provides that if the notional or 

principal amount of a swap is: 

• Less than one million, round to the 

nearest 100 thousand; 

• Less than 50 million, but greater 

than one million, round to the nearest 

million; 

• Less than 100 million, but greater 

than 50 million, round to the nearest 5 

million; 

• Less than 250 million, but greater 

than 100 million, round to the nearest 

10 million; and 

• Greater than 250 million, use 

‘‘250+’’. 

For example, if the notional size of a 

swap is $575 million, the notional size 

that would be reported by a reporting 

party to a swap market (assuming such 

swap is a block trade) would be $575 

million. The swap market would then 

report the notional amount of $575 

million to a real-time disseminator and 

the real-time disseminator would 

publicly disseminate the notional 

amount for such block trade as ‘‘$250+’’. 

By reporting the notional or principal 

transaction amount pursuant to the 

rounding convention set forth in 

proposed § 43.4(i), parties to swaps, 

particularly those swaps that are of a 

large notional size, would be given a 

greater amount of anonymity. 

The Commission requests comment 

generally on all aspects of the proposed 

rules relating to the reporting and public 

dissemination of notional or principal 

amount. In addition, the Commission 

requests specific comment on the 

following issues: 

• Do commenters agree with the 

proposed rounding convention for 

public dissemination of large notional 

or principal amount provided in 

proposed § 43.4(i)? If not, why and 

provide alternatives? 

• Would this rounding convention be 

appropriate for all swaps? For example, 

would this apply to swaps with an 

underlying asset that is a physical 

commodity with a specific delivery 

point? If not, why and what additional 

rounding convention may be needed? 

• Does the rounding convention for 

reporting notional and principal 

transaction amounts in proposed 

§ 43.4(i) help to protect the anonymity 

of the parties to a swap? 

• Should the actual notional or 

principal amount be publicly 

disseminated at a later time? 

• Should registered SDRs publish the 

aggregate volume for each category of 

swap instrument on a daily basis? If so, 

why? If not, why not? 

• Would the daily publication of 

aggregate volume of swap instruments 

be useful to market participants and the 

public? 

v. Appendix A to Proposed Part 43 

The Commission anticipates that realtime swap transaction and pricing data 

may be publicly disseminated by 

multiple real-time disseminators in the 

same asset class. In order to reduce the 

effects of fragmentation and increase 

consistency both within an asset class 

and between asset classes, the 

Commission is proposing that the 

information in the data fields in 

appendix A to proposed part 43 be 

publicly disseminated. In addition, the 

Commission is providing proposed 

guidance on the order and format of 

reporting swap transaction and pricing 

data.55 Additionally, the Commission 

believes that the public dissemination of 

standardized data should reduce the 

search costs to the public and market 

participants, increase consolidation of 

real-time swap transaction and pricing 

data and promote post-trade 

transparency and price discovery.56

While appendix A to proposed part 43 

attempts to provide consistency in 

describing which real-time data fields 

must be publicly disseminated, the 

Commission anticipates that certain 

fields will be easier to standardize than 

other fields. For example, it should be 

easy to standardize the format for an 

execution time-stamp across all swap 

transactions; whereas it may be more 

difficult to achieve standardization 

when describing an underlying asset. 

The Commission anticipates that, as 

markets develop over time, real-time 

disseminators and market participants 

may develop a form of standardization 

for certain data fields in certain asset 

classes. 

While real-time disseminators must 

disseminate swap transaction and 

pricing data to the public, the reporting 

parties and swap markets must provide 

the real-time disseminators with, at a 

minimum, the relevant information 

needed to report the data fields 

described in appendix A to proposed 

part 43. As discussed above, a real-time 

disseminator that is a registered SDR 

may require a reporting party or a swap 

market to report additional information 

to the information necessary for public 

dissemination. Since all swap data must 

be sent to a registered SDR pursuant to 

Section 2(a)(13)(G) of the CEA and 

forthcoming Commission proposals, and 

an SDR may be a real-time disseminator, 

as previously discussed, the proposed 

rules provide that a registered SDR that 

is a real-time disseminator may require 

additional information to match the 

real-time swap transaction and pricing 

data to data reported to the registered 

SDR or confirm that parties to a swap 

have reported in a timely manner 

pursuant to Section 2(a)(13)(F) of the 

CEA. Such additional information 

requested by a registered SDR may 

include a transaction identification 

code, the names of the parties to the 

swap, or such other information as may 

be necessary. 

As mentioned above, proposed 

§ 43.4(b) would require that the 

information in any data field listed in 

appendix A to proposed part 43 to be 

publicly disseminated by a registered 

SDR or swap market through a thirdparty service provider to the extent that 

such data field captures a term of the 

reportable swap transaction. In many 

cases, several data fields listed in 

appendix A to proposed part 43 will not 

be applicable to a particular reportable 

swap transaction. To the extent that a 

data field is not a term of the swap, such 

field need not be reported and should be 

left blank. Appendix A to proposed part 

43 also provides specific examples of 

how the reporting of a particular field 

should look (both in form and in order) 

when disseminated to the public. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76153 

57Major currencies are those of the United States, 

Japan, the United Kingdom, Canada, Australia, 

Switzerland, Sweden and the European Monetary 

Union. See § 15.03 of the Commissions regulations. 

Table A1 of appendix A to proposed 

part 43 provides that the following data 

fields be reported to the public in realtime. 

1. Cancellation. This data field reports 

the swap transaction and pricing data 

that was incorrectly or erroneously 

reported and is therefore being 

canceled. Any cancellations must also 

contain a date stamp of the original 

swap, even if such date stamp was not 

originally reported, followed by the full 

swap transaction and pricing data that 

is being canceled (including the original 

time-stamp of execution). It must be 

made clear to the public exactly which 

transaction is being reported so that the 

public can easily disregard such swap 

transaction and pricing data. A 

cancellation does not have to be 

corrected; however, any corrections 

must first be canceled. Any such 

cancellation must be done in 

accordance with proposed § 43.3(f). 

2. Correction. This data field reports 

the swap transaction and pricing data 

that is being reported is a correction to 

real-time swap transaction and pricing 

data that has been incorrectly publicly 

disseminated. Any corrections must also 

contain a date stamp to indicate the date 

of the initial swap that is being 

corrected, even if such date stamp was 

not originally reported, and the timestamp must indicate the time of 

execution of the swap, not the time of 

the correction. Providing the date and 

original time-stamp of the swap will 

allow the public to easily replace the 

incorrect data. Any reportable swap 

transaction for which there are 

corrections to real-time swap 

transaction and pricing data must first 

be canceled prior to the correction, so 

that the public is aware of which data 

is being corrected. Any such correction 

must be done in accordance with 

proposed § 43.3(f). 

3. Date stamp. This data field reports 

the date of execution of the swap (if not 

the same day or a correction). This data 

field need only be publicly 

disseminated if the swap that is being 

reported was executed on a day other 

than the current day or if the swap 

transaction or pricing data is a 

cancellation or correction to previously 

real-time reported swap transaction and 

pricing data. 

4. Execution time-stamp. This data 

field reports the time of execution of the 

swap. The reporting party provides the 

execution time-stamp of the swap. The 

execution time-stamp is the only timestamp that will be publicly 

disseminated. 

5. Cleared or uncleared. This data 

field reports whether a swap is cleared 

through a DCO, which may affect the 

price of the swap. For cleared swaps, 

the specific DCO that clears the swap 

will not be listed. In consideration of 

protecting the identities of the parties to 

the swap, the Commission does not 

believe that the specific DCO through 

which a swap is cleared must be 

reported to the public. 

6. Indication of other price-affecting 

term (non-standardized swaps). This 

data field reports whether there are 

other non-standard terms to the swap 

that materially affect the price of the 

swap. This indicator signals to market 

participants that there may be 

unreported terms of the contract that 

affect the price. Any reporting of 

bespoke swap transactions must include 

this indicator, since in these 

transactions there are other terms or 

factors that materially affect the price of 

the swap and are otherwise not 

included in the required fields for realtime public reporting found elsewhere 

in appendix A to proposed part 43. 

7. Block trades and large notional 

swaps. This data field reports whether 

the swap is a block trade or large 

notional swap. This data field does not, 

however, make a distinction between 

block trades and large notional swaps, 

since the execution venue data field will 

reveal that information. 

8. Execution venue. This data field 

reports where the swap was executed. 

The reporting party must indicate 

whether the swap was executed on a 

swap market or whether such swap is an 

off-facility swap. This data field assists 

the public in understanding the other 

data fields that are being reported. In 

consideration of protecting the 

identities of the parties, the Commission 

does not believe that the specific swap 

market on which the swap was executed 

need be publicly disseminated. 

Similarly, the Commission does not 

believe that a distinction need be made 

between those swaps executed on a SEF 

and those executed on a DCM. 

9. Swap instrument. This data field 

must be reported only if a trade is a 

block trade or a large notional swap. 

Large notional swaps must refer to an 

existing swap instrument that is posted 

by a registered SDR and has an 

appropriate minimum block size 

associated with such instrument. The 

parties to a swap must use the 

appropriate minimum block size of the 

swap instrument when determining if a 

swap constitutes a large notional swap. 

Swap markets, in setting the minimum 

block trade size for a particular listed 

swap, must reference the appropriate 

minimum block size for the category of 

swap instrument within which the 

particular listed swap is included. A 

swap market will set a minimum block 

trade size for a listed swap based on the 

appropriate minimum block size for the 

relevant category of swap instrument as 

calculated by the SDR. Proposed § 43.5 

provides rules on block trades and large 

notional swaps, including the 

determination of minimum block trade 

sizes. The reporting of the swap 

instrument data field provides market 

participants and the public with an 

understanding of the type of swap 

instrument for which a block trade is 

occurring. 

The Commission believes that within 

each asset class there should be certain 

criteria that are used to determine a 

category of swap instrument. For 

example, swaps in the interest rate asset 

class may be considered the same swap 

instrument if they are denominated in 

the same major currency (or 

denominated in any non-major currency 

considered in the aggregate) and if they 

have the same general tenor.57 With 

regard to tenor, the Commission 

believes that tenors may be grouped into 

ranges based on maturity date (e.g., 

short, intermediate and long). For 

example, a single category of swap 

instrument may be ‘‘U.S. dollar interest 

rate swaps in a short maturity bucket, 

including swaps, swaptions, inflationlinked swaps, etc. and all underlying 

reference rates.’’ Similarly, swaps in the 

‘‘other commodity’’ asset class may be 

considered the same swap instrument if 

they have the same underlying asset, 

which generally would include all 

swaps whose economic terms relate to 

the same underlying product (e.g., oil, 

natural gas, heating oil, gold, etc.). In 

contrast, the Commission believes that 

for swaps under the Commission’s 

jurisdiction in the credit or equity asset 

classes all swaps within each asset class 

can be considered to be the same swap 

instrument. The swaps in the credit and 

equity asset class will be broad-based or 

on indexes and such swaps can likely be 

grouped together for purposes of 

determining the appropriate minimum 

block size. In the currency asset class, 

swap instruments may be defined by 

major currency pair, not by whether a 

major currency is one of the currencies 

involved in the swap. 

The Commission requests comment 

generally about swap instruments. In 

addition the Commission requests 

comment on the following specific 

issues: 

• What criteria for each asset class 

should a registered SDR consider in 

determining if a swap falls within a 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76154 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

particular grouping of swap instrument? 

Specifically, what criteria should be 

used to classify a swap instrument and 

how do those criteria differ by asset 

class? What particular considerations 

should apply to swaps in interest rate, 

equity, credit, currency and other 

commodity classes? Who should 

determine the categories of swap 

instrument? 

• How broad or narrow should the 

categories of swap instruments be for 

each asset class? Do commenters believe 

that the appropriate minimum block 

size should be determined based on 

particular types of swap contracts and 

not on categories of swap instruments? 

If so, why? 

• Should certain asset classes have 

additional or fewer criteria in 

determining a swap instrument? If so, 

what asset classes and what criteria? 

• Should a registered SDR apply any 

other criteria to the other commodity 

asset class to decide whether a swap 

falls within a particular type of swap 

instrument? How should the underlying 

asset be grouped for the other 

commodity asset class? 

• Is it an appropriate approach to 

group tenors for swaps in the interest 

rate asset class into ranges (e.g., shortterm, intermediate-term and long-term)? 

What should be the appropriate ranges 

of tenor or maturity date for each of 

these ranges? Should there be tenor 

ranges for other asset classes? 

• Are there any other currencies other 

than those described in § 15.03 of the 

Commissions regulations that the 

Commission should consider as a major 

currency? If so, which currencies and 

why? 

10. Start date. This data field reports 

the day on which the contractual 

provisions of a swap commence or 

become effective. The Commission 

recognizes that the start date may be 

different than the execution date. The 

Commission also recognizes that the 

markets may develop such that swaps 

traded on swap markets become 

standardized to the point where the start 

date is embedded or understood by a 

unique product identifier. For example, 

the start date for a particular swap may 

always be the day following execution 

(i.e., T+1), and such information could 

be captured by simply identifying the 

product through a unique product 

identifier. If the markets evolve in such 

a manner, then this data field may not 

be necessary to report for these swaps. 

Nonetheless, the start date must always 

be provided in a manner that is 

apparent to the public. 

11. Asset class. This data field 

provides a general description of the 

asset class for a swap, as defined in 

proposed § 43.2(e). This data field will 

allow the public to easily compare 

swaps within an asset class and to easily 

identify the type of swap that is being 

reported. Swaps within an asset class 

would have broadly similar 

characteristics. 

12. Sub-asset class for other 

commodity. This data field provides 

greater detail as to the type of other 

commodity that is being reported. The 

Commission realizes that there may be 

vast differences in the types of products 

that fall under a particular asset class. 

For this reason, a sub-asset class should 

be reported for other commodities so 

that the public can easily understand 

similar types of swaps. Such sub-asset 

classes may include, but are not limited 

to, specific energy, weather, precious 

metals, other metals, agricultural 

commodities, etc. 

13. Contract type. This data field 

reports the specific type of swap that 

has been executed. This data field 

provides greater transparency and price 

discovery to market participants and the 

public, as knowledge of the contract 

type will allow the public to understand 

the swap transaction and pricing data 

that is being reported. The Commission 

has identified four broad categories of 

contracts that may be entered into: 

swaps, swaptions, forwards and standalone options. These categories may be 

further defined by the contract sub-type 

data field discussed immediately below. 

14. Contract sub-type. This data field 

provides more detail on the type of 

contract specified in the contract type 

data field. The Commission envisions 

that there will be many contract subtypes. Such contract sub-types may 

include, for example, basis swaps, index 

swaps, broad-based security swaps and 

basket swaps. Specific option types and 

other information about options are 

covered by the options fields found in 

Table A2 to appendix A to proposed 

part 43. 

15. Price-forming continuation data. 

This data field describes whether the 

information that is being reported is a 

price-affecting event to an existing 

swap. Such events may include 

novations, partial novations, swap 

unwinds and partial swap unwinds as 

well as other price-forming events that 

may occur following the execution of 

the swap. Such other events may also 

include amendments to the swap that 

have a specific affect on the price of the 

swap. 

16. Underlying asset 1 and underlying 

asset 2. These data fields describe the 

specifics of the swap and help the 

public evaluate the price of the swap 

transaction. It is likely that each leg of 

a swap (i.e., the fixed and the variable) 

will have an underlying asset that 

should be reported as a separate field. 

If there are more than two underlying 

assets, all underlying assets should be 

real-time reported and publicly 

disseminated. The Commission is not 

providing a specific format for all 

underlying asset fields, but the 

description of each underlying asset 

should be in a format that is commonly 

used by market participants. The 

Commission encourages reporting 

parties and real-time reporting 

disseminators to consult with one 

another to determine consistent ways of 

reporting similar underlying assets. If a 

standardized industry abbreviation 

exists for a particular underlying asset, 

such abbreviation should be used to 

describe the underlying asset. Whenever 

possible, alphabetical abbreviations 

should be used, including roman 

numerals; provided, however the 

underlying asset must be reasonably 

apparent to the public (e.g., six-month 

LIBOR could be represented as VIL, 10- 

year Treasury could be represented as 

TX, etc.). Further, if a unique product 

identifier adequately captures the 

underlying asset, the underlying asset 

field may not need to be reported. 

17. Price notation and additional 

price notation. These data fields report 

the price of the swap. These fields 

should include the total or net of any 

premium that is associated with a 

party’s requirements under the swap. 

For example, if Party A’s contractual 

requirements are linked to a 10-year 

Treasury note and Party B’s 

requirements are linked to three-month 

LIBOR, the price notation should be the 

rate of 10-year Treasury note compared 

to three-month LIBOR (e.g., 2.5). 

The Commission recognizes that a 

number of different pricing conventions 

currently exist across swap transactions 

and even among market participants for 

similar swap transactions. Nevertheless, 

the Commission believes that 

standardizing of pricing conventions 

will result in greater price transparency. 

In order to promote such 

standardization, it becomes important to 

define what ‘‘pricing’’ means for swaps. 

Notional or principal amount is the 

amount on which payment rates are 

calculated and is not the actual amount 

or units exchanged in most cases. 

Payments under the swap are based on 

what the market refers to as ‘‘legs’’ and 

what the Commission refers to as 

‘‘underlying assets’’ in this proposed 

rulemaking. The additional price 

notation would be necessary in such 

instances where there are multiple 

premiums yields, spreads or rates are 

characteristics of the swap. It is for this 

reason that the proposed rules require 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76155 

58The International Organization for 

Standardization (‘‘ISO’’) provides a list of currency 

and funds names that are represented by both a 

three-letter alphabetical and a three-number 

numerical code (the ‘‘ISO 4217’’ code list), which is 

available at: http://www.iso.org/iso/support/ 

currency_codes_list-1.htm. 

59Such period descriptions may be described as 

follows: daily (D), weekly (W), monthly (M) and 

yearly (Y). 

60See id. 

61Futures month symbols are as follows: January 

(F), February (G), March (H), April (J), May (K), June 

(M), July (N), August (Q), September (U), October 

(V), November (X) and December (Z). 

the additional price notation to include, 

inter alia, front-end payments, back-end 

payments, mid-cycle flat payments, 

collateral and margin. All of the 

elements to additional price notation 

must be represented in this field as a 

single number, relative to the difference 

in payments between the underlying 

assets of the swap. 

In the example above, if Party A’s 

requirement is tied to the 10-year 

Treasury note yield and Party B’s 

requirement is linked to three-month 

LIBOR and Party B is also required to 

post a back-end payment of $100,000, 

then the price notation would be the 

rate of 10-year Treasury note compared 

to three-month LIBOR (e.g., 2.5). The 

additional price notation might be 

calculated to be +0.05, because in this 

example, the net present value of the 

back-end payment of $100,000, as 

applied to the exchange of payments 

within the swap, would be equal to 

+0.05. These two data fields provide the 

public and market participants with an 

easily accessible and uniform means of 

understanding the price at which the 

parties to a swap have reached an 

agreement regarding the swap’s 

payment streams. 

18. Unique product identifier. This 

data field, if available, describes a 

standardized swap. If a unique product 

identifier is available for a particular 

product, it may be reported in lieu of 

reporting other identifying fields 

including, but not limited to, the 

underlying asset, asset class, contract 

type, contract sub-type and start date, so 

long as such fields are adequately 

described and apparent to the public. 

The Commission believes that the 

markets will evolve to a point where the 

use of such unique product identifiers 

will increase transparency and promote 

price discovery across real-time 

disseminators. The Commission 

envisions unique product identifiers 

will be uniform across different swap 

markets. 

19. Notional currency 1 and notional 

currency 2. This data field is needed if 

the notional or principal amounts are 

referenced in terms of a currency. The 

currency field may be reported in a 

commonly-accepted code. For example, 

U.S. dollars may be reported with the 

ISO 4217 currency code ‘‘USD’’.58 The 

notional currency 1 field should refer to 

the notional or principal amount 1 field, 

while the notional currency 2 field, if 

applicable, should refer to the notional 

or principal amount 2 field. If there are 

more than two notional or principal 

amounts that require a notional 

currency field, then these fields should 

be reported in a similar manner. 

20. Notional or principal amount 1 

and notional or principal amount 2. 

This data field is needed to identify the 

size or amount of the swap transaction. 

The notional amount may be reported in 

a currency and if so, the currency must 

be disclosed and made easily 

identifiable to the public. Such 

disclosure can be done by reporting the 

notional currency field with respect to 

the notional amount that requires such 

information. If a principal amount is in 

units, then a currency description does 

not need to be reported. Appendix A to 

proposed part 43 contemplates the 

potential for two or more notional or 

principal amounts. When a swap has 

more than two notional or principal 

amounts, then all such amounts must be 

reported and made easily identifiable by 

reporting parties and real-time reporting 

disseminators. The notional or principal 

amount for swaps should be reported 

pursuant to proposed § 43.4(h) and (i). 

Each notional or principal amount (if 

there is more than one) should be 

labeled with a number (e.g., 1, 2, 3, etc.), 

such that the number corresponds to the 

underlying asset for which the notional 

or principal amount is applicable. 

21. Payment frequency 1 and payment 

frequency 2. This data field is needed to 

assist in understanding the price of a 

swap. It represents the frequency at 

which payments will be made for a 

party’s contractual requirements under a 

swap. It is possible that the payment 

frequency may be the same for both 

parties to a swap; however, the payment 

frequency also may be different. If there 

is a difference, the payment frequencies 

must be reported for each requirement 

under the swap. The format for payment 

frequency should be consistent and may 

be reported as a numerical character 

followed by a letter.59 For example, if 

payments are to be made every two 

weeks, then ‘‘2W’’ may be reported in 

this field; if payments are to be made 

every year, then ‘‘1Y’’ may be reported, 

etc. Each payment frequency (if there is 

more than one) should be labeled with 

a number (e.g., 1, 2, 3, etc.), such that 

the number corresponds to the 

underlying asset for which the payment 

frequency is applicable. 

22. Reset frequency 1 and reset 

frequency 2. This data field is needed to 

assist in understanding the price of a 

swap. It represents the frequency that a 

price for an underlying asset may be 

adjusted. It is possible that there is no 

reset frequency, that the reset frequency 

is the same for both underlying assets or 

that the reset is different for both 

underlying assets. If different, the reset 

frequencies must be reported for each 

underlying asset. The format for reset 

frequency must be consistent and may 

be a numerical character followed by a 

letter.60 For example, if adjustments are 

to be made every two weeks, then ‘‘2W’’ 

may be reported in this field, if 

adjustments are to be made every year, 

then ‘‘1Y’’ may be reported, etc. Each 

reset frequency (if there is more than 

one) should be labeled with a number 

(e.g., 1, 2, 3, etc.), such that the number 

corresponds to the underlying asset for 

which the reset frequency is applicable. 

23. Tenor. This data field is needed to 

describe the duration of a swap and 

when a swap will terminate, mature or 

end. To protect the anonymity of the 

parties to a swap, the tenor field should 

only be reported as the month and year 

that the swap terminates, matures or 

ends. Such description may use the 

three character alpha-numerical format 

that is used in describing futures 

contracts.61 For example, if a swap ends 

on March 15, 2020, the tenor may be 

reported as ‘‘H20’’. 

Table A2 of appendix A to proposed 

part 43 provides the following data 

fields to be publicly disseminated in 

real-time for options, swaptions and 

swaps with embedded options, if 

applicable to a swap. If a swap has more 

than one embedded option or swaption 

provision, then all such embedded 

options or swaptions should be realtime reported to the public in the same 

manner. 

1. Embedded option on swap. This 

data field is needed to describe whether 

the data listed in the option fields is an 

option that is embedded in the price of 

the swap. Proposed § 43.2(i) defines 

‘‘embedded option’’ as any right, but not 

an obligation, provided to one party of 

a swap by the other party to the same 

swap that provides the party in 

possession of the option with the ability 

to change any one or more of the 

economic terms of the swap as they 

were previously established at 

confirmation (or were in effect on the 

start date). By requiring a separate field 

for embedded options on swaps, market 

participants and the public will be able 

to compare prices across the same or 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76156 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

62See id. 

similar swaps. The Commission believes 

that requiring this field will increase 

transparency and price discovery across 

the swap markets, as it will allow for the 

easy comparison of price by market 

participants and the public. Further, the 

Commission does not wish to see 

market participants wasting resources to 

try to avoid transparency by adding 

embedded options to otherwise 

standardized swap contracts. If the 

Commission did not require separate 

reporting of the embedded option field, 

it would be possible for market 

participants to attach worthless options 

to a swap in order to avoid real-time 

public reporting the swap in the same 

format as a standardized swap that does 

not have an embedded option. 

2. Option strike price. This data field 

reports the level or price at which a 

party to a swap may exercise an option. 

The Commission recognizes that for 

some option types, such as collars, 

strangles and condors, it will be 

necessary to report two or more prices 

in this field. This data field is the first 

field that would be reported for options 

and real-time disseminators may choose 

to place an ‘‘O’’ prior to the strike price. 

After the ‘‘O’’, the level or price should 

follow immediately thereafter. For 

example, an option or swaption with a 

strike price of $25 should be real-time 

publicly reported as ‘‘O25’’. 

3. Option type. This data field reports 

the type of option. The option type is 

important because it clarifies how the 

buying or selling of the asset is to be 

transacted between two parties. To 

promote standardization, this data field 

should be reported from the perspective 

of the party to the swap associated with 

underlying asset 1. The Commission 

recognizes that there are several 

different types of options, and has tried 

to identify some of the more common 

option types and their suggested twocharacter alphabetical descriptors in 

Table A2 of appendix A to proposed 

part 43. The Commission intends for the 

list of options in Table A2 to promote 

consistency and transparency across 

reporting parties and real-time 

disseminators. Some examples of option 

types include caps, collars, floors, puts, 

calls, pay fixed versus floating, receive 

fixed versus floating, straddles, strangles 

and knock-outs. 

4. Option family. This data field 

reports the family associated with the 

option. The option family is important 

because it identifies the period of time 

over which an option may be executed. 

The Commission recognizes that there 

are several different types of option 

families, and has tried to identify some 

of the more common option families 

and provided suggested two-character 

alphabetical descriptors in Table A2 of 

appendix A to proposed part 43. The 

Commission intends for the list in Table 

A2 to promote consistency and 

transparency across reporting parties 

and real-time disseminators. Some 

examples of option families include 

American, Bermudan, European and 

Asian. 

5. Option currency. This data field is 

needed to explain the currency for the 

option that is being reported. If 

applicable, the option currency field 

shall refer to both the option premium 

field and the option strike price. 

6. Option premium. This data field 

reports the purchase price for the option 

at the time of execution of the swap. 

This number represents the total 

additional cost of the option as a 

numerical value and is broken out 

separately from the price notation and 

additional price notation fields to allow 

for an easier comparison of a swap with 

an option to similar swaps that do not 

include an option. 

7. Option lockout period. This data 

field reports the time at which an option 

first can be exercised and thus, assist 

them in evaluating the price of an 

option. The option lockout date should 

be reported in the year and month 

format used in futures markets.62 This 

field most often will be needed for 

European style options and other 

options where the start date for the 

requirements to a swap with an 

embedded option may be different than 

the date that an embedded option is 

available for execution. The option 

lockout period should be reported in the 

year and month format used in futures. 

8. Option expiration. This data field 

reports when an option can no longer be 

exercised. This data field will assist the 

public and market participants in 

evaluating the price of an option. In 

most cases, this data field can be 

omitted, as a standard option would 

expire at the same time as the swap 

contract to which it is linked. The 

option expiration should be reported in 

the year and month format used in 

futures markets. 

v. Examples To Illustrate the Public 

Reporting of Real-Time Swap 

Transaction and Pricing Data 

The Commission envisions that the 

reporting of the data fields in appendix 

A to proposed part 43 may eventually be 

reported in the form of a consolidated 

ticker, particularly for the more 

standardized swaps that are traded on 

swap markets. Additionally, the 

Commission believes that when unique 

product identifiers emerge they will be 

publicly disseminated, increase 

uniformity and transparency across realtime disseminators and ultimately lead 

to greater transparency and price 

discovery. Below, the Commission has 

set out two examples of how real-time 

public reporting of swap transaction and 

pricing data may evolve as 

consolidation and standardization 

develops in particular asset classes and 

markets. 

Example 1 

On Friday, February 4, 2011, Bank X 

enters into a new plain vanilla 10-year 

fixed versus floating interest rate swap 

with Bank Y, for a notional amount of 

$10 million U.S. dollars. The swap is 

scheduled to start on Tuesday, February 

8, 2011 (note: start dates are usually 2 

business days later for interest rate 

swaps). Bank X is the payer of the fixed 

leg of the swap and is obligated to pay 

a fixed rate of 2.53% on the notional 

amount for the ten-year tenor of the 

swap. Bank Y is the payer of the floating 

leg of the swap and is obligated to pay 

the prevailing three-month LIBOR on 

the $10 million notional amount. The 

first LIBOR payment will be based upon 

the three-month LIBOR rate for February 

4, 2011 with the rate reset on a quarterly 

basis going forward. This interest rate 

swap is plain vanilla with both banks 

using the same day count convention, 

payment currency and notional value 

for both of the underlying assets to the 

swap. 

Bank X and Bank Y have no 

additional premiums or payments under 

the terms of the swap. In this example, 

the reset and payment frequency for the 

fixed-rate are semi-annual. The reset 

and payment frequency for the floating 

rate (i.e., three-month LIBOR) are 

quarterly. The parties’ requirements 

under the swap for both the fixed leg 

and floating leg are scheduled to mature 

on Monday, February 8, 2021. Bank X 

and Bank Y are both members in good 

standing with a SEF named ‘‘Xeqution 

Co.’’ and use a DCO named ‘‘ClearitAll’’. 

Field Description 

Execution time-stamp 16:20:47 

Cleared or uncleared C (note: the name of 

DCO is not reported) 

Execution Venue ....... SWM (note: the 

name of SEF is not 

reported) 

Start date .................. 08–02–11 

Asset class ................ IR 

Contract type ............. SVerDate Mar<15>2010 18:32 Dec 06, 2010 Jkt 223001 PO 00000 Frm 00018 Fmt 4701 Sfmt 4702 E:\FR\FM\07DEP2.SGM 07DEP2

srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76157 

Field Description 

Underlying asset 1 .... TX (note: TX represents the reference rate of 

Treasury 10 year, 

which is the fixed 

rate) 

Underlying asset 2 .... IIIL (note: IIIL represents 3 month 

LIBOR, which is 

the floating rate) 

Notional currency 1 ... USD 

Notional or principal 

amount 1.

10M (note: this may 

be reported as 

‘‘10,000,000’’) 

Pricing Notation ......... 2.53 

Payment frequency 1 6M 

Payment frequency 2 3M 

Reset frequency 1 ..... 6M 

Reset frequency 2 ..... 3M 

Tenor ......................... G21 (note: actual 

day is not reported) 

The Commission believes that as 

swaps become more standardized, 

market participants and real-time 

disseminators may develop a 

nomenclature that combines data fields 

in an easy-to-follow manner, ensuring 

that all the relevant information in 

appendix A to this proposed part 43 is 

publicly disseminated. For example, the 

swap in the above example may be 

displayed as follows: 

16:20:47 IRS 10 TXIIIL 2.53 @0 G21. 

In the illustration above, the symbol 

‘‘C’’ is not included, because as the 

markets develop, the majority of 

standardized swaps will be cleared 

through DCOs and an indication of ‘‘U’’ 

would only be necessary for the 

reporting of uncleared swaps. The term 

‘‘SWM’’ is also omitted since it could be 

assumed by market participants and the 

public that the swap has taken place on 

a swap market. Such an indication 

would only be needed if the swap was 

done off-facility pursuant to the nonfinancial end-user exception from the 

mandatory clearing requirement under 

Section 2(h)(7) of the CEA. The start 

date is not reported because in this 

illustration it is assumed for a swap of 

‘‘TXIIIL’’ the start date is always two 

business days after the date of execution 

(i.e., T+2). The term ‘‘IRS’’ would replace 

the separate data fields for asset class 

‘‘IR’’ and contract type ‘‘S–’’ as the 

standard format once market 

participants have become accustomed to 

reading data on a consolidated tape for 

swaps. The terms ‘‘USD’’ and ‘‘M’’ in 

10,000,000 are also dropped because in 

this illustration the market would have 

developed in such a manner as to 

understand that the standard trade is 

done in U.S. dollars and in round lots 

of one million or in this case ‘‘10’’. 

Payment frequency and reset frequency 

would also be excluded for both of the 

underlying assets because the symbol 

‘‘TXIIIL’’ now represents a plain vanilla 

interest rate swap where payment 

frequency and reset frequency are 

standardized terms of the swap 

transaction. The number ‘‘2.53’’ for price 

notation remains but in some cases, 

such as a basis swap, this field may be 

omitted as the market develops. The 

symbol ‘‘@0’’ is used because in some 

cases front-end, back-end, margin, 

collateral or other payments that are not 

included in the terms of the swap must 

be reported as an additional price 

notation characteristic. In this example, 

there is no additional price notation that 

must be reported. The symbol ‘‘G21’’ is 

still reported to indicate that the swap 

matures (i.e., terminates) in February 

2016. 

Example 2: 

On Friday, February 4, 2011, Bank X, 

once again enters into a plain vanilla 10- 

year fixed versus floating interest rate 

swap with Bank Y for a notional amount 

of $10 million U.S. dollars. The swap is 

scheduled to start on Tuesday, February 

8, 2011 (Note: start dates are usually 2 

business days later). Bank X is payer of 

the fixed leg of the swap and is 

obligated to pay a fixed rate of 2.53% on 

the notional amount for the ten-year 

tenor of the swap. Bank Y is the payer 

of the floating leg of the swap and is 

obligated to pay the prevailing threemonth LIBOR on the $10 million 

notional amount. To illustrate an 

exception from the plain vanilla swap, 

the first LIBOR payment in this example 

is based on the three-month LIBOR rate 

for February 4, 2011 with a weekly rate 

reset, instead of the normal quarterly 

rate reset. Both parties have agreed to 

use the same day count convention, 

payment currency and notional amount 

for both of the underlying assets to the 

swap. 

Bank X and Bank Y have additional 

payments to be made between the two 

parties under the terms of the swap. 

Bank X is required to deliver a front-end 

payment of $500,000 U.S. dollars to 

Bank Y, which is represented by an 

increase to the fixed-rate payer’s 

requirement of ‘‘+0.07’’ and reported in 

the additional price notation data field. 

For the sake of clarity, this additional 

price notation data field should be in 

the same format as the price notation 

field and be displayed as an addition or 

subtraction to the fixed-rate payer’s rate 

under the swap. 

In order for the parties to protect 

themselves from a possible increase in 

interest rates, Bank Y purchases a oneyear pay fixed versus floating swaption 

with a strike rate of 2.53% to pay fixed 

for 9-years to Bank X (i.e., through the 

maturity of the swap). This swaption 

effectively will terminate the original 

swap with Bank X, and in this example, 

we can assume that the cost of the 

swaption is $100,000. This swaption 

might also be listed as an adjustment to 

the fixed rate that Bank Y would receive 

from Bank X in the initial swap if the 

payments were not made outright, but 

were blended into the initial fixed rate. 

In this example, this might be 

represented by subtracting four basis 

points or ‘‘–0.04’’. 

The reset and payment frequency for 

the fixed rate is semi-annual (every six 

months), while the reset and payment 

frequency for the three-month LIBOR is 

weekly, upon the request of the variable 

rate payer. The parties’ requirements 

under the swap are scheduled to mature 

on Monday, February 8, 2021. Bank X 

and Bank Y are both members in good 

standing with a SEF named ‘‘Xeqution 

Co.’’ and use a DCO named ‘‘ClearitAll’’. 

Field Description 

Execution time-stamp 16:20:47 

Cleared or uncleared C (note: the name of 

DCO is not reported) 

Execution Venue ....... SWM (note: the 

name of SEF is not 

reported) 

Start date .................. 08–02–11 

Asset class ................ IR 

Contract type ............. S– 

Underlying asset 1 .... TX (note: TX represents Treasury 

10 year) 

Underlying asset 2 .... IIIL (note: IIIL represents 3 month 

LIBOR) 

Price Notation ........... 2.53 

Additional price notation.+0.07 

Notional currency 1 ... USD 

Notional or principal 

amount 1.

10M (note: this may 

be reported as 

‘‘10,000,000’’) 

Payment frequency 1 6M 

Payment frequency 2 1W 

Reset frequency 1 ..... 6M 

Reset frequency 2 ..... 1W 

Tenor ......................... G21 (note: actual 

day is not reported) 

Embedded option on 

swap.

EMBED1 

Option Strike Price .... O2.53 

Option Type .............. PF (note: this is always reported from 

the point of view of 

the variable leg) 

Option Family ............ EU (note: this is a 

European style option) 

Option currency ......... USD 

Option premium ........ –.04 (note: this may 

be reported as 

‘‘$100,000’’ depending on market 

conventions) 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76158 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

63 It is important to note that such standards are 

not intended to change the form in which market 

participants use to quote or construct swaps. 

64Section 2(a)(13)(E)(iv) requires that the 

Commission ‘‘take into account whether the public 

disclosure will materially reduce market liquidity.’’ 

65See Section 2(a)(13)(E)(iv). 

Field Description 

Option lockout period G12 (note: actual 

day is not reported) 

Option expiration ....... G21 (note: actual 

day is not reported) 

The Commission believes that as 

swaps become more standardized, 

market participants or real-time 

disseminators may develop a 

nomenclature that combines data fields 

in an easy-to-follow manner, while 

ensuring that all the relevant 

information in appendix A to this 

proposed part 43 is publicly 

disseminated. Even swaps with one or 

more non-standard terms may still be 

reported in a consolidated format. For 

example, the swap in the example above 

may be displayed as follows: 

16:20:47 IRS 10 TXIIIL S/1W 2.53 @0.07 

G21 EMBED1 EU 2.53PF@–.04 LOG12 

In the illustration above, the symbol 

‘‘C’’ is not included because as the 

markets develop the majority of 

standardized swaps will be cleared 

through DCOs, and an indication (e.g., 

the symbol ‘‘U’’) would only be 

necessary for the reporting of uncleared 

swaps. The term ‘‘SWM’’ is also omitted 

since, it could be assumed by market 

participants and the public that the 

swap has taken place on a swap market. 

Such indication would only be 

necessary if the swap was done offfacility, pursuant to the non-financial 

end-user exception from the mandatory 

clearing requirement under Section 

2(h)(7) of the CEA. The start date not 

reported for this swap because in this 

illustration, it is assumed that for a 

swap of ‘‘TXIIIL’’ the start date is always 

two business days after the date of 

execution (i.e., T+2). The term ‘‘IRS’’ 

would replace the separate data fields 

for asset class ‘‘IR’’ and contract type ‘‘S- 

’’ as the standard format once market 

participants have come accustomed 

reading data on a consolidated tape for 

swaps. The terms ‘‘USD’’ and ‘‘M’’ in 

10,000,000 are also dropped because in 

this illustration the market has 

developed in such manner as to 

understand that the standard trade is 

done in U.S. dollars and in round lots 

of one million or in this case ‘‘10’’. 

The Commission anticipates that in 

order for the price notation and 

additional price notation data fields to 

be of the greatest value to market 

participants and the public, some form 

of standardization likely will develop 

for the purposes of real-time public 

reporting and market participants 

consistently use these data fields.63 An 

example of the evolution of 

standardization is shown in the 

illustration above where price notation 

is displayed as the number ‘‘2.53’’, 

which is equal to the rates associated 

with payments on each leg at execution. 

Each leg of the swap’s present value of 

future payments would be equal to zero 

(i.e., a par swap’s value). The symbol 

‘‘@0.07’’ is listed in the illustration above 

because the present value of the frontend payment is the equivalent of a 

higher interest payment of 0.07 over the 

life of the swap for the party that is 

paying the fixed rate at execution. 

Payment frequency and reset frequency 

have been represented with an ‘‘S/1W’’ 

for the underlying assets because the 

symbol ‘‘TXIIIL’’ represents a plain 

vanilla interest rate swap where 

payment frequency and reset frequency 

are standardized terms of the swap 

transaction. In the illustration above, 

however, only the Treasury leg is 

standard, while the floating LIBOR leg 

is set to weekly versus its standard 

quarterly format. The symbol ‘‘G21’’ is 

reported to indicate that the 

requirements under the swap terminate 

in February 2021. In this illustration, 

‘‘TXIIIL’’ is still used as a symbol that 

lets participants know several of the 

previously required data fields are 

standardized and combined and 

therefore do not need to be displayed 

separately for real-time public reporting, 

while those fields that are non-standard 

are simply broken out and reported 

separately in a more traditional long 

format. 

The interest rate swap in this 

illustration contains an embedded 

option that is broken out so that data 

fields can be easily comparable across a 

wider variety of similar, but not 

identical swaps, thus promoting posttrade price transparency. The term 

‘‘EMBED1’’ indicates that this interest 

rate swap has an embedded option and 

the pricing information for such 

embedded option follows on the realtime public reporting consolidated tape. 

The symbol ‘‘2.53PF’’ replaces the 

separate data fields for option strike 

price ‘‘O2.53’’ and option type ‘‘PF’’. 

Option family ‘‘EU’’ is included in the 

consolidated tape to indicate the family 

of the embedded option. The option 

currency ‘‘USD’’ is left off of this 

transaction because it is assumed for a 

‘‘TXIIIL’’ swap, the option currency for 

any embedded options would be ‘‘USD’’, 

unless broken out and reported 

individually. The symbol ‘‘LOG12’’ is 

used instead of ‘‘G12’’ to indicate the 

lock out period to provide clarity. The 

option expiration of ‘‘G21’’ is omitted 

because the embedded option is 

assumed to be in a standard form and 

as such would be set to expire at the 

same time as the swap itself. If such 

embedded option was not in standard 

form, then the option expiration field 

would have been reported as an 

additional data field. 

The Commission requests comment 

on all aspects of the data fields in 

appendix A to proposed part 43 that 

would be required to be reported in realtime under this proposal. In addition, 

the Commission requests specific 

comment on the following issues: 

• Do commenters agree with the 

proposed data fields that would be 

required to be reported in real-time? If 

not, what additional data fields should 

be reported and why? How would 

public dissemination of these data fields 

enhance transparency and price 

discovery? 

• Which data fields, if any, should 

not be required to be publicly 

disseminated in real-time and why? 

• Would public dissemination of 

certain data fields reduce market 

liquidity? 64 If so, why? 

• Should the portion of the amount 

reported in the additional price notation 

data field that relates to the 

creditworthiness of a counterparty be 

extracted and reported as a separate data 

field? If so, why? Should the 

creditworthiness of a counterparty be 

reported in some other way? 

• Do commenters agree that tenure 

should only be reported with month and 

year? Is this a useful method for 

protecting the anonymity of the 

counterparties? Does this provide an 

adequate level of transparency? 

• Do commenters agree with the 

proposed method for real-time reporting 

and public dissemination of nonstandardized swaps? Should the 

‘‘indication of other price affecting term’’ 

data field contain more specificity as to 

what type of term is affecting the price? 

If so, what additional information 

should be included and how should it 

be reported? 

• Would public dissemination of 

information concerning nonstandardized swaps materially reduce 

market liquidity? If so, why? 65

• Under the proposal, the swap 

instrument data field would only be 

required for block trades and large 

notional swaps, should this data field be 

reported for all swaps? If so, why? 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76159 

66Pursuant to the Commission’s authority under 

Sections 2(a)(13)(B) and 2(a)(13)(E)(iii) of the CEA. 

67The Commission will continue to analyze and 

study the effects of increased transparency on posttrade liquidity, particularly in the context of block 

trades on swaps and large notional swaps. The 

Commission expects that, as post-trade 

transparency is implemented in the context of the 

Dodd-Frank Act, new data will come to light that 

will inform the discussion and could cause 

subsequent revision of the proposed rules. 

68See, e.g., CME Rulebook, Rule 526 (‘‘Block 

Trades’’). Available at: http://www.cmegroup.com/

rulebook/CME/index.html; ICE Futures U.S. 

Rulebook, Rule 4.31 (‘‘Block Trading’’). Available at: 

https://www.theice.com/Rulebook.shtml?

futuresUSRulebook=. 

69The legislative history to the Dodd-Frank Act 

provides the following statement by Senate 

Agriculture Committee Chairwoman Blanche 

Lincoln regarding block trades and large notional 

swaps: ‘‘I would like to specifically note the 

treatment of ‘block trades’ or ‘large notional’ swap 

transactions. Block trades, which are transactions 

involving a very large number of shares or dollar 

amount of a particular security or commodity and 

which transactions could move the market price for 

the security or contract, are very common in the 

securities and futures markets. Block trades, which 

are normally arranged privately, off exchange, are 

subject to certain minimum size requirements and 

time delayed reporting * * *.’’ 156 Cong. Rec. 

S5921 (daily ed. July 15, 2010) (statement of Sen. 

Blanche Lincoln). 

70By way of comparison, a party to a futures 

contract may elect not to treat the transaction as a 

block trade. By not electing to treat the transaction 

as a block trade, the party is choosing to place its 

order on the DCM’s centralized market. The party 

who makes such an election may believe that it will 

receive a better price in settling its trade 

immediately, on the DCM’s centralized market, 

rather than bilaterally negotiating the transaction 

and delaying the reporting of the trade. 

• Would information concerning the 

type of counterparties that enter into a 

swap enhance transparency and price 

discovery (e.g., whether the 

counterparty is a swap dealer, MSP, or 

not)? If so, why? 

• Would separately reporting 

embedded option information enhance 

price discovery and transparency? If 

not, why? 

• Do proposed § 43.4 and appendix A 

to proposed part 43 provide adequate 

guidance with respect to the 

information that must be reported? If 

not, what additional guidance do 

commenters believe is necessary? 

• Do commenters agree with the 

reporting of price-affecting continuation 

events? Should data relating to these 

events be publicly disseminated in realtime in the same way as new swap 

transactions? What additional types of 

transactions, if any, would be priceaffecting continuation events that 

should be reported and publicly 

disseminated in real-time? 

• What would be the costs of 

reporting and publicly disseminating 

the proposed data fields? What would 

be the benefits? Please provide 

examples, if possible. 

5. Proposed Section 43.5—Block Trades 

and Large Notional Swaps 

Sections 2(a)(13)(E)(ii) and (iii) of the 

CEA authorize the Commission to 

prescribe rules ‘‘to specify the criteria 

for determining what constitutes a large 

notional swap transaction (block trade) 

for particular markets and contracts’’ 

and ‘‘to specify the appropriate time 

delay for reporting large notional swap 

transactions (block trades) to the 

public.’’ As discussed in the Background 

Section above, while Section 2(a)(13)(E) 

of the CEA specifically refers to the 

swaps described only in Sections 

2(a)(13)(C)(i) and 2(a)(13)(C)(ii) of the 

CEA (i.e., clearable swaps, including 

swaps that are exempt from clearing), 

the Commission believes that it is 

appropriate to consider the four criteria 

in Section 2(a)(13)(E) of the CEA for all 

four categories of swaps described in 

Section 2(a)(13)(C) of the CEA.66

Therefore, proposed § 43.5 establishes: 

(1) the procedures for determining the 

appropriate minimum sizes for block 

trades and large notional swaps; and (2) 

the appropriate time delays for the 

reporting of block trades and large 

notional swaps. 

In developing the proposed rules with 

respect to block trades and large 

notional swaps, the Commission 

considered its guidance with respect to 

block trades in the futures markets. 

Additionally, the Commission 

considered the treatment of block trades 

in other markets (both foreign and 

domestic), such as those for equities, 

options and corporate bonds. Further, 

the Commission considered the 

treatment and effects of swaps with 

large notional or principal amounts in 

the current OTC swap markets. The 

Commission is not aware of any 

academic literature that offers empirical 

evidence to support the claim of 

impaired liquidity given greater 

transparency or how block trades on 

swaps or large notional swaps are 

affected by a post-trade transparency 

regime.67

The Commission recognizes that the 

term ‘‘block trade’’ has different 

meanings in different markets. For 

example, in the futures markets, a block 

trade is a permissible, privately 

negotiated transaction that equals or 

exceeds a DCM’s specified minimum 

quantity of futures or options contracts 

and is executed away from the DCM’s 

centralized market but pursuant to its 

rules.68 Block trades are large-sized 

transactions that would cause a 

significant price impact if required to be 

executed on the DCM’s centralized 

market. In contrast, the Commission 

understands, through discussions with 

market participants, that in the swaps 

markets, asset managers that execute 

OTC swaps and then later distribute or 

allocate the swap to various clients or 

funds may refer to such bunched 

transactions as block trades. To clarify 

the Commission’s view of block trades 

on swaps, the proposed rules include 

definitions for both ‘‘block trade’’ and 

‘‘large notional swap’’.69

i. Parties to a Block Trade or Large 

Notional Swap 

Proposed § 43.5(b)(1) provides that 

any party to a block trade or large 

notional swap is required to be an 

eligible contract participant (‘‘ECP’’) as 

that term is defined in Section 1(a)(18) 

of the CEA. The ECP requirement relies 

on Section 2(e) of the CEA, which 

provides that ‘‘[i]t shall be unlawful for 

any person, other than an eligible 

contract participant, to enter into a swap 

unless the swap is entered into on, or 

subject to the rules of, a board of trade 

designated as a contract market under 

section 5.’’ The parties to any block 

trade, pursuant to a swap market’s rules, 

and any large notional swap executed 

off-facility, must be ECPs. However, the 

proposed rule makes clear that a 

registered DCM may allow commodity 

trading advisors acting in an asset 

managerial capacity and investment 

advisors that have over $25 million in 

assets under management, including 

foreign persons performing equivalent 

roles, to carry out block trades on a 

registered DCM for non-ECP customers. 

Any such person may not conduct a 

trade on behalf of a customer unless the 

person receives instruction or prior 

consent to do so. 

Proposed § 43.5(b)(2) requires that 

parties to a swap that is equal to or 

greater than the minimum block trade 

size must elect to be treated as a block 

trade and that the swap market must 

provide the real-time disseminator with 

such election. The block trade election 

allows parties to a swap to calculate the 

impact of executing the transaction 

bilaterally and delaying public 

dissemination versus executing the 

transaction on a swap market’s trading 

system or platform where there would 

be no delay in the dissemination of the 

swap’s transaction and pricing data. 

Proposed § 45.5(b)(2) also requires that 

the parties to a swap that qualifies as a 

large notional swap must elect to be 

treated as a large notional swap and the 

reporting party must provide the realtime disseminator with such election.70

ii. Block Trades on Swaps 

Proposed § 43.2(f) and (l) define 

‘‘block trade’’ and ‘‘large notional swap’’ 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76160 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

71Both block trades and large notional swaps 

would only apply to new events (i.e., not price 

affecting continuation events). 

72As described below, swaps that rely on the 

exception in Section 2(h)(7) of the CEA, although 

large notional swaps, are subject to the same time 

delay as block trades. 

73Proposed § 43.5(f) would require five distinct 

time-stamps for block trades and three distinct 

time-stamps for large notional swaps. Block trades 

would receive a time-stamp by: (1) The parties at 

execution; (2) the swap market upon receipt of the 

data; (3) the swap market when it sends the data 

to a real-time disseminator; (4) the real-time 

disseminator upon receipt of the data; and (5) the 

real-time disseminator upon public dissemination 

of the data. A large notional swap would receive a 

time-stamp: (1) The parties at execution; (2) the 

real-time disseminator (a registered SDR, if 

available) upon receipt of the data; and (3) the realtime disseminator (a registered SDR, if available) 

upon public dissemination of the data. 

74Proposed § 43.2(c) defines ‘‘appropriate 

minimum block size’’ to mean the minimum 

notional or principal size of a swap instrument that 

qualifies swaps within such category of swap 

instrument as a block trade. 

as separate concepts to distinguish the 

difference between large notional or 

principal sized trades executed 

pursuant to a swap market’s rules (block 

trades) and off-facility swaps that are 

not subject to a swap market’s rules but 

have very large notional or principal 

sizes (large notional swaps). Proposed 

§ 43.2(f) defines a block trade as a swap 

transaction that: (1) Involves a swap that 

is made available for trading or 

execution on a swap market; (2) occurs 

off the swap market’s trading system or 

platform pursuant to the swap market’s 

rules and procedures; (3) is consistent 

with the minimum block trade size 

requirements set forth in proposed 

§ 43.5; and (4) is reported in accordance 

with the swap market’s rules and 

procedures and subject to the 

appropriate time delay set forth in 

proposed § 43.5.71

Proposed § 43.5(c)(2) provides that a 

reporting party for any block trade must 

report the block trade transaction and 

pricing data pursuant to the rules of the 

swap market that makes that swap 

available for trading. Such reporting 

must occur as soon as technologically 

practicable after execution of the block 

trade and pursuant to the rules of the 

swap market. 

Proposed § 43.5(c)(3) would require 

the swap market that accepts the block 

trade to immediately send the block 

trade transaction and pricing data to a 

real-time disseminator, which shall not 

publicly disseminate the swap 

transaction and pricing data before the 

expiration of the appropriate time delay 

described in proposed § 43.5(k) 

discussed below. 

The Commission requests comment 

generally on all aspects of the proposed 

rules regarding block trades. In addition, 

the Commission requests specific 

comment on the following issues: 

• Do commenters agree with the 

proposed definition of ‘‘block trade’’? If 

not, why? 

• Do commenters believe that the 

Commission should set a maximum 

time frame in which a reporting party 

must report a block trade to a swap 

market, or should such time period be 

defined pursuant to the rules of the 

respective swap markets? 

iii. Large Notional Swaps 

Proposed § 43.2(l) defines a large 

notional swap as a swap that (1) is not 

available for trading or execution on a 

swap market; (2) is consistent with the 

appropriate size requirements for large 

notional swaps set forth in proposed 

§ 43.5; and (3) is reported in accordance 

with the appropriate time delay 

requirements set forth in proposed 

§ 43.5. Similar to the proposed reporting 

requirements for block trades, the 

reporting party to a large notional swap 

must report to a real-time disseminator 

as soon as technologically practicable. 

Such large notional swaps may include: 

(1) Swaps that would have been subject 

to mandatory clearing, and for which an 

end-user relies on the exception from 

the mandatory clearing requirement in 

Section 2(h)(7) of the CEA; 72 or (2) other 

off-facility swaps that are not subject to 

mandatory clearing but have large 

notional amounts (which would include 

non-standardized swaps). The proposed 

rules provide that if a swap is 

sufficiently large in notional or 

principal amount, such swap could be 

considered a large notional swap and 

therefore may be eligible for the same 

time delay in real-time public reporting 

as block trades. 

Proposed § 43.5(d) requires the 

registered SDR that has received the 

swap transaction and pricing data for a 

large notional swap not to publicly 

disseminate such data before the 

expiration of the appropriate time delay 

described in proposed § 43.5(k). 

Proposed § 43.5(e) provides that an 

off-facility swap where neither 

counterparty is a swap dealer or an MSP 

(e.g., a swap between two end-users) 

may be eligible to be a large notional 

swap. Although the parties to these 

swaps will not be registrants with the 

Commission, this provision specifies 

that such swaps (i.e., end-user to enduser transactions) will be treated the 

same as swaps in which a swap dealer 

or MSP is a party. 

The Commission requests comment 

generally on all aspects of the proposed 

rules regarding large notional swaps. In 

addition, the Commission requests 

specific comment on the following 

issues: 

• Do commenters agree with the 

proposed definition of ‘‘large notional 

swap’’? If not, why? 

• Do commenters agree that offfacility swaps in which neither party is 

a swap dealer or an MSP be eligible to 

be treated as large notional swaps? If 

not, why? 

iv. Time-Stamp and Reporting 

Requirements for Block Trades and 

Large Notional Swaps 

In addition to the execution timestamp requirement under proposed 

§ 43.4 and appendix A to proposed part 

43, proposed § 43.5(f) would require a 

swap market and registered SDR that 

accepts and publicly disseminates swap 

transaction and pricing data in real-time 

to have additional time-stamp 

requirements with respect to block 

trades and large notional swaps. 

Proposed § 43.5(f)(1) would require 

swap markets to time-stamp swap 

transaction and pricing data with the 

date and time to the nearest second (1) 

when such swap market receives the 

data from a reporting party and (2) when 

a swap market transmits such data to a 

real-time disseminator. Proposed 

§ 45.5(f)(2) would require registered 

SDRs that accept and publicly 

disseminate swap transaction and 

pricing data in real-time to time-stamp 

such data with the date and time to the 

nearest second when (1) such registered 

SDR receives such swap transaction and 

pricing data from a swap market or 

reporting party and (2) when such data 

is publicly disseminated.73 Proposed 

§ 43.5(f)(3) would require that records of 

these additional time-stamps be 

maintained for a period of at least five 

years from the execution of the block 

trade or large notional swap. The 

Commission believes that requiring a 

swap market and a registered SDR to 

time-stamp these actions for block 

trades and/or large notional swaps is 

essential in providing an audit trail for 

block trade and large notional swap 

transactions from execution through 

public dissemination. Additionally, 

such time-stamps would provide the 

Commission ability to monitor whether 

reporting parties, swap markets and 

registered SDRs are reporting the block 

trades and large notional swaps in the 

manner described in proposed part 43. 

v. Responsibilities of Registered SDRs in 

Determining the Appropriate Minimum 

Block Size 

Proposed § 43.5(g) would require 

registered SDRs to calculate the 

appropriate minimum block size 74 for 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76161 

75As discussed below, proposed § 43.2(y) defines 

‘‘swap instrument’’ to mean a grouping of swaps in 

the same asset class with the same or similar 

characteristics. Swaps in a category of swap 

instruments may be traded on SEFs, DCMs or offfacility. The Commission is requesting general and 

specific comment about the determination of swap 

instrument, as explained in the discussion of 

appendix A to part 43 above. 

76The Commission has the authority to require 

registered SDRs to provide the appropriate block 

trade minimum size to the public under Sections 

21(c)(4)(B) and 21(c)(5) of the CEA. Section 

21(c)(4)(B) of the CEA states that an SDR shall 

provide data ‘‘in such form and at such frequency 

as the Commission may require to comply with the 

public reporting requirements contained in section 

2(a)(13).’’ Section 21(c)(5) of the CEA states that an 

SDR shall ‘‘at the direction of the Commission, 

establish automated systems for monitoring, 

screening, and analyzing swap data, including 

compliance and frequency of end-user clearing 

exemption claims by individual and affiliate 

entities.’’ 

77The Commission is considering alternative 

methods on how to determine the appropriate 

minimum block size when there is more than one 

registered SDR that accepts data for a particular 

asset class, including requiring a registered SDR to 

follow the requirements in § 40.6(a) of the CEA to 

self-certify the appropriate minimum block size and 

having the Commission make a determination of the 

appropriate minimum block size for a swap 

instrument. 

78The legislative history to the Dodd-Frank Act 

provides the following statement by Senate 

Agriculture Committee Chairwoman Blanche 

Lincoln regarding the calculation of the minimum 

size for block trades and large notional swaps: ‘‘The 

committee expects that regulators to distinguish 

between different types of swaps based on the 

commodity involved, size of the market, term of the 

contract and liquidity in that contract and related 

contracts, i.e.; for instance the size/dollar amount of 

what constitutes a block trade in 10-year interest 

rate swap, 2-year dollar/euro swap, 5-year CDS, 3- 

year gold swap, or a 1-year unleaded gasoline swap. 

While we expect the regulators to distinguish 

between particular contracts and markets, the 

guiding principal in setting appropriate block trade 

levels should be that the vast majority of swap 

transactions should be exposed to the public 

through exchange trading.’’ 156 Cong. Rec. S5,921– 

22 (daily ed. July 15, 2010) (statement of Sen. 

Blanche Lincoln). 

79TRACE does not use the term ‘‘block trades.’’ 

Rather, the TRACE system uses the term 

‘‘disseminated volume caps.’’ In discussions 

between TRACE representatives and staff, TRACE 

informed staff that disseminated volume caps are, 

for all intents and purposes, substantially similar to 

the minimum size requirements for block trades. 

80See TRACE, Trade Reporting and Compliance 

Engine, User Guide, Version 2.4—March 31, 2010, 

p. 50, http://www.finra.org/web/groups/industry/ 

@ip/@comp/@mt/documents/appsupportdocs/ 

p116039.pdf. 

81For the purposes of determining the 

appropriate minimum block size, swaps may be 

grouped by asset class into a category of swap 

instruments. As discussed above, proposed § 43.2(y) 

defines swap instrument as a grouping of swaps in 

the same asset class with the same or similar 

characteristics. A registered SDR would determine 

a swap instrument based on different criteria per 

asset class. The Commission is requesting comment 

on the appropriate criteria to determine the 

categories of swap instruments for a particular asset 

class. 

82The Commission anticipates that as swap 

markets develop, certain adjustments for 

seasonality, etc., may become relevant depending 

on the particular type of swap contract. 

83Rounding would occur pursuant to the 

rounding rules for the real-time public reporting of 

notional or principal amounts which are illustrated 

in proposed § 43.4(i). 

swaps for which such registered SDR 

receives data in accordance with 

Section 2(a)(13)(G) of the CEA. Such 

appropriate minimum block size for a 

swap instrument 75 shall be the greater 

of the resulting number derived from 

the ‘‘distribution test’’ and the ‘‘multiple 

test’’ (each described below).76 If there is 

only one registered SDR for a particular 

asset class, the registered SDR would 

have to calculate the appropriate 

minimum block size. Since registered 

SDRs will be receiving data from all 

swaps within an asset class, they should 

have a more complete set of swap data 

and therefore the calculations will be 

based off of a more complete set of swap 

data. In the event that there are multiple 

registered SDRs for an asset class, and 

therefore, multiple registered SDRs 

would accept swaps for a particular 

category of swap instrument, the 

Commission will prescribe how the 

appropriate minimum block size should 

be calculated, in a way that accounts for 

all the relevant data.77

The Commission requests comment 

on the appropriate methods to calculate 

the appropriate minimum block size 

when more than one registered SDR 

accepts swap data for a particular asset 

class or swap instrument. In addition, 

the Commission requests specific 

comment on the following issues: 

• Who should determine the 

appropriate minimum block size when 

there is more than one registered SDR 

that accepts swap data for a particular 

asset class or instrument? 

• Should the Commission require 

registered SDRs to self-certify 

determinations of the appropriate 

minimum block size for swap 

instruments? 

vi. Formula To Calculate the 

Appropriate Minimum Block Size 

Section 2(a)(13)(E)(ii) of the CEA 

directs the Commission to determine the 

appropriate minimum size for large 

notional swaps and block trades.78

Proposed § 43.5(g)(1) describes the 

procedure and calculations that a 

registered SDR must follow in 

determining the appropriate minimum 

block size. In determining the 

appropriate calculations, the 

Commission considered: (1) Currently 

existing size standards for block trades 

in other markets; (2) the potential 

impact of block trades on liquidity; and 

(3) the frequency of block trades in other 

markets, including equities, bonds and 

futures markets. The Commission also 

considered the standards used by 

TRACE in setting its minimum 

threshold for block trades.79 In that 

regard, for trades with a par value 

exceeding $5 million for investmentgrade bonds or $1 million for noninvestment grade bonds (e.g., high-yield 

and unrated debt), TRACE publicly 

disseminates the quantity as ‘‘5MM+’’ 

and ‘‘1MM+’’, respectively.80 In 

developing the appropriate minimum 

block size formula, the Commission 

considered the many differences within 

the swaps markets, including 

differences in liquidity between 

particular markets and contracts and 

differences in product types between 

asset classes and within the same asset 

class. 

Proposed § 43.5(g)(1) would also 

require a registered SDR to set the 

appropriate minimum block size at the 

greater resulting number of each of the 

‘‘distribution test’’ and ‘‘multiple test.’’ 

vii. Distribution Test 

Proposed § 43.5(g)(1)(i) describes the 

distribution test as applying the 

‘‘minimum threshold’’ to the 

‘‘distribution of the notional or principal 

transaction amounts.’’ The proposed 

distribution test would require a 

registered SDR to create a distribution 

curve to see where the most and least 

liquidity exists based on the notional or 

principal transaction amounts for all 

swaps within a category of swap 

instrument.81 The application of the 

distribution test requires a registered 

SDR to determine first the distribution 

of the rounded notional or principal 

transaction amounts of swaps (rounded 

pursuant to the proposed rules in 

§ 43.4(i)) within a category of swap 

instrument and then calculate a notional 

or principal size for such swap 

instrument that is greater than the 

minimum threshold. 

Proposed § 43.5(g)(1)(i)(A) would 

require a registered SDR to pool and 

perform an empirical distributional 

analysis on the transactional data for the 

swaps included in each category of 

swap instrument by pooling the data 

from such swaps for which it has data 

that are executed on a swap market and 

that are executed off-facility. Proposed 

§ 43.5(g)(1)(i)(A) also provides that a 

registered SDR may consider other 

economic information in determining 

the appropriate minimum block size, in 

consultation with the Commission.82

The registered SDR should: (1) identify 

all of the rounded notional or principal 

amounts traded; (2) group the 

transactions of a particular swap 

instrument based on the rounded 

notional or principal amounts; 83 and (3) 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76162 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

84The Commission examined trading data for the 

Eurodollar (‘‘ED’’), crude oil (‘‘CL’’) and reformulated 

gasoline blendstock for oxygenate blending (‘‘RB’’) 

futures contracts, among other contracts. In the ED, 

CL and RB studies, the relevant time period was 

February 2009 to September 2010 (‘‘relevant time 

period’’). The Commission evaluated the frequency 

of use and impact of block trades in these three 

futures markets, which represent both liquid (e.g., 

ED) and less liquid (e.g., RB) markets. In the ED 

futures market, the Commission looked at a total of 

56,643,563 trades of which 502 trades were block 

trades under CME’s rules, representing 0.00089% of 

all trades in the ED futures market during the 

relevant time period. The average size of an ED 

futures block trade during the relevant time period 

consisted of 2,835 contracts, and the largest ED 

futures block trade consisted of 21,800 contracts. In 

the RB futures market, the Commission looked at 

10,230,939 trades of which 7,551 trades met the 

minimum qualifications of a block trade, 

representing 0.0739% of all trades in the RB futures 

market during the relevant time period. The average 

size of a RB futures block trade was 106.47 

contracts and the largest RB futures block trade was 

1,050 contracts. Lastly, in the CL futures market, the 

Commission looked at 53,796,956 trades of which 

9,346 trades were block trades, representing 

0.0173% of all trades during the relevant time 

period. The average size of a block trade in CL 

futures was 294.2 contracts and the largest 

individual trade was 5,200 contracts. 

At the time of the study, the block trade 

minimum was 4,000 ED futures contracts (or 1,000 

ED futures contracts, provided that a minimum of 

1,000 contracts are transacted in years 6–10), the 

block trade minimum size for RB futures was 100 

contracts and the block trade minimum size for RB 

futures was 100 contracts. See CME & CBOT Market 

Regulation Advisory Notice RA1006–3, October 19, 

2010. Available at: 

http://www.cmegroup.com/rulebook/files/ 

CME_CBOT_RA1006–3.pdf. See also, CME Rule 526 

(‘‘Block Trades’’). Available at: http:// 

www.cmegroup.com/rulebook/CME/I/5/26.html. 

85Proposed § 43.2(x) defines the ‘‘social size’’ as 

the greatest of the mode, median and mean 

transaction sizes of a particular type of swap. 

86The Commission also considered using one of 

the mode, median, or mean of a swap instrument 

category as the sole measurement of social size 

without first comparing the three to determine 

which is largest. However, the Commission 

determined such a methodology would render an 

incomplete understanding of a particular swap 

category. By itself, the mean would not represent 

the social size of a particular type of swap because, 

as the sum of the values divided by the total 

number of transactions, it would fail to accurately 

account for the influence of outliers at the extreme 

large end of the data set. The median, although it 

would take into account swap transaction outliers, 

would fail to accurately reflect which trade size is 

transacted most often. Finally, the mode, which 

would represent the trade size that occurs most 

frequently in a particular type of swap, would fail 

to take into account a market where trade sizes were 

thinly spread and where there were large gaps in 

data points or in swap markets without a normal 

distribution. 

87See, e.g., Comments from Robert Cook, Director 

of the Division of Trading and Markets, SEC, Yunho 

Song, Managing Director/Senior Trader, Bank of 

America Merrill Lynch and Conrad Volstad, Chief 

Executive Officer, ELX Futures, L.P.: 

Mr. Cook: Let me ask in terms of methodology, 

it’s been argued by some to us that there are certain 

markets where there’s a social size of trade or fairly 

standardized level of trading that could be used as 

a part of a building block or measuring— 

measurement of a block trade and others where 

there aren’t. I would just ask if, in your experience, 

there are generalizations that can be drawn and, if 

so, what product categories do you think would 

lend themselves most to that type of approach to 

the issue? 

Mr. Song: Well, I’ll have a go at this. It’s relatively 

the easiest for the most liquid products say like 

interest rate swaps because you can get data from 

banks and brokers as to—like data mining. How 

many trades have you done? What is the maturity 

profile? What is the median ticket size? What ticket 

size will put you in the top tenth percentile? Those, 

I think, you would have the relatively the least 

amount of hurdles to derive those number 

scientifically. Where it gets difficult is with the 

products that might trade, like, once a month, 

because then you’ve got the issue with these lumpy 

trades, right. It could be very illiquid. Well, you 

may not trade for a few months. You do this 

gigantic trade and then you do very little trades 

again and then another gigantic trade. But for— 

again for the bulk of the OTC derivative market, for 

interest rate swaps and plain vanilla options, I 

believe that that data is relatively readily available. 

Mr. Voldstad: I would think the same is true for 

(inaudible) credit default swaps as it is for various 

indices. Roundtable Tr. at 376–377. 

88The legislative history to the Dodd-Frank Act 

provides the following statement by Senate 

Agriculture Committee Chairwoman Blanche 

Lincoln regarding the calculation of the minimum 

size for block trades and large notional swaps: 

‘‘Block trades, which are transactions involving a 

very large number of shares or dollar amount of a 

particular security or commodity and which 

transactions could move the market price for the 

security or contract, are very common in the 

securities and futures markets. ’’ 156 Cong. Rec. 

S5,921 (daily ed. July 15, 2010) (statement of Sen. 

Blanche Lincoln). 

89Assuming that the median ($55 million) is the 

largest of the mode, median and mean, the median 

would be multiplied by the block multiplier (five 

(5)) to equal $275 million. 

calculate the empirical distribution of 

all trades for the swap instrument. 

Once the distribution of notional or 

principal transaction amounts is 

completed for a swap instrument, a 

registered SDR must then apply the 

minimum threshold to such 

distribution. Proposed § 43.5(g)(1)(i)(B) 

describes the ‘‘minimum threshold’’ as a 

notional or principal amount that is 

greater than 95% of transaction sizes in 

a category of swap instrument during 

the period of time represented by the 

distribution of the notional or principal 

transaction amounts. Setting the 

threshold level at 95% ensures that the 

resulting number from the distribution 

test will be large relative to the notional 

value of other swaps of the same type. 

In determining the appropriate 

percentage at which to set the 

‘‘minimum threshold,’’ the Commission 

considered the impact of block trades in 

selected futures markets.84 In the 

studies conducted by the Commission, 

the Commission found that block trades 

made up a small percentage of the 

overall markets, accounting for less than 

0.075% of total trades in the three 

observed markets (i.e., ED, CL and RB 

futures contracts). Recognizing that the 

market for swaps is not as liquid as that 

of futures, and recognizing market 

participants’ needs to lay-off risk 

associated with block trades, the 

Commission is proposing a minimum 

threshold of greater than 95%. 

viii. Multiple Test 

Proposed § 43.5(g)(1)(ii) provides that 

to apply the multiple test to a swap 

instrument, a registered SDR shall 

multiply the ‘‘block multiple’’ by the 

‘‘social size’’.85 The multiple test is 

necessary since the market for a swap 

instrument may be illiquid and there 

may be very few transactions over a 

particular period to provide a 

meaningful distribution of transaction 

amounts. 

Proposed § 43.5(g)(1)(ii)(A) provides 

that the social size shall be determined 

by: (1) Calculating the mode, median 

and mean transaction sizes for all swaps 

within a category swap instrument; and 

(2) choosing the greatest of the mode, 

median and mean transaction sizes.86

Commission staff’s research and 

external meetings with market 

participants indicated that a swap’s 

‘‘social size’’ is an important criterion in 

quantifying an appropriate minimum 

block size.87 The social size, or 

customary transaction size, for a swap 

varies by asset class, tenor and delivery 

points. 

Once the social size is determined, 

the registered SDR must then apply the 

block multiplier. Proposed 

§ 43.5(g)(1)(ii)(B) provides that the block 

multiple shall be set at five, so therefore 

the registered SDR should multiply the 

social size by five. The resulting product 

will be the number that the registered 

SDR compares to the resulting number 

from the distribution test, the greater of 

which will be the appropriate minimum 

block size for such swap instrument. In 

determining the block multiplier, the 

Commission selected a number that it 

believed would help to ensure that the 

block trade size was sufficiently large 

relative to the trading in a particular 

market and would take into account 

those markets that have very little 

trading. 

The Commission believes this 

proposed two-part test is necessary to 

ensure that qualifying block trades are, 

in fact, large trades relative to the 

notional or principal amounts for a 

swap instrument.88 For example, 

suppose there is a swap instrument that 

has 500 trades over a one month period 

and all of the specific swap instruments 

had notional values between $50 and 

$60 million. Using the distribution test, 

the appropriate minimum block size 

would be somewhere close to $60 

million. Using the multiple test, the 

appropriate minimum block size would 

be $275 million.89 The $60 million 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76163 

90As discussed, such initial determination may 

be done by either grouping such newly-listed swap 

into an existing swap instrument category or by 

creating a new category of swap instrument and 

determining the appropriate minimum block size 

based on the criteria set forth in proposed § 43.5. 

91Registered SDRs will have the relevant swap 

data readily available since it will be sent to them 

pursuant to Section 2(a)(13)(G) of the CEA, and the 

Commission does not anticipate that the annual 

review calculations required by this proposed rule 

will be burdensome on a registered SDR. 

Additionally, market participants and the public 

will receive the benefit of having up-to-date, 

appropriate minimum block sizes that accurately 

reflect the current market for a swap instrument. 

92Proposed § 43.2(m) defines ‘‘minimum block 

trade size’’ as the minimum notional or principal 

amount, as determined by each swap market, for a 

block trade in a particular type of swap that is listed 

or executed on such swap market. 

93The Commission recently proposed 

amendments to § 40.6(a) of the CEA. See 75 FR 

67282 (November 2, 2010). 

notional size determined by the 

distribution test would not move the 

market (since the market can clearly 

handle that size) and would therefore 

not be a large notional amount relative 

to the other notional amounts that 

traded over the one month period. 

Therefore, in this example, the 

distribution test alone would not 

provide a good measure for the 

appropriate minimum block size. The 

proposed rules would require the 

registered SDR to compare the resulting 

number from the distribution test to 

resulting number from the multiple test. 

The greater of the two numbers would 

be the appropriate minimum block size 

for a swap instrument, which the 

registered SDR would post on its 

Internet Web site. In the example above, 

the result of the multiple test ($275 

million) is greater than the distribution 

test and therefore would be the 

appropriate minimum block size that is 

posted by the registered SDR for the 

swap instrument. 

With respect to newly-listed swaps, a 

registered SDR would be required to 

evaluate the distribution of notional or 

principal transaction amounts and 

calculate the mode, median and mean, 

over the one month period following the 

registered SDR’s acceptance of the swap 

data pursuant to Section 2(a)(13)(G) of 

the CEA. Proposed § 43.5(g)(2) provides 

that after such one month period, the 

registered SDR would assign the newlylisted swap to the appropriate category 

of swap instrument or determine that a 

new category of swap instrument was 

necessary and would set an appropriate 

minimum block size. Proposed 

§ 43.5(g)(2) also provides that registered 

SDRs should make an initial 

determination of the appropriate 

minimum block size 90 for a newlylisted swap one month after such newlylisted swap is first executed and 

reported to the registered SDR pursuant 

to Section 2(a)(13)(G) of the CEA. The 

Commission believes that one month of 

trading data provides a registered SDR 

with sufficient data to determine an 

appropriate minimum block size for a 

swap instrument. 

Proposed § 43.5(g)(3) provides that 

registered SDRs must publish the list of 

the appropriate minimum block sizes in 

swap instruments on its Internet Web 

site, for which the registered SDR has 

received data pursuant to Section 

2(a)(13)(G) of the CEA. Such appropriate 

minimum block size information must 

be available to the public in an open 

and non-discriminatory manner. 

Proposed § 43.5(g)(4) would require 

that a registered SDR evaluate the 

distribution of notional or principal 

transaction amounts and calculate the 

mode, median and mean, on a yearly 

basis, initially beginning in accordance 

with the implementation timeframe for 

which the Commission is requesting 

public comment. The Commission 

recognizes that the appropriate 

minimum block size for a swap 

instrument may change due to market 

conditions. Such annual adjustments 

are in addition to the requirement to 

provide an appropriate minimum block 

size for newly-listed swaps one month 

after the registered SDR first receives 

data for such swap. Publishing the 

information on the same date each year 

(10th business day) will allow swap 

markets, market participants and the 

public certainty as to when they should 

check the appropriate minimum block 

sizes and, in the case of swap markets, 

adjust the minimum block trade sizes. 

In making its calculations, the registered 

SDR should look back to the data over 

the previous year for a category of swap 

instrument. If a particular swap 

instrument does not have a an entire 

year’s worth of data, the proposed rules 

provide that the registered SDR should 

use the data that it has to make its 

determination of the appropriate 

minimum block size for a particular 

swap instrument. Proposed § 43.5(g)(4) 

also provides that registered SDRs shall 

begin to publish appropriate minimum 

block sizes for swap instruments in 

January 2012. The Commission believes 

that such timeframe allows the 

registered SDRs enough time to receive 

data to determine appropriate minimum 

block sizes for swap instruments. 

The Commission considered the 

burden on registered SDRs and the 

benefit to market participants, swap 

markets and the public in proposing an 

annual update of the appropriate 

minimum block size. Allowing for a 

longer period between reviews would, 

presumably, bring more certainty to 

traders who engage in long-term 

investment strategies. However, such 

longer periods would fail to take into 

account the dynamic nature of swaps 

markets, as significant changes in swaps 

markets may occur in a relatively short 

amount of time. Therefore, previously 

established appropriate minimum block 

sizes may fail to accurately reflect the 

market. Conversely, shorter timeframes 

(e.g., weekly, monthly, quarterly, etc.) 

were considered by the Commission, 

but such updates may be burdensome 

on registered SDRs and may create 

instability for market participants who 

engage in long-term investment 

strategies. The Commission believes that 

an annual review of the appropriate 

minimum block sizes is appropriate to 

balance these competing interests.91

ix. Responsibilities of Swap Markets in 

Determining Minimum Block Trade 

Sizes 

Proposed § 43.5(h) provides that after 

an ‘‘appropriate minimum block size’’ is 

established by either a registered SDR or 

by a Commission prescribed method, a 

swap market shall set the ‘‘minimum 

block trade size’’ 92 for those swaps that 

it lists and wishes to allow block 

trading, by referring to the appropriate 

minimum block size that is posted on a 

registered SDR’s Internet Web site for 

the swap instrument category for such 

swap. A swap market must set the 

minimum block trade size for a swap at 

an amount that is equal to or greater 

than the appropriate minimum block 

size listed by the appropriate registered 

SDR. A swap market would be 

responsible for ensuring that the 

minimum block trade sizes for swaps 

that it lists are consistent with the 

annual updates to the appropriate 

minimum block size for swap 

instruments. Additionally, a swap 

market would have to immediately 

apply any change to the minimum block 

size of a particular swap, following the 

posting of an appropriate minimum 

block size by a registered SDR. The 

swap market should follow the 

requirements set forth in § 40.6(a) of the 

Commission’s regulations.93

Proposed § 43.5(h) provides that if a 

swap market wishes to set a minimum 

block trade size for a swap that does not 

have an appropriate minimum block 

size listed by a registered SDR, the swap 

market must follow the rules in 

proposed § 43.5(i) which discusses the 

procedure for setting the minimum 

block trade size for newly-listed swaps. 

Proposed § 43.5(i) would require a 

swap market to set a minimum block 

trade size for newly-listed swap. 

Proposed § 43.2(n) defines a ‘‘newlyVerDate Mar<15>2010 18:32 Dec 06, 2010 Jkt 223001 PO 00000 Frm 00025 Fmt 4701 Sfmt 4702 E:\FR\FM\07DEP2.SGM 07DEP2

srobinson on DSKHWCL6B1PROD with PROPOSALS2
76164 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

94A swap market may, however choose not to 

allow block trading for such swaps and would 

therefore not be required to make such 

determination. 

95 If the initial minimum block trade size 

established by a swap market is greater than or 

equal to the appropriate minimum block size posted 

on a registered SDR’s Internet Web site, a swap 

market may not have to adjust its minimum block 

trade size. In such a situation, a swap market may 

reduce its minimum block trade size to the 

appropriate minimum block size. 

96For example, if on March 1, a newly-listed 

swap is executed on swap market 1 and a registered 

SDR is available to accept the swap transaction and 

pricing data for the swap. If on March 15, a swap 

is traded on swap market 2 with the same terms as 

the swap traded on swap market 1. The minimum 

block trade size established by swap market 1 will 

prevail until the appropriate minimum block size 

is calculated and posted on the registered SDR’s 

Internet Web site on April 1, at which time swap 

market 1 must ensure its minimum block trade size 

is greater than or equal to the appropriate minimum 

block size. The minimum block trade size 

established by swap market 2 will only be its 

prevailing block trade size until April 1st, when it 

must conform to the appropriate minimum block 

size as calculated by the registered SDR. 

97As noted, proposed § 45.3(b)(2) requires the 

reporting party of a large notional swap to elect to 

treat such swap as a large notional swap. 

listed swap’’ as a swap that is listed on 

any swap market where an appropriate 

minimum block size has not been 

published by a registered SDR.94 The 

minimum block trade size for a newlylisted swap that is set by a swap market 

would govern the trading of the newlylisted swaps on such swap market until 

such time as a registered SDR 

establishes an appropriate minimum 

block size for the newly-listed swap. 

Proposed§ 43.5(i)(1) provides that if a 

newly-listed swap is within the 

parameters of an existing category of 

swap instrument for which a registered 

SDR has posted an appropriate 

minimum block size, the swap market 

shall set the minimum block trade size 

for such newly-listed swap at a level 

equal to or greater than such appropriate 

minimum block size. The requirement 

would enable a swap market to 

reference a currently existing 

appropriate minimum block size as a 

point of reference during the one-month 

interim period until the registered SDR 

actually puts the swap in a particular 

category of swap instrument and 

establishes an appropriate minimum 

block size. Proposed § 43.5(i)(2) 

provides that in setting the minimum 

block trade size for a newly-listed swap 

that is not within an existing category of 

swap instrument, the swap market 

should consider: (i) The anticipated 

distribution of notional or principal 

transaction amounts; (ii) the social size 

for swaps in other markets that are in 

substance the same as the newly-listed 

swap; and (iii) the minimum block trade 

sizes of similar swaps in the same asset 

class.. After taking into account these 

considerations, proposed § 43.5(i)(3) 

provides that the swap market must 

ensure that the notional or principal 

amount selected represents a reasonable 

estimate of the greater of (i) a notional 

or principal amount that is greater than 

all but 95% of the total anticipated 

distribution of notional or principal 

transaction amounts over the one-month 

period immediately following the first 

execution of the swap; or (ii) five times 

the anticipated social size over the onemonth period immediately following 

the first execution of the swap. 

In the event that a registered SDR 

does not set an appropriate minimum 

block size for a newly-listed swap after 

one month, as described in proposed 

§ 43.5(g)(2), the Commission believes 

that in order to comply with the 

proposed requirements of § 43.5(i), a 

swap market should continue to revise 

the minimum block trade size for such 

newly-listed swap as trading increases 

in order to ensure that the estimated 

minimum block trade size is reasonable 

relative to increased trading activity for 

such newly-listed swap. Such process 

should continue until an appropriate 

minimum block size is published for the 

type of swap by a registered SDR.95

If the same type of swap begins 

trading on more than one swap market 

during the one-month period before a 

registered SDR sets the appropriate 

minimum block size, proposed § 43.5(i) 

would apply to each swap market where 

such swap is traded. Each such swap 

market should set the minimum block 

trade size the swap listed on its facility 

until an appropriate minimum block 

size is published by a registered SDR.96

x. Responsibilities of the Parties to a 

Swap in Determining the Appropriate 

Minimum Large Notional Swap Size 

Section 43.5(j)(1) provides the 

procedure for parties to a swap to 

determine the appropriate minimum 

large notional swap size.97 Because the 

appropriate minimum block size for 

swap instruments will be available on a 

registered SDR’s Internet Web site with 

respect to swaps that have been trading 

for one month or longer, the proposed 

rules provide that parties who engage in 

an off-facility swap, and seek to qualify 

their swap as a large notional swap, 

must refer to the appropriate minimum 

block sizes for swap instruments. Parties 

to such off-facility swap must then 

identify the category of swap instrument 

in which the swap that they wish to be 

considered a large notional swap would 

likely fall. The parties to the off-facility 

swap should refer to the appropriate 

minimum block size that is associated 

with the selected swap instrument, and 

the notional or principal amount of such 

swap must be equal to or greater than 

the appropriate minimum block size. If 

there is not an existing category of swap 

instrument with an appropriate 

minimum block size available to 

reference, then such swap between the 

parties shall not qualify as a large 

notional swap and would not be 

afforded any time delay in public 

reporting. In determining the 

appropriate category of existing swap 

instrument, the parties to a swap should 

consider and must document: (1) The 

similarities of the terms of the swap 

between the parties compared to the 

terms of swaps that are grouped within 

the existing category of swap instrument 

(e.g., similarities of the fields listed in 

appendix A to proposed part 43); and 

(2) other swaps listed on swap markets 

that were considered in evaluating the 

swaps that are grouped within the 

existing swap instrument. 

The Commission considered several 

factors in determining this proposed 

method for calculating the appropriate 

minimum size for large notional swaps. 

First, the appropriate minimum block 

sizes that are posted by a registered SDR 

should be accurate, up to date and 

accessible to market participants. 

Additionally, to the extent that the 

reporting party to a large notional swap 

is a swap dealer or MSP, such reporting 

parties would be subject to the 

Commission’s proposed rules for 

internal business conduct standards in 

proposed part 23 of the Commission’s 

regulations. Further, the swap 

instrument categories should be broadly 

defined to allow parties to a large 

notional swap to easily place their swap 

into one of the categories of swap 

instrument. The parties to an off-facility 

swap should therefore be able to 

accurately choose a swap instrument 

based on the criteria set forth in this 

proposed rule. 

Proposed § 43.5(j)(2) provides that, to 

the extent that the parties to a large 

notional swap transaction are swap 

dealers and/or MSPs, such parties must 

maintain records that illustrate the basis 

for the selection of the swap instrument 

for the large notional swap in 

accordance with proposed part 23 of the 

Commission’s regulations. This section 

also requires that such records be made 

available to the Commission upon 

request. This proposed recordkeeping 

requirement should ensure that parties 

to an off-facility swap do not attempt to 

manipulate these proposed rules. 

Proposed § 43.5(j)(3) provides that if 

the parties to a swap are unable to 

determine, identify or agree on the 

appropriate swap instrument to 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76165 

98See Section 2(a)(13)(E)(iv). 

99Section 2(a)(13)(A) of the CEA; see also, 

Statement of Senate Agriculture Committee 

Chairwoman Blanche Lincoln’s statement: ‘‘With 

respect to delays in public reporting of block trades, 

we expect the regulators to keep the reporting 

delays as short as possible.’’ 156 Cong. Rec. S5,922 

(daily ed. July 15, 2010) (statement of Sen. Blanche 

Lincoln). 

100Section 2(a)(13)(E)(iii) of the CEA. 

101Section 2(a)(13)(E)(iv) of the CEA. 

reference for the purposes of treating 

such swap as a large notional swap, 

such swap cannot qualify as a large 

notional swap and therefore will not be 

eligible for a time delay thereby 

requiring that such swap transaction 

and pricing data be publicly 

disseminated in real-time. 

The Commission requests comment 

generally on all aspects of determining 

the appropriate minimum size for block 

trades and large notional swaps. In 

addition, the Commission requests 

comment on the following issues: 

• Do commenters agree with the 

approach of having a registered SDR 

calculate and publicize appropriate 

minimum block size, but allowing swap 

markets to individually set their own 

minimum block sizes for particular 

contracts at a higher level based on the 

appropriate minimum block size? Why 

or why not? If not, please provide an 

alternative approach. 

• Is the distribution test an acceptable 

method of determining an appropriate 

minimum block size? If so, is 95% the 

appropriate minimum threshold? 

• Is the multiple test an acceptable 

method of determining an appropriate 

minimum block size? If so, is five the 

appropriate block multiple? 

• Do the distribution test and the 

multiple test, taken together, account for 

a situation where there is a swap 

instrument with an extremely small 

sample (e.g., less than 40 transactions 

for a category of swap instrument)? If 

not, what alternative method of 

calculation can be added for swap 

instruments with a small number of 

transactions? 

• Do commenters agree with the 

proposal to use the greater of the 

distribution test or the multiple test)? If 

not, what alternative approach should 

be used and why? 

• The Commission recognizes that the 

two-pronged formula for determining 

the appropriate minimum block size 

may lead to a relatively small 

appropriate minimum block size and 

the possibility that a significant 

percentage of the overall notional or 

principal amount of swaps transacted in 

a particular category of swap instrument 

could be executed pursuant to block 

trade rules or as large notional swaps, 

which are subject to a delay in real-time 

public dissemination. Therefore, should 

the Commission adopt an additional 

standard which would limit the 

aggregate notional or principal amount 

of block trades and large notional swap 

transactions to a percentage of the 

overall notional or principal volume 

over the prior year? If not, why not? If 

so, why and what should that 

percentage be? Should some other test 

be used to address this situation? 

• Do commenters agree that the 

appropriate minimum block sizes for 

swap instruments, as determined by a 

registered SDR, should apply to all swap 

markets and off-facility swaps, 

regardless of differences in liquidity in 

swap markets or off-facility? 98

• Should there be one block trade 

formula for all swaps? Should there be 

one block trade formula for all swaps in 

an asset class? Should different swap 

instruments have different block trade 

formulas? If commenters believe there 

should be various block trade formulas 

for different markets, for which markets 

and how should those standards be 

defined? 

• Do commenters agree with the 

proposed method for determining the 

minimum block size for large notional 

swaps? If not, why (please provide 

alternative methods)? Do commenters 

believe that there should be other 

criteria that should be considered in 

determining if a swap is a large notional 

swap? If so, what other criteria? 

• If there is more than one registered 

SDR per asset class, how could the 

Commission ensure that all registered 

SDRs implement the same appropriate 

minimum block size formula for the 

entire market for a category of swap 

instrument? How should the 

Commission approach this issue? 

• Do commenters believe that the 

concept of block trades should exist for 

newly-listed swaps? If not, why? Do 

commenters agree with the proposed 

method for determining the minimum 

block trade size for newly-listed swaps? 

If not, why? 

• Do commenters believe that the 

registered SDRs should initially 

calculate the appropriate minimum 

block size for a swap one month after a 

swap has been executed on a swap 

market? If so, why? If not, why? 

• If there is no registered SDR to 

accept swaps for an asset class, do 

commenters agree with the 

Commission’s proposal that swap 

markets will determine the minimum 

block sizes in the manner described in 

proposed § 43.5(h) and (i)? 

• Do commenters believe that having 

registered SDRs perform an annual 

review of all appropriate minimum 

block sizes is the appropriate frequency? 

If so, why? If not, why? 

• How much data would be necessary 

for the initial determination by 

registered SDRs of appropriate 

minimum block trade sizes? When 

should such initial determination of 

appropriate minimum block trade sizes 

begin? Should there be different initial 

determinations times based on asset 

class? If so, why? 

• Should registered SDRs consider 

data for pre-existing swaps (i.e., swaps 

entered into prior to the effective date 

of the Dodd-Frank Act) in making their 

determinations of the appropriate 

minimum block sizes for swap 

instruments? If so, why? If not, why? 

• Should registered SDRs have a 

requirement to consult with swap 

markets in calculating the appropriate 

minimum block size of a swap 

instrument? If not, should swap markets 

have an ability to dispute and/or appeal 

the calculation of the appropriate 

minimum block size for a swap 

instrument that is determined by a 

registered SDR? 

• Should registered SDRs submit to 

the Commission their formulas/ 

calculations for the appropriate 

minimum block sizes of swap 

instruments in order to ensure market 

transparency? 

xi. Time Delay in the Real-Time Public 

Reporting of Block Trades and Large 

Notional Swaps 

Section 2(a)(13)(A) of the CEA 

requires that all parties to swap 

transactions, including parties to block 

trades and large notional swap 

transactions, to report data relating to 

swap transactions ‘‘as soon as 

technologically practicable after the 

time at which the swap transaction has 

been executed.’’ 99 However, the DoddFrank Act also requires the Commission 

to promulgate rules ‘‘to specify the 

appropriate time delay for reporting 

large notional swap transactions (block 

trades) to the public.’’ 100 Additionally, 

the Dodd-Frank Act requires that the 

Commission, in writing these proposed 

rules, ‘‘take into account whether public 

disclosure will materially reduce market 

liquidity.’’ 101

The Commission recognizes the 

potential market impact that the 

reporting of a block trade or large 

notional swap may have on the market. 

Such potential market impact is critical 

to the determination of an appropriate 

time delay before public dissemination 

of block trade or large notional swap 

transaction and pricing data. The ability 

for market participants to trade in large 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76166 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

102See, e.g., the exchange at the Roundtable 

between Chester Spatt, Pamela R. and Kenneth B. 

Dunn Professor of Finance, Tepper School of 

Business, Director, Center for Financial Markets 

Carnegie Mellon University and Yunho Song, 

Managing Director/Senior Trader, Bank of America 

Merrill Lynch: 

MR. SPATT: So just to follow up on that as well, 

in the three years that I was at the SEC, was 

basically coincided with the three years after much 

of the implementation of TRACE. And while folks 

from industry repeatedly came in and pressed the 

point that spreads were wider, they never presented 

to us in any format a convincing empirical study 

and nor am I aware of any empirical study in the 

academic community to show those effects. So I do 

think it’s incumbent upon critics of post-trade 

disclosure to point to and identify convincing 

empirical evidence of these effects. And I think 

that’s extremely important to the regulators as they 

go forward, but I must say, I’m not aware of that 

evidence right now. 

MR. SONG: If I may comment on that—I think 

one of the distinctions we have is a market that may 

be [smaller] in retail based versus a market that is 

with [a] far small number of participant[s] and 

that’s institutional based. So, you may not be able 

to, for example, find who was doing a specific trade 

looking at a TRACE report so it has a marginal 

impact on the marketplace * * *. 

Roundtable Tr. at 332–333. 

103 In calculating the 15 minute time delay, the 

clock begins immediately upon execution of the 

swap transaction. Under proposed § 43.5(k), no 

pause in the running of the clock is permitted 

during the time it takes the reporting party or swap 

market to report the swap data to a real-time 

disseminator. 

104FINRA Rule 6730 (‘‘Transaction Reporting’’). 

Available at: http://finra.complinet.com/en/display/ 

display_main.html?rbid=2403&element_id=4402. 

105See TRACE, Trade Reporting and Compliance 

Engine, User Guide, Version 2.4—March 31, 2010, 

p. 50. Available at: http://www.finra.org/web/ 

groups/industry/@ip/@comp/@mt/documents/ 

appsupportdocs/p116039.pdf. 106The NYSE has a definition of ‘‘block trade’’ but 

such designation does not affect how such 

transactions are reported. See NYSE Rule 127. 107LSE rules require member firms to submit 

trade reports to LSE as ‘‘close to instantaneously as 

technically possible and that the authorized limit of 

three minutes should only be used in exceptional 

circumstances,’’; however, publication of such data 

may be deferred. See, LSE Rules 3020 and 3030, 

effective August 2, 2010. Available at: http:// 

www.londonstockexchange.com/traders-andbrokers/rules-regulations/rules-lse-2010.pdf. 

108See, CME Rule 526(F), (‘‘The seller must 

ensure that each block trade is reported to the 

Exchange within five minutes of the time of 

execution; except that block trades in interest rate 

futures and options executed outside of Regular 

Trading Hours (7 a.m.–4 p.m. Central Time, 

Monday–Friday on regular business days) and 

Housing and Weather futures and options must be 

reported within fifteen minutes of the time of 

execution.’’). Available at: http:// 

www.cmegroup.com/rulebook/CME/I/5/26.html. 

109See NYSE Liffe U.S. Rule 423(d), (‘‘Block 

Trades must be reported to the Exchange in a 

manner prescribed from time to time by the 

Exchange. Block Trades must be reported to the 

Exchange within 15 minutes after the completion of 

negotiations, but may not be submitted any later 

than 15 minutes prior to the Contract’s Trading 

Session close time.’’). Available at: http:// 

www.nyse.com/pdfs/rulebook.pdf. 

notional or principal amounts without 

market prices moving significantly 

against them is a vital component of any 

vibrant and liquid marketplace. 

In external meetings with market 

participants, CFTC staff was often told 

that increased pre-trade and post-trade 

transparency would enable frontrunning and may have an adverse 

impact on market liquidity. Specifically, 

market participants expressed concern 

that if they were required to publicly 

disseminate swap transaction and 

pricing data immediately after the 

execution of a block trade or large 

notional swap, other market participants 

would be able to profit on this 

information by anticipating the trading 

activity of the block trade or large 

notional swap participants who are 

attempting to hedge their swap 

portfolios. As other market participants 

anticipate the block trade or large 

notional swap parties’ hedges, prices 

may rise adverse to the market 

participant who is attempting to hedge 

and, as a result, certain market 

participants may be forced to take on 

increased costs and market exposure in 

offsetting their risk. Although CFTC 

staff was often told of the adverse 

impact of post-trade transparency on 

market liquidity, staff is not aware of 

any empirical evidence to support this 

position.102

Proposed § 43.5(k)(1) provides the 

appropriate time delays for public 

dissemination of block trades and large 

notional swaps. The time delay for 

public dissemination begins at 

execution of the swap (i.e., upon or 

immediately following or simultaneous 

with affirmation of the parties to the 

swap). Therefore, in the case of a block 

trade, the time delay would begin prior 

to the time that that a swap market 

receives the swap transaction and 

pricing data from a reporting party. The 

registered SDR that publicly 

disseminates such data would be 

responsible for ensuring that such data 

is disseminated in accordance with 

proposed § 43.5(k). 

Proposed § 43.5(k)(2) requires that the 

time delay for block trades be no later 

than 15 minutes after the time of 

execution. After the 15 minute time 

delay has expired, the registered SDR or 

the swap market (through a third-party 

service provider) must immediately 

disseminate the swap transaction and 

pricing data to the public.103 As 

discussed above, such delay does not 

apply to the reporting party’s 

requirement to report to a swap market 

or to a swap party’s requirement to 

report to a real-time disseminator. It is 

the responsibility of the registered SDR 

or the swap market (through a thirdparty service provider) to hold the swap 

data for a period of 15 minutes after the 

execution of the trade prior to 

dissemination. The 15 minute time 

delay would apply to all swaps in 

Sections 2(a)(13)(C)(i) and (iv) of the 

CEA, meaning that even though some 

swaps may be large notional swaps (e.g., 

those subject to the non-financial enduser exception from mandatory clearing) 

they would be subject to the same time 

delay as block trades executed pursuant 

to the rules of a swap market. The 

Commission believes that since swaps 

in Sections 2(a)(13)(i) and (iv) of the 

CEA will be standardized, they should 

be subject to the same time delay as 

other standardized swaps. 

In determining this proposed time 

delay for standardized block trades and 

large notional swaps, the Commission 

considered time delays for reporting 

block trades or large notional 

transactions in other markets. FINRA’s 

TRACE system for corporate and agency 

debt securities requires that 

‘‘transactions in TRACE-eligible 

securities executed on a business day at 

or after 8:00 a.m. Eastern Time through 

6:29:59 p.m. Eastern Time must be 

reported within 15 minutes of the time 

of execution.’’ 104 Given the 15 minute 

reporting delay, TRACE does not 

provide any additional time delay for 

those trades that are subject to 

disseminated volume caps.105 On the 

other hand, in the equity securities 

markets the New York Stock Exchange 

(‘‘NYSE’’) requires all trades to be 

reported within 30 seconds; no 

additional time delay is provided for 

block trades.106 The London Stock 

Exchange (‘‘LSE’’) allows the publication 

of the trade to be delayed, if requested, 

for a specified period of time which is 

dependent on the volume of the trade 

compared to the average daily turnover, 

as published by LSE, for that particular 

security.107 In the futures markets, CME 

Group’s rules require the seller in a 

block trade transaction to report to the 

exchange within five minutes of 

execution if the trade is executed during 

regular trading hours (as compared to 

the immediate reporting exchange 

executed transactions). After the 

reporting of the block trade data, the 

exchange ‘‘promptly publishes such 

information separately from the reports 

of transactions in the regular 

markets.’’ 108 NYSE Liffe U.S., on the 

other hand, allows a 15 minute delay 

after the trade is executed to publicly 

report the block trade information.109

Proposed § 43.5(k)(3) provides that 

large notional swap transaction and 

pricing data must be reported to the 

public by the registered SDR that 

accepts and publicly disseminates such 

data subject to a time delay as may be 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76167 

110See 7 U.S.C. 19(a). 

prescribed by the Commission. The 

Commission believes that such time 

delay for large notional swaps may vary 

based on whether a swap’s underlying 

asset is a financial or a physical 

commodity, asset class, and/or other 

factors. This provision covers all swaps 

under Sections 2(a)(13)(C)(ii) and (iii) of 

the CEA, which covers those swaps that 

are not subject to the mandatory 

clearing requirement. The swaps that 

fall under Sections 2(a)(13)(C)(ii) and 

(iii) of the CEA generally will be more 

customized and may, in some instances 

require, in the case of large notional 

swaps, different time delays than the 

time delays for block trades. 

Proposed § 43.5(l) provides that all 

information in the data fields described 

in appendix A to this part and proposed 

§ 43.4 shall be disseminated to the 

public for block trades and large 

notional swaps. 

The Commission requests comment 

generally on all aspects of the proposed 

time delay in reporting block trade and 

large notional swap transaction and 

pricing data to the public. In addition, 

the Commission requests specific 

comment on the following issues: 

• Do commenters believe that any 

time delay is appropriate for block 

trades and/or large notional swaps? If 

not, why? If so, why? 

• Is a 15 minute time delay for 

publicly reporting the block trade 

transaction and pricing data described 

in the proposed rules an appropriate 

amount of time? If not, why? If so, why? 

• Should the Commission consider 

different time delays for block trades 

that are significantly larger than the 

appropriate minimum block trade size? 

If so, why? How much larger than the 

appropriate minimum block trade size 

should the notional or principal amount 

be to warrant an additional time delay? 

• Should the Commission consider 

different time delays for block trades 

and large notional swaps based on asset 

classes, swap instruments or particular 

contracts? If so, what factors or specific 

examples would warrant such longer 

time delays? 

• How should the Commission 

determine an appropriate time delay for 

large notional swaps? The Commission 

believes that swaps will fall under the 

Commission’s jurisdiction in the equity, 

credit, currency and interest rate asset 

classes (i.e., financial swaps) can be 

distinguished from those swaps that fall 

in the other commodity asset class (e.g., 

physical commodities). The 

Commission’s presumption is that 

swaps in the equity, credit, currency 

and interest rate asset classes be subject 

to the same time delay as block trades 

(i.e., 15 minutes). Do commenters agree 

that 15 minutes is an appropriate delay 

for these trades? If not, why and what 

would be an appropriate time delay? 

With regard to the time delay for large 

notional swaps in the other commodity 

asset class, the Commission recognizes 

a longer time delay may be necessary 

due to the hedging strategies that are 

associated with such swaps. What time 

delay would be appropriate for swaps in 

the other commodity asset class and 

why? 

• What are the factors that should be 

considered in determining how long a 

time delay for a large notional swap 

should be? Which characteristics of a 

swap should be taken into consideration 

in determining the time delay for 

publicly disseminating swap transaction 

and pricing data relating to a large 

notional swap? 

• If commenters believe that there 

would be an adverse price impact for 

traders if all information on block trades 

were made available in real-time, do 

commenters have any studies or 

empirical evidence to support that 

assertion? What would be the long-term 

effects on the market if all market 

participants knew the swap transaction 

and pricing details of all swaps in realtime? Would this impact liquidity? If so, 

how? 

• Would the differences between the 

Commission’s and the SEC’s proposals 

for treatment of block trades, 

particularly regarding the time delay for 

public dissemination of block trade 

information provide for unfair treatment 

for any market participants? If so, how? 

Could the differences in the proposals 

regarding the time delay lead to any 

disruption in trading in any swaps 

markets? If so, how? 

xii. Prohibition of Aggregation of Trades 

Proposed § 43.5(m) prohibits the 

aggregation of orders for different 

trading accounts in order to satisfy the 

minimum block size requirement, 

except if done on a DCM by a 

commodity trading advisor acting in an 

asset manager capacity or an investment 

advisor who has $25 million in total 

assets under management. 

III. Related Matters 

A. Cost-Benefit Analysis 

1. Introduction 

Section 15(a) of the CEA requires the 

Commission to consider the costs and 

benefits of its actions before issuing a 

rulemaking under the CEA.110 By its 

terms, Section 15(a) of the CEA does not 

require 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) of the CEA 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) 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 or 

accomplish any of the purposes of the 

CEA. 

2. Summary of Proposed Requirements 

The proposal provides rules for the 

real-time public reporting of all swap 

transaction data, including volume and 

pricing data. The proposed rules 

mandate that reporting parties (which 

include swap dealers, MSPs and endusers) and swap markets (which include 

SEFs and DCMs), be responsible for the 

reporting of the swap transaction and 

pricing data in real-time by sending the 

data to an appropriate real-time 

disseminator. For swaps traded on a 

swap market, the swap market must 

send the data to a registered SDR or 

third-party service provider and such 

entity will publicly disseminate the 

swap transaction and pricing data in 

real-time. For off-facility swaps, the 

reporting party (either an MSP, swap 

dealer, or end-user) must send the data 

to a registered SDR, or if no registered 

SDR is available, to a third-party service 

provider, who will publicly disseminate 

the swap transaction and pricing data. 

The proposed rules also specify rules for 

how swap transaction and pricing data 

for trades deemed as either a block trade 

or large notional swap should be 

publicly disseminated. 

3. Costs 

With respect to costs, the Commission 

believes that the proposed reporting and 

recordkeeping requirements would 

impose significant compliance costs on 

registered SDRs, SEFs, DCMs, swap 

dealers, MSPs, end-users and thirdparty service providers. The proposed 

rules may reduce liquidity in the market 

by discouraging dealers from holding 

inventory as part of a market 

participant’s risk management practice. 

Disclosing the terms of a trade 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76168 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

111Under Section 727 of the Dodd-Frank Act, 

Congress has mandated that swap transaction and 

pricing data be real-time reported and publicly 

disseminated. The Commission has requested 

comments on ways we can meet these statutory 

requirements in a less costly manner. 

112See 44 U.S.C. 3501. 

113 44 U.S.C. 3502. 

114See 5 CFR 1320.3(c)(1). 

115See 44 U.S.C. 3506. 

116See 44 U.S.C. 3507. 

117Proposed § 43.2(w) defines ‘‘reporting party’’ to 

include the party to a swap with the duty to report 

a reportable swap transaction. 

118Proposed § 43.2(v) defines ‘‘reportable swap 

transaction’’ to mean any executed swap, notation, 

swap unwind, partial novation, partial swap 

unwind or any other post-execution event that 

affects the pricing of a swap. 

immediately after execution exposes the 

price paid for a large position by a 

particular dealer to the rest of the 

market. Market participants may 

attempt to anticipate trading activity 

that the dealer will engage in to 

rebalance its portfolio, which may 

induce adverse price movements against 

such dealer. Additionally, real-time 

public reporting may obstruct some 

trading in illiquid instruments. Swap 

dealers may be less likely to commit 

capital in less liquid products because 

the terms of the trade are disclosed as 

soon as the trade is executed and the 

dealer fears his ability to lay off the risk 

in the market. If a trade is considered a 

block trade or large notional swap, the 

proposed rules may lead to increased 

costs associated with added liquidity 

risks, which may be passed on to endusers. 

4. Benefits 

With respect to benefits, the 

Commission believes that the proposed 

rules promote transparency in swaps 

trading which, in turn, creates greater 

efficiency in the swap markets.111

Additionally, real-time reporting may 

expand trading opportunities as market 

participants have more data to analyze 

and research when producing 

investment strategies. The Commission 

believes that transparency in the form of 

real-time public dissemination of swap 

transaction and pricing data leads to the 

fairness and efficiency of markets and 

improves price discovery. The 

facilitation of price discovery decreases 

risk to market participants by promoting 

responsible and informed risk taking 

and, to the extent that swaps play a 

central role in the national economy, 

decreases the risk of another financial 

disaster by enabling market participants 

to measure systematic risk. The 

Commission believes that the federal 

government will be better positioned to 

protect the public as a result of 

increased surveillance and monitoring 

of the swap markets and its market 

participants. The Commission requests 

public comment on its cost-benefit 

considerations. Specifically, the 

Commission requests comment on 

whether there are alternative ways we 

can meet these statutory requirements 

under Section 727 of the Dodd-Frank 

Act in a less costly manner. 

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. 

B. Paperwork Reduction Act 

1. Introduction 

The purposes of the Paperwork 

Reduction Act (‘‘PRA’’) are, among other 

things, to minimize the paperwork 

burden to the private sector, ensure that 

any collection of information by a 

government agency is put to the greatest 

possible uses, and minimize duplicative 

information collections across 

government.112 The PRA applies with 

extraordinary breadth to all information, 

‘‘regardless of form or format,’’ a 

government agency is ‘‘obtaining, 

causing to be obtained [or] soliciting’’ 

and includes requiring ‘‘disclosure to 

third parties or the public, of facts or 

opinion,’’ when the information 

collection calls for ‘‘answers to identical 

questions posed to, or identical 

reporting or recordkeeping requirements 

imposed on, ten or more people.’’ 113

This provision has been determined to 

include not only mandatory but also 

voluntary information collections, and 

include both written and oral 

communications.114

To effect the purposes of the PRA, 

Congress requires all agencies to 

quantify and justify the burden of any 

information collection it imposes.115

This includes submitting each 

collection, whether or not it is 

contained in a rulemaking, to the Office 

of Management and Budget (‘‘OMB’’) for 

review.116 The OMB submission process 

includes completing a form 83–I and a 

supporting statement with the agency’s 

burden estimate and justification for the 

collection. When the information 

collection is established within a 

rulemaking, the agency’s burden 

estimate and justification should be 

provided in the proposed rulemaking, 

subjecting it to the rulemaking’s public 

comment process. 

Provisions of proposed part 43 of the 

Commission’s regulations would result 

in new collection of information 

requirements within the meaning of the 

PRA. 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 

‘‘Regulation 43—Real-Time Public 

Reporting,’’ 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 CEA strictly prohibits the 

Commission, unless specifically 

authorized by the CEA, 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. 

2. Information Provided by Reporting 

Entities/Persons 

As mentioned above, proposed part 

43 of the Commission’s regulations 

would result in three new collections of 

information requirements within the 

meaning of the PRA. First, proposed 

part 43 would create a new reporting 

requirement either on a ‘‘swap market’’ 

when a swap is executed on a facility, 

or on the parties to each swap 

transaction when a swap is not executed 

on such a facility. Second, proposed 

part 43 would create a public 

dissemination requirement on a ‘‘realtime disseminator’’. Third, proposed 

part 43 creates a recordkeeping 

requirement for swap markets, real-time 

disseminators, any reporting party. 

i. Reporting Requirement 

Under proposed § 43.3(a), reporting 

parties 117 would be required to 

electronically report any reportable 

swap transactions 118 to a real-time 

disseminator, except as otherwise 

provided in such section. Proposed 

§ 43.3 places the duty to report on 

several entities or persons depending 

on: (1) The manner in which the 

transaction is executed; and (2) the 

parties to the swap transaction. 

For those swap transactions that are 

executed on a swap market (i.e., a DCM 

or SEF), proposed § 43.3 requires the 

swap market to publicly disseminate 

such swap transaction and pricing data 

by either sending swap transaction 

information to a registered SDR that 

accepts and publicly disseminates swap 

transaction and pricing data or by 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76169 

119Because 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. 

120The Commission requests comment on the 

number of swap end-users that would be required 

to report their swap transaction and pricing data 

pursuant to proposed § 43.3. The Commission 

estimates that there will be a total of 30,000 swap 

market participants and that 1,500 of those 

participants will engage in end-user-to-end-user 

swap transactions (5% of 30,000) requiring at least 

one of those participants to report such swap 

transaction and pricing data. 

121Estimated burden hours were obtained in 

consultation with the Commission’s experts on 

information technology. This estimate includes the 

expectation that end users who participate in enduser-to-end-user swaps will contract with other 

entities to report the swap transaction and pricing 

data to a registered SDR or third party service 

provider. The Commission requests comment on 

these estimates. 

122Because the Commission has not regulated the 

swap market, the Commission was unable to collect 

data relevant to these estimates. For that reason, the 

Commission requests comment on these estimates. 123The Commission estimates that there will be 

15 third-party service providers. These third-party 

service providers are anticipated to have the same 

public dissemination and recordkeeping burden 

hours as those estimated for registered SDRs. 

Proposed § 43.3(d) would require a swap market 

that chooses to publicly disseminate swap 

transaction and pricing data in real-time through a 

third-party service provider to (1) ensure that any 

such third-party service provider that publicly 

disseminates the swap market’s swap transaction 

and pricing data in real-time does so in a manner 

that complies with those standards for registered 

swap data repositories described in this part; and 

(2) ensure that the Commission has access to any 

such swap transaction and pricing data, through 

either the swap market or via direct access to the 

third-party service provider. Additionally, certain 

off-facility swaps may be publicly disseminated 

through a third-party service provider in those 

instances where no registered SDR is available to 

accept and publish the swap transaction and 

pricing data. Therefore, although the ultimate 

responsibility is on the swap market who uses a 

third-party service provider to ensure it complies 

with standards set forth in part 43 for registered 

SDRs, the third-party service provider will be the 

entity actually performing the public dissemination 

and, in some cases, recordkeeping function for 

certain swaps. Therefore, as was estimated for 

registered SDRs, the Commission estimates a public 

dissemination burden of 6,900 hours per third-party 

service provider, for an aggregate of 103,500 annual 

burden hours for all third-party service providers. 

Also, the Commission estimates a recordkeeping 

burden of 250 hours per third-party service 

provider, for an aggregate of 3,750 annual burden 

hours for all third-party service providers. 

124See footnote 123 above. 

125An agency may not conduct or sponsor, and 

a person is not required to respond to, a collection 

of information unless it displays a currently valid 

control number. The Commission invites public 

comment on the accuracy of its estimate that no 

additional recordkeeping or information collection 

requirements related to swap dealers and MSPs 

would result from the rules proposed herein. 

sending swap transaction information 

through a third-party service provider 

for public dissemination. The 

Commission estimates that DCMs and 

SEFs (an estimated 57 entities or 

persons) will have approximately 2,080 

burdens hours per swap market.119

For those swap transactions that are 

executed ‘‘off-facility’’, proposed § 43.3 

requires reporting parties (i.e., swap 

dealers, MSPs and swap end-users) to 

report their swap transaction and 

pricing data to a registered SDR or, if no 

registered SDR will accept such data, to 

a third-party service provider. With 

respect to swap dealers and MSPs (an 

estimated 300 entities or persons), 

proposed § 43.3 requires only one party 

to such transaction report to a real-time 

disseminator. The Commission 

estimates that swap dealers and MSPs 

will have 2,080 annual burden hours 

associated with the reporting 

requirement under proposed § 43.3. 

With respect to swap end-users, 

proposed § 43.3 requires swap end-users 

to report their swap transaction and 

pricing data only for end-user-to-enduser transactions. In addition, proposed 

§ 43.3 provides that only one swap enduser in an end-user-to-end-user swap 

transaction will have the obligation to 

report to a real-time disseminator. For 

that reason, the Commission estimates 

that the total number of swap end-users 

that would be required to report their 

swap transaction and pricing data is 

1,500 entities or persons.120 The 

Commission estimates that swap endusers will have four (4) annual burden 

hours per reporting party or person, for 

a total of 6,000 aggregate annual burden 

hours.121

Based on the foregoing, the 

Commission has determined the 

estimated aggregate annual burden 

hours on swap markets and with respect 

to off-facility swap transactions to be 

748,560. 

ii. Public Dissemination Requirement 

Proposed § 43.3 requires a registered 

SDR to publish through an electronic 

medium swap transaction and pricing 

data received from reporting parties as 

soon as technologically practicable, 

except when the registered SDR is 

required to delay the publication of 

information relating to large notional 

swaps or block trades. The Commission 

estimates that there will be 

approximately 15 registered SDRs 122

Proposed § 43.3(h) requires registered 

SDRs to receive and publicly 

disseminate real-time swap transaction 

and pricing data at all times, 24-hours 

a day. The Commission anticipates that 

there will be 6,900 annual burden hours 

per registered SDR. Based on the 

foregoing, the Commission has 

determined the estimated aggregate 

annual burden hours to be 103,500 for 

all registered SDRs.123 Therefore, the 

total aggregate annual burden hours 

associated with this public 

dissemination requirement, including 

the burden hours associated with third 

party service providers, is estimated to 

be 207,000. 

iii. Recordkeeping Requirement 

Under proposed § 43.3(i), swap 

markets (an estimated 57 entities or 

persons), registered SDRs (an estimated 

15 entities or persons) and reporting 

parties must retain all data relating to a 

reportable swap transaction for a period 

of not less than five years following the 

time at which such reportable swap 

transaction is publicly disseminated in 

real-time. With respect to swap markets 

and real-time disseminators, the 

Commission estimates that proposed 

recordkeeping requirement will be 250 

annual burden hours per swap market 

and registered SDR.124 As referenced 

above, the Commission anticipates that 

1,500 swap end-users will be reporting 

parties for the purposes of this part of 

the Commission’s regulations. Since the 

Commission anticipates that there will 

be lower levels of activity relating to the 

requirement for swap end-users, the 

Commission estimates that there will be 

two (2) annual burden hours per swap 

end-user. It is important to note that the 

Commission addresses the 

recordkeeping requirements of swap 

dealers and MSPs in a separate, but 

related rulemaking relating to the 

internal business conduct standards of 

these entities as part of the 

Commission’s overall rulemaking 

initiative implementing the Dodd-Frank 

Act.125

Based on the foregoing, the 

Commission estimates that the aggregate 

annual burden hours associated with 

the recordkeeping requirement under 

the proposed § 43.3 will be 39,250. 

iv. Determination of Appropriate 

Minimum Block Size 

Under proposed § 43.5(g), registered 

SDRs (an estimated 15 entities or 

persons) will be required to determine 

the appropriate minimum block size for 

swaps for which these registered SDRs 

receive data in accordance with Section 

2(a)(13)(G) of the CEA. A registered SDR 

shall set and publish annually the 

appropriate minimum block size for 

each swap instrument as the greater of 

the numbers derived from two formulas: 

A distribution test and a multiple test as 

described in the proposal. Additionally, 

under proposed § 43.5(i), the SDR shall 

set the appropriate minimum block size 

for newly-listed swaps one month after 

the registered SDR receives data in 

accordance with Section 2(a)(13)(G). 

The registered SDR may set the 

appropriate minimum block size for 

newly-listed swaps by placing them in 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76170 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

126See 5 U.S.C. 601 et seq. 

127See 5 U.S.C. 603, 604. 

128See 5 U.S.C. 601 et seq. 

129See 47 FR 18618 (Apr. 30, 1982). 

130See 47 FR 18618 (Apr. 30, 1982). 

131See id. at 18619. 

132See 29 U.S.C. 1106. 

a category of existing swap instrument 

with an appropriate minimum block 

size or by creating a new category of 

swap instrument and performing the 

calculations described in § 43.5(g). The 

Commission estimates that proposed 

requirement will impose 20 annual 

burden hours per registered SDR. 

Based on the foregoing, the 

Commission estimates that the aggregate 

annual burden hours associated with 

this requirement under the proposed 

§ 43.5(g) and (i) will be 300. 

3. 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 requests 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 in the Federal 

Register. 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. Nothing in the foregoing 

affects the deadline enumerated above 

for public comment to the Commission 

on the proposed rules. 

C. Regulatory Flexibility Act 

The Regulatory Flexibility Act 

(‘‘RFA’’) was adopted to address the 

concerns that government regulations 

may have a significant and/or 

disproportionate effect on small 

businesses. To mitigate this risk, the 

RFA requires agencies to conduct an 

initial and final regulatory flexibility 

analysis for each rule of general 

applicability for which the agency 

issues a general notice of proposed 

rulemaking.126 These analyses must 

describe the impact of the proposed rule 

on small entities, including a statement 

of the objectives and the legal bases for 

the rulemaking; an estimate of the 

number of small entities to be affected; 

identification of federal rules that may 

duplicate, overlap, or conflict with the 

proposed rules; and a description of any 

significant alternatives to the proposed 

rule that would minimize any 

significant impacts on small entities.127

Proposed part 43 shall affect real-time 

disseminators (i.e., registered SDRs and 

third-party service providers), SEFs, 

DCMs, swap dealers, MSPs and swap 

end-users that transact with other swap 

end-users. 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.128

In its previous determinations, the 

Commission has concluded that DCMs 

are not small entities for the purpose of 

the RFA.129

As registered SDRs and SEFs are new 

entities to be regulated by the 

Commission pursuant to the DoddFrank Act, the Commission previously 

has not determined whether these 

entities are ‘‘small entities’’ for the 

purpose of the RFA. The Commission is 

proposing to determine that registered 

SDRs and SEF covered by these 

proposed regulations, for reasons 

similar to those applicable to DCMs, are 

not small entities for purposes of the 

RFA. Specifically, the Commission 

proposes that registered SDRs 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, registered SDRs will require 

significant resources to operate. With 

respect to SEFs, not only will SEFs play 

a vital role in the national economy, but 

they will be required to operate a selfregulatory organization, 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 the purposes of the RFA. 

With respect to swap dealers, the 

Commission previously has determined 

that futures commission merchants 

(‘‘FCMs’’) should not be considered to be 

small entities for the purposes of the 

RFA.130 Like FCMs, swap dealers will 

be subject to minimum capital and 

margin requirements, and are excepted 

to comprise the largest global financial 

firm. Additionally, the Commission is 

required to exempt from designation 

entities that engage in a de minimis 

level of swaps.131

Similarly, with respect to swap 

dealers and MSPs, the Commission has 

previously determined that large traders 

are not ‘‘small entities’’ for RFA 

purposes. Like large traders, swap 

dealers and 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. 

Although the regulations will require 

reporting from a single end-user 

transacting in a swap with another enduser, in all other situations (such as 

when an end-user engages in a swap 

with a swap or MSP), the reporting 

requirement will be borne by the swap 

dealer or MSP. Additionally, most endusers regulated by the Employee 

Retirement Income Security Act of 1974 

(‘‘ERISA’’) 132 such as pension funds, 

which are among the most active endusers in the swap market, are prohibited 

from transacting directly with other 

ERISA-regulated end-users. The 

Commission does not believe that the 

reporting requirements 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. 

List of Subjects in 17 CFR Part 43 

Real-time public reporting; block 

trades; large notional swaps; reporting 

and recordkeeping requirements. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76171 

In consideration of the foregoing, and 

pursuant to the authority in the 

Commodity Exchange Act, as amended, 

and in particular Section 2(a)(13) of the 

Act, the Commission hereby proposes to 

amend Chapter I of Title 17 of the Code 

of Federal Regulation by adding part 43 

as follows: 

PART 43—REAL-TIME PUBLIC 

REPORTING 

Sec. 

43.1 Purpose, scope, and rules of 

construction. 

43.2 Definitions. 

43.3 Method and timing for real-time public 

reporting. 

43.4 Swap transaction and pricing data to 

be publicly disseminated in real-time. 

43.5 Block trades and large notional swaps 

for particular markets and contracts. 

Appendix A to Part 43—Data Fields for 

Real-Time Public Reporting 

Authority: 7 U.S.C. 2(a), 12a(5) and 24a, 

amended by Pub. L. 111–203, 124 Stat. 1376 

(2010). 

§ 43.1 Purpose, scope and rules of 

construction. 

(a) Purpose. This part sets forth rules 

relating to the collection and public 

dissemination of certain swap 

transaction and pricing data to enhance 

transparency and price discovery. 

(b) Scope. (1) The provisions of this 

part shall apply to all swaps as defined 

in Section 1a(47) of the Act and any 

implementing regulations therefrom, 

including: 

(i) Swaps subject to the mandatory 

clearing requirement described in 

Section 2(h)(1) of the Act (including 

those swaps that are excepted from the 

requirement pursuant to Section 2(h)(7) 

of the Act); 

(ii) Swaps that are not subject to the 

mandatory clearing requirement 

described in Section 2(h)(1) of the Act, 

but are cleared at a registered 

derivatives clearing organization; 

(iii) Swaps that are not cleared at a 

registered derivatives clearing 

organization and are reported to a 

registered swap data repository that 

accepts and publicly disseminates swap 

transaction and pricing data in realtime; and 

(iv) Swaps that are required to be 

cleared under Section 2(h)(2) of the Act, 

but are not cleared. 

(2) This part applies to all swap 

execution facilities, designated contract 

markets, swap data repositories, as well 

as parties to a swap including registered 

or exempt swap dealers, registered or 

exempt major swap participants and 

U.S.-based end-users. 

(c) Rules of Construction. The 

examples in this part and in appendix 

A to this part 43 are not exclusive. 

Compliance with a particular example 

or application of a sample clause, to the 

extent applicable, constitutes 

compliance with such portion of the 

rule to which the example relates. 

§ 43.2. Definitions. 

As used in this part: 

(a) Act means the Commodity 

Exchange Act, as amended. 

(b) Affirmation means the process by 

which parties to a swap verify (orally, 

in writing, electronically or otherwise) 

that they agree on the primary economic 

terms of a swap (but not necessarily all 

terms of the swap). Affirmation may 

constitute ‘‘execution’’ of the swap or 

may provide evidence of execution of 

the swap, but does not constitute 

confirmation (or confirmation by 

affirmation) of the swap. 

(c) Appropriate minimum block size 

means the minimum notional or 

principal size of a swap instrument that 

qualifies swaps within such category of 

swap instrument as a block trade. The 

appropriate minimum block size is 

calculated by a registered swap data 

repository or is prescribed by the 

Commission. 

(d) As soon as technologically 

practicable means as soon as possible, 

taking into consideration the 

prevalence, implementation and use of 

technology by comparable market 

participants. 

(e) Asset class means the 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. 

(f) Block trade means a swap 

transaction that: 

(1) Involves a swap that is made 

available for trading or execution on a 

swap market; 

(2) Occurs off the swap market’s 

trading system or platform pursuant to 

the swap market’s rules and procedures; 

(3) Is consistent with the minimum 

block trade size requirements set forth 

in § 43.5; and 

(4) Is reported in accordance with the 

swap market’s rules and procedures and 

the appropriate time delay set forth in 

§ 43.5(k). 

(g) Confirmation 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). 

(h) Confirmation by affirmation. The 

process by which one party to a swap 

acknowledges its assent to the complete 

swap terms submitted by the other party 

to the swap. If the parties to a swap are 

using a confirmation service vendor, 

complete swap terms may be submitted 

electronically by a party to such 

vendor’s platform and the other party 

may affirm such terms on such platform. 

With the affirmation by one party to the 

complete swap terms submitted by the 

other party, the swap is legally 

confirmed and a legally binding 

confirmation is consummated (i.e., 

‘‘confirmation by affirmation’’). 

(i) Embedded option means any right, 

but not an obligation, provided to one 

party of a swap by the other party to the 

same swap that provides the party in 

possession of the option with the ability 

to change any one or more of the 

economic terms of the swap as they 

were previously established at 

confirmation (or were in effect on the 

start date). 

(j) Executed means the completion of 

the execution process. 

(k) Execution means an agreement by 

the parties (whether orally, in writing, 

electronically, or otherwise) to the terms 

of a swap that legally binds the parties 

to such swap terms under applicable 

law. Execution occurs immediately 

following or simultaneous with the 

affirmation of the swap. 

(l) Large notional swap means a swap 

transaction that: 

(1) Involves a swap that is not 

available for trading or execution on a 

swap market; 

(2) Is consistent with the appropriate 

size requirements for large notional 

swaps set forth in § 43.5; and 

(3) Is reported in accordance with the 

appropriate time delay requirements set 

forth in § 43.5(k). 

(m) Minimum block trade size means 

the minimum notional or principal 

amount, as determined by each swap 

market, for a block trade in a particular 

type of swap that is listed or executed 

on such swap market. The minimum 

block trade size shall be equal to or 

greater than the appropriate minimum 

block size. 

(n) Newly-listed swap means a swap 

that is listed on any swap market where 

an appropriate minimum block size has 

not been published by a registered swap 

data repository pursuant to § 43.5. 

(o) Novation means the process by 

which a party to a swap transfers all of 

its rights, liabilities, duties and 

obligations under the swap to a new 

legal party other than the counterparty 

to the swap. The transferee accepts all 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76172 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

of the transferor’s rights, liabilities, 

duties and obligations under the swap. 

A novation is valid so long as the 

transferor and remaining party to the 

swap are given notice, and the 

transferor, transferee and remaining 

party to the swap consent to the 

transfer. 

(p) Off-facility swap means any 

reportable swap transaction that is not 

executed on or subject to the rules of a 

swap market. 

(q) Other commodity means any 

commodity that cannot be grouped in 

the credit, currency, equity or interest 

rate asset class categories. 

(r) Public dissemination and publicly 

disseminate means to publish and make 

available swap transaction and pricing 

data in a non-discriminatory manner, 

through the Internet or other electronic 

data feed that is widely published and 

in machine-readable electronic format. 

(s) Real-time disseminator means a 

registered swap data repository or thirdparty service provider that accepts swap 

transaction and pricing data from 

multiple data sources and publicly 

disseminates such data in real-time 

pursuant to this part. 

(t) Real-time public reporting means 

the reporting of data relating to a swap 

transaction, including price and 

volume, as soon as technologically 

practicable after the time at which the 

swap transaction has been executed. 

(u) Remaining party means a party to 

a swap that consents to a transferor’s 

transfer by novation of all of the 

transferor’s rights, liabilities, duties and 

obligations under such swap to a 

transferee. 

(v) Reportable swap transaction 

means any executed swap, novation, 

swap unwind, partial novation or partial 

swap unwind, or such post-execution 

events that affect the pricing of a swap. 

(w) Reporting party means the party 

to a swap with the duty to report a 

reportable swap transaction in 

accordance with this part and Section 

2(a)(13)(F) of the Act. 

(x) Social size means the greatest of 

the mode, median and mean transaction 

sizes of a particular swap contract or 

swap instrument, as commonly 

observed in the marketplace. 

(y) Swap instrument means a 

grouping of swaps in the same asset 

class with the same or similar 

characteristics. 

(z) Swap market means any registered 

swap execution facility or registered 

designated contract market that makes 

swaps available for trading. 

(aa) Swap unwind means the 

termination and liquidation of a swap, 

typically followed by a cash settlement 

between the parties to such swap. 

(bb) Third-party service provider 

means an entity, other than a registered 

swap data repository, that publicly 

disseminates swap transaction and 

pricing data in real-time on behalf of a 

swap market or, in the case of an offfacility swap where there is no 

registered swap data repository 

available to publicly disseminate the 

swap transaction and pricing data in 

real-time, on behalf of a reporting party. 

(cc) Transferee means a party to a 

swap that accepts, by way of novation, 

all of a transferor’s rights, liabilities, 

duties and obligations under such swap 

with respect to a remaining party. 

(dd) Transferor means a party to a 

swap that transfers, by way of novation, 

all of its rights, liabilities, duties and 

obligations under such swap, with 

respect to a remaining party, to a 

transferee. 

(ee) Unique product identifier means 

a unique identification of a particular 

level of the taxonomy of the asset class 

or sub-asset class in question, as further 

described in § 43.4(f) and § 45.4(c) of 

this chapter. Such unique product 

identifier may combine the information 

from one or more of the data fields 

described in appendix A to this part 43. 

(ff) U.S. person means any U.S.-based 

swap dealer, major swap participant, 

eligible contract participant, end-user or 

other U.S.-based entity or person that 

transacts in a swap. 

§ 43.3 Method and timing for real-time 

public reporting. 

(a) Responsibilities of parties to a 

swap to report swap transaction and 

pricing data in real-time. (1) In general. 

A reporting party shall report any 

reportable swap transaction to a realtime disseminator as soon as 

technologically practicable. 

(2) Swaps listed or executed on a 

swap market. (i) For swaps executed on 

a swap market’s trading system or 

platform, a reporting party shall satisfy 

its reporting requirement under this 

section by executing such reportable 

swap transaction on the swap market. 

(ii) For block trades executed 

pursuant to the rules of a swap market, 

the reporting party shall satisfy its 

reporting requirement by reporting such 

trades to the swap market in accordance 

with the rules of the swap market and 

§ 43.5. 

(3) Off-facility swaps. Except as 

otherwise provided in § 43.5, all offfacility swaps shall be reported as soon 

as technologically practicable following 

execution, by the reporting party, to a 

registered swap data repository that 

accepts and publicly disseminates swap 

transaction and pricing data in 

accordance with the rules set forth in 

this part. The following persons shall be 

reporting parties for off-facility swaps: 

(i) If only one party is a swap dealer 

or major swap participant, the swap 

dealer or major swap participant shall 

be the reporting party. 

(ii) If one party is a swap dealer and 

the other party is a major swap 

participant, the swap dealer shall be the 

reporting party. 

(iii) If both parties are swap dealers, 

the swap dealers shall designate which 

party shall be the reporting party. 

(iv) If both parties are major swap 

participants, the major swap 

participants shall designate which party 

shall be the reporting party. 

(v) If neither party is a swap dealer 

nor a major swap participant, the parties 

shall designate which party (or its agent) 

shall be the reporting party. 

(4) Special rules when no registered 

swap data repository will accept and 

publicly disseminate data. If no 

registered swap data repository is 

available to accept and publicly 

disseminate swap transaction and 

pricing data, the reporting party of an 

off-facility swap may satisfy the realtime public reporting requirement under 

this part by publicly disseminating such 

data through a third-party service 

provider in the same manner that a 

swap market may report through a thirdparty service provider. 

(b) Public dissemination of swap 

transaction and pricing data. (1) 

Reportable swap transactions executed 

on a swap market. (i) A swap market 

shall publicly disseminate all swap 

transaction and pricing data for swaps 

executed thereon, as soon as 

technologically practicable after the 

swap has been executed. A swap market 

shall satisfy this public dissemination 

requirement by either sending or 

otherwise electronically transmitting 

swap transaction information to a 

registered swap data repository that 

accepts and publicly disseminates swap 

transaction and pricing data or by 

publicly disseminating swap transaction 

information through a third-party 

service provider for public 

dissemination. 

(ii) A swap market that sends swap 

transaction information to a third-party 

service provider to publicly disseminate 

such data in real-time does not satisfy 

its requirements under this section until 

such data is publicly disseminated 

pursuant to this part. 

(2) Prohibition of disclosure of data 

prior to sending data to a real-time 

disseminator. 

(i) No swap market or reporting party 

shall disclose swap transaction and 

pricing data prior to the public 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76173 

dissemination of such data by a realtime disseminator. 

(ii) Notwithstanding the disclosure 

prohibition of § 43.5(b)(2)(i), a swap 

market may disclose swap transaction 

and pricing data available to 

participants on its market prior to the 

public dissemination of such data, 

provided that such disclosure is made 

no earlier than the disclosure of such 

data to a real-time disseminator for 

public dissemination. 

(iii) Notwithstanding the disclosure 

prohibition of § 43.5(b)(2)(i), a swap 

dealer may disclose swap transaction 

and pricing data for off-facility swaps 

available to its customer base prior to 

the public dissemination of such data, 

provided that such disclosure is made 

no earlier than the disclosure of such 

data to a registered swap data repository 

that accepts swap transaction and 

pricing data for public dissemination. 

(c) Requirements for registered swap 

data repositories in providing the realtime public dissemination of swap 

transaction and pricing data. (1) 

Compliance with part 49 of this chapter. 

Any registered swap data repository that 

accepts and publicly disseminates swap 

transaction and pricing data in real-time 

shall comply with part 49 of this 

chapter and shall publicly disseminate 

swap transaction and pricing data as 

soon as technologically practicable 

upon receipt of such data, unless the 

data is subject to a time delay in 

accordance with § 43.5. 

(2) Acceptance of all swaps in an 

asset class. Any registered swap data 

repository that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time for swaps in its 

selected asset class shall accept and 

publicly disseminate swap transaction 

and pricing data in real-time for all 

swaps within such asset class. 

(3) Annual independent review. Any 

registered swap data repository that 

accepts and publicly disseminates swap 

transaction and pricing data in real-time 

shall perform, on an annual basis, an 

independent review in accordance with 

established audit procedures and 

standards of the registered swap data 

repository’s security and other system 

controls for the purposes of ensuring 

compliance with the requirements in 

this part. 

(d) Requirements if a swap market 

publicly disseminates through a thirdparty service provider. If a swap market 

chooses to publicly disseminate swap 

transaction and pricing data in real-time 

through a third-party service provider, 

such swap market shall — 

(1) Ensure that any such third-party 

service provider that publicly 

disseminates the swap market’s swap 

transaction and pricing data in real-time 

does so in a manner that complies with 

those standards for registered swap data 

repositories described in this part. 

(2) Ensure that the Commission has 

access to any such swap transaction and 

pricing data, through either the swap 

market or via direct access to the thirdparty service provider. 

(e) Availability of swap transaction 

and pricing data to the public. 

Registered swap data repositories shall 

publicly disseminate swap transaction 

and pricing data in such a format that 

may be downloaded, saved and/or 

analyzed. 

(f) Errors or omissions. (1) In general. 

Any errors or omissions in swap 

transaction and pricing data that were 

publicly disseminated in real-time shall 

be corrected or cancelled in the 

following manner: 

(i) If a party to the swap that is not 

the reporting party becomes aware of an 

error or omission in the swap 

transaction and pricing data reported 

with respect to such swap, such party 

shall promptly notify the reporting party 

of the correction. 

(ii) If the reporting party to a swap 

becomes aware of an error or omission 

in the swap transaction and pricing data 

which it reported to a swap market or 

real-time disseminator with respect to 

such swap, either through its own 

initiative or through notice by the other 

party to the swap, the reporting party 

shall promptly submit corrected data to 

the same swap market or real-time 

disseminator. 

(iii) If the swap market becomes aware 

of an error or omission in the swap 

transaction and pricing data reported 

with respect to such swap, or receives 

notification from the reporting party, the 

swap market shall promptly submit 

corrected data to the same real-time 

disseminator. 

(iv) Any registered swap data 

repository that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time shall publicly 

disseminate any cancellations or 

corrections to such data, as soon as 

technologically practicable after receipt 

or discovery of any such cancellation or 

correction. 

(2) Improper cancellation or 

correction. Reporting parties, swap 

markets and registered swap data 

repositories that accept and publicly 

disseminate swap transaction and 

pricing data in real-time shall not 

submit or agree to submit a cancellation 

or correction for the purpose of rereporting swap transaction and pricing 

data in order to gain or extend a delay 

in publication or to otherwise evade the 

reporting requirements in this part. 

(3) Cancellation. A registered swap 

data repository that accepts and 

publicly disseminates swap transaction 

and pricing data in real-time shall 

cancel any incorrect data that had been 

publicly disseminated, by publicly 

disseminating a cancellation of such 

data, in the manner and format 

described in Appendix A to this part. 

(4) Correction. A registered swap data 

repository that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time shall correct 

any incorrect data that had been 

publicly disseminated to the public, by 

publicly disseminating a cancellation of 

the incorrect swap transaction and 

pricing data and then publicly 

disseminating the correct data, as soon 

as technologically practicable, in the 

manner and format described in 

Appendix A to this part. 

(g) Hours of operation. A registered 

swap data repository that accepts and 

publicly disseminates swap transaction 

and pricing data in real-time: 

(1) Shall maintain hours of operation 

to receive and publicly disseminate 

swap transaction and pricing data at all 

times, twenty-four hours a day; 

(2) May declare, on an ad hoc basis, 

special closing hours to perform system 

maintenance and shall provide 

reasonable advance notice of its special 

closing hours to market participants and 

to the public; and 

(3) Shall, to the extent reasonably 

possible under the circumstances, avoid 

scheduling special closing hours when, 

in its estimation, the U.S. market and 

major foreign markets are most active. 

(h) Acceptance of data during special 

closing hours. During special closing 

hours, a registered swap data repository 

that accepts and publicly disseminates 

swap transaction and pricing data in 

real-time shall have the capability to 

receive and hold in queue information 

regarding reportable swap transactions 

pursuant to this part. 

(i) Recordkeeping. All data related to 

a reportable swap transaction shall be 

maintained for a period of not less than 

five years following the time at which 

such reportable swap transaction is 

publicly disseminated pursuant to this 

part. 

(1) Retention of data by a swap 

market. Any swap market and any 

registered swap data repository that 

accepts and publicly disseminates swap 

transaction and pricing data in real-time 

shall retain all swap transaction 

information that is received from 

reporting parties for public 

dissemination, including data related to 

block trades and large notional swaps 

and information that is received by a 

swap market or by a registered swap 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76174 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

data repository that accepts and 

publicly disseminates swap transaction 

and pricing data in real-time but is not 

publicly reported pursuant to § 43.4(c). 

(2) Retention of data by a swap dealer 

or major swap participant. In 

accordance with this part and part 23 of 

this chapter, a swap dealer or major 

swap participant shall retain all data 

relating to a reportable swap transaction 

that such swap dealer or major swap 

participant sends to a swap market or a 

registered swap data repository that 

accepts and publicly disseminates such 

data in real-time or that such swap 

dealer or major swap participant retains 

in accordance with § 43.5. 

(j) Fees. Any fees or charges assessed 

on a reporting party or swap market by 

a registered swap data repository that 

accepts and publicly disseminates swap 

transaction and pricing data in real-time 

for the collection of such data must be 

equitable and non-discriminatory. If 

such registered swap data repository 

allows a discount based on the volume 

of data reported to it for public 

dissemination, such discount shall be 

provided to all reporting parties and 

swap markets impartially. 

§ 43.4 Swap transaction and pricing data 

to be publicly disseminated in real-time. 

(a) In general. Swap transaction 

information shall be reported to a realtime disseminator so that the real-time 

disseminator can publicly disseminate 

swap transaction and pricing data in 

real-time in accordance with this part, 

including the manner and format 

requirements described in appendix A 

to this part 43 and this section. 

(b) Public dissemination of data 

fields. Any registered swap data 

repository that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time shall publicly 

disseminate the information in the data 

fields described in appendix A to this 

part. 

(c) Additional swap information. A 

registered swap data repository that 

accepts and publicly disseminates swap 

transaction and pricing data in real-time 

may require reporting parties and swap 

markets to report to such registered 

swap data repository, such information 

that is necessary to match the swap 

transaction and pricing data that was 

publicly disseminated in real-time to 

the data reported to a registered swap 

data repository pursuant to Section 

2(a)(13)(G) of the Act or to confirm that 

parties to a swap have reported in a 

timely manner pursuant to § 43.3. Such 

additional information shall not be 

publicly disseminated by the registered 

swap data repository that accepts and 

publicly disseminates swap transaction 

and pricing data in real-time on a 

transactional or aggregate basis. 

(d) Amendments to data fields. The 

Commission may determine from time 

to time to amend the data fields 

described in appendix A to this part. 

(e) Anonymity of the parties to a swap 

transaction. (1) In general. Swap 

transaction and pricing data that is 

publicly disseminated in real-time may 

not disclose the identities of the parties 

to the swap. A registered swap data 

repository that accepts and publicly 

disseminates such data in real-time may 

not do so in a manner that discloses or 

otherwise facilitates the identification of 

a party to a swap. 

(2) Use of general description. 

Reporting parties and swap markets 

shall provide a registered swap data 

repository that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time with a specific 

description of the underlying asset(s) 

and tenor of the swap; this description 

must be general enough to provide 

anonymity but specific enough to 

provide for a meaningful understanding 

of the economic characteristics of the 

swap. This requirement is separate from 

the requirement that a reporting party 

must report swap data to a registered 

swap data repository pursuant to 

Section 2(a)(13)(G) of the Act. If a swap 

dealer or major swap participant does 

not report the exact description of the 

underlying asset(s) or tenor for the 

purposes of real-time reporting pursuant 

to this part, because such exact 

description would facilitate the identity 

of a party to a swap, such swap dealer 

or major swap participant must comply 

with the related documentation and 

recordkeeping requirements described 

in Part 23 of this chapter. 

(f) Unique product identifier. If a 

unique product identifier is developed 

that sufficiently describes one or more 

swap transaction and pricing data fields 

for real-time reporting described in 

appendix A to this part, then such 

unique product identifier may be used 

in lieu of the data fields that it 

describes. 

(g) Price forming continuation data. 

Any swap-specific event including, but 

not limited to novations, swap unwinds, 

partial novations, and partial swap 

unwinds, that occurs during the life of 

a swap and affects the price of such 

swap shall be publicly disseminated 

pursuant to this part. 

(h) Reporting of notional or principal 

amount. (1) Off-facility swaps. The 

actual notional or principal amount for 

any off-facility swap shall be reported 

by the reporting party to the registered 

swap data repository that accepts and 

publicly disseminates such data in realtime. 

(2) Swaps executed on or pursuant to 

the rules of a swap market. The actual 

notional or principal amount for any 

block trade executed pursuant to the 

rules of a swap market shall be reported 

by the reporting party to the swap 

market. A swap market shall transmit 

the actual notional amount for all swaps 

executed on or pursuant to its rules to 

the real-time disseminator. 

(i) Public dissemination of notional or 

principal amount. The notional or 

principal amount data fields described 

in Appendix A to this Part 43 shall be 

publicly disseminated as follows: 

(1) If the notional or principal amount 

is less than 1 million, round to nearest 

100 thousand; 

(2) If the notional or principal amount 

is less than 50 million but greater than 

1 million, round to the nearest million; 

(3) If the notional or principal amount 

is less than 100 million but greater than 

50 million, round to the nearest 5 

million; 

(4) If the notional or principal amount 

is less than 250 million but greater than 

100 million, round to the nearest 10 

million; 

(5) If the notional or principal amount 

is greater than 250 million, round to 

‘‘250+’’. 

§ 43.5 Block trades and large notional 

swaps for particular markets and contracts. 

(a) In general. The provisions in this 

§ 43.5 shall apply to both block trades 

on swaps and large notional swaps. 

(b) Eligible block trade or large 

notional swap parties. (1) In general. 

Parties to a block trade or large notional 

swap must be ‘‘eligible contract 

participants’’ as defined in Section 

1a(18) of the Act. However, a designated 

contract market may allow a commodity 

trading advisor acting in an asset 

managerial capacity and registered 

pursuant to Section 4n of the Act, or a 

principal thereof, including any 

investment advisor who satisfies the 

criteria of § 4.7(a)(2)(v) of this chapter, 

or a foreign person performing a similar 

role or function and subject as such to 

foreign regulation, to transact block 

trades for customers who are not eligible 

contract participants, if such commodity 

trading advisor, investment advisor or 

foreign person has more than 

$25,000,000 in total assets under 

management. A person transacting a 

block trade on behalf of a customer must 

receive written instruction or prior 

consent from the customer to do so. 

(2) Election to be treated as a block 

trade or large notional swap. Parties to 

a swap of a large notional value shall 

elect to have the swap treated as a block 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76175 

trade or large notional swap. Any 

reporting party or swap market shall 

indicate such election to a real-time 

disseminator. 

(c) Block trades on swaps. (1) A swap 

market that permits block trades must 

have rules that specify the minimum 

size of such block trades pursuant to 

this section. 

(2) The reporting party of a block 

trade shall report the block trade 

transaction and pricing data to the swap 

market, as soon as technologically 

practicable after execution of the block 

trade and pursuant to the rules of such 

swap market. 

(3) The swap market shall transmit 

block trade transaction and pricing data 

to a real-time disseminator as soon as 

technologically practicable after receipt 

of such data. Such information shall not 

be publicly disseminated until the 

expiration of the appropriate time delay 

described in § 43.5(k). 

(d) Large notional swaps. A registered 

swap data repository that accepts and 

publicly disseminates swap transaction 

and pricing data in real-time shall not 

publicly report the large notional swap 

transaction and pricing data until the 

expiration of the appropriate time delay 

described in § 43.5(k). Immediately 

upon expiration of the appropriate time 

delay, the registered swap data 

repository that accepts and publicly 

disseminates swap transaction and 

pricing data in real-time must publicly 

disseminate the large notional swap 

transaction and pricing data. 

(e) Off-facility swaps in which neither 

counterparty is a swap dealer or a major 

swap participant. Off-facility swaps in 

which neither counterparty is a swap 

dealer or a major swap participant may 

qualify as large notional swaps. Parties 

to such transactions shall follow the 

requirements for large notional swaps in 

§ 43.5. 

(f) Time-stamp and reporting 

requirements for block trades and large 

notional swaps. In addition to the 

requirements under § 43.4 and appendix 

A to this part, a swap market and a 

registered swap data repository that 

accepts and publicly disseminates swap 

transaction and pricing data in real-time 

shall have the following additional 

time-stamp requirements with respect to 

block trades and large notional swaps: 

(1) A swap market shall time-stamp 

swap transaction and pricing data with 

the date and time, to the nearest second 

of when such swap market: 

(i) Receives data from a reporting 

party; and 

(ii) Transmits such data to a real-time 

disseminator. 

(2) A registered swap data repository 

that accepts and publicly disseminates 

swap transaction and pricing data in 

real-time shall time-stamp such data 

with the date and time, to the nearest 

second when such swap data: 

(i) Is received from a swap market or 

reporting party; and 

(ii) Is publicly disseminated. 

(3) All records relating to the timestamps required by this section shall be 

maintained for a period of at least five 

years from the execution of the block 

trade or large notional swap. 

(g) Responsibilities of registered swap 

data repositories in determining 

appropriate minimum block size. 

(1) In general. A registered swap data 

repository shall determine the 

appropriate minimum block size for 

swaps for which such registered swap 

data repository receives data in 

accordance with Section 2(a)(13)(G) of 

the Act. A registered swap data 

repository shall set the appropriate 

minimum block size for each swap 

instrument as the greater of the numbers 

derived from the distribution test and 

the multiple test described in this 

paragraph. To qualify as a block trade, 

the notional or principal amount of the 

swap must be equal to or greater than 

the appropriate minimum block size. 

(i) Distribution test. To apply the 

distribution test to a swap instrument, a 

registered swap data repository shall 

apply the minimum threshold to the 

distribution of the notional or principal 

transaction amounts, each as set forth in 

this paragraph. 

(A) In determining the distribution of 

the notional or principal transaction 

amounts of a swap instrument, a 

registered swap data repository shall 

evaluate the transaction sizes, rounded 

in the manner discussed in § 43.4(i), for 

all swaps within a category of swap 

instrument, by looking at swaps within 

the category of swap instrument that are 

executed: on all swap execution 

facilities; on all designated contract 

markets; and as off-facility swaps. 

Registered swap data repositories may 

also consider other economic 

information to establish the total market 

size of a category of swap instrument, in 

consultation with the Commission. 

(B) The minimum threshold shall be 

a notional or principal amount that is 

greater than 95% of the notional or 

principal transaction sizes in a swap 

instrument during the applicable period 

of time, as represented by the 

distribution of the notional or principal 

transaction amounts for such swap. 

(ii) Multiple test. To apply the 

multiple test to a swap instrument, a 

registered swap data repository shall 

multiply the block multiple by the 

social size, as described in this 

paragraph. 

(A) In determining the social size for 

a swap instrument, the registered swap 

data repository shall calculate the mode, 

mean and median transaction sizes for 

all swaps in the category of swap 

instrument and choose the greatest of 

the mode, mean and median transaction 

sizes. 

(B) For all swaps, the block multiple 

shall be five. 

(2) Initial determination of 

appropriate minimum block size for 

newly-listed swaps. A registered swap 

data repository shall make its initial 

determination of the appropriate 

minimum block size for a newly-listed 

swap one month after such newly-listed 

swap is first executed and reported to 

the registered swap data repository. 

Such registered swap data repository 

may make such a determination by: 

(i) Grouping a newly-listed swap into 

an existing category of swap instrument 

for which the registered swap data 

repository has already determined an 

appropriate minimum block size; or 

(ii) Creating a new category of swap 

instrument for the newly-listed swap 

and calculating the appropriate 

minimum block size based on the 

previous month’s data. 

(3) Publication of appropriate 

minimum block sizes. A registered swap 

data repository shall publish the 

appropriate minimum block sizes on its 

Internet Web site for all swap 

instruments. Additionally, a registered 

swap data repository shall publish the 

types of swaps that fall within a 

particular category of swap instrument, 

for which the registered swap data 

repository has received data on its 

Internet Web site. The appropriate 

minimum block size information and 

swap instrument information on the 

registered swap data repository’s 

Internet Web site must be available to 

the public in an open and nondiscriminatory manner. 

(4) Annual update. A registered swap 

data repository shall each year 

beginning in January 2012, publish and 

update the appropriate minimum block 

sizes for the swap instruments for which 

the registered swap data repository 

accepts data. Any such updates must be 

posted on the registered swap data 

repository’s Internet Web site by the 

tenth business day of each year. The 

registered swap data repository shall 

calculate the appropriate minimum 

block size based on the data that it has 

received over the previous year. If a 

registered swap data repository has 

received data for a category of swap 

instrument for less than one year, the 

appropriate minimum block size shall 

be calculated based on such data. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76176 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

(5) Appropriate minimum block size 

determination when more than one 

registered swap data repository. If more 

than one registered swap data repository 

maintains data for a swap instrument, 

then the Commission shall prescribe the 

manner in which the appropriate 

minimum block trade size shall be 

determined. 

(h) Responsibilities of swap markets 

in determining minimum block trade 

sizes. For any swap listed on a swap 

market, the swap market shall set the 

minimum block trade size. Swap 

markets must set the minimum block 

trade sizes for all listed contracts at 

levels greater than or equal to the 

appropriate minimum block sizes 

posted on the swap data repositories’ 

Internet Web sites. Swap markets shall 

immediately apply any change to the 

minimum block trade size of a listed 

swap following the posting of a new or 

adjusted appropriate minimum block 

size on a registered swap data 

repository’s Internet Web site, pursuant 

to the requirements set forth in part 40 

of this chapter. If a swap listed on a 

swap market does not have an 

appropriate minimum block size, such 

swap market shall apply the rules set 

forth in § 43.5(i). 

(i) Minimum block trade size 

determination for newly-listed swaps. 

For any newly-listed swap, the swap 

market that lists the swap for trading 

shall set the minimum block trade size. 

(1) If a newly-listed swap is within 

the parameters of a category of swap 

instrument for which a registered swap 

data repository has posted an 

appropriate minimum block size, the 

swap market shall set the minimum 

block size for such newly listed swap at 

a level equal to or greater than such 

appropriate minimum block size. 

(2) In determining the minimum block 

trade size for a newly-listed swap that 

is not within an existing category of 

swap instrument, swap markets shall 

take into account: 

(i) The anticipated distribution of 

notional or principal transaction 

amounts; 

(ii) The social size for swaps in other 

markets that are in substance the same 

as such newly-listed swap; and 

(iii) The minimum block trade sizes of 

similar swaps in the same asset class. 

(3) In determining the minimum block 

trade size for a newly-listed swap that 

is not within an existing category of 

swap instrument, the swap market that 

lists the swap must ensure that the 

notional or principal amount selected 

represents a reasonable estimate of the 

greater of: 

(i) A notional or principal amount 

that is greater than all but 95% of the 

anticipated distribution of notional or 

principal transaction amounts over the 

one month period immediately 

following the first execution of the 

swap; or 

(ii) Five times the anticipated social 

size over the one month period 

immediately following the first 

execution of the swap. 

(j) Responsibilities of the parties to a 

swap in determining the appropriate 

minimum large notional swap size. (1) 

The parties to a large notional swap 

shall be responsible for determining the 

category of existing swap instrument in 

which such swap should be included. 

Once the category of existing swap 

instrument is identified by the parties to 

the swap, the parties shall refer to the 

appropriate minimum block size that is 

associated with such existing swap 

instrument and made available to the 

public on the appropriate registered 

swap data repository’s Internet Web site, 

or as otherwise prescribed by the 

Commission. The notional or principal 

amount of the swap must be equal to or 

greater than the appropriate minimum 

block size of the swap instrument in 

order to qualify as a large notional swap. 

If there is not a swap instrument with 

an appropriate minimum block size 

available to reference, then such swap 

between the parties shall not qualify as 

a large notional swap or for any time 

delay in reporting. In determining the 

appropriate swap instrument, the 

following factors shall be documented— 

(i) The similarities of the terms of the 

swap between the parties compared to 

the terms of swaps that are grouped 

within the existing swap instrument; 

and 

(ii) Other swaps listed on swap 

markets that are grouped within an 

existing category of swap instrument. 

(2) To the extent that the parties to a 

large notional swap are swap dealers 

and/or major swap participants, such 

parties shall maintain records 

illustrating the basis for the selection of 

the swap instrument for the large 

notional swap pursuant to part 23 of 

this chapter. Such records shall be made 

available to the Commission upon 

request. 

(3) In the event that the parties to a 

swap seek to qualify such swap as a 

large notional swap, but are unable to 

determine, identify or agree on the 

appropriate swap instrument to refer to, 

such swap shall not qualify as a large 

notional swap and shall not qualify for 

any time delay in reporting. 

(k) Time delay in the real-time public 

reporting of block trades and large 

notional swaps. (1) In general. The time 

delay for the real-time public reporting 

of a block trade or large notional swap 

begins upon execution. It is the 

responsibility of the registered swap 

data repository that accepts and 

publicly disseminates swap transaction 

and pricing data in real-time to ensure 

the block trade or large notional swap 

transaction and pricing data is publicly 

disseminated following the appropriate 

time delay described in this section. 

(2) Time delay for standardized block 

trades and large notional swaps. The 

block trade or large notional swap 

transaction and pricing data shall be 

reported to the public by the swap 

market (through a third-party service 

provider) or registered swap data 

repository that accepts and publicly 

disseminates such data within 15 

minutes of the time of execution 

reflected in the data. This provision 

covers all swaps under Sections 

2(a)(13)(C)(i) and (iv) of the Act. 

(3) Time delay for customized large 

notional swaps. The large notional swap 

transaction and pricing data shall be 

reported to the public by the registered 

swap data repository that accepts and 

publicly disseminates such data subject 

to a time delay as may be prescribed by 

the Commission. This provision covers 

all swaps under Sections 2(a)(13)(C)(ii) 

and (iii) of the Act. 

(l) Data to be reported to the public. 

With respect to block trades and large 

notional swaps, all information in the 

data fields described in appendix A to 

this part and § 43.4 shall be 

disseminated to the public. 

(m) Aggregation. Except as otherwise 

stated in this paragraph, the aggregation 

of orders for different accounts in order 

to satisfy the minimum block trade size 

requirement is prohibited. Aggregation 

is permissible if done by a commodity 

trading advisor acting in an asset 

managerial capacity and registered 

pursuant to Section 4n of the Act, or a 

principal thereof, including any 

investment advisor who satisfies the 

criteria of § 4.7(a)(2)(v) of this chapter, 

or a foreign person performing a similar 

role or function and subject as such to 

foreign regulation, if such commodity 

trading advisor, investment advisor or 

foreign person has more than 

$25,000,000 in total assets under 

management. 

Appendix A to Part 43—Data Fields for 

Real-Time Public Reporting 

The data fields described in Table A1 and 

Table A2, to the extent applicable for a 

particular reportable swap transaction, shall 

be real-time reported to the public. Table A1 

and Table A2 provide guidance and 

examples for compliance with the reporting 

of each data field. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76177 

TABLE A1—DATA FIELDS AND SUGGESTED FORM AND ORDER FOR REAL-TIME PUBLIC REPORTING OF SWAP

TRANSACTION AND PRICING DATA

Field Description Example Data application 

Cancellation ................. An indication that a reportable swap transaction has been incorrectly or erroneously 

reported and is canceled. There shall be a 

clear indication to the public that the reportable swap transaction is being canceled 

(e.g., ‘‘CANCEL’’) followed by the swap 

transaction and pricing data that is being 

canceled same form and manner that it 

was erroneously reported. Any cancellations should be made in accordance with 

§ 43.3(f).

CANCEL ..................... Information is needed to inform market participants and the public that swap transaction and pricing data was erroneously 

disseminated to the public. 

If a reportable swap transaction is canceled, 

it may be corrected by reporting the ‘‘Correction’’ data field and the correct information.

Correction .................... An indication that the swap transaction and 

pricing data that is being reported is a correction to previously publicly disseminated 

swap transaction and pricing data that contained an error or omission. In order for a 

correction to occur, the registered swap 

data repository that accepts and publicly 

disseminates swap transaction and pricing 

data shall first cancel the incorrectly reported swap transaction and pricing data 

and the follow such cancellation with the 

correction. There shall be a clear indication 

to the public that the swap transaction and 

pricing data that is being reported is a correction (e.g., ‘‘CORRECT’’). Any corrections should be made in accordance with 

§ 43.3(f).

CORRECT .................. Information needed to inform market participants and the public that a particular reportable swap transaction that is being reported is a correction to swap transaction 

and pricing data that has been publicly disseminated by a real-time disseminator. 

Date stamp .................. The date of execution of the reportable swap 

transaction. The date shall be displayed 

with two digits for day, month, and year. 

The date stamp shall be reported only 

when the reportable swap transaction is 

executed on a day other than the current 

day or if the reportable swap transaction is 

a correction or cancellation.

13–10–07 ................... Information needed to indicate the date of 

execution of the reportable swap transaction (if not the same day). 

Execution time-stamp .. The time of execution of the reportable swap 

transaction in Coordinated Universal Time 

(UTC). The time-stamp shall be displayed 

with two digits for each of the hour, minute 

and second.

15:25:47 ..................... Information needed to indicate the time of 

execution of the reportable swap transaction. 

Cleared or uncleared ... An indication of whether or not a reportable 

swap transaction is cleared by a derivatives clearing organization. If the reportable 

swap transaction is cleared by a derivatives clearing organization, a ‘‘C’’ may be 

used and if uncleared a ‘‘U’’ may be used.

C ................................. Information needed to indicate whether or not 

a reportable swap transaction is cleared 

through a derivatives clearing organization. 

Alternatively, the entirety of the data fields reported to the public for the reportable swap 

transaction may be color coded white if the 

swap is cleared by a derivatives clearing 

organization and red if the reportable swap 

transaction is uncleared.

Indication of other price 

affecting term (nonstandardized swaps).

An indication that the reportable swap transaction has one or more additional term(s) 

or provision(s), other than those listed in 

the required real-time data fields, that materially affect(s) the price of the reportable 

swap transaction. Reportable swap transactions that are reported with this designation would be non-standardized (bespoke) 

swaps.

B* ................................ Information needed to indicate whether a reportable swap transaction is non-standardized (bespoke) and to inform the public that 

there are one or more additional term(s) or 

provision(s) that materially affect the price 

of the reportable swap transaction. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76178 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

TABLE A1—DATA FIELDS AND SUGGESTED FORM AND ORDER FOR REAL-TIME PUBLIC REPORTING OF SWAP

TRANSACTION AND PRICING DATA—Continued 

Field Description Example Data application 

Some common material price affecting terms 

may include counterparty credit, collateral, 

day count fraction, changing notional 

amount, etc. A ‘‘B*’’ may be used to indicate that a reportable swap transaction has 

a material price affecting term that is not 

otherwise shown..

Block trades and large 

notional swaps.

An indication of whether a reportable swap 

transaction is a block trade or large notional swap. If a reportable swap transaction is a block trade or a large notional 

swap and subject to a time delay in realtime public reporting pursuant to § 43.5, 

such block trade or large notional swap 

may be indicated as follows: block trade or 

large notional swap (‘‘BLK’’). If a trade is 

not a block trade or large notional swap, 

then this field may be left blank.

BLK ............................. Information needed to indicate whether a reportable swap transaction is a block trade 

or a large notional swap. This information 

is important since it will alert market participants and the public to the differences in 

notional or principal amount and the time 

delay in real-time reporting the swap transaction and pricing data. 

Execution venue .......... An indication of the venue of execution of a 

reportable swap transaction. Such indication may be indicated with a three character reference code as follows: reportable 

swap transaction executed on or pursuant 

to the rules of a swap market (SWM) or an 

off-facility swap (OFF).

OFF ............................ Information needed to indicate whether a reportable swap transaction is executed on a 

swap market, as an off-facility swap, or as 

a block trade or large notional swap. 

Swap instrument .......... A description of the instrument used to determine the appropriate minimum block size 

for block trades and large notional swaps. 

The swap instrument may be reported with 

the letters ‘‘SWI’’ followed by the description of the swap instrument. The swap instrument should be described in such a 

manner that it is clear to market participants and the public what is being reported. If there is no swap instrument, then 

‘‘NA’’ may be reported.

SWI–ST–USD–IRS 

(e.g., short term 

USD interest rate 

swaps).

Information needed to understand what swap 

instrument was used by the parties to a 

block trade or large notional swap to determine the appropriate minimum block trade 

size that was relied on to delay reporting 

pursuant to § 43.5. 

Start date ..................... The date that the reportable swap transaction 

becomes effective or starts. The effective 

date shall be displayed with two digits for 

day, month, and year. If a standardized 

start date is established for a particular 

swap, for example, the start date is always 

T+1 for a particular swap contract or the 

start date is standardized to start on a 

given date in the future (e.g., the first of the 

following month), this field may not be necessary.

20–02–09 ................... Information needed to indicate when the 

terms of the reportable swap transaction 

become effective or start. 

Asset class .................. An indication of one of the five broad categories as described in § 43.2(e). Reportable swap transactions may be reported in 

the following asset classes with an appropriate two character symbol: interest rate 

(IR), currency (CU), credit (CD), equity 

(EQ), other commodity (CO)..

IR ................................ Information needed to broadly describe the 

underlying asset to facilitate comparison 

with other similar reportable swap transactions. 

Sub-asset class for 

other commodity.

An indication of a more specific description of 

the asset class for other commodity. Such 

sub-asset classes for other commodity reportable swap transactions may include, 

but are not limited to, energy, precious 

metals, metals—other, agriculture, weather, 

emissions and volatility. The sub-asset 

class may be reported with an appropriate 

two character symbol (e.g., energy (EN)).

AG (agriculture swap) Information needed to define with greater 

specificity, the type of other commodity that 

is being real-time reported and to facilitate 

comparison with other similar reportable 

swap transactions. 

Contract type ............... An indication of one of four specific contract 

types of reportable swap transactions. The 

following product types shall be reported 

with an appropriate two character symbol: 

swap (S-), swaption (SO), forward (FO) 

and stand-alone options (O-).

S- ................................ Information needed to describe the reportable 

swap transaction and to be able to compare such reportable swap transaction to 

other similar reportable swap transactions. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76179 

TABLE A1—DATA FIELDS AND SUGGESTED FORM AND ORDER FOR REAL-TIME PUBLIC REPORTING OF SWAP

TRANSACTION AND PRICING DATA—Continued 

Field Description Example Data application 

Contract sub-type ........ An indication of more specificity into the type 

of contract described in the contract type 

field. Such contract sub-types may include, 

but are not limited to, basis swaps, index 

swaps, broad based security swaps, and 

basket swaps. The contract sub-type may 

be reported with an appropriate two character symbol (e.g., basket swap (SK)).

SS (basis swap) ......... Information needed to define with greater 

specificity, the type of contract that is being 

real-time reported and to facilitate comparison with other similar reportable swap 

transactions. 

Price-forming continuation data.An indication of whether such reportable 

swap transaction is a post-execution event 

that affects the price of the reportable swap 

transaction. The following price-forming 

continuation data may be reported with a 

designation as follows: novation (N-), partial novation (PN), swap unwind (U-), partial swap unwind (PU), other price-forming 

continuation data (PF).

PN .............................. Information needed to describe whether the 

reportable swap transaction is a post-execution event for a pre-existing swap (i.e., 

not a newly executed swap) that materially 

affects the price of the reportable swap 

transaction. 

Underlying asset 1 ...... The asset, reference asset or reference obligation for payments of a party’s obligations 

under the reportable swap transaction reference. The underlying asset may be a reference price, index, obligation, physical 

commodity with delivery point, futures contract or any other instrument agreed to by 

the parties to a reportable swap transaction.

TX (e.g., TX represents ‘‘Treasury 

10 year’’).

Information needed to describe the reportable 

swap transaction and to help market participants and the public evaluate the price 

of the reportable swap transaction. 

Reporting entities may refer to § 43.4(e) when 

reporting underlying asset.

Underlying asset 2 ...... The asset, reference asset or reference obligation for payments of a party’s obligations 

under the reportable swap transaction reference. The underlying asset may be a reference price, index, obligation, physical 

commodity with delivery point, futures contract or any other instrument agreed to by 

the parties to a reportable swap transaction..

IIIL (e.g., IIIL represents 3-month 

LIBOR).

Information needed to describe the reportable 

swap transaction and to help market participants and the public evaluate the price 

of the reportable swap transaction. 

Reporting entities may refer to § 43.4(e) when 

reporting underlying asset..

If there are more than two underlying assets, 

such underlying assets shall be reported in 

the same manner as above.

Price notation .............. The premium, yield, spread or rate, depending on the type of swap, that is calculated 

at affirmation and nets to a present value 

of zero at execution. The pricing characteristic shall not include any premiums 

associated with margin, collateral, independent amounts, reconcilable post-execution events, options on a swap, or other 

non-economic characteristics. The format 

in which the pricing characteristic is realtime reported to the public shall be the format commonly sought by market participants for each particular market or contract.

2.53 ............................ Information needed to describe the reportable 

swap transaction and to help market participants and the public evaluate the price 

of the reportable swap transaction. 

Additional price notation.The additional pricing characteristic shall include any premiums associated with margin, collateral, independent amounts, reconcilable post-execution events, front end 

payments, back end payments, or other 

non-economic characteristics not illustrated 

in the reporting field for pricing characteristic. The additional pricing characteristic shall not include options as they 

are reported elsewhere. The format in 

which the additional pricing characteristic is 

real-time reported to the public shall be as 

an addition or subtraction of the pricing 

characteristic and in a way commonly 

sought by market participants for each particular market or contract.

+0.25 .......................... Additional information needed to describe the 

reportable swap and to help market participants and the public evaluate the price of 

the reportable swap transaction. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76180 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

TABLE A1—DATA FIELDS AND SUGGESTED FORM AND ORDER FOR REAL-TIME PUBLIC REPORTING OF SWAP

TRANSACTION AND PRICING DATA—Continued 

Field Description Example Data application 

Unique product identifier.Certain fields may be replaced with a unique 

product identifier, if such unique identifier 

exists, to the extent that such unique product identifier adequately describes such 

fields..

To be determined ....... Information needed to describe the reportable 

swap transaction and for market participants and the public to be able to compare 

such reportable swap transaction to other 

similar reportable swap transactions. Such 

information would substitute the information 

described in one or more reportable fields 

in accordance with § 43.4. 

Notional currency 1 ..... An indication of the type of currency that the 

notional amount is in. The notional currency may be reported in a commonly accepted code (e.g., the three character alphabetic ISO 4217 currency code).

EUR ............................ Information needed to describe the type of 

currency of the notional amount. 

Notional or principal 

amount 1.

The total currency amount or quantity of units 

of the underlying asset. The notional or 

principal amounts for reportable swap 

transactions, including block trades and 

large notional swaps shall be reported pursuant § 43.4.

200 ............................. Information needed to identify the size of the 

reportable swap transaction and to help 

evaluate the price of the reportable swap 

transaction. 

Notional currency 2 ..... An indication of the type of currency that the 

notional amount is in. The notional currency may be reported in a commonly accepted code (e.g., the three character alphabetic ISO 4217 currency code).

USD ............................ Information needed to describe the type of 

currency of the notional amount. 

Notional or principal 

amount 2.

The total currency amount or quantity of units 

of the underlying asset. The notional or 

principal amounts for reportable swap 

transactions, including block trades and 

large notional swaps, shall be reported pursuant to § 43.4.

45 ............................... Information needed to identify the size of the 

reportable swap transaction and to help 

market participants and the public evaluate 

the price of the reportable swap transaction. 

Each notional or principal amount (if there is 

more than one) should be labeled with a 

number (e.g., 1, 2, 3, etc.) such that the 

number corresponds to the underlying 

asset for which the notional or principal 

amount is applicable.

If there are more than two notional or principal amounts, each such additional notional or principal amount shall be reported 

in the same manner.

Payment frequency 1 .. An integer multiplier of a time period describing how often the parties to the reportable 

swap transaction exchange payments associated with each party’s obligation under 

the reportable swap transaction. Such payment frequency may be described as one 

letter preceded by an integer. Such letter 

convention may be reported as follows: D 

(daily), W (weekly), M (monthly), Y (yearly).

2M .............................. Information needed to identify the pricing 

characteristic of the reportable swap transaction and to help market participants and 

the public evaluate the price of the reportable swap transaction. 

Payment frequency 2 .. An integer multiplier of a time period describing how often the parties to the reportable 

swap transaction exchange payments associated with each party’s obligation under 

the reportable swap transaction. Such payment frequency may be described as one 

letter preceded by an integer. Such letter 

convention may be reported as follows: D 

(daily), W (weekly), M (monthly), or Y 

(yearly).

6W .............................. Information needed to identify the pricing 

characteristic of the reportable swap transaction and to help market participants and 

the public evaluate the price of the reportable swap transaction. 

Each payment frequency (if there is more 

than one) should be labeled with a number 

(e.g., 1, 2, 3, etc.) such that the number 

corresponds to the underlying asset for 

which the payment frequency is applicable.

If there are more than two payment frequency, each such additional payment frequency shall be reported in the same manner.


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76181 

TABLE A1—DATA FIELDS AND SUGGESTED FORM AND ORDER FOR REAL-TIME PUBLIC REPORTING OF SWAP

TRANSACTION AND PRICING DATA—Continued 

Field Description Example Data application 

Reset frequency 1 ....... An integer multiplier of a period describing 

how often the parties to the reportable 

swap transaction shall evaluate and, when 

applicable, change the price used for the 

underlying assets of the reportable swap 

transaction. Such reset frequency may be 

described as one letter preceded by an integer. Such letter convention may be reported as follows: D (daily), W (weekly), M 

(monthly), or Y (yearly).

1Y ............................... Information needed to identify the pricing 

characteristic of the reportable swap transaction and to help market participants and 

the public evaluate the price of the reportable swap transaction. 

Reset frequency 2 ....... An integer multiplier of a period describing 

how often the parties to the reportable 

swap transaction shall evaluate and, when 

applicable, change the price used for the 

underlying assets of the reportable swap 

transaction. Such reset frequency may be 

described as one letter preceded by an integer. Such letter convention may be reported as follows: D (daily), W (weekly), M 

(monthly), or Y (yearly).

6M .............................. Information needed to identify the pricing 

characteristic of the reportable swap transaction and to help market participants and 

the public evaluate the price of the reportable swap transaction. 

Each reset frequency (if there is more than 

one) should be labeled with a number 

(e.g., 1, 2, 3, etc.) such that the number 

corresponds to the underlying asset for 

which the reset frequency is applicable.

If there are more than two reset frequencies, 

each such additional reset frequency shall 

be reported in the same manner.

Tenor ........................... The maturity, termination, or end date of the 

reportable swap transaction. The tenor may 

be displayed with the 3 character month 

and year format used for futures contracts..

Z15 ............................. Information needed to determine the end 

month and year of the reportable swap 

transaction and to help market participants 

and the public evaluate the price of the reportable swap transaction. 

Reporting entities may refer to § 43.4(e) in reporting tenor.

If a swap has more than one embedded 

option, or multiple swaptions provisions, all 

such option provisions shall be reported in 

the same manner pursuant to the fields in 

Table A2 of Appendix A to this Part 43. 

When disseminated to the public, multiple 

embedded options associated with the same 

swap shall be clearly described and clearly 

linked to the swap with which the embedded 

option is associated. 

TABLE A2—ADDITIONAL REAL-TIME PUBLIC REPORTING DATA FIELDS FOR OPTIONS, SAPTIONS AND SWAPS WITH

EMBEDDED OPTIONS

Field Description Example Data application 

Embedded option on 

swap.

An indication of whether or not the option 

fields are for an embedded option. This indication may be displayed as ‘‘EMBED1,’’ 

‘‘EMBED2,’’ etc. and should precede the 

option fields that describe the embedded 

option.

EMBED1 ..................... Information needed to describe whether an 

option is embedded in a swap to prevent 

confusion and allow the market participants 

and the public to understand the information that is being reported. 

Option Strike Price ...... The level or price at which an option may be 

exercised. The option strike price may be 

displayed with the letter ‘‘O’’ followed immediately by the level or price.

O25 ............................. Information needed to indicate the level or 

price at which the option may be exercised 

to market participants and the public. 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
76182 Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 

TABLE A2—ADDITIONAL REAL-TIME PUBLIC REPORTING DATA FIELDS FOR OPTIONS, SAPTIONS AND SWAPS WITH

EMBEDDED OPTIONS—Continued 

Field Description Example Data application 

Option Type ................. An indication of the type of option. The option 

type may be displayed with a two character 

code as follows: put (P-), call (C-), purchase to pay fixed vs. floating (PF), purchase to receive fixed vs. floating (RF) cap 

(PC), floors (F-), collar (RC), straddle (D-), 

strangle (G-), amortizing (A-), cancelable 

(NC), compounding (DC), knock-in (KI), 

knock-out (KO), reverse knock-in (RI), reverse knock-out (RO), one touch (OT), no 

touch (NT), double one-touch (DO), double 

no touch (DN), butterfly (BU), collar (L-), 

condor (R-), callable inverse snowball (JC), 

other exotic option types (XX).

P- ................................ Information needed to adequately describe 

the option to market participants and the 

public. 

Option Family .............. An indication of the style of the option transaction. The option style/family may be displayed as a two letter code as follows: European (EU), American (AM), Bermudan 

(BM), Asian (AS), other option style/family 

(YY).

EU .............................. Information needed to adequately describe 

the option to market participants and the 

public. 

Option currency ........... An indication of the type of currency of the 

option premium. The option currency may 

be reported in a commonly accepted code 

(e.g., the three character alphabetic ISO 

4217 currency code).

USD ............................ Information needed to identify the type of currency of the option premium to market participants and the public. 

Option premium ........... An indication of the additional cost of the option to the reportable swap transaction as a 

numerical value, not as the difference of 

the premiums of the party’s obligations to 

the reportable swap transaction. This field 

shall be combined with the option currency 

field.

50000 ......................... Information needed to explain the market 

value of the option to market participants 

and the public at the time of execution. 

This field will allow the public to understand 

the price of the reportable swap transaction. 

Option lockout period .. An indication of the first allowable exercise 

date of the option. Such option lockout 

date shall be rounded to the month and reported using the three character month and 

year format used for futures contracts.

J19 .............................. Information is needed to identify when the 

option can first be exercised and to help 

market participants and the public evaluate 

the price of the option. 

Option expiration ......... An indication of the date that the option is no 

longer available for exercise. Such option 

expiration shall be rounded off to the 

month and reported using the three character month and year format used for futures contracts.

Z20 ............................. Information is needed to identify when the 

option can no longer be exercised and to 

help market participants and the public 

evaluate the price of the option. 

Issued in Washington, DC, on November 

19, 2010, by the Commission. 

David A. Stawick, 

Secretary of the Commission. 

Statement of Chairman Gary Gensler 

Real-Time Public Reporting of Swap 

Transaction Data 

I support the proposed rulemaking to 

implement a real-time public reporting 

regime for swaps. The proposed rules 

are designed to fulfill Congress’s 

direction to bring public transparency to 

the entire swaps market, both 

standardized and customized swaps. 

This post-trade transparency will 

enhance price discovery and liquidity 

while ensuring anonymity and 

protection for large trades in appropriate 

cases. Per Congress’s direction, the 

proposal requires real time reporting for 

swap transaction and pricing data to 

occur as soon as technologically 

practicable for trades other than trades 

of large notional size or block trades. 

Congress mandated that these trades be 

reported without delay regardless of 

whether they are standardized or 

customized. 

With regard to block trades or trades 

of large notional size, the proposed rule 

includes two important features: a time 

delay and a method to report the large 

sizes. With regard to the delay, the 

proposed rule includes a 15-minute 

delay on standardized blocks. This 

compares to the futures marketplace, 

which currently has a five-minute delay 

for blocks, and the equities marketplace, 

which has an even shorter delay. With 

regard to customized trades of large 

notional size, the proposal asks a series 

of questions as to whether a similar 

delay of 15 minutes would be 

appropriate for interest rate, currency 

and other financial swaps and what 

delays may be appropriate for 

customized large trades referencing 

physical commodities. The second 

important feature with regard to block 

trades or trades of large notional size is 

a reporting method that transactions 

greater than $250 million notional 

amount—even the very largest of 

trades—will just be reported as being 

greater than $250 million. This will 

protect anonymity and promote the 

liquidity of these large trades. 

The proposal on real time reporting 

includes the methods by which to 

calculate what a block trade is across 

the market for various swap 

instruments. This will be based on data 

collected by the swap data repositories 

in each of the asset classes. Lastly, the 

proposal includes an initial 


srobinson on DSKHWCL6B1PROD with PROPOSALS2
Federal Register / Vol. 75, No. 234 / Tuesday, December 7, 2010 / Proposed Rules 76183 

implementation date of January 2012 to 

provide time for the initial setting of 

block sizes based on market data and 

time for market participants to prepare 

for such real time reporting 

requirements. 

Real time post-trade reporting is 

critical to promoting market integrity 

and to benefit the investing and hedging 

public. When corporations, municipal 

governments, farmers and merchants 

seek to hedge their risk, they will 

benefit from seeing an accurate picture 

of where similar transactions are being 

priced concurrent with their decisionmaking. It is an essential ingredient of 

well-functioning markets. Such 

transparency increases liquidity and 

enhances the price discover function of 

the market. 

[FR Doc. 2010–29994 Filed 12–6–10; 8:45 am] 

BILLING CODE P 


srobinson on DSKHWCL6B1PROD with PROPOSALS2